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Previous: EAGLE FAMILY FOODS HOLDINGS INC, 10-K405, 1999-09-24 |
Next: EII REALTY SECURITIES TRUST, 497, 1999-09-24 |
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: September 24, 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 (as
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 and
Collateral Term Sheets
prepared by Banc of America
Securities LLC in
connection with United PanAm
Mortgage Loan Asset Backed
Certificates, Series 1999-2
<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
September 24, 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 and E
Collateral Term Sheets
prepared by Banc of America
Securities LLC in connection with
United PanAm Mortgage Loan Asset
Backed Certificates, Series 1999-2
BANC OF AMERICA SECURITIES LLC
[BANK OF AMERICA LOGO]
- --------------------------------------------------------------------------------
RMBS NEW ISSUE TERM SHEET
UNITED PANAM MORTGAGE
$233,144,000
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
CLASSES A-1 AND A-2
ASSET BACKED FUNDING CORPORATION
DEPOSITOR
UNITED PANAM MORTGAGE, A DIVISION OF PAN AMERICAN BANK, FSB
SELLER
PAN AMERICAN BANK, FSB
MASTER SERVICER
SEPTEMBER 23, 1999
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
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 (the "Underwriter") is 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 Underwriter considers reliable, but the Underwriter does 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 Underwriter 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 Underwriter and its 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 Underwriter 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 Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
United PanAm Mortgage Loan Asset-Backed Certificates, Series 1999-2
OFFERED CERTIFICATES
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PRINCIPAL PRINCIPAL
EXPECTED AVERAGE MODIFIED WINDOW WINDOW FINAL
CLASS RATINGS EXPECTED LIFE DURATION (TO MATURITY) (TO CALL) DISTRIBUTION
CLASS DESCRIPTION S&P/MOODY'S SIZE (YEARS) (YEARS) IN MONTHS IN MONTHS DATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Floater AAA/Aaa 174,020,000 2.65 2.32 160 74 10/25/2029
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 Floater AAA/Aaa 59,124,000 2.60 2.27 158 74 09/25/2029
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE RATE CLASSES:
1. The Loan Group I supports the Class A-1 Certificates and the Loan Group II
supports the Class A-2 Certificates.
2. The Class A-1 and Class A-2 Certificates are payable monthly (Actual/360)
starting 11/25/99 and accrue from the Closing Date. The Class A-1
Certificates reset monthly to one month LIBOR plus [ ]%. The Class A-2
Certificates reset monthly to one month LIBOR plus [ ]%.
3. The Class A-1 and Class A-2 Certificates are subject to a Net Funds Cap
Rate, as described herein.
4. The Optional Termination is at 10% of the aggregate principal balances of
the Mortgage Loans delivered on the closing date plus the original
Pre-Funding amount. If the Optional Termination is not exercised by the
Master Servicer or the Certificate Insurer, the margin on the Class A-1 and
Class A-2 Certificates will double.
5. Adjustable-rate Mortgage Loans pricing speed: 4% CPR in month 1 ramping to
35% CPR in month 18 and thereafter 35% CPR (100% PPC). Fixed-rate Mortgage
Loans pricing speed: 5.2% CPR in month 1 ramping to 26% CPR in month 12 and
thereafter 26% CPR (130% PPC).
6. The Class A-1 and Class A-2 Certificates are priced to call.
CREDIT ENHANCEMENT:
Credit enhancement for the structure is provided by excess interest, prepayment
penalty fees, overcollateralization, cross-collateralization, the FSA Insurance
Policy on both the Class A-1 and Class A-2 Certificates and a Mortgage Guaranty
Insurance Corporation ("MGIC") primary mortgage insurance policy on certain
Mortgage Loans. Excess interest and prepayment penalty fees are used to
accelerate the principal payments of the bonds until the Overcollateralization
Target Amount is reached for each Loan Group. After the Step Down Date, extra
principal is released to the Class X Certificate in a manner designed to keep
the Overcollateralization Target Amount at a constant percentage of the related
Loan Group's balance. Loan Group I and Loan Group II are cross-collateralized
such that no cash will be released to the Class X Certificate until the
Overcollateralization Target Amount has been reached for both groups.
STEP DOWN DATE:
For each Loan Group, the later to occur of (x) after the 30th Distribution Date
and (y) the first Distribution Date on which (i) the Overcollateralization
Target Amount has been met and (ii) the pool balance has been reduced to 50% of
the sum of the aggregate of the Principal Balances of the Mortgage Loans as of
the Cutoff Date and the original prefunding amount.
OVERCOLLATERALIZATION TARGET AMOUNT
The initial overcollateralization amount is 0%. On or prior to the Step Down
Date, the Overcollateralization Target Amount is 4.95% of the sum of the
original related Loan Group balance and the related original prefunding amount.
After the Step Down Date, the Overcollateralization Target Amount for each Loan
Group is the greater of (i) the minimum of (a) 9.90% of the sum of the current
related Loan Group balance and the current balance of the related prefunding
amount or (b) 4.95% of the sum of the original related Loan Group balance and
the related original prefunding amount, and (ii) 0.50% of the sum of (a) the
original related Loan Group balance, (b) the related original prefunding amount
and (iii) the current balance of the three largest outstanding Mortgage Loans in
the related Loan Group.
<PAGE>
SUMMARY OF TERMS
SELLER: United PanAm Mortgage ("UPAM"), a division of
PanAmerican Bank, FSB
MASTER SERVICER: Pan American Bank, FSB will act as Master Servicer of
the Mortgage Loans. The Mortgage Loans were originated
or acquired by UPAM. On or prior to the date the
Certificates are issued, UPAM will convey its interest
in each Mortgage Loan to the Trust.
SUBSERVICER &
SPECIAL SERVICER: Fairbanks Capital Corp. ("Fairbanks")
TRUSTEE: Bankers Trust Company of California, N.A.
OFFERING: Public; subject to a variance of plus or minus 5.0%.
LEAD MANAGER: BANC OF AMERICA SECURITIES LLC (Sole lead and Book
Manager)
CUTOFF DATE: For any initial mortgage loan, October 1, 1999. For any
additional mortgage loan, the date of its origination.
STATISTICAL
CALCULATION DATE: September 1, 1999
EXPECTED CLOSING DATE: October 12, 1999
REGISTRATION: The Class A Certificates will be available in book-entry
form through DTC, Euroclear or Cedelbank.
DISTRIBUTION DATE: The 25th of each month (or next succeeding business
day), beginning November 25, 1999.
CLASS A-1
INTEREST CALCULATION: The Class A-1 Certificates are payable monthly starting
11/25/99 and accrue from the Closing Date. The Class A-1
Certificates reset monthly on an actual/360 basis to
One-Month LIBOR plus [ ]%. The margin on the Class A-1
Certificates will double, if the Optional Termination is
not exercised.
CLASS A-2
INTEREST CALCULATION: The Class A-2 Certificates are payable monthly starting
11/25/99 and accrue from the Closing Date. The Class A-2
Certificates reset monthly on an actual/360 basis to
One-Month LIBOR plus [ ]%. The margin on the Class A-2
Certificates will double, if the Optional Termination is
not exercised.
