<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934, as AMENDED
Date of Report (Date of earliest event reported): November 30, 1999
-----------------
CHEC ASSET RECEIVABLE CORPORATION
------------------------------------------------
(Exact name of Registrant as Specified in Charter)
Nevada 333-54027 75-277-0582
- ------ --------- -----------
(State or Other (Commission (IRS Employer
Jurisdiction of Incorporation) File Number) Identification No.)
2728 North Harwood Street, Dallas, Texas 75201
-------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (214) 981-5045
-------------
Not Applicable
-----------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
Item 5. OTHER EVENTS.
FILING OF COMPUTATIONAL MATERIALS.
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended, CHEC Asset
Receivable Corporation (the "Depositor") will file a prospectus and prospectus
supplement with the Securities and Exchange Commission relating to its Centex
Home Equity Loan Trust 1999-4, Centex Home Equity Loan Asset-Backed
Certificates, Series 1999-4 (the "Certificates").
In connection with the offering of the Certificates of the Depositor, Solomon
Smith Barney prepared certain materials (the "Computational Materials") some
or all of which were distributed by Solomon Smith Barney and Banc of America
Securities LLC (the "Underwriters") to their potential investors. Although
the Depositor provided the Underwriters with certain information regarding
the characteristics of the Home Equity Loans in the related portfolio, it did
not participate in the preparation of the Computational Materials. The
Computational Materials are attached hereto as Exhibit 99.1. The legend which
Banc of America Securities LLC placed on the Computational Materials are
attached hereto as Exhibit 99.2.
Also filed hereby is the consent of PricewaterhouseCoopers LLP, independent
accountants, attached hereto as Exhibit 23.1.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(c) Exhibits
Exhibit No.
-----------
23.1 Consent of PricewaterhouseCoopers LLP, independent
accountants.
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for
Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act
of 1934, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
CHEC ASSET RECEIVABLE CORPORATION
By: /s/ Anthony H. Barone
-------------------------------
Name: Anthony H. Barone
Title: President
Date: December 1, 1999
<PAGE>
<TABLE>
<CAPTION>
EXHIBIT INDEX
Sequentially
Exhibit Number Description Numbered Page
- -------------- ----------- -------------
<S> <C> <C>
23.1 Consent of PricewaterhouseCoopers LLP,
independent accountants.
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for
Computational Materials.
</TABLE>
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in the Prospectus Supplement of
Centex Credit Corporation relating to Centex Home Equity Loan Trust 1999-4,
of our report dated February 2, 1999, on our audits of the consolidated
financial statements of MBIA Insurance Corporation and Subsidiaries as of
December 31, 1998 and 1997 and for each of the three years in the period
ended December 31, 1998. We also consent to the reference to our Firm under
the caption "Experts".
By: /s/ PricewaterhouseCoopers LLP
-------------------------------
December 1, 1999
<PAGE>
COMPUTATIONAL MATERIAL
_______________________________________________________________________________
[LOGO]
CENTEX HOME EQUITY CORPORATION
_______________________________________________________________________________
_______________________________________________________________________________
$305,000,000 CERTIFICATES (APPROXIMATE)
CENTEX HOME EQUITY LOAN TRUST 1999-4
_______________________________________________________________________________
_______________________________________________________________________________
CENTEX HOME EQUITY CORP. (SELLER & SERVICER)
CHEC ASSET RECEIVABLE CORP. (DEPOSITOR)
_______________________________________________________________________________
Neither the Sponsor nor any of its affiliates make any representations as to
the accuracy or completeness of the information herein. The information
herein is preliminary, and will be superseded by the applicable Prospectus
Supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information herein addresses only
certain aspects of the applicable certificates' characteristics and thus does
not provide a complete assessment of the certificates. As such, the
information may not reflect the impact of all structural characteristics of
the certificates. The assumptions underlying the information, including
structure and collateral, may be modified from time to time to reflect
changed circumstances. The attached term sheet is not intended to be a
Prospectus and any investment decision with respect to the certificates
should be made by you based solely upon all of the information contained in
the final Prospectus and Prospectus Supplement. Under no circumstances shall
the information presented constitute an offer to sell or the solicitation of
an offer to buy nor shall there be any sale of the certificates in any
jurisdiction in which such offer, solicitation or sale would be unlawful
prior to registration or qualification under the securities laws of such
jurisdiction. The certificates may not be sold nor may an offer to buy be
accepted prior to the delivery of a final Prospectus and Prospectus
Supplement relating to the certificates. All information described herein is
preliminary, limited in nature and subject to completion or amendment. No
representation is made that the above referenced certificates will actually
perform as described in any scenario presented. A final Prospectus and
Prospectus Supplement may be obtained by contacting Salomon Smith Barney's
Syndicate Desk at (212) 723-6171.
