BANC OF AMERICA SECURITIES LLC
DEUTSCHE BANC ALEX.BROWN
[BANK OF AMERICA LOGO] [DEUTSCHE BANK LOGO]
--------------------------------------------------------------------------------
RMBS NEW ISSUE TERM SHEET
$ 330,661,000 CERTIFICATES (APPROXIMATE)
C-BASS MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
CLASSES A-1F, A-2F, A-1A, M-1, M-2, & B
ASSET BACKED FUNDING CORPORATION
DEPOSITOR
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC
SELLER
LITTON LOAN SERVICING LP
SERVICER
JUNE 2, 2000
Banc of America Securities LLC Deutsche Banc Alex.Brown
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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 Deutsche Banc Alex.Brown (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 consider 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 make 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.
<PAGE>
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C-BASS MORTGAGE LOAN
ASSET-BACKED CERTIFICATES, SERIES 2000-CB2
$330,661,000 (approximate)
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<TABLE>
OFFERED CERTIFICATES:
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
TO MATURITY:
----------- ---------------- -------- ----------- ------ ----------- -------------- ----------------------------------------
Est. Final
Est. Prin. Scheduled Expected Ratings
Approximate Loan Coupon WAL Window Distribution --------------------- ------------------
Class Size* Group Type (yrs) (mos) Date S&P Fitch
----------- ---------------- -------- ----------- ------ ----------- -------------- --------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F** 78,000,000.00 1 Flt 0.95 1 - 26 7/25/02 AAA AAA
A-2F** 41,100,000.00 1 Fxd 3.39 26 - 68 1/25/06 AAA AAA
A-1A** 155,455,000.00 2 Flt 3.45 1 - 218 7/25/18 AAA AAA
M-1 19,100,000.00 1,2 Fxd 5.92 41 - 184 9/25/15 AA AA
M-2 21,700,000.00 1,2 Fxd 5.83 39 - 172 9/25/14 A A
B 15,306,000.00 1,2 Fxd 5.72 38 - 154 3/25/13 BBB BBB
----------- ---------------- -------- ----------- ------ ----------- -------------- --------------------- ------------------
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------
TO CALL:
----------------------------------------------------------------------------------------------------------------------------
TO MATURITY:
----------- ---------------- -------- ----------- ------ ----------- -------------- ----------------------------------------
Est. Final
Est. Prin. Scheduled Expected Ratings
Approximate Loan Coupon WAL Window Distribution --------------------- ------------------
Class Size* Group Type (yrs) (mos) Date S&P Fitch
----------- ---------------- -------- ----------- ------ ----------- -------------- --------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F** 78,000,000.00 1 Flt 0.95 1 - 26 7/25/02 AAA AAA
A-2F** 41,100,000.00 1 Fxd 3.39 26 - 68 1/25/06 AAA AAA
A-1A** 155,455,000.00 2 Flt 3.04 1 - 97 6/25/08 AAA AAA
M-1 19,100,000.00 1,2 Fxd 5.32 41 - 97 6/25/08 AA AA
M-2 21,700,000.00 1,2 Fxd 5.27 39 - 97 6/25/08 A A
B 15,306,000.00 1,2 Fxd 5.24 38 - 97 6/25/08 BBB BBB
----------- ---------------- -------- ----------- ------ ----------- -------------- --------------------- ------------------
</TABLE>
* The Approximate Size is subject to a permitted variance in the aggregate of
plus or minus 5%.
** Priced to call.
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Distributions:
--------------
(1) If the optional clean-up call is not exercised by the Seller, the margin on
the Class A-1F and Class A-1A Certificates will double, and the
pass-through rate on the Class A-2F Certificates will increase by 50 bps
per annum.
(2) The pricing speed for the Mortgage Loans is 12% CPR for Sub-group 1A; 21%
CPR for Sub-group 1B and 30% CPR for Loan Group 2. Together, these pricing
speeds will be equivalent to 100% PPC.
(3) The Class A-1F and Class A-2F Certificates are subject to a maximum rate
equal to the Group 1 Net Funds Cap. The Class A-1A Certificates are subject
to a maximum rate equal to the Group 2 Net Funds Cap. The Class M-1, Class
M-2 and Class B Certificates are subject to a maximum rate equal to the
Pool Cap.
(4) Class M-1, Class M-2 and Class B Certificates are not expected to receive
principal payments until the Stepdown Date.
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CONTACT: BANC OF AMERICA SECURITIES LLC
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)
----------------
Bob Perret (704) 388-5934 (email: [email protected])
Michael Ciuffo (704) 388-8737 (email: [email protected])
Structuring
-----------
Vikas Garg (704) 388-3681 (email: [email protected])
Peter Faigl (704) 388-8245 (email: [email protected])
Kirk Meyers (704) 388-3148 (email: [email protected])
2
<PAGE>
SUMMARY OF TERMS
TITLE OF SECURITIES: C-BASS Mortgage
Loan
Asset-Backed Certificates, Series 2000-CB2
SERVICER: Litton Loan Servicing LP, an subsidiary 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: Standard and Poor's ("S&P") and Fitch IBCA, Inc.
("Fitch")
CO-LEAD UNDERWRITERS: Banc of America Securities LLC
Deutsche Bank
CO-MANAGER: Blaylock & Partners, L.P.
SETTLEMENT DATE: On or about June [15], 2000.
DISTRIBUTION DATES: 25th of each month, or if such day is not a business
day, the next succeeding business day, beginning on
June 26, 2000.
RECORD DATE: For the Offered Certificates, (other than the Class
A-1F and Class A-1A Certificates) the last business
day in the month preceding the applicable Distribution
Date. For the Class A-1F Certificates and the Class
A-1A Certificates, the Record Date is the business day
preceding the Distribution Date.
CUT-OFF DATE: The close of business May 1, 2000.
PAYMENT DELAY: With respect to the Offered Certificates (other
than the Class A-1F and Class A-1A Certificates), 24
days and with respect to the Class A-1F and Class A-1A
Certificates, 0 days.
DAY COUNT: With respect to the Offered Certificates (other
than the Class A-1F and Class A-1A Certificates),
30/360 and with respect to the Class A-1F and Class
A-1A Certificates, Actual/360.
SERVICING FEE: 0.50% for the Group 1 and Group 2 Mortgage Loans.
TRUSTEE FEE: 0.008% of the aggregate principal balance of the
Mortgage Loans.
SPECIAL SERVICING FEE: $150 per Mortgage Loans that are 90 or more days
delinquent, payable monthly for eighteen consecutive
months commencing in the first month after the Cut-off
Date in which payments on such Mortgage Loans are 90
or more days delinquent, unless such Mortgage Loans
become less than 90 days delinquent or is liquidated
or repurchased. The Special Servicing Fee will be
subordinate to cashflows to the Offered Certificates.
3
<PAGE>
OPTIONAL CLEAN-UP CALL: Any Distribution Date on or after which
the aggregate principal balance of the Mortgage Loans
declines to 10% or less of the aggregate principal
balance as of the Cut-off Date ("Cut-off Balance").
DENOMINATION: $25,000 and multiples of $1 in excess thereof.
SMMEA ELIGIBILITY: The Offered Certificates will NOT be SMMEA eligible.
ERISA ELIGIBILITY: The Senior Certificates may be ERISA eligible.
TAX STATUS: The Offered Certificates will be designated as regular
interests in a REMIC and, as such, will be treated as
debt instruments of a REMIC for federal income tax
purposes.
THE MORTGAGE LOAN POOL:
GROUP 1 MORTGAGE LOANS: Consist of Mortgage Loans from Sub-group 1A and
Sub-group 1B.
SUB-GROUP 1A consist of approximately 136 fixed rate,
FHA/VA insured mortgage loans with an aggregate
principal balance of approximately $8,290,756.
SUB-GROUP 1B consist of approximately 2,298 fixed
rate, conventional mortgage loans with an aggregate
principal balance of approximately $186,529,700.
GROUP 2 MORTGAGE LOANS: Consist of approximately 1,524 adjustable rate
mortgage loans with an aggregate principal balance of
approximately $155,455,964.
INITIAL MORTGAGE POOL: o The collateral information presented in this term
sheet regarding the Mortgage Pool is as of May 1,
2000.
o Consists of fixed and adjustable rate , FHA/VA
insured and conventional closed-end mortgage loans,
secured by 1st and 2nd lien, level pay and balloon
mortgages on primarily 1-4 family properties.
o The Group 1 Mortgage Loans and Group 2 Mortgage
Loans consist of Performing Mortgage Loans,
Sub-Performing Mortgage Loans and Re-Performing
Mortgage Loans. Please see "Collateral Description"
for additional information.
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, Class M-2 and Class B
Certificates, totaling [16.02]% of the original
Mortgage Loan amount and initial
overcollateralization of [5.60%] of the original
Mortgage Loan amount.
4
<PAGE>
CLASS M-1, CLASS M-2 AND CLASS B CREDIT ENHANCEMENT
(1) Excess cash.
(2) Class M-1 is enhanced by [10.56%] in subordinate
certificates and overcollateralization initially
equal to [5.60%] of the original Mortgage Loan
amount.
(3) Class M-2 is enhanced by [4.37%] in subordinate
certificates and overcollateralization initially
equal to [5.60%] of the original Mortgage Loan
amount.
(4) Class B is enhanced by overcollateralization
initially equal to [5.60%] of the original
Mortgage Loan amount.
OVERCOLLATERALIZATION: (1) Before the Stepdown Date, the
overcollateralization requirement is [5.60%] of
the original Mortgage Loan amount.
(2) On and after the Stepdown Date, (assuming a
Trigger Event is not in effect), the
overcollateralization requirement is the lower of
[11.20%] of the current aggregate Mortgage Loan
amount and [5.60%] of the original Mortgage Loan
amount.
(3) The overcollateralization requirement is subject
to a floor of [0.50%] of the original Mortgage
Loan amount.
(4) Overcollateraization will be fully funded at
settlement.
MONTHLY SERVICER ACTUARIAL LOANS
ADVANCES:
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 (the "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. The Servicer will not cover Prepayment
Interest Shortfalls on any Mortgage Loan that is
subject to the Soldiers' and Sailors' Civil Relief Act
of 1940, as amended.
5
<PAGE>
INTEREST DISTRIBUTIONS
INTEREST ACCRUAL: o Interest will accrue on the Offered Certificates
(other than the Class A-1F, Class A-2F and Class
A-1A Certificates) at a rate equal to the lesser of
(i) the applicable pass through rate, and (ii) the
Pool Cap.
o Interest will accrue on the Class A-1F and Class
A-2F Certificates at a rate equal to the lesser of
(i) the applicable pass through rate and (ii) the
Group 1 Net Funds Cap.
o Interest will accrue on the Class A-1A Certificates
at a rate equal to the lesser of (i) the applicable
pass through rate and (ii) the Group 2 Net Funds
Cap.
o For any Distribution Date, except for the first
accrual period, interest on the Class A-1F
Certificates and the Class A-1A Certificates
accrues from the last Distribution Date to the day
preceding the current Distribution Date on an
Actual/360 basis. The first accrual period for the
Class A-1F and Class A-1A Certificates will begin
on the Settlement Date and end on June 25, 2000.
o The pass-through rate for the Class A-1F
Certificates and the Class A-1A Certificates is
equal to 1 month LIBOR plus the applicable margin.
o For any Distribution Date, interest on the Offered
Certificates (other than the Class A-1F
Certificates and 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-1F
Certificates and the Class A-1A Certificates will
double, and the pass-through rates on the Class A-2F
Certificates will increase by 50 bps per annum.
