<PAGE> 1
PROSPECTUS SUPPLEMENT
(TO PROSPECTUS DATED OCTOBER 30, 1997)
$925,000,000
(APPROXIMATE)
ADVANTA MORTGAGE LOAN TRUST 1998-2
$73,000,000 6.44% CLASS A-1 GROUP IA FIXED RATE CERTIFICATES
$41,000,000 6.12% CLASS A-2 GROUP IA FIXED RATE CERTIFICATES
$34,000,000 6.19% CLASS A-3 GROUP IA FIXED RATE CERTIFICATES
$17,000,000 6.31% CLASS A-4 GROUP IA FIXED RATE CERTIFICATES
$24,000,000 6.33% CLASS A-5 GROUP IA FIXED RATE CERTIFICATES
$27,000,000 6.63% CLASS A-6 GROUP IA FIXED RATE CERTIFICATES
$15,000,000 6.15% CLASS A-7 GROUP IA FIXED RATE CERTIFICATES
$9,000,000 6.36% CLASS A-8 GROUP IA FIXED RATE CERTIFICATES
$88,000,000 6.44% CLASS A-9 GROUP IB FIXED RATE CERTIFICATES
$61,000,000 6.12% CLASS A-10 GROUP IB FIXED RATE CERTIFICATES
$38,000,000 6.21% CLASS A-11 GROUP IB FIXED RATE CERTIFICATES
$28,000,000 6.33% CLASS A-12 GROUP IB FIXED RATE CERTIFICATES
$28,000,000 6.36% CLASS A-13 GROUP IB FIXED RATE CERTIFICATES
$36,000,000 6.65% CLASS A-14 GROUP IB FIXED RATE CERTIFICATES
$31,000,000 6.25% CLASS A-15 GROUP IB FIXED RATE CERTIFICATES
$180,000,000 CLASS A-16 GROUP IIA FLOATING RATE CERTIFICATES
$60,000,000 6.05% CLASS A-17 GROUP IIA FIXED RATE CERTIFICATES
$101,250,000 CLASS A-18 GROUP IIB FLOATING RATE CERTIFICATES
$33,750,000 6.05% CLASS A-19 GROUP IIB FIXED RATE CERTIFICATES
$55,000,000 5.00% CLASS F-I0 CERTIFICATES*
$93,750,000 5.00% CLASS A-I0 CERTIFICATES**
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-2
ADVANTA MORTGAGE CONDUIT SERVICES, INC. ADVANTA MORTGAGE CORP. USA
Sponsor of the Trust Master Servicer
THE ADVANTA MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-2 WILL
CONSIST OF (I) THE 6.44% CLASS A-1 GROUP 1A FIXED RATE CERTIFICATES (THE "CLASS
A-1 CERTIFICATES"), THE 6.12% CLASS A-2 GROUP IA FIXED RATE CERTIFICATES (THE
"CLASS A-2 CERTIFICATES"), THE 6.19% CLASS A-3 GROUP IA FIXED RATE CERTIFICATES
(THE "CLASS A-3 CERTIFICATES"), THE 6.31% CLASS A-4 GROUP IA FIXED RATE
CERTIFICATES (THE "CLASS A-4 CERTIFICATES"), THE 6.33% CLASS A-5 GROUP IA FIXED
RATE CERTIFICATES (THE "CLASS A-5 CERTIFICATES"), THE 6.63% CLASS A-6 GROUP IA
FIXED RATE CERTIFICATES (THE "CLASS A-6 CERTIFICATES"), THE 6.15% CLASS A-7
GROUP IA FIXED RATE CERTIFICATES (THE "CLASS A-7 CERTIFICATES") AND THE 6.36%
CLASS A-8 GROUP IA FIXED RATE CERTIFICATES (THE "CLASS A-8 CERTIFICATES")
(COLLECTIVELY, THE "GROUP IA CERTIFICATES"), (II) THE 6.44% CLASS A-9 GROUP IB
FIXED RATE CERTIFICATES (THE "CLASS A-9 CERTIFICATES"), THE 6.12% CLASS A-10
GROUP IB FIXED RATE CERTIFICATES (THE "CLASS A-10 CERTIFICATES"), THE 6.21%
CLASS A-11 GROUP IB FIXED RATE CERTIFICATES (THE "CLASS A-11 CERTIFICATES"), THE
6.33% CLASS A-12 GROUP IB FIXED RATE CERTIFICATES (THE "CLASS A-12
CERTIFICATES"), THE 6.36% CLASS A-13 GROUP IB FIXED RATE CERTIFICATES (THE
"CLASS A-13 CERTIFICATES"), THE 6.65% CLASS A-14 GROUP IB FIXED RATE
CERTIFICATES (THE "CLASS A-14 CERTIFICATES") AND THE 6.25% CLASS A-15 GROUP IB
FIXED RATE CERTIFICATES (THE "CLASS A-15 CERTIFICATES") (COLLECTIVELY, THE
"GROUP IB CERTIFICATES"), (III) THE CLASS A-16 GROUP IIA FLOATING RATE
CERTIFICATES (THE "CLASS A-16 CERTIFICATES") AND THE 6.05% CLASS A-17 GROUP IIA
FIXED RATE CERTIFICATES (THE "CLASS A-17 CERTIFICATES") (COLLECTIVELY, THE
"GROUP IIA CERTIFICATES"), (IV) THE CLASS A-18 GROUP IIB FLOATING RATE
CERTIFICATES (THE "CLASS A-18 CERTIFICATES," AND TOGETHER WITH THE CLASS A-16
CERTIFICATES, THE "FLOATING RATE CERTIFICATES") AND THE 6.05% CLASS A-19 GROUP
IIB FIXED RATE CERTIFICATES (THE "CLASS A-19 CERTIFICATES,") (COLLECTIVELY THE
"GROUP IIB CERTIFICATES"), (V) THE 5.00% CLASS F-I0 CERTIFICATES (THE "CLASS
F-I0 CERTIFICATES"), (VI) THE 5.00% CLASS A-I0 CERTIFICATES (THE "CLASS A-I0
CERTIFICATES," AND TOGETHER WITH THE GROUP IA CERTIFICATES, THE GROUP IB
CERTIFICATES, THE CLASS A-17 CERTIFICATES, THE CLASS A-19 CERTIFICATES AND THE
CLASS F-I0 CERTIFICATES, THE "FIXED RATE CERTIFICATES") AND (VII) THE RESIDUAL
CLASS WITH RESPECT TO EACH REMIC HELD BY THE TRUST (THE "CLASS R CERTIFICATES").
THE FLOATING RATE CERTIFICATES AND THE FIXED RATE CERTIFICATES TOGETHER ARE
REFERRED TO AS THE "CLASS A CERTIFICATES." ONLY THE GROUP IA CERTIFICATES, THE
GROUP IIA CERTIFICATES, THE CLASS F-I0 CERTIFICATES AND THE CLASS A-I0
CERTIFICATES (COLLECTIVELY, THE "UNDERWRITTEN CERTIFICATES") CURRENTLY ARE
AVAILABLE FOR PURCHASE.
(COVER CONTINUED ON NEXT PAGE)
<PAGE> 2
SEE "RISK FACTORS" AT PAGE S-32 HEREIN AND AT PAGE 14 IN THE PROSPECTUS,
FOR A DISCUSSION OF CERTAIN RISK FACTORS WHICH SHOULD BE CONSIDERED BY
PROSPECTIVE INVESTORS IN THE CLASS A CERTIFICATES OFFERED HEREBY.
THE CLASS A CERTIFICATES REPRESENT BENEFICIAL INTERESTS ONLY IN THE TRUST
CREATED BY THE POOLING AND SERVICING AGREEMENT AND DO NOT REPRESENT INTERESTS IN
OR OBLIGATIONS OF ADVANTA MORTGAGE CONDUIT SERVICES, INC., ADVANTA MORTGAGE
CORP. USA, THE TRUSTEE, OR ANY ORIGINATOR NEITHER THE CLASS A CERTIFICATES NOR
THE MORTGAGE LOANS ARE INSURED OR GUARANTEED BY ANY GOVERNMENTAL AGENCY.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS. ANY
REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
MORGAN STANLEY DEAN WITTER
LEHMAN BROTHERS
PRUDENTIAL SECURITIES INCORPORATED
June 11, 1998
S-2
<PAGE> 3
The Underwritten Certificates will be offered by the Underwriters from
time to time to the public in negotiated transactions or otherwise at varying
prices to be determined at the time of the related sale. Proceeds to the Sponsor
are anticipated to be approximately $491,149,050 from the sale of the
Underwritten Certificates, plus accrued interest if any, at the applicable
Pass-Through Rate before deducting expenses payable to the Sponsor, estimated to
be $500,000. The Underwriters have agreed to reimburse the Sponsor with respect
to certain of such expenses.