<PAGE>
<TABLE>
<CAPTION>
CENTEX HOME EQUITY LOAN TRUST 1999-4
- --------------------------------------------------------------------------------------------------------------
TO 10% CALL
Payment Expected Stated Expected
Approx. WAL Window Final Final Ratings
Class Size (1) Group Type Benchmark (yrs) (mos) Maturity Maturity (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 68,000,000 I Fixed - Seq EDSF 0.96 1 - 21 Sept 2001 Dec 2018 AAA/Aaa
A-2 20,000,000 I Fixed - Seq Curve 2.01 21 - 27 Mar 2002 May 2022 AAA/Aaa
A-3 39,000,000 I Fixed - Seq Curve 3.01 27 - 47 Nov 2003 Sept 2026 AAA/Aaa
A-4 30,000,000 I Fixed - Seq Curve 5.05 47 - 80 Aug 2006 Nov 2028 AAA/Aaa
A-5 19,850,000 I Fixed - Seq Curve 7.54 80 - 91 July 2007 Feb 2031 AAA/Aaa
A-6 19,650,000 I Fixed - NAS Curve 6.25 37 - 91 July 2007 Feb 2031 AAA/Aaa
A-7 108,500,000 II ARM - PT 1 mo. LIBOR 2.62 1 - 91 July 2007 Feb 2031 AAA/Aaa
(1) Subject to a permitted variance of plus or minus 5%.
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
PRICING SPEED
GROUP I 120% PPC
100% PPC assumes that prepayments start at 4% CPR in month
one, increase by approximately 1.455% each month to 20%
CPR in month twelve, and remain at 20% CPR thereafter.
GROUP II 28% CPR
- --------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 2
<PAGE>
CENTEX HOME EQUITY LOAN TRUST 1999-4 (CONTINUED)
- -------------------------------------------------------------------------------
TRANSACTION OVERVIEW
COLLATERAL - Two loan groups: Group I (fixed) and Group II (ARM).
- Group I comprised of conventional 1st and 2nd
lien fixed-rate home equity loans, both
balloon and fully amortizing.
- Group II comprised of 1st lien six-month LIBOR
indexed conventional and 2/28 hybrid
adjustable rate home equity loans.
- The information presented is based upon the
STATISTICAL CALCULATION DATE of November 15,
1999. The actual pool size at closing is
expected to be approximately $305,000,000. The
weighted average mortgage loan characteristics
presented in the computational materials are
not expected to materially change with the addition
of the remaining loans.
STRUCTURE - Group I - sequential pay (with NAS) supported
primarily by fixed collateral.
- Group II - pass-through supported primarily by ARM
collateral.
CREDIT ENHANCEMENT - 100% MBIA wrapped.
- Excess spread will be used to turbo the structure and
create overcollateralization.
- If available, excess cash from either pool will cover
ANY shortfalls and build overcollateralization.
AVAILABLE FUNDS CAP- Classes A-5 and A-6 are subject to a net WAC cap
(without carry-over).
- Class A-7 is subject to an available funds cap (with
carry-over on a subordinated basis).
CARVE-OUT - Class A-7 available funds cap will be reduced by 0.50%
after 12 months.
CLEANUP CALL - Servicer may terminate the trust if the total bond
balance falls below 10% of its original amount.
STEP-UP COUPON - On or after the Cleanup Call Date, the Class A-5 coupon
will increase by 0.50% and the spread over LIBOR will
double for the Class A-7 coupon.
MONTHLY FEES - Servicing fee of 0.50%.
- Insurance premium as stated in the underlying documents.
EXPECTED TIMING - Pricing Date: December 1, 1999.
- Settlement: December 15, 1999.
- First Payment Date: January 25, 2000.
- -------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 3
<PAGE>
SENSITIVITY ANALYSIS
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
TO 10% CALL
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP I% OF PPC 50.0% 75.0% 100.0% 120.0% 150.0% 200.0% 250.0%
GROUP II CPR 11.0% 16.5% 22.0% 28.0% 33.0% 44.0% 55.0%