CLASS A-1F LIBOR If the pass-through rate on the Class A-1F
CARRYOVER AMOUNT: Certificates (the "Class A-1F Pass-Through Rate") is
reduced to the Group 1 Net Funds Cap, any interest
which would have accrued at the Class A-1F
Pass-Through Rate but is unpaid due to the application
of the Group 1 Net Funds Cap will be payable on the
next Distribution Date, together with accrued interest
thereon at the then current Class A-1F Pass-Through
Rate, to the extent of certain available funds.
CLASS A-1A LIBOR If the pass-through rate on the Class A-1A
CARRYOVER AMOUNT: Certificates (the "Class A-1A Pass-Through Rate") is
reduced to the Group 2 Net Funds Cap, any interest
which would have accrued at the Class A-1A
Pass-Through Rate but is unpaid due to the application
of the Group 2 Net Funds Cap 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.
6
<PAGE>
GROUP 1 NET FUNDS CAP: The Group 1 Net Funds Cap shall equal the product of
(i) the average of the Mortgage Interest Rates of the
Group 1 Mortgage Loans (net of the Servicing Fees and
the rate at which the Trustee Fee is calculated),
weighted on the basis of the related Mortgage Loan
balances as of the first day of the related collection
period, each, in the case of the Class A-1F
Certificates, expressed on the basis of an assumed
360-day year and the actual number of days elapsed
during the related accrual period, and (ii) the pool
balance divided by the aggregate certificate principal
balance of the Offered Certificates.
GROUP 2 NET FUNDS CAP: The Group 2 Net Funds Cap shall equal the product of
(i) the average of the Mortgage Interest Rates of the
Group 2 Mortgage Loans (net of the Servicing Fee and
the rate at which the Trustee Fee is calculated),
weighted on the basis of the related Mortgage Loan
balances as of the first day of the related collection
period, each expressed on the basis of an assumed
360-day year and the actual number of days elapsed
during the related accrual period, and (ii) the pool
balance divided by the aggregate certificate principal
balance of the Offered Certificates.
POOL CAP: The Pool Cap shall equal the product of (i) 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, each, in the case of the Class A-1F
and Class A-1A Certificates, expressed on the basis of
an assumed 360-day year and the actual number of days
elapsed during the related accrual period, and (ii)
the pool balance divided by the aggregate certificate
principal balance of the Offered Certificates.
7
<PAGE>
PRINCIPAL DISTRIBUTIONS
SENIOR CERTIFICATES: Class A-1F, Class A-2F and Class A-1A 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 The sum of (i) all principal amounts collected or
AMOUNT: 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 As to (a) any Distribution Date prior to the Stepdown
DISTRIBUTION AMOUNT Date or during the continuation of a Trigger Event,
(SENIOR PDA): the lesser of (1) 100% of the Principal Distribution
Amount and (2) the aggregate certificate principal
balance of the Senior Certificates, and (b) any other
Distribution Date the lesser of (i) the Principal
Distribution Amount and (ii) an amount equal to the
excess, if any, of (x) the aggregate certificate
principal balance of the Senior Certificates
immediately prior to such Distribution Date over (y)
the lesser of (A) the product of (i) approximately
[56.76%] and (ii) the pool balance as of the last day
of the related collection period and (B) the pool
balance as of the last day of the related collection
period minus the product of (i) approximately [0.50%]
and (ii) the pool balance on the Cut-off Date.
GROUP 1 SENIOR PRINCIPAL The Group 1 Senior Principal Distribution Amount
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.
The "Group 1 Principal Balance" is equal to the sum of
the principal balance of the Mortgage Loans in Loan
Group 1.
GROUP 2 SENIOR PRINCIPAL The Group 2 Senior Principal Distribution Amount
DISTRIBUTION AMOUNT: ("Group 2 Senior PDA") equals the lesser of (i) the
Senior PDA multiplied by the Group 2 Principal
Percentage and (ii) the Group 2 Principal Balance of
the Senior Certificates.
The "Group 2 Principal Percentage" equals the amount
of principal collections on the Group 2 Mortgage Loans
for the related collection period or prepayment
period, as applicable, divided by the aggregate amount
of principal collections on the Mortgage Loans for
such period.
The "Group 2 Principal Balance" is equal to the sum of
the principal balance of the Mortgage Loans in Loan
Group 2.
8
<PAGE>
ALLOCATION OF PRINCIPAL Senior PDA is paid as follows:
BETWEEN THE SENIOR 1. The Group 1 Senior PDA to the Class A-1F
CERTIFICATES: Certificates, until their certificate principal
balance has been reduced to zero and to Class A-2F
Certificates thereafter, until their certificate
principal balance has been reduced to zero.
2. The Group 2 Senior PDA to the Class A-1A
Certificates, until their certificate principal
balance has been reduced to zero.
CLASS M-1, CLASS M-2, On any Distribution Date prior to the Stepdown Date or
AND CLASS B PRINCIPAL during the continuation of a Trigger Event, any
DISTRIBUTIONS: 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 (x) 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 (y) the lesser of (A) the product
of the related class target credit enhancement
percentage and (ii) the pool balance of the last day
of the related collection period and (B) the pool
balance as of the last day of the related collection
period minus the product of (i) [0.50%] and (ii) the
pool balance on the Cut-off Date.
9
<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 on
the Class A-1A Certificates.
o Interest collections on the Group 2 Mortgage Loans
will be available to cover certain shortfalls on
the Class A-1F and Class A-2F Certificates.
TARGETED o Excess interest from both groups will be used to
OVERCOLLATERALIZATION maintain the overcollateralization.
AMOUNT:
Prior to the Stepdown Date, [5.60%] of the aggregate
initial principal balance of the Mortgage Loans. On
and after the Stepdown Date, the lesser of (i) [5.60%]
of the aggregate initial principal balance of the
Mortgage Loans and (ii) the greater of (A) [11.20%] of
the aggregate current principal balance of the
Mortgage Loans and (B) [0.50%] of the aggregate
initial principal balance of the Mortgage Loans.
CREDIT SUPPORT Initial Credit Support* After Stepdown Date*
PERCENTAGE: ----------------------- --------------------
Class Percent Class Percent
----- ------- ----- -------
A-1F,A-2F,A-1 [21.62%] A-1F,A-2F,A-1A [43.24%]
M-1 [16.16%] M-1 [32.33%]
M-2 [9.97%] M-2 [19.94%]
B [5.60%] B [11.20%]
* Approximate due to rounding.
STEPDOWN DATE: The later to occur of (x) the earlier to occur of (A)
the Distribution Date in June 2003 and (B) the
Distribution Date on which the aggregate class
principal balance of the Senior Certificates is
reduced to zero, and (y) the first Distribution Date
on which the Senior Enhancement Percentage is greater
than or equal to the Senior Specified Enhancement
Percentage.
10
<PAGE>
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; provided, that if the certificate
principal balance of the Senior Certificates has
been reduced to zero, a Trigger Event will have
occurred if the six-month rolling average of the
60+ Day Delinquent Loans equals or exceeds [20%];
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
initial pool balance exceeds the applicable
percentages set forth below with respect to such
Distribution Date:]
Distribution Date Percentage
----------------- ----------
June 25, 2003 to May 25, 2004 [ ]
June 25, 2004 to May 25, 2005 [ ]
June 25, 2005 to May 25, 2006 [ ]
June 25, 2006 and thereafter [ ]
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+ With respect to any Distribution Date, the average of
DAY DELINQUENT the percentage equivalents of the fractions determined
PERCENTAGE: 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.
11
<PAGE>
COLLATERAL OVERVIEW
The Mortgage Pool will consist of two loan groups, Loan Group 1 and Loan Group
2. Loan Group 1 will consist of two Sub-groups (Sub-group 1A and Sub-group 1B).
The Mortgage Loans in Sub-group 1A are fixed rate FHA/VA insured mortgage loans.
The Mortgage Loans in Sub-group 1B are fixed rate, conventional, one- to
four-family, first and second lien mortgage loans. The Mortgage Loans in Loan
Group 2 are adjustable rate, one- to four-family, first lien mortgage loans.
Each of Sub-group 1A, Sub-group 1B and Loan Group 2 consists of Performing
Mortgage Loans, Sub-Performing Mortgage Loans and Re-Performing Mortgage Loans.
PERFORMING MORTGAGE LOANS
"Performing Mortgage Loan" is a Mortgage Loan (which might be a Forbearance Plan
Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which no payment
due under the related mortgage note (or any modification thereto) prior to the
Cut-off Date, is 30 days Delinquent.
A Mortgage Loan is "Delinquent," if the scheduled monthly payment of principal
and interest on such Mortgage Loan which is payable by the related mortgagor
under the related Mortgage Note (the "Monthly Payment") due on a due date is not
paid by the close of business on the next scheduled due date for such Mortgage
Loan. Thus, a Mortgage Loan for which the mortgagor failed to make the Monthly
Payment on April 1, 2000 will be reported as Delinquent as of the close of
business on May 1, 2000 if the Monthly Payment is not made by such time.
RE-PERFORMING MORTGAGE LOAN
A "Re-Performing Mortgage Loan" is a Mortgage Loan (that might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) which had defaulted in
the past and which is currently at least 90 days Delinquent with respect to
certain Regular Scheduled Payments but which satisfies one of the following
criteria (the "Re-Performance Test"):
(i) the mortgagor has made at least three aggregate Regular
Scheduled Payments in the three calendar months preceding the
Cut-off Date (regardless of either the timing of receipt of
such payments or the payment history of such loans prior to
February 1, 2000), or
(ii) the mortgagor has made at least four aggregate Regular
Scheduled Payments in the four calendar months preceding the
Cut-off Date (regardless of either the timing of receipt of
such payments or the payment history of such loans prior to
January 1, 2000), or
(iii) the mortgagor has made at least five aggregate Regular
Scheduled Payments in the five calendar months preceding the
Cut-off Date (regardless of either the timing of receipt of
such payments or the payment history of such loans prior to
December 1, 1999).
SUB-PERFORMING MORTGAGE LOAN
"Sub-Performing Mortgage Loan" is a Mortgage Loan pursuant to which a payment
due prior to the Cut-off Date under the terms of the related mortgage note (or
any modification thereto), is at least 30 but not more than 89 days Delinquent.
Certain Sub-Performing Mortgage Loans have been modified in writing and are also
characterized as follows:
(i) "Forbearance Plan Mortgage Loan" is a Mortgage Loan in which
the related mortgagor must make monthly payments ("Modified
Scheduled Payments") in an amount at least equal to the sum of
(i) the amount of the monthly scheduled payment of principal
and interest determined in accordance with such mortgage
loan's original amortization schedule ("Regular Scheduled
Payments") plus (ii) an additional amount to be applied to pay
down the total amount of scheduled monthly payments due
thereon on or before the Cut-off Date but not received prior
to the Cut-off Date plus the aggregate amount of tax and
insurance advances made with respect to such Mortgage Loan to
the extent remaining outstanding as of the Cut-off Date.
12
<PAGE>
(ii) "Bankruptcy Plan Mortgage Loan" is a Mortgage Loan in which
the related mortgagor defaulted and, after default, became the
subject of a case under Title 11 of the United States Code
(the "Bankruptcy Code") and, as of the Cut-off Date, had a
confirmed bankruptcy plan. Each such bankruptcy plan generally
requires the related mortgagor to make Modified Scheduled
Payments in an amount at least equal to (i) the Regular
Scheduled Payment plus (ii) an additional amount sufficient to
pay down overdue amounts resulting from the period of default,
generally over a period of three to five years from the
commencement of such bankruptcy plan.