The Underwritten Certificates are offered subject to receipt and
acceptance by the underwriters (the "Underwriters") and to the Underwriters'
right to reject any order in whole or in part and to withdraw, cancel or modify
the offer without notice. It is expected that delivery of the Underwritten
Certificates in book-entry form will be made on or about June 22, 1998 only
through The Depository Trust Company ("DTC"), the Euroclear System ("Euroclear")
and CEDEL, S.A. ("CEDEL").
The Group IB Certificates and the Group IIB Certificates will be delivered
by the Trust to Advanta National Bank in consideration for the sale of its
Mortgage Loans to the Trust, which comprise the Group IB Pool and the Group IIB
Pool. The Group IB Certificates and the Group IIB Certificates may be resold
from time to time in negotiated transactions at varying prices to be determined
at the time of the related resale. This Prospectus Supplement and the
accompanying Prospectus also cover the resale of the Group IB Certificates and
the Group IIB Certificates from time to time by Advanta National Bank or its
affiliates.
* Owners of the Class F-IO Certificates will be purchasing two separate
interests, which interests are represented by the component I certificate ("F-IO
Component I") and the component II certificate ("F-IO Component II"),
respectively. The interest on F-IO Component I will be calculated on the basis
of a notional principal balance equal to the aggregate outstanding Principal
Balances of the Class A-7 Certificates and the Class A-8 Certificates for the
initial 30 Payment Dates (the "Component I Class F-IO Notional Principal
Balance"). The interest on F-IO Component II will be calculated on the basis of
a notional principal balance equal to the aggregate outstanding Principal
Balance of the Class A-15 Certificates for the initial 30 Payment Dates (the
"Component II Class F-IO Notional Principal Balance", and together with the
Component I Class F-IO Notional Principal Balance, the "Class F-IO Notional
Principal Balance"). The owners of the Class F-IO Certificates will receive no
distributions after the 30th Payment Date. Unless otherwise specified,
references to the Class F-IO Certificates hereinafter shall be deemed to mean
F-IO Component I and F-IO Component II together and such components are not
separately tradeable.
** Owners of the Class A-IO Certificates will be purchasing two separate
interests, which interests are represented by the component I certificate (A-IO
Component I") and the component II certificate ("A-IO Component II"),
respectively. The interest on A-IO Component I will be calculated on the basis
of a notional principal balance equal to the aggregate outstanding Principal
Balance of the Class A-17 Certificates for the initial 14 Payment Dates (the
"Component I Class A-IO Notional Principal Balance"). The interest on A-IO
Component II will be calculated on the basis of a notional principal balance
equal to the aggregate outstanding Principal Balance of the Class A-19
Certificates for the initial 14 Payment Dates (the "Component II Class A-IO
Notional Principal Balance", and together with the Component I Class A-IO
Notional Principal Balance, the "Class A-IO Notional Principal Balance"). The
owners of the Class A-IO Certificates will receive no distributions after the
14th Payment Date. Unless otherwise specified, references to the Class A-IO
Certificates hereinafter shall be deemed to mean A-IO Component I and A-IO
Component II together and such components are not separately tradeable.
The Class A Certificates will represent ownership interests in all monies
due under the mortgage loans (the "Mortgage Loans") on or after June 1, 1998
(the "Cut-Off Date"), security interests in the properties which secure the
Mortgage Loans, funds on deposit in certain trust accounts and certain other
property. On or prior to the Closing Date, the Sponsor will acquire the Mortgage
Loans from certain affiliated and unaffiliated originators (respectively, the
"Affiliated Originators" and the "Unaffiliated Originators") as described
herein. The Trust will be created pursuant to a Pooling and Servicing Agreement
(the "Pooling and Servicing Agreement") to be dated as of June 1, 1998, among
the Master Servicer, the Sponsor and Bankers Trust Company of California, N.A.,
as Trustee (the "Trustee").
The assets of the Trust also will include a certificate guaranty insurance
policy (the "Insurance Policy") from Ambac Assurance Corporation, (the
"Insurer") which will unconditionally and irrevocably guarantee payment of
amounts due to the Owners of the Class A Certificates to the extent described
herein.
The information in this Prospectus Supplement is qualified in its entirety
by the more detailed information appearing or incorporated by reference in the
accompanying Prospectus. Prior to making an investment decision with respect to
the Class A Certificates offered hereby, prospective investors should carefully
consider the information contained in this Prospectus Supplement and the
Prospectus.
There currently is no secondary market for the Underwritten Certificates.
The Underwriters intend to make a market in the Underwritten Certificates but
have no obligation to do so. There is no assurance that one will develop or, if
one does develop, that it will continue until the Notes are paid in full.
S-3
<PAGE> 4
CERTAIN PERSONS PARTICIPATING IN THIS OFFERING MAY ENGAGE IN TRANSACTIONS THAT
AFFECT THE PRICE OF THE CLASS A CERTIFICATES. SUCH TRANSACTIONS MAY INCLUDE THE
PURCHASE OF CERTIFICATES TO COVER SYNDICATE SHORT POSITIONS. FOR A DESCRIPTION
OF THESE TRANSACTIONS, SEE "UNDERWRITING".
Until 90 days from the date of this Prospectus Supplement, all dealers
effecting transactions in the Class A Certificates, whether or not participating
in this distribution, may be required to deliver a prospectus and a prospectus
supplement. This is in addition to the obligation of dealers to deliver a
prospectus and a prospectus supplement when acting as underwriters and with
respect to their unsold allotments or subscriptions.
S-4
<PAGE> 5
NO DEALER, SALESPERSON OR OTHER PERSON HAS BEEN AUTHORIZED TO GIVE ANY
INFORMATION OR TO MAKE ANY REPRESENTATIONS NOT CONTAINED IN THIS PROSPECTUS
SUPPLEMENT AND THE PROSPECTUS AND, IF GIVEN OR MADE, SUCH INFORMATION OR
REPRESENTATIONS MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE SPONSOR
OR BY THE UNDERWRITERS. THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS DO NOT
CONSTITUTE AN OFFER TO SELL, OR A SOLICITATION OF AN OFFER TO BUY, THE
SECURITIES OFFERED HEREBY TO ANYONE IN ANY JURISDICTION IN WHICH THE PERSON
MAKING SUCH OFFER OR SOLICITATION IS NOT QUALIFIED TO DO SO TO ANYONE TO WHOM IT
IS UNLAWFUL TO MAKE ANY SUCH OFFER OR SOLICITATION. NEITHER THE DELIVERY OF THIS
PROSPECTUS SUPPLEMENT NOR ANY SALE MADE HEREUNDER SHALL, UNDER ANY
CIRCUMSTANCES, CREATE AN IMPLICATION THAT INFORMATION HEREIN OR THEREIN IS
CORRECT AS OF ANY TIME SINCE THE DATE OF THIS PROSPECTUS SUPPLEMENT OR THE
PROSPECTUS.
S-5
<PAGE> 6
AVAILABLE INFORMATION
The Sponsor has filed a Registration Statement under the Securities Act of 1933,
as amended (the "1933 Act"), with the Securities and Exchange Commission (the
"Commission") on behalf of the Trust with respect to the Class A Certificates
offered pursuant to the Prospectus dated October 30, 1997 and this Prospectus
Supplement. For further information, reference is made to the Registration
Statement and amendments thereof and to the exhibits thereto, which are
available for inspection without charge at the public reference facilities
maintained by the Commission at 450 Fifth Street, N.W., Washington, D.C. 20549;
7 World Trade Center, 13th Floor, New York, New York 10048; and at The
Northwestern Atrium Center, 500 West Madison Street, Suite 1400, Chicago,
Illinois 60661. The Commission maintains a site on the World Wide Web at
http://www.sec.gov containing reports, proxy materials, information statements
and other items. Copies of the Registration Statement and amendments thereof and
exhibits thereto may be obtained from the Public Reference Section of the
Commission, 450 Fifth Street, N.W., Washington, D.C. 20549 at prescribed rates.