CLASS A-1
- ---------
AVG. LIFE (YRS) 1.76 1.32 1.08 0.96 0.84 0.71 0.62
WINDOW (MO) 1 - 43 1 - 30 1 - 24 1 - 21 1 - 17 1 - 14 1 - 12
EXPECTED FINAL MAT. 07/2003 06/2002 12/2001 09/2001 05/2001 02/2001 12/2000
CLASS A-2
- ---------
AVG. LIFE (YRS) 4.33 3.02 2.35 2.01 1.67 1.32 1.11
WINDOW (MO) 43 - 60 30 - 42 24 - 32 21 - 27 17 - 22 14 - 17 12 - 14
EXPECTED FINAL MAT. 12/2004 06/2003 08/2002 03/2002 10/2001 05/2001 02/2001
CLASS A-3
- ---------
AVG. LIFE (YRS) 7.29 4.78 3.60 3.01 2.42 1.85 1.50
WINDOW (MO) 60 - 124 42 - 77 32 - 56 27 - 47 22 - 36 17 - 27 14 - 21
EXPECTED FINAL MAT. 04/2010 05/2006 08/2004 11/2003 12/2002 03/2002 09/2001
CLASS A-4
- ---------
AVG. LIFE (YRS) 13.33 9.13 6.40 5.05 3.90 2.79 2.14
WINDOW (MO) 124 - 205 77 - 147 56 - 111 47 - 80 36 - 59 27 - 41 21 - 30
EXPECTED FINAL MAT. 01/2017 03/2012 03/2009 08/2006 11/2004 05/2003 06/2002
CLASS A-5
- ---------
AVG. LIFE (YRS) 17.19 12.28 9.36 7.54 5.87 4.14 3.06
WINDOW (MO) 205 - 206 147 - 147 111 - 112 80 - 91 59 - 73 41 - 53 30 - 40
EXPECTED FINAL MAT. 02/2017 03/2012 04/2009 07/2007 01/2006 05/2004 04/2003
CLASS A-6
- ---------
AVG. LIFE (YRS) 8.30 7.39 6.76 6.25 5.42 4.25 3.35
WINDOW (MO) 37 - 206 37 - 147 37 - 112 37 - 91 37 - 73 37 - 53 37 - 40
EXPECTED FINAL MAT. 02/2017 03/2012 04/2009 07/2007 01/2006 05/2004 04/2003
CLASS A-7
- ---------
AVG. LIFE (YRS) 6.60 4.51 3.37 2.62 2.16 1.53 1.13
WINDOW (MO) 1 - 206 1 - 147 1 - 112 1 - 91 1 - 73 1 - 53 1 - 40
EXPECTED FINAL MAT. 02/2017 03/2012 04/2009 07/2007 01/2006 05/2004 04/2003
TO MATURITY
CLASS A-5
- ---------
AVG. LIFE (YRS) 21.55 16.30 12.65 10.40 7.61 4.57 3.15
WINDOW (MO) 205 - 339 149 - 293 111 - 236 80 - 200 59 - 160 41 - 116 30 - 48
EXPECTED FINAL MAT. 03/2028 05/2024 08/2019 08/2016 04/2013 08/2009 12/2003
CLASS A-6
- ---------
AVG. LIFE (YRS) 8.31 7.43 6.87 6.53 6.13 5.62 4.69
- -------------------------------------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 4
<PAGE>
- -------------------------------------------------------------------------------------------------------------
WINDOW (MO) 37 - 337 37 - 290 37 - 234 37 - 198 37 - 158 37 - 114 37 - 88
EXPECTED FINAL MAT. 01/2028 02/2024 06/2019 06/2016 02/2013 06/2009 04/2007
CLASS A-7
- ---------
AVG. LIFE (YRS) 7.05 4.86 3.62 2.79 2.31 1.62 1.19
WINDOW (MO) 1 - 338 1 - 286 1 - 224 1 - 174 1 - 144 1 - 101 1 - 74
EXPECTED FINAL MAT. 02/2028 10/2023 08/2018 06/2014 12/2011 05/2008 02/2006
- -------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 5
<PAGE>
GROUP I COLLATERAL SUMMARY
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
SUMMARY STATISTICS RANGE (IF APPROPRIATE)
------------------ ----------------------
<S> <C> <C>
TOTAL NUMBER OF LOANS 2,698
TOTAL OUTSTANDING LOAN BALANCE $155,551,622.30
BALLOON (% OF TOTAL) 1.60%
AVERAGE LOAN PRINCIPAL BALANCE $57,654.42 $2,470.99 to $418,291.97
WA COUPON 11.76% 6.99% to 18.10%
WA ORIGINAL TERM (MONTHS) 318 60 to 360
WA CALCULATED REMAINING TERM (MONTHS) 317 58 to 360
WA CLTV 79.10% 8.07% to 99.98%
WA SECOND MORTGAGE RATIO (1) 32.57% 5.16% to 100.00%
LIEN POSITION (1ST / 2ND) 92.29% / 7.71%
PROPERTY TYPE
SINGLE FAMILY 88.43%
PUD 5.77%
TWO- TO FOUR-FAMILY 2.08%
MANUFACTURED HOUSING 1.51%
TOWNHOUSE 1.36%
CONDOMINIUM 0.84%
OCCUPANCY STATUS
PRIMARY HOME 96.00%
INVESTMENT 3.46%
SECOND HOME 0.53%
GEOGRAPHIC DISTRIBUTION (2) Texas: 15.99%
Florida: 8.68%
Tennessee: 6.55%
- -------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------
(1) Applies to 2nd liens only.
(2) Other states account individually for less than 5% of the pool balance.