ARREARAGE
With respect to certain Delinquent Mortgage Loans, the total amount of scheduled
monthly payments due thereon on or before the Cut-off Date but not received
prior to the Cut-off Date, together with any outstanding servicing advances on
such Mortgage Loans, is referred to as the "Arrearage." The Servicer has
previously made advances in respect of the Arrearages. Any Arrearage shall not
be included as part of the Trust Fund and, accordingly, payments with respect to
Arrearage will not be payable to the Certificateholders as and when received.
However, the Servicer shall be required to make servicing advances on Actuarial
Loans that become a Delinquent Mortgage Loan and make advances of delinquent
payments of principal and interest on Delinquent Mortgage Loans, each to the
extent such advances are deemed recoverable, until such Mortgage Loans become
current or REO.
FHA MORTGAGE LOANS
The FHA Mortgage Loans will be insured by the Federal Housing Administration
("FHA") of the United States Department of Housing and Urban Development ("HUD")
as authorized under the National Housing Act of 1934, as amended (the "National
Housing Act"), and the United States Housing Act of 1937, as amended (the
"United States Housing Act"). No FHA Mortgage Loan may have an interest rate or
original principal amount exceeding the applicable FHA limits at the time of
origination of such FHA Mortgage Loan.
VA MORTGAGE LOANS
The VA Mortgage Loans will be partially guaranteed by The United States
Department of Veterans Affairs (the "VA") under the Servicemen's Readjustment
Act of 1944, as amended. The Servicemen's Readjustment Act of 1944, as amended,
permits a veteran (or in certain instances the spouse of a veteran) to obtain a
mortgage loan guarantee by the VA covering mortgage financing of the purchase of
a one- to four-family dwelling unit at interest rates permitted by the VA. The
program has a current mortgage loan limit of $203,000, requires no down payment
from the purchaser and permits the guarantee of mortgage loans of generally up
to 30 years' duration. However, no VA Mortgage Loan will have an original
principal amount greater than five times the amount of the related guarantee.
13
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
LOAN GROUP 1: SUB-GROUP 1A AND SUB-GROUP 1B
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of May 1, 2000). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Current Principal Balance: $194,820,456.08
Average Outstanding Principal Balance: $80,041.27
Range of Outstanding Principal Balances: $1,072.39 to $468,570.72
Average Original Principal Balance: $82,265.92
Range of Original Principal Balances: $2,400.00 to $480,000.00
Loans with Prepayment Penalties: 27.53%
Second Liens: 3.53%
FHA Mortgage Loans: 2.80%
VA Mortgage Loans: 1.45%
Sub-Prime Loans: 57.54%
Section 32 Loans: 6.81%
Simple Interest Loans: 3.09%
Loans with Mortgage Insurance: 28.68%
Performing Loans: 75.65%
Sub-Performing Loans: 9.18%
Sub-Performing Loans that are Forbearance Plan Loans: 1.62%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.60%
Re-Performing Loans: 15.17%
Re-Performing Loans that are Forbearance Plan Loans: 8.56%
Re-Performing Loans that are Bankruptcy Plan Loans: 5.85%
Weighted Average Loan Rate: 9.794%
Range of Loan Rates: 5.500% to 17.950%
Weighted Average CLTV: 84.47%
Weighted Average Original Term to Maturity: 316 months
Weighted Average Remaining Term to Stated Maturity: 289 months
Balloon Loans: 12.01%
Max Zip Code Concentration (%): 2.05%
Max Zip Code Concentration (zip): 11368
Geographic Concentrations in Excess of 5%:
New York 24.47%
California 9.68%
Florida 8.64%
New Jersey 6.73%
Texas 5.13%
Originator Concentrations in Excess of 10%:
Golden National: 27.54%
Ocwen: 19.20%
IMC: 16.90%
Aames: 11.90%
</TABLE>
14
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
SUB-GROUP 1A - FHA/VA
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of May 1, 2000). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Current Principal Balance: $8,290,756.21
Average Outstanding Principal Balance: $60,961.44
Range of Outstanding Principal Balances: $4,131.28 to $184,896.61
Average Original Principal Balance: $68,483.79
Range of Original Principal Balances: $15,400.00 to $187,680.00
Loans with Prepayment Penalties: 0.00%
Second Liens: 0.00%
FHA Mortgage Loans: 65.82%
VA Mortgage Loans: 34.18%
Sub-Prime Loans: 0.00%
Section 32 Loans: 0.00%
Simple Interest Loans: 0.00%
Loans with Mortgage Insurance: 100.00%
Performing Loans: 59.55%
Sub-Performing Loans: 15.29%
Sub-Performing Loans that are Forbearance Plan Loans: 0.53%
Sub-Performing Loans that are Bankruptcy Plan Loans: 3.25%
Re-Performing Loans: 25.16%
Re-Performing Loans that are Forbearance Plan Loans: 8.90%
Re-Performing Loans that are Bankruptcy Plan Loans: 11.07%
Weighted Average Loan Rate: 8.251%
Range of Loan Rates: 6.500% to 12.500%
Weighted Average CLTV: 92.05%
Weighted Average Original Term to Maturity: 355 months
Weighted Average Remaining Term to Stated Maturity: 283 months
Balloon Loans: 0.00%
Max Zip Code Concentration (%): 2.23%
Max Zip Code Concentration (zip): 94533
Geographic Concentrations in Excess of 5%:
California 15.85%
Texas 11.20%
Florida 7.27%
New York 6.47%
Maryland 6.23%
Originator Concentrations in Excess of 10%:
Mellon Bank: 52.01%
</TABLE>
15
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
SUB-GROUP 1B -- FIXED, CONFORMING BALANCE
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of May 1, 2000). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Current Principal Balance: $186,529,699.87
Average Outstanding Principal Balance: $81,170.45
Range of Outstanding Principal Balances: $1,072.39 to $468,570.72
Average Original Principal Balance: $83,081.57
Range of Original Principal Balances: $2,400.00 to $480,000.00
Loans with Prepayment Penalties: 28.76%
Second Liens: 3.69%
FHA Mortgage Loans: 0.00%
VA Mortgage Loans: 0.00%
Sub-Prime Loans: 60.10%
Section 32 Loans: 7.11%
Simple Interest Loans: 3.22%
Loans with Mortgage Insurance: 25.52%
Performing Loans: 76.36%
Sub-Performing Loans: 8.91%
Sub-Performing Loans that are Forbearance Plan Loans: 1.67%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.48%
Re-Performing Loans: 14.72%
Re-Performing Loans that are Forbearance Plan Loans: 8.54%
Re-Performing Loans that are Bankruptcy Plan Loans: 5.62%
Weighted Average Loan Rate: 9.863%
Range of Loan Rates: 5.500% to 17.950%
Weighted Average CLTV: 84.13%
Weighted Average Original Term to Maturity: 314 months
Weighted Average Remaining Term to Stated Maturity: 289 months
Balloon Loans: 12.54%
Max Zip Code Concentration (%): 2.15%
Max Zip Code Concentration (zip): 11368
Geographic Concentrations in Excess of 5%:
New York 25.27%
California 9.40%
Florida 8.71%
New Jersey 6.90%
Originator Concentrations in Excess of 10%:
Golden National: 28.76%
Ocwen: 19.69%
IMC: 17.65%
Aames: 12.43%
</TABLE>
16
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
LOAN GROUP 2 -- ARMS
The following summarizes the characteristics of the Mortgage Loans (percentages
are based on the aggregate Principal Balances as of May 1, 2000). The
characteristics of the Mortgage Loans in the Prospectus Supplement will
supercede the descriptions of the characteristics below.
<TABLE>
<CAPTION>
<S> <C>
Aggregate Current Principal Balance: $155,455,963.64
Average Outstanding Principal Balance: $102,005.23
Range of Outstanding Principal Balances: $1,989.86 to $705,102.17
Average Original Principal Balance: $104,254.48
Range of Original Principal Balances: $12,000.00 to $800,000.00
Second Liens: 0.00%
Loans with Prepayment Penalties: 55.80%
Loans with Negative Amortization: 1.65%
Index:
6ML 82.21%
1 YR CMT 11.50%
Other 6.29%
Fixed Rate
Mortgage Interest Rates by Index (ARM loans only)
6ML 10.262%
1 YR CMT 7.839%
Other 7.968%
Gross Margin Weighted Avg by Index (ARM loans only)
6ML 6.039%
1 YR CMT 2.863%
Other 2.835%
FHA Mortgage Loans: 0.79%
VA Mortgage Loans: 0.04%
Sub-Prime Loans: 96.10%
Section 32 Loans: 5.42%
Simple Interest Loans: 0.11%
Loans with Mortgage Insurance: 10.52%
Performing Loans: 73.16%
Sub-Performing Loans: 9.09%
Sub-Performing Loans that are Forbearance Plan Loans: 1.33%
Sub-Performing Loans that are Bankruptcy Plan Loans: 0.42%
Re-Performing Loans: 17.75%
Re-Performing Loans that are Forbearance Plan Loans: 8.72%
Re-Performing Loans that are Bankruptcy Plan Loans: 8.57%
Weighted Average Loan Rate: 9.839%
Range of Loan Rates: 4.250% to 16.500%
Weighted Average CLTV: 78.89%
Weighted Average Original Term to Maturity: 358 months
Weighted Average Remaining Term to Stated Maturity: 331 months
</TABLE>
17
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
LOAN GROUP 2 -- ARMS CONTINUED
<TABLE>
<CAPTION>
<S> <C>
For the ARM loans only:
Weighted Average Maximum Loan Rate: 15.891%
Range of Maximum Loan Rates: 9.500% to 28.410%
Weighted Average Minimum Loan Rate: 8.157%
Range of Minimum Loan Rates: 0.000% to 16.020%
Weighted Average Initial Rate Adjustment Cap: 2.409%
Range of Initial Rate Adjustment Caps: 0.000% to 6.500%
Weighted Average Periodic Rate Adjustment Cap: 2.383%
Range of Periodic Rate Adjustment Caps: 0.000% to 6.000%
Weighted Average Months to Next Roll: 15.3 months
Range of Months to Next Roll: 1 month to 100 months
Weighted Average Interest Roll Frequency: 7.107 months
Max Zip Code Concentration (%): 0.92%
Max Zip Code Concentration (zip): 90036
Geographic Concentrations in Excess of 5%:
California 19.20%
Florida 7.66%
New Jersey 6.48%
Illinois 5.51%
New York 5.30%
Ohio 5.03%
Originator Concentration in Excess of 10%:
Aames: 42.12%
Ocwen: 28.50%
IMC: 10.74%
</TABLE>
18
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
PRINCIPAL BALANCE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
$.01 to 50,000.00 980 $30,765,636.39 15.79%
$50,000.01 to 100,000.00 852 59,915,886.37 30.75
$100,000.01 to 150,000.00 293 35,841,639.46 18.40
$150,000.01 to 200,000.00 148 25,745,318.73 13.21
$200,000.01 to 250,000.00 84 18,795,600.76 9.65
$250,000.01 to 300,000.00 44 11,991,650.61 6.16
$300,000.01 to 350,000.00 19 6,128,256.36 3.15