REPORTS TO THE CERTIFICATE HOLDERS
So long as the Class A Certificates are in book-entry form, monthly and
annual reports concerning the Certificates and the Trust will be sent by the
Trustee to Cede & Co., as the nominee of DTC and as registered holder of the
Class A Certificates pursuant to the Pooling and Servicing Agreement. DTC will
supply such reports to Beneficial Owners in accordance with its procedures. See
"Risk Factors," "Description of the Securities -- Form of Securities" and " --
Reports to Securityholders" in the Prospectus. To the extent required by the
Securities Exchange Act of 1934, as amended, the Trust will provide financial
information to the Owners which has been examined and reported upon, with an
opinion expressed by an independent public accountant; to the extent not so
required, such financial information will be unaudited. The Trust will be formed
to own the Mortgage Loans, and to issue the Certificates. The Trust will have no
assets or obligations prior to issuance of the Certificates and will engage in
no activities other than those described herein. Accordingly, no financial
statements with respect to the Trust are included in this Prospectus Supplement.
INCORPORATION OF CERTAIN DOCUMENTS BY REFERENCE
The consolidated financial statements of Ambac Assurance Corporation
("Ambac" or the "Insurer") and its subsidiaries as of December 31, 1997 and
December 31, 1996 and for the three years ended December 31, 1997, prepared in
accordance with generally accepted accounting principles, included in the Annual
Report on Form 10-K of Ambac Financial Group, Inc. (which was filed with the
Commission on March 31, 1998, Commission File No. 1-10777) and the consolidated
financial statements of Ambac and its subsidiaries as of March 31, 1998 and for
the periods ending March 31, 1998 and March 31, 1997 included in the Quarterly
Report on Form 10-Q of Ambac Financial Group, Inc. for the period ended March
31, 1998 (which was filed with the Commission on May 15, 1998) are hereby
incorporated by reference into this Prospectus Supplement and shall be deemed to
be a part hereof. Any statement contained in a document incorporated herein by
reference shall be modified or superseded for the purposes of this Prospectus
Supplement to the extent that a statement contained herein by reference herein
also modifies or supersedes such statement. Any statement so modified or
superseded shall not be deemed, except as so modified or superseded, to
constitute a part of this Prospectus Supplement.
All financial statements of Ambac and its subsidiaries included in
documents filed by Ambac Financial Group, Inc. with the Commission pursuant to
Section 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934, as
amended, subsequent to the date of this Prospectus Supplement and prior to the
termination of the offering of the Class A Certificates shall be deemed to be
incorporated by reference into this Prospectus Supplement and to be a part
hereof from the respective dates of filing such documents.
The Sponsor will provide, without charge, to any person to whom this
Prospectus Supplement is delivered, upon oral or written request of such person,
a copy of any or all of the foregoing financial statements incorporated by
reference. Requests for such copies should be sent to Advanta Mortgage Conduit
Services, Inc., Attention: Law Department, 500 Office Center Drive, Suite 400,
Fort Washington, Pennsylvania 19304, (215) 283-4200.
S-6
<PAGE> 7
SUMMARY
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus Supplement and in
the Prospectus. Reference is made to the Index of Principal Defined Terms for
the location in the Prospectus of the definitions of certain capitalized terms.
Issuer Advanta Mortgage Loan Trust 1998-2 (the
"Trust").
Sponsor Advanta Mortgage Conduit Services, Inc.
("Advanta Conduit Services"), a Delaware
corporation. The Sponsor's principal
executive offices are located at 16875 West
Bernardo Drive, San Diego, California
92127, and its phone number is (619)
674-1800.
Master Servicer Advanta Mortgage Corp. USA, a Delaware
corporation. The Master Servicer's
principal executive offices are located at
16875 West Bernardo Drive, San Diego,
California 92127.
Originators The Mortgage Loans to be acquired by the
Trust from the Sponsor will be acquired by
the Sponsor from Affiliated Originators or
from one or more Unaffiliated Originators.
Insurer Ambac Assurance Corporation, a
Wisconsin-domiciled stock insurance company.
Trustee Bankers Trust Company of California, N.A., a
national banking association (the
"Trustee").
Cut-Off Date June 1, 1998 (opening of business).
Statistic Calculation Date June 1, 1998 (opening of business).
Closing Date June 22, 1998.
The Certificates The Mortgage Loan Asset-Backed
Certificates, Series 1998-2 (the
"Certificates") will consist of the Class A
Certificates and the Class R Certificates;
only the Underwritten Certificates are
available for purchase. The Group IB
Certificates and the Group IIB Certificates
will be delivered by the Trust to Advanta
National Bank in consideration for the sale
of its Mortgage Loans to the Trust. This
Prospectus Supplement and the accompanying
Prospectus also cover the resale of the
Group IB Certificates and the Group IIB
Certificates from time to time by Advanta
National Bank or its affiliates. The
Certificates will be issued pursuant to the
Pooling and Servicing Agreement. Only the
Underwritten Certificates are available for
purchase.
S-7
<PAGE> 8
The assets of the Trust will include four
pools of closed-end mortgage loans secured
by mortgages on one- to- four family
residential properties to be conveyed to the
Trust on the Closing Date. All of the
Mortgage Loans in Group IA (the "Group IA
Pool") consist of fixed rate, first- and
second-lien Mortgage Loans owned by Advanta
Conduit Services or its non-bank affiliates.
All of the Mortgage Loans in Group IB (the
"Group IB Pool," and together with the Group
IA Pool, the "Fixed Rate Group") consist of
fixed rate, first-lien Mortgage Loans owned
by Advanta National Bank. All of the Group
IIA Mortgage Loans (the "Group IIA Pool")
consist of adjustable rate, first-lien
Mortgage Loans owned by Advanta Conduit
Services or its non-bank affiliates. All of
the Group IIB Mortgage Loans (the "Group IIB
Pool," and together with the Group IIA Pool,
the "Adjustable Rate Group") consist of
adjustable rate, first-lien loans owned by
Advanta National Bank. All of the loans have
remaining terms to maturity equal to or less
than 30 years.
The Class A Certificates are issuable in
original principal amounts of $1,000 and
integral multiples thereof, except that one
certificate for each Class (as defined
below) of Class A Certificates may be issued
in a lesser amount.
Pass-Through Rates
and Balances $925,000,000 Mortgage Loan Asset-Backed
Certificates, Series 1998-2, to be issued
in the following Classes (each, a "Class")
and the original Certificate Principal
Balances (each, a "Certificate Principal
Balance"), as set forth below:
S-8
<PAGE> 9
<TABLE>
<CAPTION>
Original
Pass-Through Certificate
Class Rate Balance
----- ------------ -----------
<S> <C> <C>
Class A-1 6.44% $ 73,000,000
Class A-2 6.12% $ 41,000,000
Class A-3 6.19% $ 34,000,000
Class A-4 6.31% $ 17,000,000
Class A-5 6.33% $ 24,000,000
Class A-6 6.63%(1) $ 27,000,000
Class A-7 6.15% $ 15,000,000
Class A-8 6.36%(2) $ 9,000,000
Class A-9 6.44% $ 88,000,000
Class A-10 6.12% $ 61,000,000
Class A-11 6.21% $ 38,000,000
Class A-12 6.33% $ 28,000,000
Class A-13 6.36% $ 28,000,000
Class A-14 6.65%(3) $ 36,000,000
Class A-15 6.25%(4) $ 31,000,000
Class A-16 (5) $180,000,000
Class A-17 6.05%(6) $ 60,000,000
Class A-18 (7) $101,250,000
Class A-19 6.05%(8) $ 33,750,000
Class F-IO 5.00% (9)
Class A-IO 5.00% (10)
</TABLE>
(1) The Pass-Through Rate with respect to the Class A-6
Certificates will on any Payment Date equal the lesser of (x)
with respect to any Payment Date prior to the Clean-Up Call
Date, 6.63% per annum, and for any Payment Date thereafter,
7.38% per annum (the "Class A-6 Formula Rate") and (y) the
Group IA Available Funds Cap Rate applicable to such Payment
Date.