OPTIONAL TERMINATION: The Master Servicer may, at its option, terminate the
trust on any distribution date when the aggregate
principal balance of the Mortgage Loans is less than 10%
of the sum of the principal balances of the Mortgage
Loans delivered on the Closing Date plus amounts on
deposit in the prefunding accounts on the Closing Date.
DENOMINATIONS: $50,000 minimum and integral multiples of $1,000 in
excess thereof.
TAX STATUS: REMIC Election
ERISA: ERISA eligible. Prospective investors that are pension
plans should consult their own counsel with respect to
an investment in the Offered Certificates.
SMMEA: After amounts in the related pre-funding accounts are
reduced to zero, the Offered Certificates WILL
constitute as "mortgage related securities" for purposes
of SMMEA.
CERTIFICATE INSURER: Financial Security Assurance Inc. ("FSA"). FSA claims
paying ability is rated "AAA" by Standard & Poor's and
"Aaa" by Moody's Investors Service Inc.
CERTIFICATE
INSURANCE POLICY: The certificate guaranty insurance policy (the
"Certificate Insurance Policy") will provide 100%
coverage of timely interest and ultimate principal
payments due on the certificates.
RATING AGENCIES: Standard & Poor's and Moody's Investors Service Inc.
INITIAL MORTGAGE LOANS: The Mortgage Loans in the trust are separated into two
groups based on the original principal balances of the
Mortgage Loans. The information presented in the term
sheet regarding the Mortgage Pool is based on the
Initial Mortgage Loans as of the Statistical Calculation
Date. Both groups consist primarily of conventional,
fully-amortizing and balloon, first lien, fixed-rate and
adjustable-rate closed end, one- to four-family
residential mortgage loans.
As of the Statistical Calculation Date, the Mortgage
Pool has an Aggregate Principal Balance of
$174,858,988.23 representing 1,404 loans.
As of the Statistical Calculation Date, Loan Group I
consisted of a total of 1,272 loans of which 200 are in
the Fixed Rate Loan Subgroup I and 1,072 are in the
Adjustable Rate Loan Subgroup I. As of the Statistical
Calculation Date, the Loan Group I has an Aggregate
Principal Balance of $ 130,515,401.90 of which the Fixed
Rate Loan Subgroup I has an Aggregate Principal Balance
of $ 15,954,866.56 and the Adjustable Rate Loan Subgroup
I has an Aggregate Principal Balance of $114,560,535.34.
As of the Statistical Calculation Date, Loan Group II
consisted of a total of 132 loans of which 13 are in the
Fixed Rate Loan Subgroup II and 119 are in the
Adjustable Rate Loan Subgroup II. As of the Statistical
Calculation Date, the Loan Group II has an Aggregate
Principal Balance of $44,343,586.33 of which the Fixed
Rate Loan Subgroup II has an Aggregate Principal Balance
of $ 4,295,720.84 and the Adjustable Rate Loan Subgroup
II has an Aggregate Principal Balance of $40,047,865.49.
Between the Statistical Calculation Date and the Cutoff
Date the Seller expects to deposit additional Mortgage
Loans in each Loan Group.
PREFUNDING AMOUNT: At closing the Seller will deposit up to the difference
between the aggregate principal balances of the Initial
Mortgage Loans (including the additional Mortgage Loans
referenced in the last paragraph under the heading
"Initial Mortgage Loans") as of the Cutoff Date and the
Original Class A Certificate Balances into two separate
prefunding accounts to be used to acquire additional
adjustable-rate Mortgage Loans from the Seller during
the prefunding period. At closing the Seller will also
deposit funds into the Capitalized Interest Accounts
established for each of the Loan Groups. The prefunding
period terminates on the close of business December 10,
1999.
GROUP I NET
FUNDS CAP RATE: The Class A-1 Certificates will be subject to a Group I
Net Funds Cap Rate equal to the weighted average of the
Mortgage Interest Rates in Loan Group I as of the first
day of the related Accrual Period less: (a) the sum of
(x) an amount, expressed as an annual percentage rate
across the aggregate principal balance of the Mortgage
Loans in Loan Group I, equal to the sum of the Expense
Fee and the Certificate Insurer Fee and (y) an amount
expressed as an annual percentage rate across the
aggregate principal balance of the Mortgage Loans in
Loan Group I insured by MGIC, equal to the Mortgage
Insurance Fee or (b) the sum of the amount in (a) plus
0.50% per annum, with respect to each Accrual Period
after the twelfth Accrual Period. For the purposes of
computing the Group I Net Funds Cap Rate, calculations
will be made on the basis of the actual number of days
in the related Due Period and a 360-day year.
GROUP II NET
FUNDS CAP RATE: The Class A-2 Certificates will be subject to a Group II
Net Funds Cap Rate equal to the weighted average of the
Mortgage Interest Rates in Loan Group II as of the first
day of the related Accrual Period less: (a) the sum of
(x) an amount, expressed as an annual percentage rate
across the aggregate principal balance of the Mortgage
Loans in Loan Group II, equal to the sum of the Expense
Fee and the Certificate Insurer Fee and (y) an amount
expressed as an annual percentage rate across the
aggregate principal balance of the Mortgage Loans in
Loan Group II insured by MGIC, equal to the Mortgage
Insurance Fee or (b) the sum of the amount in (a) plus
0.50% per annum, with respect to each Accrual Period
after the twelfth Accrual Period. For the purposes of
computing the Group II Net Funds Cap Rate, calculations
will be made on the basis of the actual number of days
in the related Due Period and a 360-day year.
GROUP I INTEREST
CARRYOVER: With respect to the Class A-1 Certificates and any
Distribution Date on which the Pass-Through Rate is
based upon the Group I Net Funds Cap Rate, the sum of
(A) the excess of (i) the amount of interest the Class
A-1 Certificates would otherwise be entitled to receive
on such Distribution Date had such rate been calculated
at the Pass-Through Rate without giving effect to the
Group I Net Funds Cap Rate, up to the Maximum Cap, over
(ii) the amount of interest payable on Class A-1
Certificates at the Group I Net Funds Cap Rate for such
Distribution Date and (B) the Group I Interest Carryover
for all previous Distribution Dates not previously paid,
together with interest thereon at a rate equal to the
related Pass-Through Rate, up to the Maximum Cap for
Class A-1 Certificates for such Distribution Date ( it
being understood that such amount is not covered by the
Certificate Insurance Policy).
GROUP II INTEREST
CARRYOVER: With respect to the Class A-2 Certificates and any
Distribution Date on which the Pass-Through Rate is
based upon the Group II Net Funds Cap Rate, the sum of
(A) the excess of (i) the amount of interest the Class
A-2 Certificates would otherwise be entitled to receive
on such Distribution Date had such rate been calculated
at the Pass-Through Rate without giving effect to the
Group II Net Funds Cap Rate, up to the Maximum Cap, over
(ii) the amount of interest payable on Class A-2
Certificates at the Group II Net Funds Cap Rate for such
Distribution Date and (B) the Group II Interest
Carryover for all previous Distribution Dates not
previously paid, together with interest thereon at a
rate equal to the related Pass-Through Rate, up to the
Maximum Cap for Class A-2 Certificates for such
Distribution Date (it being understood that such amount
is not covered by the Certificate Insurance Policy).