$350,000.01 to 400,000.00 9 3,444,086.46 1.77
$400,000.01 to 450,000.00 4 1,723,810.22 0.88
$450,000.01 to 500,000.00 1 468,570.72 0.24
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
25 to 36 1 $10,292.06 0.01%
37 to 60 5 243,179.94 0.12
61 to 84 6 138,663.21 0.07
85 to 120 61 1,558,117.35 0.80
121 to 180 678 37,676,675.67 19.34
181 to 240 163 8,305,615.39 4.26
241 to 300 68 4,417,078.59 2.27
301 to 360 1,445 141,977,970.93 72.88
Greater than 360 7 492,862.94 0.25
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
19
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Single Family 2,042 $154,433,874.58 79.27%
2-Family 140 21,506,019.06 11.04
Condominium 55 3,826,365.58 1.96
Townhouse 51 2,820,271.62 1.45
PUD 24 2,634,866.84 1.35
3-Family 15 2,360,642.34 1.21
Mobile Home 45 2,070,727.12 1.06
Manufactured 30 1,913,074.28 0.98
4-Family 9 1,454,084.66 0.75
Multi-Family 11 807,897.50 0.41
Low Rise Condominium 5 462,055.31 0.24
High Rise Condominium 5 441,167.14 0.23
PUD - Attached 1 66,611.48 0.03
Mixed Use 1 22,798.57 0.01
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
OCCUPANCY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
OCCUPANCY STATUS MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Primary 2,286 $186,466,207.13 95.71%
Investor 116 6,636,680.01 3.41
Secondary 32 1,717,568.94 0.88
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
PURPOSE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PURPOSE MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Purchase 1,131 $103,709,011.51 53.23%
Equity Refinance 996 67,600,036.59 34.70
Rate/Term Refinance 301 22,747,284.75 11.68
Unknown 5 439,162.21 0.23
Construction 1 324,961.02 0.17
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
20
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
CURRENT LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
CURRENT LOAN RATE (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
5.001% to 5.500% 3 $285,387.16 0.15%
5.501% to 6.000% 8 523,810.63 0.27
6.001% to 6.500% 9 859,242.67 0.44
6.501% to 7.000% 29 1,940,021.20 1.00
7.001% to 7.500% 47 4,824,655.83 2.48
7.501% to 8.000% 147 12,785,491.17 6.56
8.001% to 8.500% 204 18,461,139.46 9.48
8.501% to 9.000% 268 31,388,223.09 16.11
9.001% to 9.500% 245 28,576,083.28 14.67
9.501% to 10.000% 332 28,842,492.03 14.80
10.001% to 10.500% 205 14,777,740.54 7.59
10.501% to 11.000% 215 15,232,971.29 7.82
11.001% to 11.500% 160 9,671,896.01 4.96
11.501% to 12.000% 168 9,181,967.24 4.71
12.001% to 12.500% 95 5,064,585.39 2.60
12.501% to 13.000% 104 5,010,140.52 2.57
13.001% to 13.500% 51 2,369,685.76 1.22
13.501% to 14.000% 52 1,868,927.25 0.96
14.001% to 14.500% 22 900,678.96 0.46
14.501% to 15.000% 30 1,041,065.89 0.53
15.001% to 15.500% 17 590,423.33 0.30
15.501% to 16.000% 14 335,851.79 0.17
16.001% to 16.500% 4 144,056.43 0.07
16.501% to 17.000% 2 82,017.27 0.04
17.501% to 18.000% 3 61,901.89 0.03
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
21
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
0.00% to 10.00% 1 $38,166.18 0.02%
10.01% to 20.00% 7 124,593.15 0.06
20.01% to 30.00% 19 646,795.93 0.33
30.01% to 40.00% 22 1,522,724.86 0.78
40.01% to 50.00% 43 2,423,067.70 1.24
50.01% to 60.00% 80 3,690,342.21 1.89
60.01% to 70.00% 228 14,609,998.64 7.50
70.01% to 80.00% 556 43,625,474.36 22.39
80.01% to 90.00% 562 44,045,629.71 22.61
90.01% to 100.00% 713 70,054,854.83 35.96
100.01% to 110.00% 152 10,675,709.10 5.48
110.01% to 120.00% 42 2,790,453.84 1.43
120.01% to 130.00% 8 497,631.13 0.26
130.01% to 140.00% 1 75,014.44 0.04
---------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
22
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
STATE OR TERRITORY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATE OR TERRITORY MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
New York 298 $47,672,514.35 24.47%
California 177 18,849,710.55 9.68
Florida 253 16,841,750.83 8.64
New Jersey 122 13,119,677.29 6.73
Texas 193 9,989,180.57 5.13
Pennsylvania 143 8,426,743.59 4.33
Ohio 102 6,246,771.88 3.21
Illinois 79 6,107,832.16 3.14
North Carolina 92 6,082,120.56 3.12
Michigan 113 5,869,184.42 3.01
Georgia 82 4,724,126.93 2.42
Connecticut 42 3,707,614.93 1.90
Tennessee 57 3,642,570.75 1.87
Indiana 70 3,321,310.49 1.70
South Carolina 53 3,040,173.14 1.56
Hawaii 14 2,970,952.67 1.52
Massachusetts 32 2,829,839.72 1.45
Maryland 46 2,758,073.74 1.42
Washington 30 2,357,328.43 1.21
Louisiana 36 1,995,552.41 1.02
Virginia 25 1,968,027.36 1.01
Colorado 25 1,847,375.45 0.95
Arizona 29 1,625,243.37 0.83
Oklahoma 35 1,582,803.48 0.81
Missouri 35 1,492,450.74 0.77
Alabama 24 1,172,556.34 0.60
Utah 15 1,094,084.01 0.56
Oregon 8 1,089,209.93 0.56
Delaware 18 1,009,027.08 0.52
Minnesota 13 1,005,473.95 0.52
Wisconsin 14 976,528.90 0.50
Kentucky 20 974,185.99 0.50
New Mexico 12 960,361.50 0.49
Mississippi 22 906,122.00 0.47
Arkansas 16 820,854.29 0.42
Nevada 8 758,277.22 0.39
Kansas 9 649,355.02 0.33
Iowa 8 632,753.25 0.32
Idaho 7 569,142.58 0.29
Rhode Island 8 532,320.05 0.27
Nebraska 12 531,930.65 0.27
District of Columbia 7 529,034.51 0.27
New Hampshire 7 524,254.57 0.27
Montana 5 240,825.02 0.12
Puerto Rico 5 235,090.08 0.12
Maine 4 168,006.07 0.09
West Virginia 4 161,100.34 0.08
Wyoming 2 82,824.66 0.04
Vermont 1 67,363.89 0.03
South Dakota 2 60,844.37 0.03
----------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
23
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
DOCUMENTATION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
DOCUMENTATION LEVEL MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Full Documentation 1,399 $106,465,340.31 54.65%
Stated Income 298 37,887,431.60 19.45
Missing Documentation 238 15,486,280.98 7.95
Alternate Documentation 178 13,098,539.33 6.72
Limited Documentation 150 12,225,943.64 6.28
No Documentation 163 8,854,182.65 4.54
Streamlined Documentation 8 802,737.57 0.41
----------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
PERFORMANCE STATUS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATUS MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Current 1,695 $147,380,458.49 75.65%
Re-performing 454 29,550,851.12 15.17
30 Days Past Due 242 15,609,903.39 8.01
60 Days Past Due 43 2,279,243.08 1.17
----------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
24
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1
ORIGINATOR
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINATOR MORTGAGE LOANS OUTSTANDING LOAN GROUP 1 OUTSTANDING
<S> <C> <C> <C>
Golden National 312 $53,646,377.61 27.54%
Ocwen 556 37,399,869.45 19.20
IMC 485 32,916,673.07 16.90
Aames 313 23,177,112.93 11.90
Unknown 121 9,132,400.93 4.69
Nations Bank 146 8,447,869.20 4.34
Conti 119 5,773,082.01 2.96
South Plains 134 5,636,339.91 2.89
Mellon Bank 87 4,311,664.22 2.21
Long Beach 26 3,603,947.26 1.85
Equicredit 43 3,590,833.51 1.84
Equivantage 41 2,850,823.99 1.46
Option One 31 2,432,516.81 1.25
GMAC 18 1,792,806.90 0.92
Crossland 2 108,138.28 0.06
----------------------------------------------------------------------------
TOTAL 2,434 $194,820,456.08 100.00%
</TABLE>
25
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1A
PRINCIPAL BALANCE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
$.01 to 50,000.00 51 $1,126,695.60 13.59%
$50,000.01 to 100,000.00 68 4,871,000.74 58.75
$100,000.01 to 150,000.00 12 1,446,708.91 17.45
$150,000.01 to 200,000.00 5 846,350.96 10.21
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
121 to 180 3 $68,882.34 0.83%
181 to 240 2 149,340.67 1.80
241 to 300 1 80,481.83 0.97
301 to 360 130 7,992,051.37 96.40
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
26
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1A
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
Single Family 128 $7,627,723.53 92.00%
Condominium 3 239,677.20 2.89
3-Family 1 179,451.39 2.16
PUD 1 100,204.01 1.21
Multi-Family 1 98,909.80 1.19
Townhouse 1 27,490.90 0.33
2-Family 1 17,299.38 0.21
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
OCCUPANCY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
OCCUPANCY STATUS MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
Primary 134 $8,191,978.83 98.81%
Investor 2 98,777.38 1.19
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
PURPOSE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PURPOSE MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
Purchase 119 $6,923,729.88 83.51%
Rate/Term Refinance 16 1,328,833.14 16.03
Equity Refinance 1 38,193.19 0.46
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
27
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1A
CURRENT LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
CURRENT LOAN RATE (%) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
6.001% to 6.500% 2 $217,064.36 2.62%
6.501% to 7.000% 1 164,734.88 1.99
7.001% to 7.500% 7 691,568.53 8.34
7.501% to 8.000% 50 3,003,499.82 36.23
8.001% to 8.500% 57 3,066,395.17 36.99
8.501% to 9.000% 10 622,171.70 7.50
9.001% to 9.500% 5 400,687.96 4.83
9.501% to 10.000% 1 57,929.35 0.70
10.501% to 11.000% 2 31,622.18 0.38
12.001% to 12.500% 1 35,082.26 0.42
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
60.01% to 70.00% 1 $13,242.99 0.16%
70.01% to 80.00% 1 54,201.75 0.65
80.01% to 90.00% 7 214,799.52 2.59
90.01% to 100.00% 81 4,411,076.35 53.20
100.01% to 110.00% 43 3,381,505.61 40.79
110.01% to 120.00% 2 140,915.55 1.70
130.01% to 140.00% 1 75,014.44 0.90
---------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
28
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1A
STATE OR TERRITORY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATE OR TERRITORY MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
California 17 $1,313,741.72 15.85%
Texas 29 928,954.15 11.20
Florida 12 602,386.68 7.27
New York 5 536,080.19 6.47
Maryland 5 516,169.21 6.23
Pennsylvania 6 405,022.27 4.89
Georgia 6 368,677.52 4.45
Arizona 5 355,026.45 4.28
Missouri 6 335,300.87 4.04
Tennessee 4 316,085.79 3.81
New Jersey 4 257,127.43 3.10
Indiana 3 252,392.39 3.04
North Carolina 4 250,567.17 3.02
Delaware 3 226,099.15 2.73
Virginia 3 212,475.22 2.56