(2) The Pass-Through Rate with respect to the Class A-8
Certificates will on any Payment Date equal the lesser of (x)
with respect to any Payment Date prior to the Clean-Up Call
Date, 6.36% per annum, and for any Payment Date thereafter,
7.11% per annum (the "Class A-8 Formula Rate") and (y) the
Group IA Available Funds Cap Rate applicable to such Payment
Date.
(3) The Pass-Through Rate with respect to the Class A-14
Certificates will on any Payment Date equal the lesser of (x)
with respect to any Payment Date prior to the Clean-Up Call
Date, 6.65% per annum, and for any Payment Date thereafter,
7.40% per annum (the "Class A-14 Formula Rate") and (y) the
Group IB Available Funds Cap Rate applicable to such Payment
Date.
S-9
<PAGE> 10
(4) The Pass-Through Rate with respect to the Class A-15
Certificates will on any Payment Date equal the lesser of (x)
with respect to any Payment Date prior to the Clean-Up Call
Date, 6.25% per annum, and for any Payment Date thereafter,
7.00% per annum (the "Class A-15 Formula Rate") and (y) the
Group IB Available Funds Cap Rate applicable to such Payment
Date.
(5) On each Payment Date, the "Class A-16 Pass-Through Rate"
will be equal to the lesser of (x) with respect to any Payment
Date which occurs on or prior to the Clean-up Call Date (as
defined herein), LIBOR plus 0.16% per annum and for any
Payment Date thereafter, LIBOR plus 0.32% per annum (the
"Class A-16 Formula Rate"), and (y) the Group IIA Available
Funds Cap Rate applicable to such Payment Date.
(6) The Pass-Through Rate with respect to the Class A-17
Certificates will on any Payment Date equal the lesser of (x)
the Pass-Through Rate for such Class set forth above (the
"Class A-17 Pass-Through Formula Rate") and (y) the Group IIA
Available Funds Cap Rate applicable to such Payment Date.
(7) On each Payment Date, the "Class A-18 Pass-Through Rate"
will be equal to the lesser of (x) with respect to any Payment
Date which occurs on or prior to the Clean-up Call Date (as
defined herein), LIBOR plus 0.16% per annum and for any
Payment Date thereafter, LIBOR plus 0.32% per annum (the
"Class A-18 Formula Rate"), and (y) the Group IIB Available
Funds Cap Rate applicable to such Payment Date.
(8) The Pass-Through Rate with respect to the Class A-19
Certificates will on any Payment Date equal the lesser of (x)
the Pass-Through Rate for such Class set forth above (the
"Class A-19 Formula Pass-Through Rate") and (y) the Group IIB
Available Funds Cap Rate applicable to such Payment Date.
(9) Interest will be calculated on the Class F-IO Certificates
on each Payment Date on the basis of the Class F-IO Notional
Principal Balance equal to (x) for the first 30 Payment Dates,
the sum of the outstanding Certificate Principal Balances of
the Class A-7, Class A-8 and Class A-15 Certificates and (y)
thereafter, zero, with the result that the Owners of the Class
F-IO Certificates will receive no distributions after the 30th
Payment Date. Reference to the Class F-IO Notional Principal
Balance of the Class F-IO Certificates is solely for
convenience with respect to certain calculations and does not
represent the right to receive any distribution allocable to
principal.
(10) Interest will be calculated on the Class A-IO
Certificates on each Payment Date on the basis of the Class
A-IO Notional Principal Balance equal to (x) for the first 14
Payment Dates, the sum of the outstanding Certificate
Principal Balances of the Class A-17 and Class A-19
Certificates and (y) thereafter, zero, with the result that
the Owners of the Class A-IO Certificates will receive no
distributions after the 14th Payment Date. Reference to the
Class A-IO Notional Principal Balance of the Class A-IO
Certificates is solely for convenience with respect to certain
calculations and does not represent the right to receive any
distribution allocable to principal.
The "Group IA Available Funds Cap Rate," as of any Payment
Date, is an amount, expressed as a per annum rate, equal to
(A)(i) the aggregate amount of interest due and
S-10
<PAGE> 11
collected (or advanced) on all of the Mortgage Loans in the
Group IA Pool for the related Remittance Period minus (ii) the
aggregate of the Servicing Fee, the Premium and the Trustee's
Fee, in each case relating to the Group IA Pool, on such
Payment Date, divided by (B) the aggregate outstanding
Certificate Principal Balance of the Mortgage Loans in the
Group IA Pool immediately prior to such Payment Date,
calculated on the basis of a 360-day year assumed to consist
of twelve 30-day months. As of any date of determination, the
"Principal Balance" with respect to each Mortgage Loan, is the
outstanding principal balance thereof.
The "Group IB Available Funds Cap Rate," as of any Payment
Date, is an amount, expressed as a per annum rate, equal to
(A) (i) the aggregate amount of interest due and collected (or
advanced) on all of the Mortgage Loans in the Group IB Pool
for the related Remittance Period minus (ii) the aggregate of
the Servicing Fee, the Premium and the Trustee's Fee, in each
case relating to the Group IB Pool, on such Payment Date,
divided by (B) the aggregate Principal Balance of the Mortgage
Loans in the Group IB Pool immediately prior to such Payment
Date, calculated on the basis of a 360-day year assumed to
consist of twelve 30-day months.
The "Group IIA Available Funds Cap Rate," as of any Payment
Date, is an amount, expressed as a per annum rate, equal to
the lesser of (x) the Group IIA Maximum Rate and (y) (a)(i)
the aggregate amount of interest due and collected (or
advanced) on all of the Mortgage Loans in the Group IIA Pool
for the related Remittance Period minus (ii) the aggregate of
the Servicing Fee, the Premium and the Trustee's Fee, in each
case relating to the Group IIA Pool, on such Payment Date
minus (iii) the Group IIA Pool Class A-IO Interest, divided by
(b) the aggregate Principal Balance of the Mortgage Loans in
Group IIA immediately prior to such Payment Date, calculated
on the basis of a 360-day year and the actual number of days
elapsed (except with respect to the portion of the Group IIA
Pool relating to the Class A-17 Certificates, which shall be
calculated on the basis of a 360-day year assumed to consist
of twelve 30-day months), minus (c) commencing on the seventh
Payment Date, 0.50%. The "Group IIA Pool Class A-IO Interest"
shall be an amount equal to (a) the aggregate outstanding
Certificate Principal Balance of the Class A-17 Certificates
divided by (b) the Class A-IO Notional Principal Balance,
multiplied by the Class A-IO Interest Amount.
S-11
<PAGE> 12
The "Group IIA Maximum Rate" for any Payment Date is an
amount, expressed as a per annum rate, equal to (a)(i) the
aggregate amount due and collected (or advanced) on all of the
Mortgage Loans in Group IIA for the related Remittance Period
(using such Mortgage Loans' maximum lifetime Coupon Rate)
minus (ii) the aggregate of the Servicing Fee, the Premium and
the Trustee's Fee, in each case relating to Group IIA, on such
Payment Date divided by (b) the aggregate Principal Balance of
the Mortgage Loans in Group IIA as of the beginning of such
related Remittance Period, calculated on the basis of a
360-day year and the actual number of days elapsed (except
with respect to the portion of the Group IIA Pool relating to
the Class A-17 Certificates, which shall be calculated on the
basis of a 360-day year assumed to consist of twelve 30-day
months).
The excess, if any, of (x) the interest due on the Class A-16
Certificates on any Payment Date calculated at the lesser of
(1) the related Pass-Through Rate applicable to such Payment
Date or (2) the Group IIA Maximum Rate applicable to such
Payment Date over (y) the interest due on such Class
calculated at the Group IIA Available Funds Cap Rate
applicable to such Payment Date is the "Supplemental Interest
Amount" applicable to such Class for such Payment Date.