MAXIMUM CAP: For any Distribution Date and for each Class of Class A
Certificates, is the weighted average of the maximum
mortgage rates on the adjustable-rate Mortgage Loans and
the mortgage rates on the fixed-rate Mortgage Loans in
the related Loan Group.
ADVANCING: The Master Servicer is obligated to make cash advances
with respect to delinquent payments of principal and
interest on any Mortgage Loan (to the extent described
in the prospectus).
PREPAYMENT PENALTIES: As of the Statistical Calculation Date, 1,073 Mortgage
Loans in Loan Group I with an Aggregate Principal
Balance of $ 110,918,836.75 and 114 Mortgage Loans in
Loan Group II with an Aggregate Principal Balance of
$38,025,086.73 are subject to prepayment penalties.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
LOAN GROUP I LOAN GROUP II
PRINCIPAL BALANCE % OF LOAN GROUP I PRINCIPAL BALANCE % OF LOAN GROUP II
OUTSTANDING AS PRINCIPAL BALANCE OUTSTANDING AS PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF NUMBER OF OUTSTANDING AS OF
PREPAYMENT TERM OF LOAN GROUP I THE STATISTICAL THE STATISTICAL OF LOAN GROUP II THE STATISTICAL THE STATISTICAL
(YEARS) MORTGAGE LOANS CALCULATION DATE CALCULATION DATE MORTGAGE LOANS CALCULATION DATE CALCULATION DATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 82 $ 10,081,142.55 9.09% 25 $ 8,524,100.37 22.42%
- ------------------------------------------------------------------------------------------------------------------------------------
2 339 41,649,504.12 37.55 38 13,157,953.76 34.60
- ------------------------------------------------------------------------------------------------------------------------------------
3 372 33,632,194.31 30.32 31 9,842,783.79 25.88
- ------------------------------------------------------------------------------------------------------------------------------------
5 280 25,555,995.77 23.04 20 6,500,248.81 17.09
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL 1,073 $110,918,836.75 100.00% 114 $38,025,086.73 100.00%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
SOURCE FOR CALCULATION
OF ONE-MONTH LIBOR: Telerate page 3750.
EXPENSE FEE: 51 basis points (50 basis points for Servicing Fee and 1
basis point for Trustee Fee).
CONTACT: Banc of America Securities LLC
<TABLE>
<CAPTION>
<S> <C>
Mortgage Trading/Syndicate (704) 386-7744 (704) 335-5904 (Fax)
Chris Hentemann (email: [email protected])
Alex Cha (email: [email protected])
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
SUMMARY
<TABLE>
<CAPTION>
TOTAL MINIMUM MAXIMUM
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $15,954,866.56
Number of Loans 200
Average Original Loan Balance $79,885.19 $17,500.00 $237,600.00
Average Current Loan Balance $79,774.33 $17,500.00 $237,515.09
Weighted Average Original LTV 74.96% 23.57% 95.00%
Weighted Average Gross Coupon 10.136% 7.000% 14.375%
Weighted Average Remaining Term to Maturity (months) 304.17 175 360
Weighted Average Original Term (months) 305.91 180 360
Weighted Average FICO Credit Score* 586 457 797
Weighted Average Debt to Income Ratio 37.71 5.72 60.39
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Original Term (in months) 180 30.05%
360 69.95%
Fully Amortizing Mortgage Loans 73.65%
Balloon Mortgage Loans 26.35%
Lien Position First 100.00%
Property Type Single Family 73.43%
2-4 Family 13.90%
PUD 1.54%
Condominium 5.71%
Manufactured Housing 5.42%
Occupancy Status Primary 77.72%
Investor 22.28%
Geographic Distribution California 24.13%
Florida 14.47%
Washington 8.07%
Colorado 7.14%
Illinois 5.12%
Other 41.07%
Largest Zip Code Concentration 98499 1.49%
Credit Grade A 36.28%
A- 22.26%
B 22.50%
C 15.96%
C- 3.00%
Delinquency 30 - 59 days 3.00%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Based upon FICO Credit Score available on 99.87% of Fixed Rate Loan
Subgroup I.
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PRINCIPAL BALANCE ($) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
0.01 - 50,000.00 52 $ 1,953,658.04 12.24%
50,000.01 - 100,000.00 98 6,990,011.82 43.81
100,000.01 - 150,000.00 33 3,860,854.19 24.20
150,000.01 - 200,000.00 12 2,010,761.24 12.60
200,000.01 - 250,000.00 5 1,139,581.27 7.14
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
180 60 $ 4,794,037.40 30.05%
360 140 11,160,829.16 69.95
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
REMAINING TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
121 - 180 60 $ 4,794,037.40 30.05%
301 - 360 140 11,160,829.16 69.95
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PROPERTY TYPE LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Single Family Detached 152 $ 11,716,440.02 73.43%
Condominium 13 911,818.56 5.71
Manufactured Housing 12 864,531.13 5.42
PUD 3 245,145.23 1.54
2-4 Units Detached 20 2,216,931.62 13.90
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
OCCUPANCY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
STATED OCCUPANCY STATUS LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Primary 148 $ 12,399,711.69 77.72%
Investor 52 3,555,154.87 22.28
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PURPOSE LOANS CALCULATION DATE CALCULATION DATE
------- ----- ---------------- ----------------
<S> <C> <C> <C>
Purchase 70 $ 4,669,418.34 29.27%
Rate/Term Refinance 25 2,596,893.78 16.28
Cash Out Refinance 105 8,688,554.44 54.46
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
DOCUMENTATION LEVEL LOANS CALCULATION DATE CALCULATION DATE
------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Full Documentation 142 $ 11,048,584.12 69.25%
Stated Income 47 3,905,995.42 24.48
Flex Documentation 11 1,000,287.02 6.27
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
CURRENT LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
6.501 - 7.000 1 $ 98,337.40 0.62%
7.001 - 7.500 1 119,000.00 0.75
7.501 - 8.000 7 858,724.10 5.38
8.001 - 8.500 6 584,497.10 3.66
8.501 - 9.000 20 1,926,541.72 12.07
9.001 - 9.500 24 1,550,972.80 9.72
9.501 - 10.000 40 3,788,983.29 23.75
10.001 - 10.500 18 1,556,702.30 9.76
10.501 - 11.000 24 1,940,198.21 12.16
11.001 - 11.500 17 1,124,820.84 7.05
11.501 - 12.000 16 1,046,099.28 6.56
12.000 - 12.500 12 662,764.61 4.15
12.501 - 13.000 8 342,521.38 2.15
13.001 - 13.500 1 32,850.00 0.21