Illinois 3 203,136.89 2.45
Ohio 4 177,702.19 2.14
Michigan 3 170,118.91 2.05
Minnesota 2 144,845.60 1.75
Oklahoma 3 132,718.52 1.60
Louisiana 2 129,338.18 1.56
District of Columbia 1 98,909.80 1.19
South Carolina 1 76,939.84 0.93
Nevada 1 76,901.72 0.93
Kentucky 1 76,303.90 0.92
Arkansas 1 68,844.96 0.83
Washington 2 58,889.49 0.71
----------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
29
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1A
DOCUMENTATION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
DOCUMENTATION LEVEL MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
Full Documentation 126 $7,624,224.83 91.96%
Limited Documentation 4 290,829.95 3.51
Missing Documentation 3 225,211.98 2.72
Alternate Documentation 3 150,489.45 1.82
----------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
PERFORMANCE STATUS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATUS MORTGAGE LOANS OUTSTANDING SUB-GROUP 1A OUTSTANDING
<S> <C> <C> <C>
Current 84 $4,937,367.43 59.55%
Re-performing 27 2,085,739.49 25.16
30 Days Past Due 25 1,267,649.29 15.29
----------------------------------------------------------------------------
TOTAL 136 $8,290,756.21 100.00%
</TABLE>
30
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
PRINCIPAL BALANCE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
$.01 to 50,000.00 929 $29,638,940.79 15.89%
$50,000.01 to 100,000.00 784 55,044,885.63 29.51
$100,000.01 to 150,000.00 281 34,394,930.55 18.44
$150,000.01 to 200,000.00 143 24,898,967.77 13.35
$200,000.01 to 250,000.00 84 18,795,600.76 10.08
$250,000.01 to 300,000.00 44 11,991,650.61 6.43
$300,000.01 to 350,000.00 19 6,128,256.36 3.29
$350,000.01 to 400,000.00 9 3,444,086.46 1.85
$400,000.01 to 450,000.00 4 1,723,810.22 0.92
$450,000.01 to 500,000.00 1 468,570.72 0.25
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
25 to 36 1 $10,292.06 0.01%
37 to 60 5 243,179.94 0.13
61 to 84 6 138,663.21 0.07
85 to 120 61 1,558,117.35 0.84
121 to 180 675 37,607,793.33 20.16
181 to 240 161 8,156,274.72 4.37
241 to 300 67 4,336,596.76 2.32
301 to 360 1,315 133,985,919.56 71.83
Greater than 360 7 492,862.94 0.26
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
31
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
Single Family 1,914 $146,806,151.05 78.70%
2-Family 139 21,488,719.68 11.52
Condominium 52 3,586,688.38 1.92
Townhouse 50 2,792,780.72 1.50
PUD 23 2,534,662.83 1.36
3-Family 14 2,181,190.95 1.17
Mobile Home 45 2,070,727.12 1.11
Manufactured 30 1,913,074.28 1.03
4-Family 9 1,454,084.66 0.78
Multi-Family 10 708,987.70 0.38
Low Rise Condominium 5 462,055.31 0.25
High Rise Condominium 5 441,167.14 0.24
PUD - Attached 1 66,611.48 0.04
Mixed Use 1 22,798.57 0.01
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
OCCUPANCY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
OCCUPANCY STATUS MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
Primary 2,152 $178,274,228.30 95.57%
Investor 114 6,537,902.63 3.51
Secondary 32 1,717,568.94 0.92
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
PURPOSE
<TABLE>
<CAPTION>
PRINCIPAL BALANCE % OF AGGREGATE
NUMBER OF OUTSTANDING PRINCIPLE BALANCE OF
PURPOSE MORTGAGE LOANS SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
Purchase 1,012 $96,785,281.63 51.89%
Equity Refinance 995 67,561,843.40 36.22
Rate/Term Refinance 285 21,418,451.61 11.48
Unknown 5 439,162.21 0.24
Construction 1 324,961.02 0.17
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
32
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
CURRENT LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
CURRENT LOAN RATE (%) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
5.001% to 5.500% 3 $285,387.16 0.15%
5.501% to 6.000% 8 523,810.63 0.28
6.001% to 6.500% 7 642,178.31 0.34
6.501% to 7.000% 28 1,775,286.32 0.95
7.001% to 7.500% 40 4,133,087.30 2.22
7.501% to 8.000% 97 9,781,991.35 5.24
8.001% to 8.500% 147 15,394,744.29 8.25
8.501% to 9.000% 258 30,766,051.39 16.49
9.001% to 9.500% 240 28,175,395.32 15.11
9.501% to 10.000% 331 28,784,562.68 15.43
10.001% to 10.500% 205 14,777,740.54 7.92
10.501% to 11.000% 213 15,201,349.11 8.15
11.001% to 11.500% 160 9,671,896.01 5.19
11.501% to 12.000% 168 9,181,967.24 4.92
12.001% to 12.500% 94 5,029,503.13 2.70
12.501% to 13.000% 104 5,010,140.52 2.69
13.001% to 13.500% 51 2,369,685.76 1.27
13.501% to 14.000% 52 1,868,927.25 1.00
14.001% to 14.500% 22 900,678.96 0.48
14.501% to 15.000% 30 1,041,065.89 0.56
15.001% to 15.500% 17 590,423.33 0.32
15.501% to 16.000% 14 335,851.79 0.18
16.001% to 16.500% 4 144,056.43 0.08
16.501% to 17.000% 2 82,017.27 0.04
17.501% to 18.000% 3 61,901.89 0.03
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
33
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C> <C>
0.00% to 10.00% 1 $38,166.18 0.02%
10.01% to 20.00% 7 124,593.15 0.07
20.01% to 30.00% 19 646,795.93 0.35
30.01% to 40.00% 22 1,522,724.86 0.82
40.01% to 50.00% 43 2,423,067.70 1.30
50.01% to 60.00% 80 3,690,342.21 1.98
60.01% to 70.00% 227 14,596,755.65 7.83
70.01% to 80.00% 555 43,571,272.61 23.36
80.01% to 90.00% 555 43,830,830.19 23.50
90.01% to 100.00% 632 65,643,778.48 35.19
100.01% to 110.00% 109 7,294,203.49 3.91
110.01% to 120.00% 40 2,649,538.29 1.42
120.01% to 130.00% 8 497,631.13 0.27
---------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
34
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
STATE OR TERRITORY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATE OR TERRITORY MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
New York 293 $47,136,434.16 25.27%
California 160 17,535,968.83 9.40
Florida 241 16,239,364.15 8.71
New Jersey 118 12,862,549.86 6.90
Texas 164 9,060,226.42 4.86
Pennsylvania 137 8,021,721.32 4.30
Ohio 98 6,069,069.69 3.25
Illinois 76 5,904,695.27 3.17
North Carolina 88 5,831,553.39 3.13
Michigan 110 5,699,065.51 3.06
Georgia 76 4,355,449.41 2.33
Connecticut 42 3,707,614.93 1.99
Tennessee 53 3,326,484.96 1.78
Indiana 67 3,068,918.10 1.65
Hawaii 14 2,970,952.67 1.59
South Carolina 52 2,963,233.30 1.59
Massachusetts 32 2,829,839.72 1.52
Washington 28 2,298,438.94 1.23
Maryland 41 2,241,904.53 1.20
Louisiana 34 1,866,214.23 1.00
Colorado 25 1,847,375.45 0.99
Virginia 22 1,755,552.14 0.94
Oklahoma 32 1,450,084.96 0.78
Arizona 24 1,270,216.92 0.68
Alabama 24 1,172,556.34 0.63
Missouri 29 1,157,149.87 0.62
Utah 15 1,094,084.01 0.59
Oregon 8 1,089,209.93 0.58
Wisconsin 14 976,528.90 0.52
New Mexico 12 960,361.50 0.51
Mississippi 22 906,122.00 0.49
Kentucky 19 897,882.09 0.48
Minnesota 11 860,628.35 0.46
Delaware 15 782,927.93 0.42
Arkansas 15 752,009.33 0.40
Nevada 7 681,375.50 0.37
Kansas 9 649,355.02 0.35
Iowa 8 632,753.25 0.34
Idaho 7 569,142.58 0.31
Rhode Island 8 532,320.05 0.29
Nebraska 12 531,930.65 0.29
New Hampshire 7 524,254.57 0.28
District of Columbia 6 430,124.71 0.23
Montana 5 240,825.02 0.13
Puerto Rico 5 235,090.08 0.13
Maine 4 168,006.07 0.09
West Virginia 4 161,100.34 0.09
Wyoming 2 82,824.66 0.04
Vermont 1 67,363.89 0.04
South Dakota 2 60,844.37 0.03
----------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
35
<PAGE>
DESCRIPTION OF THE COLLATERAL
SUB-GROUP 1B
DOCUMENTATION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
DOCUMENTATION LEVEL MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
Full Documentation 1,273 $98,841,115.48 52.99%
Stated Income 298 37,887,431.60 20.31
Missing Documentation 235 15,261,069.00 8.18
Alternate Documentation 175 12,948,049.88 6.94
Limited Documentation 146 11,935,113.69 6.40
No Documentation 163 8,854,182.65 4.75
Streamlined Documentation 8 802,737.57 0.43
----------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
PERFORMANCE STATUS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATUS MORTGAGE LOANS OUTSTANDING SUB-GROUP 1B OUTSTANDING
<S> <C> <C> <C>
Current 1,611 $142,443,091.06 76.36%
Re-performing 427 27,465,111.63 14.72
30 Days Past Due 217 14,342,254.10 7.69
60 Days Past Due 43 2,279,243.08 1.22
----------------------------------------------------------------------------
TOTAL 2,298 $186,529,699.87 100.00%
</TABLE>
36
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
PRINCIPAL BALANCE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PRINCIPAL BALANCE ($) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
$.01 to 50,000.00 357 $12,936,332.87 8.32%
$50,000.01 to 100,000.00 605 43,792,833.78 28.17
$100,000.01 to 150,000.00 309 37,688,312.51 24.24
$150,000.01 to 200,000.00 100 17,088,671.54 10.99
$200,000.01 to 250,000.00 71 15,855,436.63 10.20
$250,000.01 to 300,000.00 37 10,087,619.84 6.49
$300,000.01 to 350,000.00 17 5,495,037.65 3.53
$350,000.01 to 400,000.00 8 3,004,924.24 1.93
$400,000.01 to 450,000.00 7 2,965,889.04 1.91
$450,000.01 to 500,000.00 11 5,311,157.57 3.42
$500,000.01 to 550,000.00 1 524,645.80 0.34
$700,000.01 to 750,000.00 1 705,102.17 0.45
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
ORIGINAL TERM
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL TERM (MONTHS) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
61 to 84 2 $167,557.61 0.11%
121 to 180 27 1,448,997.65 0.93
181 to 240 11 673,077.66 0.43
241 to 300 3 294,119.57 0.19
301 to 360 1,474 152,005,155.07 97.78
Greater than 360 7 867,056.08 0.56
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
37
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
PROPERTY TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Single Family 1,260 $128,557,729.24 82.70%
2-Family 66 6,411,770.75 4.12
PUD 35 6,362,191.64 4.09
Condominium 67 5,755,060.82 3.70
Townhouse 22 1,996,817.29 1.28
3-Family 14 1,730,974.78 1.11
4-Family 12 1,300,229.53 0.84
Mobile Home 20 1,145,937.59 0.74
Manufactured 12 852,978.49 0.55
High Rise Condominium 4 557,152.14 0.36
Low Rise Condominium 9 523,530.26 0.34
PUD - Attached 1 132,264.64 0.09
Multi-Family 2 129,326.47 0.08
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
OCCUPANCY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
OCCUPANCY STATUS MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Primary 1,412 $148,183,958.41 95.32%
Investor 105 6,798,513.10 4.37
Secondary 7 473,492.13 0.30