If, on any Payment Date, there is a Supplemental Interest
Amount due, the Owners of certain of the Class R Certificates
have agreed to pay such amount from the sources of funds
specified in the Pooling and Servicing Agreement, including
amounts which would otherwise be distributed to such Owners by
the Trust on such Payment Date. If the full amount of any
Supplemental Interest Amount is not paid on a Payment Date,
then the unpaid amount will accrue interest at the lesser of
(a) the applicable Group Maximum Rate or (b) the applicable
Pass-Through Rate until such amount is paid. If the Master
Servicer, acting directly or through a permitted designee,
exercises its right to an optional termination ("Optional
Termination"), none of the Supplemental Interest Amounts may
be paid in full. If more than one Class of Certificates have
Supplemental Interest Amounts then due, funds available to pay
such Supplemental Interest Amounts, with respect to each
Group, shall first be applied to pay in full the Supplemental
Interest Amount with respect to the most senior Class of
Certificates in such Group having Supplemental Interest
Amounts due. Such Supplemental Interest Amounts are not
covered by the Insurance Policy.
S-12
<PAGE> 13
The "Group IIB Available Funds Cap Rate," as of any Payment
Date, is an amount, expressed as a per annum rate, equal to
the lesser of (x) the Group IIB Maximum Rate and (y) (a)(i)
the aggregate amount of interest due and collected (or
advanced) on all of the Mortgage Loans in the Group IIB Pool
for the related Remittance Period minus (ii) the aggregate of
the Servicing Fee, the Premium and the Trustee's Fee, in each
case relating to the Group IIB Pool, on such Payment Date
minus (iii) the Group IIB Pool Class A-IO Interest, divided by
(b) the aggregate Principal Balance of the Mortgage Loans in
Group IIB immediately prior to such Payment Date, calculated
on the basis of a 360-day year and the actual number of days
elapsed (except with respect to the portion of the Group IIB
Pool relating to the Class A-19 Certificates, which shall be
calculated on the basis of a 360-day year assumed to consist
of twelve 30-day months), minus (c) commencing on the seventh
Payment Date, 0.50%. The "Group IIB Pool Class A-IO Interest"
shall be an amount equal to (a) the aggregate outstanding
Certificate Principal Balance of the Class A-19 Certificates
divided by (b) the Class A-IO Notional Principal Balance,
multiplied by the Class A-IO Interest Amount.
The "Group IIB Maximum Rate" for any Payment Date is an
amount, expressed as a per annum rate, equal to (a)(i) the
aggregate amount due and collected (or advanced) on all of the
Mortgage Loans in Group IIB for the related Remittance Period
(using such Mortgage Loans' maximum lifetime Coupon Rate)
minus (ii) the aggregate of the Servicing Fee, the Premium and
the Trustee's Fee, in each case relating to Group IIB, on such
Payment Date divided by (b) the aggregate Principal Balance of
the Mortgage Loans in Group IIB as of the beginning of such
related Remittance Period, calculated on the basis of a
360-day year and the actual number of days elapsed (except
with respect to the portion of the Group IIB Pool relating to
the Class A-19 Certificates, which shall be calculated on the
basis of a 360-day year assumed to consist of twelve 30-day
months).
The excess, if any, of (x) the interest due on the Class A-18
Certificates on any Payment Date calculated at the lesser of
(1) the related Pass-Through Rate applicable to such Payment
Date or (2) the Group IIB Maximum Rate applicable to such
Payment Date over (y) the interest due on such Class
calculated at the Group IIB Available Funds Cap Rate
applicable to such Payment Date is the "Supplemental Interest
Amount" applicable to such Class for such Payment Date.
S-13
<PAGE> 14
If, on any Payment Date, there is a Supplemental
Interest Amount due, the Owners of certain of the Class
R Certificates have agreed to pay such amount from the
sources of funds specified in the Pooling and Servicing
Agreement, including amounts which would otherwise be
distributed to such Owners by the Trust on such Payment
Date. If the full amount of any Supplemental Interest
Amount is not paid on a Payment Date, then the unpaid
amount will accrue interest at the lesser of (a) the
applicable Group Maximum Rate or (b) the applicable
Pass-Through Rate until such amount is paid. If the
Master Servicer, acting directly or through a permitted
designee, exercises its right to an Optional
Termination, none of the Supplemental Interest Amounts
may be paid in full. If more than one Class of
Certificates have Supplemental Interest Amounts then
due, funds available to pay such Supplemental Interest
Amounts, with respect to each Group, shall first be
applied to pay in full the Supplemental Interest Amount
with respect to the most senior Class of Certificates in
such Group having Supplemental Interest Amounts due.
Such Supplemental Interest Amounts are not covered by
the Insurance Policy.
On any date after the Closing Date, the "Aggregate
Certificate Principal Balance" is the sum of the
Certificate Principal Balance of all Classes of the
Class A Certificates. The Aggregate Certificate
Principal Balance for a particular Mortgage Loan Group
is the sum of the Certificate Principal Balances of all
Classes of the Class A Certificates relating to such
Group.
The Mortgage Loans The statistical information presented in this Prospectus
Supplement concerning the pools of Mortgage Loans is as
of the opening of business on June 1, 1998 (such date,
the "Statistic Calculation Date"). The aggregate
principal balance as of the Statistic Calculation Date
for the Group IA Pool is $232,245,797.50, for the Group
IB Pool is $276,197,885.07, for the Group IIA Pool is
$234,288,645.23, and with respect to the Group IIB Pool
is $121,593,867.92. The Sponsor expects that the actual
pools as of the Closing Date will represent
approximately $240,000,000 in Mortgage Loans in the
Group IA Pool, $310,000,000 in Mortgage Loans in the
Group IB Pool, $240,000,000 in Mortgage Loans in the
Group IIA Pool and $135,000,000 in Mortgage Loans in the
Group IIB Pool. The additional Mortgage Loans will
represent Mortgage Loans acquired or to be acquired by
the Sponsor prior to the Closing Date. In addition, with
respect to the pools as of the Statistic Calculation
Date as to which statistical information is presented
herein, some amortization of the
S-14
<PAGE> 15
Mortgage Loans in such pools will occur prior to the
Closing Date. Certain loans included in the pools as of
the Statistic Calculation Date may prepay in full, or
may be determined not to meet the eligibility
requirements for the final pools and as a result may not
be included in the final pools. As a result of the
foregoing, the statistical distribution of such
characteristics as of the Closing Date in the final
Mortgage Loan pools will vary somewhat from the
statistical distribution of such characteristics as of
the Statistic Calculation Date as presented in this
Prospectus Supplement, although such variance will not
be material. In the event that the Sponsor does not, as
of the Closing Date, have the full amount of Mortgage
Loans which the Sponsor expects to sell to the Trust on
such date, (i.e., approximately $240,000,000 with
respect to the Group IA Pool, $310,000,000 with respect
to the Group IB Pool, $240,000,000 with respect to the
Group IIA Pool and $135,000,000 with respect to the
Group IIB Pool) the Sponsor will reduce the size of the
offering; the Sponsor does not expect that the original
principal amount of any class will increase or decrease
by more than 5% as a result of such non-delivery. Even
if the full expected amount of Mortgage Loans is
delivered, certain adjustments (plus or minus 5%) may
occur among the Class sizes.
Unless otherwise noted, all statistical percentages in
this Prospectus Supplement are measured by the aggregate
principal balance of the related Mortgage Loans as of
the Statistic Calculation Date.
S-15
<PAGE> 16
The Mortgage Loans will be predominantly home equity
loans, i.e., loans used (x) to refinance an existing
mortgage loan on more favorable terms, (y) to
consolidate debt, or (z) to obtain cash proceeds by
borrowing against the Mortgagor's equity in the related
Mortgaged Property. The Mortgage Loans to be sold to the
Trust by the Sponsor consisted, as of the Statistic
Calculation Date, of the following number of Mortgages
and the related Notes on one-to-four family residential
properties, including investment properties (which may
be condominiums, townhouses or homes in one- to- four
family residences):
NUMBER OF NUMBER OF
POOL MORTGAGE LOANS STATES
---- -------------- ---------
Group IA 3,598 49*
Group IB 4,163 50*
Group IIA 2,498 48
Group IIB 1,455 48*
* Includes District of Columbia
All of the Mortgage Loans in the Group IB Pool and the
Group IIB Pool are secured Mortgages, all of which are
first mortgages or deeds of trusts. The Group IA Pool
Mortgage Loans are secured by Mortgages of which 94.38%
by principal balance as of the Statistic Calculation
Date are secured by first mortgages or deeds of trust
and 5.62% by principal balance as of the Statistic
Calculation Date are secured by junior mortgages or
deeds of trust. The Group IIA Pool Mortgage Loans are
secured by Mortgages of which 100% by principal balance
as of the Statistic Calculation Date are secured by
first mortgages or deeds of trust. The Mortgage Loans
are all closed-end mortgage loans in that the mortgagee
is not required to make future advances thereunder.