13.501 - 14.000 4 286,244.50 1.79
14.001 - 14.500 1 35,609.03 0.22
TOTAL 200 $15,954,866.56 100.00%
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS CALCULATION DATE CALCULATION DATE
-------------------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
20.01 - 25.00 1 $ 32,567.06 0.20%
30.01 - 35.00 1 39,823.25 0.25
35.01 - 40.00 4 372,918.80 2.34
40.01 - 45.00 1 57,869.29 0.36
45.01 - 50.00 1 50,000.00 0.31
50.01 - 55.00 5 323,617.26 2.03
55.01 - 60.00 6 425,755.75 2.67
60.01 - 65.00 16 1,522,307.28 9.54
65.01 - 70.00 27 1,683,293.10 10.55
70.01 - 75.00 48 3,742,949.46 23.46
75.01 - 80.00 55 4,223,427.80 26.47
80.01 - 85.00 22 1,995,792.63 12.51
85.01 - 90.00 12 1,313,890.67 8.24
90.01 - 95.00 1 170,654.21 1.07
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
LOCATION LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
California 38 $ 3,850,424.69 24.13%
Florida 34 2,309,015.58 14.47
Washington 11 1,287,287.41 8.07
Colorado 11 1,139,329.52 7.14
Illinois 9 816,168.96 5.12
Indiana 10 671,698.30 4.21
Utah 9 640,465.91 4.01
Ohio 10 633,659.35 3.97
Michigan 8 565,631.59 3.55
Oregon 7 495,114.93 3.10
Nevada 4 463,935.10 2.91
Massachusetts 2 396,700.58 2.49
Arizona 5 343,545.38 2.15
Tennessee 8 320,512.40 2.01
New Mexico 3 318,073.66 1.99
New York 3 273,550.03 1.71
Texas 6 259,739.09 1.63
Maryland 2 158,277.27 0.99
Georgia 2 152,181.78 0.95
North Carolina 2 138,928.61 0.87
Delaware 3 127,276.79 0.80
South Carolina 2 117,560.20 0.74
Pennsylvania 3 113,615.94 0.71
New Jersey 1 92,180.23 0.58
Missouri 2 76,096.77 0.48
Maine 1 62,965.71 0.39
Mississippi 1 50,000.00 0.31
Arkansas 1 32,850.00 0.21
Nebraska 1 24,127.70 0.15
Iowa 1 23,953.08 0.15
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
FICO CREDIT SCORES FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RANGE OF OF MORTGAGE THE STATISTICAL THE STATISTICAL
FICO SCORES LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
<S> <C> <C> <C>
Greater than 650 33 $ 2,489,944.27 15.61%
596 to 650 44 3,920,447.51 24.57
550 to 595 56 4,853,044.67 30.42
Less than 550 67 4,691,430.11 29.40
TOTAL 200 $ 15,954,866.56 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I
SUMMARY
<TABLE>
<CAPTION>
TOTAL MINIMUM MAXIMUM
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $114,560,535.34
Number of Loans 1,072
Average Original Loan Balance $106,924.51 $15,000.00 $440,000.00
Average Current Loan Balance $106,866.17 $14,996.93 $440,000.00
Weighted Average Original LTV 78.11% 25.88% 96.43%
Weighted Average Gross Coupon 10.041% 7.250% 13.990%
Weighted Average Remaining Term to Maturity (months) 359.21 331 360
Weighted Average Original Term (months) 360.00 360 360
Weighted Average Gross Margin 6.415% 4.625% 8.500%
Weighted Average Gross Lifetime Cap 16.994% 12.750% 20.990%
Weighted Average Periodic Cap 1.000% 1.000% 1.000%
Weighted Average FICO Credit Score* 584 447 782
Weighted Average Debt to Income Ratio 41.05% 4.06% 60.40%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Loans 100.00%
Product Type 6 Month LIBOR 3.30%
2/28 LIBOR 83.92%
3/27 LIBOR 12.78%
Lien Position First 100.00%
Property Type Single Family 72.17%
PUD 6.93%
Condominium 7.13%
2-4 Family 10.47%
Manufactured Housing 3.30%
Occupancy Status Primary 87.00%
Investor 12.84%
Second Home 0.16%
Geographic Distribution California 31.32%
Illinois 13.65%
Colorado 7.17%
Florida 6.55%
Ohio 6.01%
Other 35.30%
Largest Zip Code Concentration 95148 0.77%
Credit Grade A 24.73%
A- 34.83%
B 20.99%
C 15.90%
C- 3.55%
Delinquency 30 - 59 days 1.37%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Based upon the FICO Credit Score available on 98.69% of Adjustable
Rate Loan Subgroup I.
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PRINCIPAL BALANCE ($) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
0.01 - 50,000.00 157 $ 6,001,617.89 5.24%
50,000.01 - 100,000.00 425 31,602,597.65 27.59
100,000.01 - 150,000.00 253 30,902,839.33 26.98
150,000.01 - 200,000.00 145 25,276,379.92 22.06
200,000.01 - 250,000.00 84 18,377,792.81 16.04
250,000.01 - 300,000.00 5 1,325,807.74 1.16
300,000.01 - 350,000.00 2 633,500.00 0.55
400,000.01 - 450,000.00 1 440,000.00 0.38
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
360 1,072 $ 114,560,535.34 100.00%
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
REMAINING TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
301 - 360 1,072 $ 114,560,535.34 100.00%
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PROPERTY TYPE LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Single Family Detached 799 $ 82,679,812.68 72.17%
Condominium 74 8,171,040.19 7.13
Manufactured Housing 41 3,775,911.98 3.30
PUD 61 7,933,761.78 6.93
2-4 Units Detached 97 12,000,008.71 10.47
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I
OCCUPANCY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
STATED OCCUPANCY STATUS LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Primary 905 $ 99,663,993.89 87.00%
Investor 166 14,714,703.16 12.84
Second Home 1 181,838.29 0.16
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PURPOSE LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Purchase 440 $ 44,393,475.09 38.75%
Rate/Term Refinance 145 16,632,684.82 14.52
Cash Out Refinance 487 53,534,375.43 46.73
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
DOCUMENTATION LEVEL LOANS CALCULATION DATE CALCULATION DATE
------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Full Documentation 823 $ 87,610,912.92 76.48%
Stated Income 218 23,462,656.48 20.48
Flex Documentation 31 3,486,965.94 3.04
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
CURRENT LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
7.001 - 7.500 6 $ 817,024.26 0.71%
7.501 - 8.000 26 3,711,472.69 3.24
8.001 - 8.500 50 6,987,634.66 6.10
8.501 - 9.000 121 15,214,603.71 13.28
9.001 - 9.500 121 14,789,392.73 12.91
9.501 - 10.000 175 20,069,707.94 17.52
10.001 - 10.500 144 14,964,331.78 13.06
10.501 - 11.000 154 15,613,284.54 13.63
11.001 - 11.500 116 9,997,848.35 8.73
11.501 - 12.000 95 8,207,354.97 7.16
12.000 - 12.500 40 2,752,564.52 2.40
12.501 - 13.000 15 851,384.42 0.74
13.001 - 13.500 7 459,245.70 0.40
13.501 - 14.000 2 124,685.07 0.11
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS CALCULATION DATE CALCULATION DATE