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 6
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
CUT-OFF DATE PRINCIPAL BALANCES
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
CUT-OFF DATE % OF CUT-OFF DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 - 5,000.00 2 7,206.27 0.00
5,000.01 - 10,000.00 29 283,927.41 0.18
10,000.01 - 15,000.00 88 1,131,557.30 0.73
15,000.01 - 20,000.00 155 2,760,811.73 1.77
20,000.01 - 25,000.00 182 4,204,007.75 2.70
25,000.01 - 30,000.00 251 6,966,783.77 4.48
30,000.01 - 35,000.00 215 7,050,927.55 4.53
35,000.01 - 40,000.00 185 6,990,604.13 4.49
40,000.01 - 45,000.00 180 7,706,422.58 4.95
45,000.01 - 50,000.00 189 9,009,769.52 5.79
50,000.01 - 55,000.00 161 8,466,091.20 5.44
55,000.01 - 60,000.00 139 8,026,605.97 5.16
60,000.01 - 65,000.00 111 6,940,756.66 4.46
65,000.01 - 70,000.00 117 7,903,637.06 5.08
70,000.01 - 75,000.00 91 6,613,106.02 4.25
75,000.01 - 80,000.00 84 6,525,632.92 4.20
80,000.01 - 85,000.00 71 5,864,961.81 3.77
85,000.01 - 90,000.00 58 5,092,448.61 3.27
90,000.01 - 95,000.00 43 3,989,624.60 2.56
95,000.01 - 100,000.00 37 3,622,746.54 2.33
100,000.01 - 105,000.00 38 3,897,020.72 2.51
105,000.01 - 110,000.00 33 3,550,065.46 2.28
110,000.01 - 115,000.00 22 2,484,759.18 1.60
115,000.01 - 120,000.00 33 3,877,461.41 2.49
120,000.01 - 125,000.00 15 1,843,861.13 1.19
125,000.01 - 130,000.00 15 1,912,998.27 1.23
130,000.01 - 135,000.00 13 1,725,950.72 1.11
135,000.01 - 140,000.00 11 1,518,148.87 0.98
140,000.01 - 145,000.00 22 3,145,967.66 2.02
145,000.01 - 150,000.00 15 2,215,946.95 1.42
150,000.01 - 200,000.00 47 7,847,106.56 5.04
200,000.01 - 250,000.00 25 5,736,080.27 3.69
250,000.01 - 300,000.00 9 2,393,258.22 1.54
300,000.01 - 350,000.00 6 1,913,189.04 1.23
350,000.01 - 400,000.00 3 1,105,045.99 0.71
400,000.01 - 450,000.00 3 1,227,132.45 0.79
TOTAL 2,698 155,551,622.30 100.00
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 7
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LOAN RATES
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
LOAN RATE (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.501 - 7.000 1 74,215.60 0.05
7.001 - 7.500 2 125,346.50 0.08
7.501 - 8.000 4 297,764.09 0.19
8.001 - 8.500 11 1,224,390.36 0.79
8.501 - 9.000 52 4,557,682.30 2.93
9.001 - 9.500 45 3,887,295.14 2.50
9.501 - 10.000 169 12,952,219.37 8.33
10.001 - 10.500 127 9,978,649.52 6.42
10.501 - 11.000 297 21,636,427.90 13.91
11.001 - 11.500 258 16,863,505.24 10.84
11.501 - 12.000 385 23,862,041.32 15.34
12.001 - 12.500 281 16,321,519.28 10.49
12.501 - 13.000 346 17,024,473.31 10.94
13.001 - 13.500 182 7,342,337.10 4.72
13.501 - 14.000 226 8,612,037.21 5.54
14.001 - 14.500 88 3,454,621.61 2.22
14.501 - 15.000 119 4,202,811.21 2.70
15.001 - 15.500 30 1,048,325.34 0.67
15.501 - 16.000 47 1,361,030.93 0.87
16.001 - 16.500 8 184,883.23 0.12
16.501 - 17.000 10 275,244.39 0.18
17.001 - 17.500 1 67,900.00 0.04
17.501 - 18.000 7 149,241.43 0.10
18.001 - 18.500 2 47,659.92 0.03
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 8
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
ORIGINAL TERM TO STATED MATURITY
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 60 35 651,993.65 0.42
61 - 120 176 4,944,300.25 3.18
121 - 180 514 20,435,847.91 13.14
181 - 240 252 11,486,371.56 7.38
241 - 300 17 937,868.30 0.60
301 - 360 1,704 117,095,240.63 75.28
TOTAL: 2,698 155,551,622.30 100.00
CALCULATED REMAINING TERM TO STATED MATURITY
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
0 - 60 35 651,993.65 0.42
61 - 120 175 4,930,993.15 3.17
121 - 180 515 20,493,495.84 13.17
181 - 240 251 11,392,485.23 7.32
241 - 300 19 1,315,997.49 0.85
301 - 360 1,703 116,766,656.94 75.07
TOTAL: 2,698 155,551,622.30 100.00
SEASONING
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
SEASONING (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
0 1,302 74,981,673.29 48.20
1 - 6 1,365 79,250,144.92 50.95
19 - 24 2 89,209.15 0.06
25 - 30 10 430,602.98 0.28
31 - 36 17 736,471.63 0.47
37 - 40 2 63,520.33 0.04
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 9
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIO
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
CLTV (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
LESS THAN OR EQUAL TO 15.00 1 21,990.24 0.01
15.01 - 20.00 13 278,485.17 0.18
20.01 - 25.00 19 418,961.66 0.27
25.01 - 30.00 16 399,533.34 0.26
30.01 - 35.00 24 755,368.90 0.49
35.01 - 40.00 37 1,176,401.14 0.76
40.01 - 45.00 44 1,357,236.63 0.87
45.01 - 50.00 51 1,877,500.11 1.21
50.01 - 55.00 53 2,025,310.96 1.30
55.01 - 60.00 83 3,179,021.28 2.04
60.01 - 65.00 115 5,075,485.69 3.26
65.01 - 70.00 204 11,268,470.53 7.24
70.01 - 75.00 284 15,350,279.18 9.87
75.01 - 80.00 677 38,715,251.18 24.89
80.01 - 85.00 486 28,293,205.26 18.19
85.01 - 90.00 466 37,201,362.87 23.92
90.01 - 95.00 91 6,124,215.87 3.94
95.01 - 100.00 34 2,033,542.29 1.31
TOTAL: 2,698 155,551,622.30 100.00
SECOND MORTGAGE RATIO
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
2ND MORTGAGE RATIO (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
LESS THAN 10.00 17 200,099.78 0.13
10.00 - 14.99 44 866,560.63 0.56
15.00 - 19.99 86 1,910,788.08 1.23
20.00 - 24.99 70 2,065,969.05 1.33
25.00 - 29.99 52 1,736,823.73 1.12
30.00 - 34.99 42 1,351,459.31 0.87
35.00 - 39.99 29 1,000,881.77 0.64
40.00 - 44.99 19 680,754.38 0.44
45.00 - 49.99 10 526,799.19 0.34
50.00 - 54.99 7 348,598.56 0.22
55.00 - 59.99 11 350,930.46 0.23
60.00 - 64.99 5 204,286.51 0.13
65.00 - 69.99 2 76,909.26 0.05
70.00 - 74.99 3 184,089.63 0.12
80.00 - 84.99 5 166,839.17 0.11
85.00 - 89.99 1 80,961.80 0.05
95.00 - 100.00 6 246,046.43 0.16
TOTAL: 409 11,998,797.74 7.71
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 10
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LIEN POSITION
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
POSITION LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1ST LIEN 2,289 143,552,824.56 92.29
2ND LIEN 409 11,998,797.74 7.71
TOTAL: 2,698 155,551,622.30 100.00
OCCUPANCY TYPE
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) POOL PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
PRIMARY HOME 2,553 149,336,856.93 96.00
INVESTMENT PROPERTY 124 5,388,642.03 3.46
SECOND HOME 21 826,123.34 0.53
TOTAL: 2,698 155,551,622.30 100.00
PROPERTY TYPE
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
SINGLE FAMILY 2,455 137,559,683.42 88.43
PUD 80 8,980,551.06 5.77
TWO- TO FOUR-FAMILY 58 3,240,231.54 2.08
MANUFACTURED HOUSING 42 2,343,193.10 1.51
TOWNHOUSE 38 2,116,710.13 1.36
CONDOMINIUM 25 1,311,253.05 0.84
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 11
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
STATES
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
STATE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ARIZONA 54 3,349,540.49 2.15
ARKANSAS 32 1,638,564.90 1.05
CALIFORNIA 25 1,723,802.18 1.11
COLORADO 61 3,869,684.75 2.49
CONNECTICUT 18 1,001,672.81 0.64
DELAWARE 6 438,638.29 0.28
DISTRICT OF COLUMBIA 5 339,793.96 0.22
FLORIDA 190 13,499,939.02 8.68
GEORGIA 76 5,622,891.13 3.61
IDAHO 6 380,947.03 0.24
ILLINOIS 107 5,306,979.24 3.41
INDIANA 59 3,404,186.62 2.19
IOWA 46 1,918,122.56 1.23
KANSAS 53 2,239,891.08 1.44
KENTUCKY 25 1,486,940.92 0.96
LOUISIANA 54 3,075,317.62 1.98
MAINE 25 2,075,676.55 1.33
MARYLAND 21 1,699,367.22 1.09
MASSACHUSETTS 12 748,796.71 0.48
MICHIGAN 69 3,342,504.12 2.15
MINNESOTA 27 1,610,647.86 1.04
MISSISSIPPI 81 3,745,364.53 2.41
MISSOURI 143 6,134,215.17 3.94
MONTANA 3 123,551.47 0.08
NEBRASKA 46 2,827,487.39 1.82
NEVADA 8 942,083.12 0.61
NEW HAMPSHIRE 6 691,288.98 0.44
NEW JERSEY 24 2,598,962.97 1.67
NEW MEXICO 38 2,655,818.89 1.71
NEW YORK 88 4,454,030.63 2.86
NORTH CAROLINA 109 7,485,108.14 4.81
NORTH DAKOTA 1 28,000.00 0.02
OHIO 86 6,097,613.07 3.92
OKLAHOMA 73 2,644,466.98 1.70
OREGON 20 1,265,495.18 0.81
PENNSYLVANIA 115 5,395,128.48 3.47
SOUTH CAROLINA 79 5,349,819.31 3.44
TENNESSEE 136 10,195,052.67 6.55
TEXAS 517 24,872,016.98 15.99
UTAH 6 363,644.60 0.23
VERMONT 1 47,670.00 0.03
VIRGINIA 55 3,496,416.30 2.25
WASHINGTON 50 3,230,225.58 2.08
WEST VIRGINIA 14 685,794.00 0.44
WISCONSIN 24 1,300,224.46 0.84
WYOMING 4 148,238.34 0.10
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 12