Less than 0.06% of the Mortgage Loans are insured by
primary mortgage insurance policies. There is no pool
insurance insuring any of the Mortgage Loans.
The Mortgage Loans are not guaranteed by the Sponsor,
the Master Servicer, any Affiliated Originator or
Unaffiliated Originator or any of their respective
affiliates. The Mortgage Loans are required to be
serviced by the Master Servicer in accordance with
accepted servicing practices and with reasonable care,
using that degree of skill and attention that the Master
Servicer exercises with respect to comparable mortgage
loans that it services for itself and others. See
"Description of the Securities -- Collection and Other
Servicing Procedures" in the Prospectus.
S-16
<PAGE> 17
Final Scheduled Payment Dates The final scheduled Payment Dates (the "Final
Scheduled Payment Dates") for each of the
respective Classes of Class A Certificates are
as described below, although it is anticipated
that the actual final Payment Date for each
Class (other than the Class F-IO Certificates
and the Class A-IO Certificates) will occur
earlier than the Final Scheduled Payment Date.
See "Prepayment and Yield Considerations"
herein.
Final Scheduled
Class Payment Date
----- ---------------
Class A-1 May 25, 2013
Class A-2 May 25, 2014
Class A-3 April 25, 2019
Class A-4 December 25, 2022
Class A-5 July 25, 2026
Class A-6 June 25, 2028
Class A-7 March 25, 2013
Class A-8 June 25, 2028
Class A-9 August 25, 2011
Class A-10 June 25, 2014
Class A-11 November 25, 2016
Class A-12 August 25, 2019
Class A-13 January 25, 2025
Class A-14 June 25, 2028
Class A-15 June 25, 2028
Class A-16 June 25, 2028
Class A-17 September 25, 2018
Class A-18 June 25, 2028
Class A-19 February 25, 2018
Class F-IO December 25, 2000
Class A-IO August 25, 1999
Distributions - General Distributions on the Certificates are required
to be made on the twenty-fifth day of each
calendar month, or if such day is not a
business day, the next succeeding business day
(each, a "Payment Date") commencing on July 27,
1998, to the Owners of record (see "Description
of the Certificates -- General"). The Owners of
record shall be (i) with respect to the Fixed
Rate Certificates, such Owners of the
Certificates as of the last day of the calendar
month immediately preceding the calendar month
in which such Payment Date occurs, whether or
not such day is a Business Day and (ii) with
respect to the Floating Rate Certificates, the
Business Day immediately prior to the Payment
Date (each a "Record Date"), in an amount equal
to the product of such Owner's Percentage
Interest and the amount distributed in respect
of such Owner's class of such Certificates on
such Payment Date. A "Business Day" is any day
other than a Saturday,
S-17
<PAGE> 18
Sunday or a day on which the Insurer and
banking institutions in New York City or in the
city in which the corporate trust office of the
Trustee is located are authorized or obligated
by law or executive order to close.
Distributions of Interest With respect to the Fixed Rate Certificates,
for each Payment Date, the interest due with
respect to each Class of Certificates will be
the interest which has accrued thereon at such
Certificate's respective Pass-Through Rate
during the calendar month immediately preceding
the month in which such Payment Date occurs,
calculated on the basis of a 360-day year
assumed to consist of twelve 30-day months.
With respect to the Floating Rate Certificates,
for each Payment Date, the interest due with
respect to each Class of Certificates will be
the interest which has accrued thereon at such
Certificate's respective Pass-Through Rate from
the preceding Payment Date (or from June 22,
1998 in the case of the first Payment Date) to
and including the day prior to the current
Payment Date, calculated as the actual number
of days which has elapsed from such preceding
Payment Date divided by 360.
Each period referred to in the prior two
paragraphs relating to the accrual of interest
is the "Accrual Period" for the related class
of Class A Certificates.
The Pooling and Servicing Agreement defines the
"Interest Distribution Amount" for each of the
Class A Certificates with respect to each
Payment Date as being the aggregate amount of
interest accrued on such class of Class A
Certificates during the related Accrual Period
at the related Pass-Through Rate, together with
any unpaid interest shortfalls relating to such
class from prior periods; the "Interest
Distribution Amount" for the Class A
Certificates does not include the amount, if
any, of the Supplemental Interest Amount.
Distributions of Principal The Owners of each class of Class A
Certificates (other than the Class A-IO
Certificates and the Class F-IO Certificates)
will be entitled to receive certain monthly
distributions of principal on each Payment Date
which generally reflect collections of
principal during the prior calendar month. On
each Payment Date, each of the Class A
Certificates issued with respect to a Mortgage
Loan Group will be entitled to receive 100% of
its respective Principal Distribution Amount
(as hereinafter defined) with respect to such
Mortgage Loan Group.
S-18
<PAGE> 19
Group IA Principal Distributions. With respect
to Group IA and on each Payment Date, principal
will be distributed to the Owners of the Group
IA Certificates in an amount equal to the Group
IA Principal Distribution Amount, in the
following order of priority, in the amounts set
forth below and to the extent of the Principal
Distribution Amount with respect to the Group
IA Certificates as follows:
First, the Group IA Principal Distribution
Amount shall be distributed to the Owners of
the Class A-7 Certificates (x) in an amount
equal to the Class A-7/A-8 Lockout Distribution
Amount until the Class A-7 Certificate
Principal Balance has been reduced to zero, and
(y) once the Class A-7 Certificate Principal
Balance has been reduced to zero, the Owners of
the Class A-8 Certificates are entitled to
receive payments of principal in an amount
equal to the Class A-7/A-8 Lockout Distribution
Amount;
Second, the excess of (i) the Group IA
Principal Distribution Amount over (ii) the
amount distributed in clause First above shall
be distributed to the Owners of the Class A-1
Certificates, the Class A-2 Certificates, the
Class A-3 Certificates, the Class A-4
Certificates, the Class A-5 Certificates and
the Class A-6 Certificates, sequentially in
that order, until the Certificate Principal
Balance of each Class (in ascending order of
numerical designation) has been reduced to
zero;
Third, any amount of the Group IA Principal
Distribution Amount remaining after making all
of the distributions in clauses First and
Second above shall be distributed as part of
the Total Monthly Excess Cashflow with respect
to the Group IA Certificates and shall be
applied as described under "Description of
Certificates -- Overcollateralization
Provisions" and "Description of the
Certificates -- Crosscollateralization
Provisions."
Notwithstanding the foregoing, on any Payment
Date on which the Subordinated Amount related
to Group IA is zero and the Insurer is in
default, the Principal Distribution Amount with
respect to the Group IA Certificates shall be
distributed pro rata and not in accordance with
the above priorities.
The Owners of the Class A-7 and Class A-8
Certificates are entitled to receive payments
of the Class A-7/A-8 Lockout Distribution
Amount specified herein, provided, that if on
any Payment Date the Class A-6 Certificate
Principal Balance is reduced to zero, the
Owners of the Class A-7 and Class A-8
Certificates will be entitled to receive the
entire
S-19
<PAGE> 20
Group IA Principal Distribution Amount for such
Payment Date in accordance with each Class'
priorities.
The "Class A-7/A-8 Lockout Distribution Amount"
for any Payment Date will be the product of (i)
the applicable Class A-7/A-8 Lockout Percentage
for such Payment Date and (ii) the Class
A-7/A-8 Lockout Pro Rata Distribution Amount
for such Payment Date.