-------------------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
25.01 - 30.00 4 $ 141,983.30 0.12%
30.01 - 35.00 4 239,000.00 0.21
35.01 - 40.00 1 79,800.00 0.07
40.01 - 45.00 3 121,332.27 0.11
45.01 - 50.00 8 408,126.39 0.36
50.01 - 55.00 13 1,276,920.96 1.11
55.01 - 60.00 19 1,420,987.20 1.24
60.01 - 65.00 55 5,171,104.08 4.51
65.01 - 70.00 112 11,458,786.79 10.00
70.01 - 75.00 171 18,020,327.10 15.73
75.01 - 80.00 434 46,534,687.67 40.62
80.01 - 85.00 161 18,503,665.70 16.15
85.01 - 90.00 85 10,937,904.71 9.55
90.01 - 95.00 1 111,011.28 0.10
95.01 - 100.00 1 134,897.89 0.12
TOTAL 1,072 $114,560,535.34 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE THE STATISTICAL THE STATISTICAL
LOCATION LOANS CALCULATION DATE CALCULATION DATE
-------- ----- ---------------- ----------------
California 245 $ 35,874,873.94 31.32%
Illinois 157 15,643,030.14 13.65
Colorado 77 8,212,155.31 7.17
Florida 93 7,506,590.84 6.55
Ohio 93 6,889,098.87 6.01
Utah 58 6,374,262.09 5.56
Washington 48 6,152,339.72 5.37
Michigan 59 4,232,378.89 3.69
Oregon 24 2,642,490.51 2.31
New Mexico 27 2,520,682.30 2.20
Arizona 24 2,308,126.02 2.01
Nevada 17 1,685,661.14 1.47
New Jersey 12 1,655,617.31 1.45
Georgia 18 1,538,200.22 1.34
Indiana 19 1,441,730.26 1.26
Tennessee 17 1,289,943.45 1.13
Massachusetts 7 1,042,436.82 0.91
Wisconsin 9 789,535.35 0.69
Maryland 6 675,497.48 0.59
Pennsylvania 12 629,171.79 0.55
West Virginia 6 561,377.66 0.49
Connecticut 4 522,853.35 0.46
Virginia 5 511,781.41 0.45
New York 3 447,050.00 0.39
Oklahoma 4 339,240.41 0.30
Kentucky 4 337,370.79 0.29
Nebraska 2 316,800.00 0.28
Idaho 3 268,800.00 0.23
Alaska 1 255,507.74 0.22
Minnesota 2 253,250.00 0.22
New Hampshire 2 242,188.92 0.21
Maine 2 237,477.78 0.21
Kansas 1 212,500.00 0.19
Texas 2 185,406.31 0.16
District of Columbia 1 176,209.56 0.15
Vermont 1 170,184.14 0.15
Missouri 2 79,900.00 0.07
North Carolina 1 73,125.00 0.06
Delaware 1 72,000.00 0.06
South Carolina 1 66,689.82 0.06
Montana 1 65,000.00 0.06
Arkansas 1 62,000.00 0.05
TOTAL 1,072 $ 114,560,535.34 100.00%
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
MAXIMUM LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
MAXIMUM LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
- --------------------- ----- ----------------- ----------------
<S> <C> <C> <C>
12.501 - 13.000 1 $ 142,730.84 0.12%
13.501 - 14.000 5 642,178.17 0.56
14.001 - 14.500 8 1,225,348.03 1.07
14.501 - 15.000 27 3,927,449.29 3.43
15.001 - 15.500 54 7,426,270.83 6.48
15.501 - 16.000 118 14,816,581.17 12.93
16.001 - 16.500 118 14,338,251.73 12.52
16.501 - 17.000 174 19,856,564.08 17.33
17.001 - 17.500 143 14,863,689.16 12.97
17.501 - 18.000 152 15,428,392.18 13.47
18.001 - 18.500 115 9,879,145.18 8.62
18.501 - 19.000 93 7,826,054.97 6.83
19.000 - 19.500 41 2,952,314.52 2.58
19.501 - 20.000 15 851,384.42 0.74
20.001 - 20.500 6 259,495.70 0.23
20.501 - 21.000 2 124,685.07 0.11
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
GROSS MARGINS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
GROSS MARGINS (%) LOANS CALCULATION DATE CALCULATION DATE
----------------- ----- ---------------- ----------------
<S> <C> <C> <C>
4.501 - 5.000 21 $ 2,433,490.21 2.12%
5.001 - 5.500 128 14,138,330.38 12.34
5.501 - 6.000 192 21,329,633.51 18.62
6.001 - 6.500 216 24,549,682.23 21.43
6.501 - 7.000 272 30,233,314.61 26.39
7.001 - 7.500 189 17,641,699.87 15.40
7.501 - 8.000 49 3,856,757.60 3.37
8.001 - 8.500 5 377,626.93 0.33
TOTAL 1,072 $114,560,535.34 100.00%
</TABLE>
FICO CREDIT SCORES FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RANGE OF OF MORTGAGE THE STATISTICAL THE STATISTICAL
FICO SCORES LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
<S> <C> <C> <C>
Greater than 650 129 $ 15,005,849.24 13.10%
596 to 650 261 28,932,512.07 25.26
550 to 595 330 35,441,685.98 30.94
Less than 550 352 35,180,488.05 30.71
TOTAL 1,072 $ 114,560,535.34 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I
NEXT ADJUSTMENT DATES
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT OF MORTGAGE THE STATISTICAL THE STATISTICAL
CHANGE DATE LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
09/01/99 5 $ 771,929.93 0.67%
10/01/99 5 793,156.08 0.69
11/01/99 7 940,932.05 0.82
12/01/99 1 94,137.05 0.08
01/01/00 4 471,740.19 0.41
02/01/00 1 144,500.00 0.13
03/01/00 3 636,550.00 0.56
07/01/00 1 45,115.59 0.04
08/01/00 2 311,813.04 0.27
09/01/00 5 563,937.56 0.49
10/01/00 2 352,249.76 0.31
12/01/00 2 270,052.21 0.24
01/01/01 1 110,825.98 0.10
02/01/01 1 94,269.68 0.08
03/01/01 2 304,967.41 0.27
04/01/01 42 4,425,287.36 3.86
05/01/01 63 6,204,920.72 5.42
06/01/01 58 6,128,825.76 5.35
07/01/01 166 16,246,817.66 14.18
08/01/01 286 30,374,913.62 26.51
09/01/01 274 30,632,469.00 26.74
02/01/02 1 178,060.50 0.16
04/01/02 3 205,889.78 0.18
05/01/02 7 518,244.93 0.45
06/01/02 5 584,824.71 0.51
07/01/02 18 1,702,303.91 1.49
08/01/02 39 4,136,075.86 3.61
09/01/02 68 7,315,725.00 6.39
TOTAL 1,072 $114,560,535.34 100.00%
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I
SUMMARY
<TABLE>
<CAPTION>
TOTAL MINIMUM MAXIMUM
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $4,295,720.84
Number of Loans 13
Average Original Loan Balance $330,730.77 $242,250.00 $520,000.00
Average Current Loan Balance $330,440.06 $242,127.66 $520,000.00
Weighted Average Original LTV 69.43% 51.61% 85.00%
Weighted Average Gross Coupon 8.992% 8.250% 10.990%
Weighted Average Remaining Term to Maturity (months) 290.14 178 360
Weighted Average Original Term (months) 291.39 180 360
Weighted Average FICO Credit Score* 598 544 688
Weighted Average Debt to Income Ratio 41.56 13.00 58.90
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Original Term (in months) 180 38.12%
360 61.88%
Fully Amortizing Mortgage Loans 61.88%
Balloon Mortgage Loans 38.12%
Lien Position First 100.00%
Property Type Single Family 93.84%
PUD 6.16%
Occupancy Status Primary 86.61%
Investor 13.39%
Geographic Distribution California 84.46%
Connecticut 9.31%
Washington 6.24%
Largest Zip Code Concentration 94941 12.11%
Credit Grade A 29.73%
A- 70.27%
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Based upon FICO Credit Score available on 100.00% of Fixed Rate Loan
Subgroup II.