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
DOCUMENTATION TYPE
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FULL DOCUMENTATION 2,394 134,756,843.97 86.63
STATED INCOME 207 13,040,196.74 8.38
LIMITED DOCUMENTATION 91 7,553,554.38 4.86
OTHER 6 201,027.21 0.13
TOTAL: 2,698 155,551,622.30 100.00
CREDIT GRADE
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
GRADE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
A+ 139 9,320,485.08 5.99
A 12 581,608.14 0.37
A1 576 38,712,328.11 24.89
A2 955 57,066,129.12 36.69
B 438 23,746,944.10 15.27
C 5 141,647.10 0.09
C1 307 13,004,030.59 8.36
C2 124 6,575,266.68 4.23
D 142 6,403,183.38 4.12
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 13
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the fixed rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
PREPAYMENT PENALTIES
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
PENALTY LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NO 1,313 65,667,632.81 42.22
YES 1,385 89,883,989.49 57.78
TOTAL: 2,698 155,551,622.30 100.00
PREPAYMENT PENALTY TERM
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
PENALTY TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
0 1,317 65,785,988.91 42.29
12 87 6,002,603.07 3.86
24 24 2,001,689.01 1.29
36 236 16,718,191.34 10.75
42 4 180,874.76 0.12
48 3 145,916.79 0.09
60 1,027 64,716,358.42 41.60
TOTAL: 2,698 155,551,622.30 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 14
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
SUMMARY STATISTICS RANGE (IF APPROPRIATE)
------------------ ----------------------
<S> <C> <C>
TOTAL NUMBER OF LOANS 888
TOTAL OUTSTANDING LOAN BALANCE $85,970,467.26
AVERAGE LOAN PRINCIPAL BALANCE $96,813.59 $15,366.95 to
$500,000.00
WA COUPON 11.04% 7.75% to 15.99%
ARM CHARACTERISTICS
WA MARGIN 6.44% 0.00% to 11.15%
WA FIRST PERIODIC CAP 1.84% 1.00% to 2.00%
WA SUBSEQUENT PERIODIC CAP 1.00% 0.00% to 1.00%
WA LIFETIME CAP 18.04% 14.75% to 22.99%
WA LIFETIME FLOOR 11.04% 7.75% to 15.99%
WA ORIGINAL TERM (MONTHS) 359 60 to 360
WA CALCULATED REMAINING TERM (MONTHS) 358 59 to 360
WA CLTV 83.33% 15.56% to 99.98%
LOAN TYPE
ARM 15.78%
2/28 ARM 84.22%
PROPERTY TYPE
SINGLE FAMILY 83.42%
PUD 7.71%
TWO- TO FOUR-FAMILY 4.42%
TOWNHOUSE 1.68%
CONDOMINIUM 1.51%
MANUFACTURED HOUSING 1.26%
OCCUPANCY STATUS
PRIMARY HOME 96.16%
SECOND HOME 1.02%
INVESTMENT 2.82%
GEOGRAPHIC DISTRIBUTION (1) California: 8.25%
Texas: 7.53%
N. Carolina: 6.96%
New York: 6.04%
Ohio: 5.79%
</TABLE>
- -------------------------------
(1) Other states account individually for less than 5% of the pool balance.
This page must be accompanied by the disclaimer included on the cover of 15
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
CUT-OFF DATE PRINCIPAL BALANCES
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
15,000.01 - 20,000.00 4 72,833.63 0.08
20,000.01 - 25,000.00 9 204,674.23 0.24
25,000.01 - 30,000.00 19 531,357.77 0.62
30,000.01 - 35,000.00 18 591,252.70 0.69
35,000.01 - 40,000.00 26 975,277.74 1.13
40,000.01 - 45,000.00 36 1,534,665.41 1.79
45,000.01 - 50,000.00 43 2,054,600.63 2.39
50,000.01 - 55,000.00 49 2,574,605.31 2.99
55,000.01 - 60,000.00 47 2,704,041.10 3.15
60,000.01 - 65,000.00 42 2,627,259.83 3.06
65,000.01 - 70,000.00 56 3,781,690.02 4.40
70,000.01 - 75,000.00 47 3,418,530.35 3.98
75,000.01 - 80,000.00 42 3,257,953.38 3.79
80,000.01 - 85,000.00 39 3,224,538.41 3.75
85,000.01 - 90,000.00 28 2,454,990.64 2.86
90,000.01 - 95,000.00 30 2,785,637.40 3.24
95,000.01 - 100,000.00 33 3,222,981.64 3.75
100,000.01 - 105,000.00 20 2,053,897.64 2.39
105,000.01 - 110,000.00 36 3,875,672.19 4.51
110,000.01 - 115,000.00 21 2,367,800.95 2.75
115,000.01 - 120,000.00 29 3,404,660.55 3.96
120,000.01 - 125,000.00 14 1,710,688.79 1.99
125,000.01 - 130,000.00 23 2,922,798.58 3.40
130,000.01 - 135,000.00 18 2,396,409.20 2.79
135,000.01 - 140,000.00 20 2,750,576.48 3.20
140,000.01 - 145,000.00 12 1,713,585.32 1.99
145,000.01 - 150,000.00 13 1,925,278.52 2.24
150,000.01 - 200,000.00 62 10,645,387.28 12.38
200,000.01 - 250,000.00 29 6,351,072.79 7.39
250,000.01 - 300,000.00 12 3,297,928.85 3.84
300,000.01 - 350,000.00 2 620,255.09 0.72