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
PURPOSE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
PURPOSE MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Equity Refinance 683 $71,993,185.27 46.31%
Purchase 598 58,653,010.57 37.73
Rate/Term Refinance 235 23,845,315.41 15.34
Construction 6 814,587.05 0.52
Unknown 2 149,865.34 0.10
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
38
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
CURRENT LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
CURRENT LOAN RATE (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
4.001% to 4.500% 2 $292,441.24 0.19%
4.501% to 5.000% 1 86,873.26 0.06
5.001% to 5.500% 2 112,038.92 0.07
5.501% to 6.000% 11 1,277,917.85 0.82
6.001% to 6.500% 10 945,604.06 0.61
6.501% to 7.000% 26 3,028,003.08 1.95
7.001% to 7.500% 50 5,852,539.88 3.76
7.501% to 8.000% 101 13,484,675.66 8.67
8.001% to 8.500% 100 14,397,216.91 9.26
8.501% to 9.000% 110 13,923,390.36 8.96
9.001% to 9.500% 131 16,104,144.80 10.36
9.501% to 10.000% 164 17,439,438.60 11.22
10.001% to 10.500% 153 16,836,197.14 10.83
10.501% to 11.000% 169 15,540,678.77 10.00
11.001% to 11.500% 138 11,956,584.67 7.69
11.501% to 12.000% 102 7,478,087.83 4.81
12.001% to 12.500% 78 5,277,170.19 3.39
12.501% to 13.000% 68 5,302,836.11 3.41
13.001% to 13.500% 37 2,236,373.95 1.44
13.501% to 14.000% 28 1,874,537.75 1.21
14.001% to 14.500% 17 991,217.12 0.64
14.501% to 15.000% 10 393,916.28 0.25
15.001% to 15.500% 8 310,259.84 0.20
15.501% to 16.000% 6 259,474.43 0.17
16.001% to 16.500% 2 54,344.94 0.03
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
39
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
10.01% to 20.00% 2 $63,427.71 0.04%
20.01% to 30.00% 3 177,905.11 0.11
30.01% to 40.00% 12 1,235,229.64 0.79
40.01% to 50.00% 33 1,746,319.82 1.12
50.01% to 60.00% 62 4,166,128.74 2.68
60.01% to 70.00% 266 20,661,648.18 13.29
70.01% to 80.00% 609 67,030,476.29 43.12
80.01% to 90.00% 307 35,403,287.78 22.77
90.01% to 100.00% 167 18,233,325.89 11.73
100.01% to 110.00% 46 4,676,854.91 3.01
110.01% to 120.00% 13 1,595,246.27 1.03
120.01% to 130.00% 4 466,113.30 0.30
---------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
40
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
STATE OR TERRITORY
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATE OR TERRITORY MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
California 166 $29,846,127.31 19.20%
Florida 141 11,908,986.46 7.66
New Jersey 75 10,075,223.10 6.48
Illinois 83 8,568,426.82 5.51
New York 60 8,239,361.44 5.30
Ohio 105 7,814,036.20 5.03
Michigan 88 6,210,647.44 4.00
Connecticut 50 5,346,323.12 3.44
Texas 54 4,596,387.47 2.96
Massachusetts 32 4,223,965.80 2.72
Colorado 37 4,215,754.76 2.71
Washington 28 3,805,874.27 2.45
Indiana 57 3,548,337.97 2.28
Utah 30 3,369,939.71 2.17
Hawaii 19 3,250,496.49 2.09
Pennsylvania 49 3,246,753.31 2.09
Maryland 27 3,136,227.50 2.02
Georgia 35 2,994,223.51 1.93
Minnesota 28 2,990,405.61 1.92
Virginia 25 2,794,968.20 1.80
Arizona 28 2,555,463.76 1.64
Missouri 41 2,394,393.52 1.54
Oregon 15 2,259,174.50 1.45
Tennessee 26 1,932,358.48 1.24
Nevada 17 1,870,434.12 1.20
North Carolina 17 1,488,226.47 0.96
South Carolina 27 1,481,338.57 0.95
Kentucky 24 1,343,686.05 0.86
Mississippi 15 1,210,377.32 0.78
Louisiana 15 1,019,545.84 0.66
New Mexico 12 994,305.13 0.64
Rhode Island 9 983,503.81 0.63
Wisconsin 16 972,455.93 0.63
Oklahoma 14 789,910.72 0.51
Nebraska 11 566,305.58 0.36
New Hampshire 6 486,183.86 0.31
Idaho 6 458,912.54 0.30
Kansas 6 423,744.43 0.27
District of Columbia 4 379,181.53 0.24
Iowa 7 323,784.12 0.21
West Virginia 6 306,311.12 0.20
Alaska 3 292,661.06 0.19
Alabama 2 192,074.70 0.12
Vermont 2 183,327.33 0.12
Montana 2 172,726.46 0.11
Maine 2 130,737.28 0.08
South Dakota 1 40,197.53 0.03
Arkansas 1 22,175.39 0.01
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
41
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
DOCUMENTATION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
DOCUMENTATION LEVEL MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Full Documentation 828 $83,323,859.36 53.60%
Stated Income 296 30,215,352.83 19.44
Limited Documentation 119 12,483,152.97 8.03
Alternate Documentation 91 11,526,174.15 7.41
Missing Documentation 111 10,284,627.06 6.62
No Documentation 70 6,453,948.75 4.15
Streamlined Documentation 9 1,168,848.52 0.75
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
PERFORMANCE STATUS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
STATUS MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Current 1,120 $113,729,601.20 73.16%
Re-performing 270 27,589,858.02 17.75
30 Days Past Due 121 12,660,925.24 8.14
60 Days Past Due 13 1,475,579.18 0.95
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
42
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
ORIGINATOR
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
ORIGINATOR MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
Aames 687 $65,484,997.28 42.12%
Ocwen 431 44,306,437.24 28.50
IMC 155 16,696,241.23 10.74
Long Beach 73 9,827,798.77 6.32
Option One 45 4,472,146.92 2.88
Crossland 26 3,613,806.95 2.32
GMAC 23 2,878,059.67 1.85
Unknown 26 2,620,580.07 1.69
Nations Bank 21 2,351,518.50 1.51
Equicredit 14 1,377,387.09 0.89
Conti 11 1,020,672.13 0.66
Equivantage 8 530,924.78 0.34
Mellon Bank 4 275,393.01 0.18
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
43
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
MAXIMUM LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
MAXIMUM LOAN RATE (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
9.001% to 9.500% 1 $79,368.84 0.05%
9.501% to 10.000% 5 463,562.81 0.30
10.001% to 10.500% 4 375,555.38 0.24
10.501% to 11.000% 19 1,506,626.41 0.97
11.001% to 11.500% 20 2,019,666.03 1.30
11.501% to 12.000% 31 4,042,226.34 2.60
12.001% to 12.500% 15 2,023,950.27 1.30
12.501% to 13.000% 23 3,361,972.37 2.16
13.001% to 13.500% 24 3,322,299.79 2.14
13.501% to 14.000% 64 9,746,082.88 6.27
14.001% to 14.500% 66 9,104,606.82 5.86
14.501% to 15.000% 88 11,234,125.50 7.23
15.001% to 15.500% 93 12,185,004.47 7.84
15.501% to 16.000% 154 17,748,793.33 11.42
16.001% to 16.500% 161 17,563,463.57 11.30
16.501% to 17.000% 187 17,608,440.07 11.33
17.001% to 17.500% 151 13,671,142.40 8.79
17.501% to 18.000% 125 10,184,049.74 6.55
18.001% to 18.500% 77 6,062,950.12 3.90
18.501% to 19.000% 68 4,366,191.95 2.81
19.501% to 20.000% 44 2,694,919.01 1.73
19.501% to 20.000% 36 2,246,049.51 1.44
20.001% to 20.500% 17 1,048,852.01 0.67
20.501% to 21.000% 10 441,974.92 0.28
21.001% to 21.500% 11 475,528.03 0.31
21.501% to 22.000% 5 238,516.60 0.15
22.001% to 22.500% 1 20,995.19 0.01
22.501% to 23.000% 1 20,957.83 0.01
Greater than 25.000% 1 28,649.61 0.02
No Maximum Rate 22 1,569,441.84 1.01
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
44
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
MINIMUM LOAN RATE
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
MINIMUM LOAN RATE (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
0.000% to 0.500% 189 $21,589,773.61 13.89%
0.501% to 1.000% 18 1,448,601.66 0.93
1.001% to 1.500% 20 1,794,978.03 1.15
1.501% to 2.000% 15 1,293,881.53 0.83
2.001% to 2.500% 9 759,517.19 0.49
2.501% to 3.000% 30 3,888,223.54 2.50
3.001% to 3.500% 6 592,230.63 0.38
3.501% to 4.000% 2 369,988.41 0.24
4.001% to 4.500% 5 557,199.72 0.36
4.501% to 5.000% 3 109,874.40 0.07
5.001% to 5.500% 4 288,135.46 0.19
5.501% to 6.000% 3 194,642.47 0.13
6.001% to 6.500% 6 743,297.91 0.48
6.501% to 7.000% 16 2,632,404.90 1.69
7.001% to 7.500% 8 1,279,792.51 0.82
7.501% to 8.000% 39 6,126,926.69 3.94
8.001% to 8.500% 55 8,146,379.69 5.24
8.501% to 9.000% 85 11,806,487.88 7.59
9.001% to 9.500% 97 12,051,549.79 7.75
9.501% to 10.000% 165 17,454,221.24 11.23
10.001% to 10.500% 154 17,346,649.83 11.16
10.501% to 11.000% 170 15,632,857.33 10.06
11.001% to 11.500% 134 10,943,023.68 7.04
11.501% to 12.000% 90 6,558,219.93 4.22
12.001% to 12.500% 59 3,818,368.08 2.46
12.501% to 13.000% 51 3,110,023.09 2.00
13.001% to 13.500% 29 1,554,942.02 1.00
13.501% to 14.000% 24 1,531,703.18 0.99
14.001% to 14.500% 15 927,463.17 0.60
14.501% to 15.000% 8 313,103.19 0.20
15.001% to 15.500% 8 311,033.26 0.20
15.501% to 16.000% 6 259,474.43 0.17
16.001% to 16.500% 1 20,995.19 0.01
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
45
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
GROSS MARGIN
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
GROSS MARGIN (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
0.000% to 0.500% 6 $188,864.78 0.12%
0.501% to 1.000% 1 50,868.11 0.03
1.001% to 1.500% 1 82,723.60 0.05
1.501% to 2.000% 37 2,489,557.72 1.60
2.001% to 2.500% 23 1,975,866.16 1.27
2.501% to 3.000% 155 20,372,047.29 13.10
3.001% to 3.500% 28 3,647,203.24 2.35
3.501% to 4.000% 24 2,947,257.96 1.90
4.001% to 4.500% 44 5,423,564.90 3.49
4.501% to 5.000% 105 10,806,198.09 6.95
5.001% to 5.500% 216 24,458,587.15 15.73
5.501% to 6.000% 244 23,416,364.89 15.06
6.001% to 6.500% 180 17,735,232.75 11.41
6.501% to 7.000% 249 23,831,125.15 15.33
7.001% to 7.500% 132 11,060,359.38 7.11
7.501% to 8.000% 38 3,537,016.70 2.28
8.001% to 8.500% 21 1,798,979.74 1.16
8.501% to 9.000% 6 330,745.72 0.21
9.001% to 9.500% 5 321,449.21 0.21
9.501% to 10.000% 6 559,209.39 0.36
10.001% to 10.500% 1 33,349.75 0.02
10.501% to 11.000% 1 270,189.40 0.17
13.001% to 13.500% 1 119,202.56 0.08
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
46
<PAGE>
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2
INITIAL PERIODIC RATE CAP
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
INITIAL PERIODIC RATE CAP (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
0 24 $1,761,471.05 1.13%
0.01 3 208,753.83 0.13
1 275 30,545,811.82 19.65
1.5 69 6,376,886.14 4.10
1.75 1 153,865.89 0.10
2 194 22,219,773.18 14.29
2.05 1 75,542.60 0.05
2.5 2 265,478.08 0.17
3 944 92,569,543.80 59.55
4 3 180,052.69 0.12
5 6 506,512.71 0.33
6 1 354,240.85 0.23
6.5 1 238,031.00 0.15
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
SUBSEQUENT PERIODIC RATE CAP
<TABLE>