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PRINCIPAL BALANCE ($) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
200,000.01 - 250,000.00 1 $ 242,127.66 5.64%
250,000.01 - 300,000.00 5 1,295,710.99 30.16
300,000.01 - 350,000.00 2 635,818.58 14.80
350,000.01 - 400,000.00 3 1,166,341.64 27.15
400,000.01 - 450,000.00 1 435,721.97 10.14
500,000.01 - 550,000.00 1 520,000.00 12.11
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
---------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
180 6 $ 1,637,486.18 38.12%
360 7 2,658,234.66 61.88
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
REMAINING TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
121 - 180 6 $ 1,637,486.18 38.12%
301 - 360 7 2,658,234.66 61.88
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PROPERTY TYPE LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Single Family Detached 12 $ 4,031,043.07 93.84%
PUD 1 264,677.77 6.16
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II
OCCUPANCY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
STATED OCCUPANCY STATUS LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Primary 11 $ 3,720,520.48 86.61%
Investor 2 575,200.36 13.39
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PURPOSE LOANS CALCULATION DATE CALCULATION DATE
------- ----- ---------------- ----------------
<S> <C> <C> <C>
Purchase 3 $ 958,207.89 22.31%
Rate/Term Refinance 1 399,032.22 9.29
Cash Out Refinance 9 2,938,480.73 68.40
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
DOCUMENTATION LEVEL LOANS CALCULATION DATE CALCULATION DATE
------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Full Documentation 11 $ 3,628,784.40 84.47%
Stated Income 2 666,936.44 15.53
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
CURRENT LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
8.001 - 8.500 5 $ 1,719,386.66 40.03%
8.501 - 9.000 3 1,092,026.90 25.42
9.001 - 9.500 3 817,370.84 19.03
9.501 - 10.000 1 399,032.22 9.29
10.501 - 11.000 1 267,904.22 6.24
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II
ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS CALCULATION DATE CALCULATION DATE
-------------------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
50.01 - 55.00 2 $ 651,435.17 15.16%
60.01 - 65.00 2 919,032.22 21.39
65.01 - 70.00 3 956,104.08 22.26
70.01 - 75.00 1 316,322.56 7.36
75.01 - 80.00 4 1,210,699.15 28.18
80.01 - 85.00 1 242,127.66 5.64
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
LOCATION LOANS CALCULATION DATE CALCULATION DATE
-------- ----- ---------------- ----------------
<S> <C> <C> <C>
California 11 $ 3,628,058.95 84.46%
Connecticut 1 399,757.67 9.31
Washington 1 267,904.22 6.24
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
FICO CREDIT SCORES FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RANGE OF OF MORTGAGE THE STATISTICAL THE STATISTICAL
FICO SCORES LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
<S> <C> <C> <C>
Greater than 650 3 $ 823,127.99 19.16%
596 to 650 2 650,709.72 15.15
550 to 595 7 2,553,978.91 59.45
Less than 550 1 267,904.22 6.24
TOTAL 13 $ 4,295,720.84 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
<TABLE>
<CAPTION>
SUMMARY
TOTAL MINIMUM MAXIMUM
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $40,047,865.49
Number of Loans 119
Average Original Loan Balance $336,822.14 $242,250.00 $690,000.00
Average Current Loan Balance $336,536.68 $242,094.40 $690,000.00
Weighted Average Original LTV 76.80% 52.29% 90.00%
Weighted Average Gross Coupon 9.514% 6.750% 12.700%
Weighted Average Remaining Term to Maturity (months) 358.68 346 360
Weighted Average Original Term (months) 360.00 360 360
Weighted Average Gross Margin 6.211% 4.625% 7.875%
Weighted Average Gross Lifetime Cap 16.364% 12.750% 19.700%
Weighted Average Periodic Cap 1.000% 1.000% 1.000%
Weighted Average FICO Credit Score* 586 468 740
Weighted Average Debt to Income Ratio 42.54% 17.61% 59.00%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
PERCENT OF STATISTICAL
CALCULATION DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Fully Amortizing Loans 100.00%
Product Type 6 Month LIBOR 9.11%
2/28 LIBOR 72.11%
3/27 LIBOR 18.78%
Lien Position First 100.00%
Property Type Single Family 78.05%
PUD 14.62%
Condominium 6.51%
2-4 Family 0.81%
Occupancy Status Primary 95.14%
Investor 4.86%
Geographic Distribution California 60.71%
Illinois 9.08%
Colorado 6.05%
Washington 4.84%
Michigan 2.68%
Other 16.64%
Largest Zip Code Concentration 95037 2.28%
Credit Grade A 36.44%
A- 34.23%
B 15.85%
C 12.84%
C- 0.64%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Based upon the FICO Credit Score available on 100.00% of Adjustable
Rate Loan Subgroup II.