350,000.01 - 400,000.00 4 1,518,669.34 1.77
400,000.01 - 450,000.00 1 419,838.41 0.49
450,000.01 - 500,000.00 4 1,979,057.09 2.30
TOTAL 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 16
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LOAN RATES
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
LOAN RATE (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.501 - 8.000 3 492,122.98 0.57
8.001 - 8.500 4 450,024.95 0.52
8.501 - 9.000 24 3,226,302.75 3.75
9.001 - 9.500 28 3,435,332.58 4.00
9.501 - 10.000 92 10,798,531.89 12.56
10.001 - 10.500 84 9,537,691.27 11.09
10.501 - 11.000 185 18,511,950.96 21.53
11.001 - 11.500 119 11,376,054.81 13.23
11.501 - 12.000 174 15,438,735.32 17.96
12.001 - 12.500 75 5,871,480.25 6.83
12.501 - 13.000 48 3,499,206.59 4.07
13.001 - 13.500 21 1,249,186.59 1.45
13.501 - 14.000 17 1,303,532.02 1.52
14.001 - 14.500 7 538,453.59 0.63
14.501 - 15.000 6 215,460.71 0.25
15.501 - 16.000 1 26,400.00 0.03
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 17
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
MARGIN
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
MARGIN (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000 - 2.000 1 80,724.29 0.09
2.001 - 4.000 9 1,086,002.38 1.26
4.001 - 6.000 260 28,174,048.81 32.77
6.001 - 8.000 517 49,579,271.03 57.67
8.001 - 10.000 95 6,823,103.40 7.94
10.001 - 12.000 6 227,317.35 0.26
TOTAL: 888 85,970,467.26 100.00
NEXT RATE ADJUSTMENT DATE
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
DATE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
DECEMBER 1997 1 92,749.63 0.11
FEBRUARY 2000 4 306,549.06 0.36
MARCH 2000 9 1,548,421.14 1.80
APRIL 2000 62 5,562,917.32 6.47
MAY 2000 71 6,126,479.67 7.13
JULY 2001 1 126,844.18 0.15
AUGUST 2001 7 537,738.77 0.63
SEPTEMBER 2001 60 5,903,102.60 6.87
OCTOBER 2001 370 35,978,288.81 41.85
NOVEMBER 2001 303 29,787,376.08 34.65
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 18
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LIFETIME CAP
- ------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
LIFETIME CAP (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
14.501 - 15.000 3 492,122.98 0.57
15.001 - 15.500 4 450,024.95 0.52
15.501 - 16.000 24 3,226,302.75 3.75
16.001 - 16.500 28 3,435,332.58 4.00
16.501 - 17.000 92 10,798,531.89 12.56
17.001 - 17.500 84 9,537,691.27 11.09
17.501 - 18.000 185 18,511,950.96 21.53
18.001 - 18.500 120 11,468,804.44 13.34
18.501 - 19.000 174 15,438,735.32 17.96
19.001 - 19.500 74 5,778,730.62 6.72
19.501 - 20.000 48 3,499,206.59 4.07
20.001 - 20.500 21 1,249,186.59 1.45
20.501 - 21.000 17 1,303,532.02 1.52
21.001 - 21.500 7 538,453.59 0.63
21.501 - 22.000 6 215,460.71 0.25
22.501 - 23.000 1 26,400.00 0.03
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 19
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
ORIGINAL TERM TO STATED MATURITY
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 60 1 24,690.18 0.03
61 - 120 1 15,366.95 0.02
121 - 180 3 357,600.00 0.42
181 - 240 1 70,200.00 0.08
300 - 360 882 85,502,610.13 99.46
TOTAL: 888 85,970,467.26 100.00
CALCULATED REMAINING TERM TO STATED MATURITY
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
0 - 60 1 24,690.18 0.03
61 - 120 1 15,366.95 0.02
121 - 180 3 357,600.00 0.42
181 - 240 1 70,200.00 0.08
301 - 360 882 85,502,610.13 99.46
TOTAL: 888 85,970,467.26 100.00
SEASONING
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
SEASONING (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
0 549 51,550,973.23 59.96
1 - 6 337 34,258,729.39 39.85
13 - 18 1 68,015.01 0.08
25 - 27 1 92,749.63 0.11
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 20
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIO
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
CLTV (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
LESS THAN OR EQUAL TO 20.00 1 24,987.70 0.03
20.01 - 25.00 1 29,600.41 0.03
25.01 - 30.00 1 56,250.00 0.07
30.01 - 35.00 2 84,672.03 0.10
35.01 - 40.00 6 225,781.51 0.26
40.01 - 45.00 4 200,827.00 0.23
45.01 - 50.00 5 365,443.34 0.43
50.01 - 55.00 4 287,734.49 0.33
55.01 - 60.00 6 362,870.64 0.42