<CAPTION>
% OF AGGREGATE
SUBSEQUENT PERIODIC NUMBER OF PRINCIPAL BALANCE PRINCIPLE BALANCE OF
RATE CAP (%) MORTGAGE LOANS OUTSTANDING LOAN GROUP 2 OUTSTANDING
<S> <C> <C> <C>
0 27 $1,970,224.88 1.27%
1 344 37,127,395.76 23.88
1.5 8 695,801.39 0.45
2 197 22,560,793.86 14.51
3 936 91,762,575.77 59.03
4 3 180,052.69 0.12
5 7 566,847.44 0.36
6 2 592,271.85 0.38
----------------------------------------------------------------------------
TOTAL 1,524 $155,455,963.64 100.00%
</TABLE>
47
<PAGE>
BOND SUMMARY (to Maturity)
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 20.406 6.643 4.656 3.450 2.604 1.760 0.903
Modified Duration (yrs.) 9.895 4.355 3.329 2.623 2.071 1.474 0.830
First Principal Payment Date 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000
Last Principal Payment Date 09/25/2029 08/25/2026 08/25/2022 07/25/2018 03/25/2015 12/25/2012 09/25/2002
Payment Windows (mos.) 352 315 267 218 178 151 28
<CAPTION>
A-1F (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 9.480 1.914 1.287 0.952 0.743 0.600 0.418
Modified Duration (yrs.) 6.390 1.691 1.170 0.879 0.693 0.564 0.396
First Principal Payment Date 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000
Last Principal Payment Date 05/25/2014 08/25/2004 03/25/2003 07/25/2002 01/25/2002 10/25/2001 05/25/2001
Payment Windows (mos.) 168 51 34 26 20 17 12
<CAPTION>
A-2F (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 100% 8.5770 8.5242 8.4861 8.4402 8.3626 8.2991 8.1639
Average Life (yrs.) 17.445 6.631 4.619 3.393 2.328 1.855 1.299
Modified Duration (yrs.) 8.722 4.795 3.621 2.795 2.018 1.643 1.179
First Principal Payment Date 05/25/2014 08/25/2004 03/25/2003 07/25/2002 01/25/2002 10/25/2001 05/25/2001
Last Principal Payment Date 04/25/2021 09/25/2010 09/25/2007 01/25/2006 01/25/2005 11/25/2002 02/25/2002
Payment Windows (mos.) 84 74 55 43 37 14 10
<CAPTION>
M-1 (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 100% 8.8000 8.7687 8.7455 8.7231 8.7133 8.7232 8.5896
Average Life (yrs.) 24.691 10.822 7.666 5.918 5.263 5.636 2.482
Modified Duration (yrs.) 9.742 6.376 5.073 4.240 3.952 4.240 2.139
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 10/25/2003 03/25/2004 11/25/2004 09/25/2002
Last Principal Payment Date 05/25/2029 08/25/2024 11/25/2019 09/25/2015 01/25/2013 10/25/2010 02/25/2003
Payment Windows (mos.) 109 233 196 144 107 72 6
</TABLE>
48
<PAGE>
BOND SUMMARY (to Maturity)
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
M-2 (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 97% 9.1125 9.2454 9.3452 9.4456 9.5132 9.5339 9.5146
Average Life (yrs.) 24.684 10.781 7.617 5.831 4.957 4.673 4.918
Modified Duration (yrs.) 9.544 6.270 4.984 4.131 3.707 3.598 3.700
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 08/25/2003 10/25/2003 01/25/2004 02/25/2003
Last Principal Payment Date 04/25/2029 10/25/2023 09/25/2018 09/25/2014 03/25/2012 01/25/2010 06/25/2009
Payment Windows (mos.) 108 223 182 134 102 73 77
<CAPTION>
B (To Maturity)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 91% 9.7889 10.2728 10.6416 11.0209 11.3228 11.5128 11.4613
Average Life (yrs.) 24.668 10.671 7.504 5.721 4.743 4.248 4.266
Modified Duration (yrs.) 9.130 6.049 4.801 3.962 3.487 3.246 3.322
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 07/25/2003 08/25/2003 09/25/2003 01/25/2004
Last Principal Payment Date 01/25/2029 01/25/2022 10/25/2016 03/25/2013 09/25/2010 11/25/2008 05/25/2006
Payment Windows (mos.) 105 202 159 117 86 63 29
</TABLE>
49
<PAGE>
BOND SUMMARY (to Call)
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
A-1A (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 20.283 6.064 4.174 3.041 2.260 1.505 0.903
Modified Duration (yrs.) 9.878 4.196 3.150 2.435 1.888 1.325 0.830
First Principal Payment Date 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000
Last Principal Payment Date 07/25/2027 01/25/2015 02/25/2011 06/25/2008 09/25/2006 07/25/2005 09/25/2002
Payment Windows (mos.) 326 176 129 97 76 62 28
<CAPTION>
A-1F (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 9.480 1.914 1.287 0.952 0.743 0.600 0.418
Modified Duration (yrs.) 6.390 1.691 1.170 0.879 0.693 0.564 0.396
First Principal Payment Date 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000 06/25/2000
Last Principal Payment Date 05/25/2014 08/25/2004 03/25/2003 07/25/2002 01/25/2002 10/25/2001 05/25/2001
Payment Windows (mos.) 168 51 34 26 20 17 12
<CAPTION>
A-2F (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 100% 8.5770 8.5242 8.4861 8.4402 8.3626 8.2991 8.1639
Average Life (yrs.) 17.445 6.631 4.619 3.393 2.328 1.855 1.299
Modified Duration (yrs.) 8.722 4.795 3.621 2.795 2.018 1.643 1.179
First Principal Payment Date 05/25/2014 08/25/2004 03/25/2003 07/25/2002 01/25/2002 10/25/2001 05/25/2001
Last Principal Payment Date 04/25/2021 09/25/2010 09/25/2007 01/25/2006 01/25/2005 11/25/2002 02/25/2002
Payment Windows (mos.) 84 74 55 43 37 14 10
<CAPTION>
M-1 (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 100% 8.7999 8.7660 8.7404 8.7150 8.7039 8.7105 8.5896
Average Life (yrs.) 24.503 9.950 6.954 5.318 4.756 4.985 2.482
Modified Duration (yrs.) 9.725 6.192 4.854 4.000 3.712 3.876 2.139
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 10/25/2003 03/25/2004 11/25/2004 09/25/2002
Last Principal Payment Date 07/25/2027 01/25/2015 02/25/2011 06/25/2008 09/25/2006 07/25/2005 02/25/2003
Payment Windows (mos.) 87 118 91 57 31 9 6
</TABLE>
50
<PAGE>
BOND SUMMARY (to Call)
The following tables are based on assumed mortgage loan groups with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages.
<TABLE>
<CAPTION>
M-2 (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 97% 9.1129 9.2561 9.3652 9.4782 9.5543 9.5743 9.7593
Average Life (yrs.) 24.503 9.950 6.954 5.270 4.486 4.290 3.266
Modified Duration (yrs.) 9.530 6.106 4.791 3.919 3.493 3.397 2.698
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 08/25/2003 10/25/2003 01/25/2004 02/25/2003
Last Principal Payment Date 07/25/2027 01/25/2015 02/25/2011 06/25/2008 09/25/2006 07/25/2005 12/25/2003
Payment Windows (mos.) 87 118 91 59 36 19 11
<CAPTION>
B (To Call)
-----------------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at a price of 91% 9.7901 10.3058 10.7015 11.1214 11.4530 11.6531 11.9054
Average Life (yrs.) 24.503 9.950 6.954 5.243 4.352 3.932 3.528
Modified Duration (yrs.) 9.119 5.925 4.659 3.800 3.323 3.091 2.839
First Principal Payment Date 05/25/2020 04/25/2005 08/25/2003 07/25/2003 08/25/2003 09/25/2003 12/25/2003
Last Principal Payment Date 07/25/2027 01/25/2015 02/25/2011 06/25/2008 09/25/2006 07/25/2005 12/25/2003
Payment Windows (mos.) 87 118 91 60 38 23 1
</TABLE>
51
<PAGE>
CLASS A-1A MAXIMUM RATE CAP
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------------
A-1A A-1A A-1A A-1A A-1A A-1A
Period Pay Date Max Rate Max Rate* Period Pay Date Max Rate Max Rate* Period Pay Date Max Rate Max Rate*
=================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 06/25/2000 N/A N/A 34 03/25/2003 14.632% 17.841% 66 11/25/2005 13.062% 16.620%
2 07/25/2000 9.899% 9.904% 35 04/25/2003 13.263% 16.174% 67 12/25/2005 13.498% 17.174%
3 08/25/2000 9.597% 9.604% 36 05/25/2003 13.755% 16.774% 68 01/25/2006 13.064% 16.621%
4 09/25/2000 9.658% 9.683% 37 06/25/2003 13.366% 16.314% 69 02/25/2006 13.065% 16.622%
5 10/25/2000 10.118% 10.178% 38 07/25/2003 13.485% 16.960% 70 03/25/2006 14.466% 18.403%
6 11/25/2000 9.824% 9.887% 39 08/25/2003 13.034% 16.505% 71 04/25/2006 13.067% 16.623%
7 12/25/2000 10.173% 10.238% 40 09/25/2003 13.035% 16.507% 72 05/25/2006 13.503% 17.178%
8 01/25/2001 10.036% 10.115% 41 10/25/2003 13.470% 17.058% 73 06/25/2006 13.069% 16.624%
9 02/25/2001 10.065% 10.149% 42 11/25/2003 13.036% 16.523% 74 07/25/2006 13.506% 17.179%
10 03/25/2001 11.192% 11.285% 43 12/25/2003 13.474% 17.079% 75 08/25/2006 13.071% 16.626%
11 04/25/2001 10.238% 10.323% 44 01/25/2004 13.041% 16.578% 76 09/25/2006 13.072% 16.626%
12 05/25/2001 11.213% 11.333% 45 02/25/2004 13.043% 16.581% 77 10/25/2006 13.509% 17.181%
13 06/25/2001 11.014% 11.132% 46 03/25/2004 13.944% 17.736% 78 11/25/2006 13.074% 16.628%
14 07/25/2001 11.405% 11.530% 47 04/25/2004 13.045% 16.593% 79 12/25/2006 13.511% 17.183%
15 08/25/2001 11.061% 11.183% 48 05/25/2004 13.481% 17.146% 80 01/25/2007 13.076% 16.629%
16 09/25/2001 11.090% 11.239% 49 06/25/2004 13.047% 16.595% 81 02/25/2007 13.077% 16.630%
17 10/25/2001 11.514% 11.755% 50 07/25/2004 13.482% 17.158% 82 03/25/2007 14.480% 18.413%
18 11/25/2001 11.275% 12.000% 51 08/25/2004 13.048% 16.608% 83 04/25/2007 13.079% 16.632%
19 12/25/2001 12.281% 13.167% 52 09/25/2004 13.049% 16.608% 84 05/25/2007 13.517% 17.187%
20 01/25/2002 11.937% 12.994% 53 10/25/2004 13.485% 17.163% 85 06/25/2007 13.082% 16.633%
21 02/25/2002 11.969% 13.044% 54 11/25/2004 13.051% 16.610% 86 07/25/2007 13.519% 17.190%
22 03/25/2002 13.285% 14.510% 55 12/25/2004 13.487% 17.164% 87 08/25/2007 13.084% 16.636%
23 04/25/2002 12.030% 13.254% 56 01/25/2005 13.053% 16.611% 88 09/25/2007 13.085% 16.637%
24 05/25/2002 12.464% 14.017% 57 02/25/2005 13.054% 16.614% 89 10/25/2007 13.522% 17.192%
25 06/25/2002 12.318% 14.435% 58 03/25/2005 14.453% 18.395% 90 11/25/2007 13.087% 16.639%
26 07/25/2002 12.764% 14.985% 59 04/25/2005 13.055% 16.615% 91 12/25/2007 13.525% 17.194%
27 08/25/2002 12.387% 14.546% 60 05/25/2005 13.492% 17.170% 92 01/25/2008 13.090% 16.640%
28 09/25/2002 12.424% 14.616% 61 06/25/2005 13.057% 16.617% 93 02/25/2008 13.091% 16.641%
29 10/25/2002 12.877% 15.162% 62 07/25/2005 13.493% 17.171% 94 03/25/2008 13.995% 17.790%
30 11/25/2002 12.500% 14.735% 63 08/25/2005 13.059% 16.618% 95 04/25/2008 13.093% 16.643%
31 12/25/2002 12.958% 15.631% 64 09/25/2005 13.060% 16.618% 96 05/25/2008 13.531% 17.199%
32 01/25/2003 13.122% 15.975% 65 10/25/2005 13.496% 17.173% 97 06/25/2008 13.096% 16.645%
33 02/25/2003 13.170% 16.046%
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Assumes the 1 month LIBOR, 6 month LIBOR and 1 Yr CMT instantaneously
increase to a level beyond the highest maximum obtainable rate on the
adjustable rate mortgage loans and run at the pricing speed to call.