The "Class A-7/A-8 Lockout Percentage" for each
Payment Date is as follows:
Payment Dates Lockout Percentage
------------- ------------------
July 1998-June 2001 0%
July 2001-June 2003 45%
July 2003-June 2004 80%
July 2004-June 2005 100%
July 2005 and thereafter 300%
In no event shall the Class A-7/A-8 Lockout
Distribution Amount for a Payment Date exceed
the Principal Distribution Amount for the Group
IA Pool for such Payment Date.
The "Class A-7/A-8 Lockout Pro Rata
Distribution Amount" for any Payment Date will
be an amount equal to the product of (x) a
fraction, the numerator of which is the
aggregate of the Certificate Principal Balance
of (i) if the Class A-7 Certificates are then
outstanding, of the Class A-7 Certificates and
(ii) the Class A-8 Certificates, in either case
immediately prior to such Payment Date and the
denominator of which is the aggregate
Certificate Principal Balance of all Classes of
the Certificates relating to the Group IA Pool
immediately prior to such Payment Date and (y)
the Principal Distribution Amount with respect
to the Group IA Pool for such Payment Date.
Group IB Principal Distributions. With respect
to Group IB and on each Payment Date, principal
will be distributed to the Owners of the Group
IB Certificates in an amount equal to the Group
IB Principal Distribution Amount, in the
following order of priority, in the amounts set
forth below and to the extent of the Principal
Distribution Amount with respect to the Group
IB Certificates as follows:
S-20
<PAGE> 21
First, the Group IB Principal Distribution
Amount shall be distributed to the Owners of
the Class A-15 Certificates in an amount equal
to the Class A-15 Lockout Distribution Amount;
Second, the excess of (i) the Group IB
Principal Distribution Amount over (ii) the
amount distributed in clause First above shall
be distributed to the Owners of the Class A-9
Certificates, the Class A-10 Certificates, the
Class A-11 Certificates, the Class A-12
Certificates, the Class A-13 Certificates and
the Class A-14 Certificates, sequentially in
that order, until the Certificate Principal
Balance of each Class (in ascending order of
numerical designation) has been reduced to
zero;
Third, any amount of the Group IB Principal
Distribution Amount remaining after making all
of the distributions in clauses First and
Second above shall be distributed as part of
the Total Monthly Excess Cashflow with respect
to the Group IB Certificates and shall be
applied as described under "Description of the
Certificates - Overcollateralization
Provisions" and "Description of the
Certificates - Crosscollateralization
Provisions."
Notwithstanding the foregoing, on any Payment
Date on which the Subordinated Amount related
to Group IB is zero and the Insurer is in
default, the Principal Distribution Amount with
respect to the Group IB Certificates shall be
distributed pro rata and not in accordance with
the above priorities.
The Owners of the Class A-15 Certificates are
entitled to receive payments of the Class A-15
Lockout Distribution Amount specified herein,
provided, that if on any Payment Date the Class
A-14 Certificate Principal Balance is reduced
to zero, the Owners of the Class A-15
Certificates will be entitled to receive the
entire Group IB Principal Distribution Amount
for such Payment Date.
The "Class A-15 Lockout Distribution Amount"
for any Payment Date will be the product of (i)
the applicable Class A-15 Lockout Percentage
for such Payment Date and (ii) the Class A-15
Lockout Pro Rata Distribution Amount for such
Payment Date.
S-21
<PAGE> 22
The "Class A-15 Lockout Percentage" for each
Payment Date is as follows:
Payment Dates Lockout Percentage
------------- ------------------
July 1998-June 2001 0%
July 2001-June 2003 45%
July 2003-June 2004 80%
July 2004-June 2005 100%
July 2005 and thereafter 300%
In no event shall the Class A-15 Lockout
Distribution Amount for a Payment Date exceed
the Principal Distribution Amount for the Group
IB Pool for such Payment Date.
The "Class A-15 Lockout Pro Rata Distribution
Amount" for any Payment Date will be an amount
equal to the product of (x) a fraction, the
numerator of which is the Certificate Principal
Balance of the Class A-15 Certificates
immediately prior to such Payment Date and the
denominator of which is the aggregate
Certificate Principal Balance of all Classes of
the Certificates relating to the Group IB Pool
immediately prior to such Payment Date and (y)
the Principal Distribution Amount with respect
to the Group IB Pool for such Payment Date.
Group IIA Principal Distributions. With respect
to Group IIA and on each Payment Date,
principal will be distributed to the Owners of
the Group IIA Certificates in an amount equal
to the Group IIA Principal Distribution Amount,
in the following order of priority, in the
amounts set forth below and to the extent of
the Principal Distribution Amount with respect
to the Group IIA Certificates as follows:
First, the Group IIA Principal Distribution
Amount shall be distributed to the Owners of
the Class A-17 Certificates in an amount equal
to the Class A-17 Lockout Distribution Amount;
Second, the excess of (i) the Group IIA
Principal Distribution Amount over (ii) the
amount distributed in clause First above shall
be distributed to the Owners of the Class A-16
Certificates, until the Class A-16 Certificate
Principal Balance has been reduced to zero;
S-22
<PAGE> 23
Third, any amount of the Group IIA Principal
Distribution Amount remaining after making all
of the distributions in clauses First and
Second above shall be distributed as part of
the Total Monthly Excess Cashflow with respect
to the Group IIA Certificates and shall be
applied as described below under "Description
of the Certificates -- Overcollateralization
Provisions" and "Description of the
Certificates -- Crosscollateralization
Provisions."
Notwithstanding the foregoing, on any Payment
Date on which the Subordinated Amount related
to Group IIA is zero and the Insurer is in
default, the Principal Distribution Amount with
respect to the Group IIA Certificates shall be
distributed pro rata and not in accordance with
the above priorities.
The Owners of the Class A-17 Certificates are
entitled to receive payments of the Class A-17
Lockout Distribution Amount specified herein,
provided, that if on any Payment Date the Class
A-16 Certificate Principal Balance is reduced
to zero, the Owners of the Class A-17
Certificates will be entitled to receive the
entire Group IIA Principal Distribution Amount
for such Payment Date.
The "Class A-17 Lockout Distribution Amount"
for any Payment Date will be the product of (i)
the applicable Class A-17 Lockout Percentage
for such Payment Date and (ii) the Class A-17
Lockout Pro Rata Distribution Amount for such
Payment Date.
Notwithstanding the foregoing, the Class A-17
Lockout Distribution Amount for the July 2003
Payment Date and thereafter shall be the
Principal Distribution Amount with respect to
the Group IIA Pool.
The "Class A-17 Lockout Percentage" for each
Payment Date is as follows:
Payment Dates Lockout Percentage
------------- ------------------
July 1998 - January 2000 0%
February 2000 - June 2003 500%
In no event shall the Class A-17 Lockout
Distribution Amount for a Payment Date exceed
the Principal Distribution Amount for the Group
IIA Pool for such Payment Date.
The "Class A-17 Lockout Pro Rata Distribution
Amount" for any Payment Date will be an amount
equal to the
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<PAGE> 24
product of (x) a fraction, the numerator of
which is the Certificate Principal Balance of
the Class A-17 Certificates immediately prior
to such Payment Date and the denominator of
which is the aggregate Certificate Principal
Balance of all Classes of the Certificates
relating to the Group IIA Pool immediately
prior to such Payment Date and (y) the
Principal Distribution Amount with respect to
the Group IIA Pool for such Payment Date.
Group IIB Principal Distributions. With respect
to Group IIB and on each Payment Date,
principal will be distributed to the Owners of
the Group IIB Certificates in an amount equal
to the Group IIB Principal Distribution Amount,
in the following order of priority, in the
amounts set forth below and to the extent of
the Principal Distribution Amount with respect
to the Group IIB Certificates as follows:
First, the Group IIB Principal Distribution
Amount shall be distributed to the Owners of
the Class A-19 Certificates in an amount equal
to the Class A-19 Lockout Distribution Amount;
Second, the excess of (i) the Group IIB
Principal Distribution Amount over (ii) the
amount distributed in clause First above shall
be distributed to the Owners of the Class A-18
Certificates, until the Class A-18 Certificate
Principal Balance has been reduced to zero for
such Payment Date;
Third, any amount of the Group IIB Principal
Distribution Amount remaining after making all
of the distributions in clauses First and
Second above shall be distributed as part of
the Total Monthly Excess Cashflow with respect
to the Group IIB Certificates and shall be
applied as described below under "Description
of the Certificates -- Overcollateralization
Provisions" and "Description of the
Certificates -- Crosscollateralization
Provisions."