60.01 - 65.00 21 1,591,335.51 1.85
65.01 - 70.00 34 2,932,296.43 3.41
70.01 - 75.00 73 6,259,515.73 7.28
75.01 - 80.00 194 17,143,331.60 19.94
80.01 - 85.00 213 21,424,955.86 24.92
85.01 - 90.00 277 30,833,487.86 35.87
90.01 - 95.00 33 3,124,888.62 3.63
95.01 - 100.00 13 1,022,488.53 1.19
TOTAL: 888 85,970,467.26 100.00
OCCUPANCY TYPE
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
PRIMARY HOME 847 82,667,356.98 96.16
INVESTMENT PROPERTY 34 2,425,874.15 2.82
SECOND HOME 7 877,236.13 1.02
TOTAL: 888 85,970,467.26 100.00
PROPERTY TYPE
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
SINGLE FAMILY 755 71,712,973.50 83.42
PUD 48 6,629,662.14 7.71
TWO- TO FOUR-FAMILY 37 3,802,689.72 4.42
TOWNHOUSE 16 1,440,230.33 1.68
CONDOMINIUM 15 1,299,944.36 1.51
MANUFACTURED HOUSING 17 1,084,967.21 1.26
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 21
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
STATES
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
STATE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ARIZONA 22 2,177,634.19 2.53
ARKANSAS 6 400,440.22 0.47
CALIFORNIA 39 7,093,881.39 8.25
COLORADO 14 1,874,879.00 2.18
CONNECTICUT 21 1,802,097.40 2.10
DELAWARE 12 1,108,565.36 1.29
DISTRICT OF COLUMBIA 1 94,400.00 0.11
FLORIDA 34 3,295,712.74 3.83
GEORGIA 47 3,872,898.18 4.50
IDAHO 5 318,781.78 0.37
ILLINOIS 27 2,875,556.84 3.34
INDIANA 24 2,071,007.67 2.41
IOWA 4 342,932.20 0.40
KANSAS 7 349,171.67 0.41
KENTUCKY 13 1,113,933.49 1.30
LOUISIANA 1 136,800.00 0.16
MAINE 11 1,086,015.01 1.26
MARYLAND 13 1,604,208.10 1.87
MASSACHUSETTS 16 1,794,493.56 2.09
MICHIGAN 44 3,663,498.92 4.26
MINNESOTA 9 642,188.39 0.75
MISSISSIPPI 5 366,084.80 0.43
MISSOURI 26 2,193,841.18 2.55
MONTANA 2 288,049.12 0.34
NEBRASKA 3 208,153.00 0.24
NEVADA 10 1,350,804.47 1.57
NEW HAMPSHIRE 6 573,627.54 0.67
NEW JERSEY 17 2,293,213.39 2.67
NEW MEXICO 4 347,672.64 0.40
NEW YORK 55 5,193,399.13 6.04
NORTH CAROLINA 69 5,983,428.42 6.96
OHIO 68 4,976,431.76 5.79
OKLAHOMA 16 1,044,439.62 1.21
OREGON 15 1,613,502.29 1.88
PENNSYLVANIA 41 3,060,169.82 3.56
RHODE ISLAND 3 311,825.09 0.36
SOUTH CAROLINA 15 1,378,457.30 1.60
TENNESSEE 25 2,168,321.01 2.52
TEXAS 68 6,469,474.47 7.53
UTAH 9 1,039,236.05 1.21
VIRGINIA 10 1,280,046.68 1.49
WASHINGTON 26 3,615,413.39 4.21
WEST VIRGINIA 1 34,449.46 0.04
WISCONSIN 22 2,200,330.52 2.56
WYOMING 2 261,000.00 0.30
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 22
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
DOCUMENTATION TYPE
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FULL DOCUMENTATION 780 74,373,563.90 86.51
STATED INCOME 75 7,953,117.11 9.25
LIMITED DOCUMENTATION 32 3,551,036.62 4.13
OTHER 1 92,749.63 0.11
TOTAL: 888 85,970,467.26 100.00
CREDIT GRADE
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
GRADE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
A+ 12 1,846,209.40 2.15
A1 127 15,239,302.45 17.73
A2 385 39,538,483.23 45.99
B 183 15,949,961.28 18.55
C1 125 9,605,365.94 11.17
C2 55 3,733,165.82 4.34
D 1 57,979.14 0.07
TOTAL: 888 85,970,467.26 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you did not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately. 23
<PAGE>
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the adjustable rate home equity loans are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
PREPAYMENT PENALTIES
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
PENALTY LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NO 266 23,919,406.07 27.82
YES 622 62,051,061.19 72.18
TOTAL: 888 85,970,467.26 100.00
PREPAYMENT PENALTY TERM
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE
PENALTY TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -----------------------------------------------------------------------------------------------------------------------
0 265 23,856,438.50 27.75
12 21 3,031,819.80 3.53
24 92 11,485,458.51 13.36
36 123 11,688,662.00 13.60
42 2 144,836.95 0.17
60 385 35,763,251.50 41.60
TOTAL: 888 85,970,467.26 100.00
</TABLE>
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<PAGE>
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