52
<PAGE>
C-BASS 2000-CB2 Banc of America Securities LLC
--------------------------------------------------------------------------------
C-Bass 2000-CB2
<TABLE>
<CAPTION>
Bond Class: B
30 CPR / 100 Pct Loss Curve 35 CPR / 100 Pct Loss Curve
<S> <C> <C>
88.50000 11.0665 11.4686
88.75000 11.0120 11.4043
89.00000 10.9577 11.3403
89.25000 10.9036 11.2764
89.50000 10.8497 11.2128
89.75000 10.7960 11.1495
90.00000 10.7425 11.0863
90.25000 10.6893 11.0234
90.50000 10.6362 10.9607
90.75000 10.5833 10.8982
91.00000 10.5305 10.8360
91.25000 10.4780 10.7739
91.50000 10.4257 10.7121
91.75000 10.3736 10.6505
92.00000 10.3216 10.5892
92.25000 10.2698 10.5280
92.50000 10.2182 10.4670
92.75000 10.1668 10.4063
93.00000 10.1156 10.3457
93.25000 10.0646 10.2854
WAL (Yrs) 7.600 6.028
Mod Dur 5.161 4.370
FirstPrinPay 11/25/2006 09/25/2005
Maturity 09/25/2009 06/25/2007
Prin Window (Months) 35 22
CollLossPercent 8.73 7.09
</TABLE>
Assumptions:
- The default curve starts at 0 CDR in month 1 and builds to 10% CDR by month
36; Stays at 10% CDR until period 48; starting in period 49, it declines to
1% CDR by month 120 and stays flat at 1% CDR thereafter
- Triggers are hit immediately
- 70% Severity
- Defaults are in addition to Prepays
- 12 month recovery lag
<PAGE>
<TABLE>
<CAPTION>
BANC OF AMERICA SECURITIES LLC
-----------------------------------------------------------------------------------------------------------------------------------
Period Performing Principal Interest Interest Yield Total
Number Pay Date Balance Payment Payment Rate Expense Maintenance Payment End Balance WriteDown
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 06/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
2 07/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
3 08/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
4 09/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
5 10/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
6 11/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
7 12/25/2000 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
8 01/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
9 02/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
10 03/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
11 04/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
12 05/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
13 06/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
14 07/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
15 08/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
16 09/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
17 10/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
18 11/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
19 12/25/2001 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
20 01/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
21 02/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
22 03/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
23 04/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
24 05/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
25 06/25/2002 41,100,000.00 0.00 290,782.50 8.4900 0.00 0.00 290,782.50 41,100,000.00 0.00
26 07/25/2002 41,100,000.00 1,713,561.48 290,782.50 8.4900 0.00 0.00 2,004,343.98 39,386,438.52 0.00
27 08/25/2002 39,386,438.52 2,315,843.49 278,659.05 8.4900 0.00 0.00 2,594,502.54 37,070,595.03 0.00
28 09/25/2002 37,070,595.03 2,270,048.28 262,274.46 8.4900 0.00 0.00 2,532,322.74 34,800,546.75 0.00
29 10/25/2002 34,800,546.75 2,225,152.11 246,213.87 8.4900 0.00 0.00 2,471,365.98 32,575,394.64 0.00
30 11/25/2002 32,575,394.64 2,181,137.41 230,470.92 8.4900 0.00 0.00 2,411,608.33 30,394,257.23 0.00
31 12/25/2002 30,394,257.23 2,137,986.93 215,039.37 8.4900 0.00 0.00 2,353,026.30 28,256,270.30 0.00
32 01/25/2003 28,256,270.30 2,095,683.76 199,913.11 8.4900 0.00 0.00 2,295,596.88 26,160,586.53 0.00
33 02/25/2003 26,160,586.53 2,054,211.34 185,086.15 8.4900 0.00 0.00 2,239,297.49 24,106,375.19 0.00
34 03/25/2003 24,106,375.19 2,013,553.42 170,552.60 8.4900 0.00 0.00 2,184,106.02 22,092,821.77 0.00
35 04/25/2003 22,092,821.77 1,973,694.05 156,306.71 8.4900 0.00 0.00 2,130,000.76 20,119,127.73 0.00
36 05/25/2003 20,119,127.73 1,934,617.62 142,342.83 8.4900 0.00 0.00 2,076,960.45 18,184,510.11 0.00
37 06/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
38 07/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
39 08/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
40 09/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
41 10/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
42 11/25/2003 18,184,510.11 0.00 128,655.41 8.4900 0.00 0.00 128,655.41 18,184,510.11 0.00
43 12/25/2003 18,184,510.11 107,899.47 128,655.41 8.4900 0.00 0.00 236,554.87 18,076,610.64 0.00
44 01/25/2004 18,076,610.64 935,169.51 127,892.02 8.4900 0.00 0.00 1,063,061.53 17,141,441.13 0.00
45 02/25/2004 17,141,441.13 916,632.84 121,275.70 8.4900 0.00 0.00 1,037,908.53 16,224,808.29 0.00
46 03/25/2004 16,224,808.29 898,460.52 114,790.52 8.4900 0.00 0.00 1,013,251.04 15,326,347.77 0.00
47 04/25/2004 15,326,347.77 880,645.43 108,433.91 8.4900 0.00 0.00 989,079.34 14,445,702.35 0.00
48 05/25/2004 14,445,702.35 863,180.57 102,203.34 8.4900 0.00 0.00 965,383.91 13,582,521.78 0.00
49 06/25/2004 13,582,521.78 846,059.09 96,096.34 8.4900 0.00 0.00 942,155.43 12,736,462.70 0.00
50 07/25/2004 12,736,462.70 829,274.26 90,110.47 8.4900 0.00 0.00 919,384.74 11,907,188.44 0.00
51 08/25/2004 11,907,188.44 812,819.51 84,243.36 8.4900 0.00 0.00 897,062.86 11,094,368.93 0.00
52 09/25/2004 11,094,368.93 796,688.35 78,492.66 8.4900 0.00 0.00 875,181.01 10,297,680.58 0.00
53 10/25/2004 10,297,680.58 780,874.47 72,856.09 8.4900 0.00 0.00 853,730.56 9,516,806.10 0.00
54 11/25/2004 9,516,806.10 765,371.65 67,331.40 8.4900 0.00 0.00 832,703.05 8,751,434.46 0.00
55 12/25/2004 8,751,434.46 750,173.79 61,916.40 8.4900 0.00 0.00 812,090.19 8,001,260.66 0.00
56 01/25/2005 8,001,260.66 735,274.93 56,608.92 8.4900 0.00 0.00 791,883.85 7,265,985.73 0.00
57 02/25/2005 7,265,985.73 720,669.21 51,406.85 8.4900 0.00 0.00 772,076.06 6,545,316.51 0.00
58 03/25/2005 6,545,316.51 706,350.90 46,308.11 8.4900 0.00 0.00 752,659.01 5,838,965.62 0.00
59 04/25/2005 5,838,965.62 692,314.35 41,310.68 8.4900 0.00 0.00 733,625.03 5,146,651.27 0.00
60 05/25/2005 5,146,651.27 678,554.06 36,412.56 8.4900 0.00 0.00 714,966.62 4,468,097.20 0.00
61 06/25/2005 4,468,097.20 665,064.61 31,611.79 8.4900 0.00 0.00 696,676.40 3,803,032.59 0.00
62 07/25/2005 3,803,032.59 651,840.70 26,906.46 8.4900 0.00 0.00 678,747.16 3,151,191.89 0.00
63 08/25/2005 3,151,191.89 638,877.13 22,294.68 8.4900 0.00 0.00 661,171.81 2,512,314.76 0.00
64 09/25/2005 2,512,314.76 626,168.80 17,774.63 8.4900 0.00 0.00 643,943.42 1,886,145.96 0.00
65 10/25/2005 1,886,145.96 613,710.70 13,344.48 8.4900 0.00 0.00 627,055.18 1,272,435.26 0.00
66 11/25/2005 1,272,435.26 601,497.93 9,002.48 8.4900 0.00 0.00 610,500.41 670,937.33 0.00
67 12/25/2005 670,937.33 589,525.70 4,746.88 8.4900 0.00 0.00 594,272.58 81,411.63 0.00
68 01/25/2006 81,411.63 81,411.63 575.99 8.4900 0.00 0.00 81,987.62 0.00 0.00
41,100,000.00 12,031,738.66 0.00 0.00 53,131,738.66 0.00
</TABLE>