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
CURRENT MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PRINCIPAL BALANCE ($) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
200,000.01 - 250,000.00 10 $ 2,455,169.70 6.13%
250,000.01 - 300,000.00 44 12,018,953.12 30.01
300,000.01 - 350,000.00 27 8,839,495.70 22.07
350,000.01 - 400,000.00 22 8,367,070.16 20.89
400,000.01 - 450,000.00 5 2,122,000.00 5.30
450,000.01 - 500,000.00 4 1,958,710.83 4.89
500,000.01 - 550,000.00 1 502,500.00 1.25
550,000.01 - 600,000.00 2 1,169,712.56 2.92
600,000.01 - 650,000.00 2 1,249,253.42 3.12
650,000.01 - 700,000.00 2 1,365,000.00 3.41
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
ORIGINAL TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
---------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
360 119 $ 40,047,865.49 100.00%
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
REMAINING TERMS TO MATURITY
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
REMAINING TERM (MONTHS) LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
301 - 360 119 $ 40,047,865.49 100.00%
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
TYPE OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PROPERTY TYPE LOANS CALCULATION DATE CALCULATION DATE
------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Single Family Detached 93 $ 31,257,696.10 78.05%
Condominium 9 2,608,349.58 6.51
PUD 16 5,855,819.81 14.62
2-4 Units Detached 1 326,000.00 0.81
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
OCCUPANCY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
STATED OCCUPANCY STATUS LOANS CALCULATION DATE CALCULATION DATE
----------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Primary 112 $ 38,100,982.79 95.14%
Investor 7 1,946,882.70 4.86
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
PURPOSE OF MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
PURPOSE LOANS CALCULATION DATE CALCULATION DATE
------- ----- ---------------- ----------------
<S> <C> <C> <C>
Purchase 29 $ 9,965,780.45 24.88%
Rate/Term Refinance 25 7,985,460.48 19.94
Cash Out Refinance 65 22,096,624.56 55.18
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
DOCUMENTATION LEVEL LOANS CALCULATION DATE CALCULATION DATE
------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
Full Documentation 75 $ 24,044,772.00 60.04%
Stated Income 36 13,437,916.02 33.55
Flex Documentation 8 2,565,177.47 6.41
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
CURRENT LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
6.501 - 7.000 2 $ 800,000.00 2.00%
7.001 - 7.500 4 1,560,419.03 3.90
7.501 - 8.000 4 1,232,166.75 3.08
8.001 - 8.500 8 2,492,815.39 6.22
8.501 - 9.000 23 7,909,964.01 19.75
9.001 - 9.500 20 6,696,300.64 16.72
9.501 - 10.000 24 8,668,340.67 21.64
10.001 - 10.500 11 3,282,222.90 8.20
10.501 - 11.000 12 3,889,969.81 9.71
11.001 - 11.500 7 2,318,277.51 5.79
11.501 - 12.000 2 654,924.98 1.64
12.000 - 12.500 1 266,281.39 0.66
12.501 - 13.000 1 276,182.41 0.69
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%) LOANS CALCULATION DATE CALCULATION DATE
-------------------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
50.01 - 55.00 1 $ 400,000.00 1.00%
55.01 - 60.00 3 1,187,758.96 2.97
60.01 - 65.00 10 3,890,357.23 9.71
65.01 - 70.00 8 2,514,727.15 6.28
70.01 - 75.00 26 9,714,277.01 24.26
75.01 - 80.00 41 13,837,506.83 34.55
80.01 - 85.00 17 4,671,888.14 11.67
85.01 - 90.00 13 3,831,350.17 9.57
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
STATE DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
LOCATION LOANS CALCULATION DATE CALCULATION DATE
-------- ----- ---------------- ----------------
<S> <C> <C> <C>
California 73 $ 24,311,586.15 60.71%
Illinois 10 3,634,450.15 9.08
Colorado 6 2,421,802.20 6.05
Washington 6 1,936,670.14 4.84
Michigan 4 1,074,915.85 2.68
Utah 2 983,274.66 2.46
Arizona 2 782,500.00 1.95
Maryland 2 614,352.45 1.53
Nevada 1 570,000.00 1.42
New Jersey 2 546,125.76 1.36
New Mexico 2 538,550.00 1.34
New York 2 517,939.50 1.29
Kansas 1 412,000.00 1.03
Connecticut 1 324,000.00 0.81
Pennsylvania 1 323,441.48 0.81
Tennessee 1 292,000.00 0.73
Georgia 1 265,500.00 0.66
Ohio 1 255,500.00 0.64
Florida 1 243,257.15 0.61
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
MAXIMUM LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
MAXIMUM LOAN RATE (%) LOANS CALCULATION DATE CALCULATION DATE
--------------------- ----- ---------------- ----------------
<S> <C> <C> <C>
12.501 - 13.000 1 $ 400,000.00 1.00%
14.001 - 14.500 6 2,172,954.97 5.43
14.501 - 15.000 7 2,348,109.74 5.86
15.001 - 15.500 9 2,761,135.81 6.89
15.501 - 16.000 23 7,758,070.70 19.37
16.001 - 16.500 17 5,815,444.28 14.52
16.501 - 17.000 22 7,948,536.16 19.85
17.001 - 17.500 11 3,282,222.90 8.20
17.501 - 18.000 10 3,265,564.94 8.15
18.001 - 18.500 8 2,584,558.90 6.45
18.501 - 19.000 2 654,924.98 1.64
19.501 - 20.000 1 276,182.41 0.69
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II
GROSS MARGINS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OF MORTGAGE THE STATISTICAL THE STATISTICAL
GROSS MARGINS (%) LOANS CALCULATION DATE CALCULATION DATE
----------------- ----- ---------------- ----------------
<S> <C> <C> <C>
4.501 - 5.000 5 $ 1,711,676.18 4.27%
5.001 - 5.500 21 7,333,490.05 18.31
5.501 - 6.000 24 9,341,292.27 23.33
6.001 - 6.500 25 8,349,528.99 20.85
6.501 - 7.000 26 7,860,293.61 19.63
7.001 - 7.500 13 3,963,101.98 9.90
7.501 - 8.000 5 1,488,482.41 3.72
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
FICO CREDIT SCORES FOR MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RANGE OF OF MORTGAGE THE STATISTICAL THE STATISTICAL
FICO SCORES LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
<S> <C> <C> <C>
Greater than 650 22 $ 7,962,432.79 19.88%
596 to 650 20 7,294,992.26 18.22
550 to 595 34 11,033,999.22 27.55
Less than 550 43 13,756,441.22 34.35
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
NEXT ADJUSTMENT DATES
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT OF MORTGAGE THE STATISTICAL THE STATISTICAL
CHANGE DATE LOANS CALCULATION DATE CALCULATION DATE
----------- ----- ---------------- ----------------
<S> <C> <C> <C>
09/01/99 1 $ 362,808.96 0.91%
10/01/99 2 641,606.11 1.60
11/01/99 4 1,349,691.19 3.37
12/01/99 2 514,915.98 1.29
02/01/00 2 777,809.31 1.94
11/01/00 1 367,480.57 0.92
03/01/01 1 323,441.48 0.81
04/01/01 3 972,983.26 2.43
05/01/01 8 2,472,810.84 6.17
06/01/01 11 3,736,817.91 9.33
07/01/01 20 6,399,551.64 15.98
08/01/01 20 7,019,800.00 17.53
09/01/01 24 7,830,100.00 19.55
05/01/02 2 694,629.21 1.73
06/01/02 1 370,669.03 0.93
07/01/02 1 348,000.00 0.87
08/01/02 7 3,119,250.00 7.79
09/01/02 9 2,745,500.00 6.86
TOTAL 119 $ 40,047,865.49 100.00%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
BOND SUMMARY (TO MATURITY)
A-1 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC 0% 65% 100% 130% 150% 175% 200%
ARM; PPC 0% 50% 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.907 5.921 5.925 5.926 5.928 5.927 5.927
Average Life (yrs.) 20.93 5.29 3.68 2.84 2.33 1.97 1.71
Modified Duration (yrs.) 11.10 4.04 3.02 2.43 2.05 1.77 1.55
First Principal Payment Date 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment Date 10/25/29 9/25/24 7/25/17 2/25/13 5/25/10 5/25/08 11/25/06
Payment Windows (mos.) 360 299 213 160 127 103 85
<CAPTION>
A-2 (TO MATURITY)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC 0% 65% 100% 130% 150% 175% 200%
ARM; PPC 0% 50% 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.011 6.028 6.033 6.034 6.036 6.035 6.034
Average Life (yrs.) 20.79 5.22 3.62 2.78 2.27 1.92 1.66
Modified Duration (yrs.) 10.95 3.98 2.97 2.38 2.00 1.72 1.51
First Principal Payment Date 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment Date 9/25/29 6/25/24 5/25/17 12/25/12 3/25/10 3/25/08 9/25/06
Payment Windows (mos.) 359 296 211 158 125 101 83
<CAPTION>
BOND SUMMARY (TO CALL)
A-1 (TO CALL)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC 0% 65% 100% 130% 150% 175% 200%
ARM; PPC 0% 50% 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.907 5.907 5.908 5.908 5.909 5.909 5.911
Average Life (yrs.) 20.89 4.94 3.42 2.65 2.18 1.86 1.62
Modified Duration (yrs.) 11.09 3.89 2.88 2.32 1.95 1.68 1.48
First Principal Payment Date 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment Date 11/25/28 3/25/12 1/25/08 12/25/05 8/25/04 10/25/03 2/25/03
Payment Windows (mos.) 349 149 99 74 58 48 40
<CAPTION>
A-2 (TO CALL)
<S> <C> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC 0% 65% 100% 130% 150% 175% 200%
ARM; PPC 0% 50% 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.011 6.011 6.012 6.012 6.013 6.013 6.015
Average Life (yrs.) 20.75 4.88 3.37 2.60 2.13 1.81 1.58
Modified Duration (yrs.) 10.94 3.84 2.84 2.27 1.90 1.64 1.44
First Principal Payment Date 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment Date 11/25/28 3/25/12 1/25/08 12/25/05 8/25/04 10/25/03 2/25/03
Payment Windows (mos.) 349 149 99 74 58 48 40
</TABLE>
<PAGE>
GROUP I NET FUNDS CAP RATE
PERIOD SCENARIO I SCENARIO II PERIOD SCENARIO I SCENARIO II
- ------ ---------- ----------- ------ ---------- -----------
1 6.30 6.30 38 10.82 13.00
2 9.24 9.24 39 10.47 12.59
3 8.94 8.94 40 10.47 12.58
4 8.97 8.97 41 11.58 13.93
5 9.59 9.59 42 10.46 12.75
6 8.97 8.97 43 10.81 13.84
7 9.27 9.27 44 10.46 13.39
8 8.97 8.97 45 10.80 13.83
9 9.27 9.27 46 10.45 13.38
10 9.00 9.00 47 10.45 13.37
11 9.00 9.00 48 10.80 13.98
12 9.30 9.30 49 10.44 14.18
13 8.53 8.52 50 10.79 14.64
14 8.81 8.80 51 10.44 14.16
15 8.54 8.53 52 10.44 14.16
16 8.58 8.57 53 11.16 15.13
17 9.50 9.49 54 10.43 14.14
18 8.58 8.57 55 10.78 14.72
19 8.87 8.86 56 10.43 14.24
20 8.58 8.57 57 10.77 14.71
21 8.87 8.86 58 10.42 14.23
22 8.59 8.61 59 10.42 14.22
23 8.59 8.61 60 10.77 14.69
24 9.31 9.43 61 10.42 14.31
25 10.25 10.78 62 10.76 14.78
26 10.59 11.14 63 10.41 14.30
27 10.25 10.79 64 10.41 14.29
28 10.24 10.81 65 11.52 15.81
29 11.34 11.97 66 10.40 14.28
30 10.24 10.98 67 10.75 14.74
31 10.59 11.92 68 10.40 14.26
32 10.24 11.53 69 10.74 14.73
33 10.58 11.92 70 10.39 14.24
34 10.24 11.55 71 10.39 14.24
35 10.24 11.55 72 10.73 14.70
36 10.58 12.10 73 10.38 14.22
37 10.47 12.59 74 10.73 14.68
* SCENARIO I is achieved assuming 6 month LIBOR stays constant at 5.94125 %; run
at the pricing speed to call.
** SCENARIO II is achieved assuming 6 month LIBOR instantaneously increases to a
level beyond the highest maximum obtainable rate on the underlying adjustable
rate mortgage loans; run at the pricing speed to call.
<PAGE>
GROUP II NET FUNDS CAP RATE
PERIOD SCENARIO I SCENARIO II PERIOD SCENARIO I SCENARIO II
- ------ ---------- ----------- ------ ---------- -----------
1 5.92 5.92 38 10.59 12.42
2 8.69 8.69 39 10.25 12.02
3 8.41 8.40 40 10.25 12.02
4 8.47 8.47 41 11.34 13.30
5 9.07 9.07 42 10.24 12.65
6 8.48 8.48 43 10.58 13.24
7 8.77 8.76 44 10.23 12.80
8 8.48 8.48 45 10.57 13.23
9 8.77 8.76 46 10.23 12.79
10 8.55 8.54 47 10.23 12.79
11 8.56 8.55 48 10.56 13.86
12 8.84 8.84 49 10.22 13.58
13 8.07 8.06 50 10.56 14.02
14 8.34 8.33 51 10.22 13.56
15 8.07 8.06 52 10.21 13.56
16 8.15 8.14 53 10.91 14.49
17 9.03 9.02 54 10.21 13.55
18 8.16 8.15 55 10.54 14.16
19 8.43 8.42 56 10.20 13.70
20 8.16 8.15 57 10.54 14.15
21 8.43 8.42 58 10.20 13.69
22 8.16 8.22 59 10.19 13.68
23 8.16 8.23 60 10.53 14.13
24 10.14 10.50 61 10.19 13.83
25 9.82 10.16 62 10.52 14.28
26 10.14 10.50 63 10.18 13.82
27 9.81 10.16 64 10.18 13.81
28 9.81 10.22 65 11.26 15.28
29 10.86 11.33 66 10.17 13.80
30 9.81 10.87 67 10.51 14.25
31 10.14 11.23 68 10.16 13.78
32 9.81 10.87 69 10.50 14.23
33 10.13 11.23 70 10.16 13.77
34 9.80 10.89 71 10.15 13.76
35 9.80 10.89 72 10.49 14.21
36 10.12 11.91 73 10.15 13.75
37 10.25 12.02 74 10.48 14.20
* SCENARIO I is achieved assuming 6 month LIBOR stays constant at 5.94125 %; run
at the pricing speed to call.
** SCENARIO II is achieved assuming 6 month LIBOR instantaneously increases to a
level beyond the highest maximum obtainable rate on the underlying adjustable
rate mortgage loans; run at the pricing speed to call.
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