Notwithstanding the foregoing, on any Payment
Date on which the Subordinated Amount related
to Group IIB is zero and the Insurer is in
default of its payment of principal payable,
the Principal Distribution Amount with respect
to the Group IIB Certificates shall be
distributed pro rata and not in accordance with
the above priorities.
The Owners of the Class A-19 Certificates are
entitled to receive payments of the Class A-19
Lockout Distribution Amount specified herein,
provided, that if on any Payment Date the Class
A-18 Certificate Principal Balance is reduced
S-24
<PAGE> 25
to zero, the Owners of the Class A-19
Certificates will be entitled to receive the
entire Group IIB Principal Distribution Amount
for such Payment Date.
The "Class A-19 Lockout Distribution Amount"
for any Payment Date will be the product of (i)
the applicable Class A-19 Lockout Percentage
for such Payment Date and (ii) the Class A-19
Lockout Pro Rata Distribution Amount for such
Payment Date.
Notwithstanding the foregoing, the Class A-19
Lockout Distribution Amount for the July 2003
Payment Date and thereafter shall be the
Principal Distribution Amount with respect to
the Group IIB Pool.
The "Class A-19 Lockout Distribution Amount"
for any Payment Date will be the product of (i)
the applicable Class A-19 Lockout Percentage
for such Payment Date and (ii) the Class A-19
Lockout Pro Rata Distribution Amount for such
Payment Date.
The "Class A-19 Lockout Percentage" for each
Payment Date is as follows:
Payment Dates Lockout Percentage
------------- ------------------
July 1998 - January 2000 0%
February 2000 - June 2003 500%
In no event shall the Class A-19 Lockout
Distribution Amount for a Payment Date exceed
the Principal Distribution Amount for the Group
IIB Pool for such Payment Date.
The "Class A-19 Lockout Pro Rata Distribution
Amount" for any Payment Date will be an amount
equal to the product of (x) a fraction, the
numerator of which is the Certificate Principal
Balance of the Class A-19 Certificates
immediately prior to such Payment Date and the
denominator of which is the aggregate
Certificate Principal Balance of all Classes of
the Certificates relating to the Group IIB Pool
immediately prior to such Payment Date and (y)
the Principal Distribution Amount with respect
to the Group IIB Pool for such Payment Date.
Any loss on a Liquidated Mortgage Loan (i.e., a
Realized Loss) may or may not be distributed to
the Owners of the Class of Class A Certificates
on the Payment Date which immediately follows
the event of loss. However, the Owners of the
Class A Certificates are entitled to receive
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ultimate recovery of any Realized Losses which
occur in the Mortgage Loan Pool.
The subordination provisions of the Trust
result in a limited acceleration of principal
payments to the Owners of each class of Class A
Certificates. Such subordination provisions are
more fully described under "Description of the
Certificates -- Overcollateralization
Provisions" and "Description of the
Certificates -- Crosscollateralization
Provisions." Such subordination provisions also
have an effect on the weighted average lives of
the Class A Certificates; see "Prepayment and
Yield Considerations." In addition, the
following discussion makes use of a number of
defined terms which are defined under
"Description of the Certificates --
Overcollateralization Provisions" and
"Description of the Certificates --
Crosscollateralization Provisions."
The Pooling and Servicing Agreement defines the
"Principal Distribution Amount" for each
Mortgage Loan Group with respect to each
Payment Date as being the lesser of:
(a) the Available Funds for the related
Mortgage Loan Group, plus any related
Insured Payment and minus the related
Group Interest Distribution Amount, and
(b)(i) the sum, without duplication of:
(A) the amount of any Subordination
Deficit due from any prior period
with respect to the related
Mortgage Loan Group;
(B) the principal actually collected
by the Master Servicer with
respect to the Mortgage Loans in
the related Mortgage Loan Group
during the related Remittance
Period;
(C) the Loan Balance of each Mortgage
Loan in the related Mortgage Loan
Group that either was repurchased
by the Sponsor or an Originator or
purchased by the Master Servicer
or any Sub-Servicer on the related
Remittance Date, to the extent
such Loan Balance is actually
received by the Trustee;
(D) any Substitution Amounts delivered
by the Sponsor or an Originator on
the related Remittance Date in
connection with a substitution of
a Mortgage Loan in the related
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<PAGE> 27
Mortgage Loan Group, to the extent
such Substitution Amounts are
actually received by the Trustee;
(E) all Net Liquidation Proceeds
actually collected by the Master
Servicer with respect to the
Mortgage Loans in the related
Mortgage Loan Group during the
related Remittance Period (to the
extent such Net Liquidation
Proceeds relate to principal);
(F) the amount of any Subordination
Deficit with respect to such
Mortgage Loan Group for such
Payment Date;
(G) the proceeds received by the
Trustee from any termination of
the related Mortgage Loan Group
(to the extent such proceeds
relate to principal);
(H) the amount of any Subordination
Increase Amount with respect to
such Mortgage Loan Group for such
Payment Date to the extent of any
Net Monthly Excess Cashflow
available for such purpose;
minus
(ii) the amount of any Subordination
Reduction Amount with respect to
such Mortgage Loan Group for such
Payment Date.
In no event will the Principal Distribution
Amount for any class of Class A Certificates
and Payment Date (x) be less than zero or (y)
be greater than the then-outstanding Class A
Certificate Principal Balance of the related
class of Class A Certificates.
The "Principal Distribution Amount" with
respect to each Group will be described as the
Group IA Principal Distribution Amount, the
Group IB Principal Distribution Amount, the
Group IIA Principal Distribution Amount and the
Group IIB Principal Distribution Amount.
With respect to any class of Class A
Certificates and Payment Date, the sum of the
related Interest Distribution Amount and the
related Principal Distribution Amount with
respect to such Payment Date is the "Formula
Distribution Amount" for such class and Payment
Date.
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<PAGE> 28
The actual amount distributed with respect to
each class of Class A Certificates on any
Payment Date is the "Distribution Amount" for
such class and Payment Date.
A "Liquidated Mortgage Loan" is, in general, a
defaulted Mortgage Loan as to which the Master
Servicer has determined that all amounts that
it expects to recover on such Mortgage Loan
have been recovered (exclusive of any
possibility of a deficiency judgment). Any loss
on a Liquidated Mortgage Loan (i.e., a Realized
Loss) may or may not be recovered by the Owners
of the related class of Class A Certificates on
the Payment Date which immediately follows the
event of loss. However, the Owners of the Class
A Certificates are entitled to receive ultimate
recovery of any Realized Losses which occur in
the related Mortgage Loan Group, receipt of
which will be no later than the Payment Date
occurring after such Realized Loss creates a
Subordination Deficit (as described below).
Such ultimate payment will be in the form of an
Insured Payment if not covered through Net
Monthly Excess Spread in the related Mortgage
Loan Group or the other Mortgage Loan Group. A
payment by the Insurer under the Certificate
Insurance Policy is referred to herein as an
"Insured Payment."
Insured Payments do not include Realized Losses
until such time as such aggregate, cumulative
Realized Losses have created a Subordination
Deficit, nor do Insured Payments cover the
Master Servicer's failure to make Delinquency
Advances until such time as the aggregate,
cumulative amount of such unpaid Delinquency
Advances, when added to Realized Losses, have
created a Subordination Deficit.
A "Subordination Deficit" with respect to a
Mortgage Loan Group and Payment Date is the
amount, if any, by which (x) the aggregate
Class A Certificate Principal Balance of the
related Group of Class A Certificates, after
taking into account all distributions to be
made on such Payment Date (except for any
payment to be made as to principal from the
proceeds of the Certificate Insurance Policy),
exceeds (y) the aggregate principal balance of
the Mortgage Loans in the related Mortgage Loan
Group as of the close of business on the last
day of the preceding Remittance Period.
Credit Enhancement The Credit Enhancement provided for the benefit
of the Owners of the Class A Certificates
consists of (x) the overcollateralization and
crosscollateralization mechanics which utilize
the internal cash flows of the Trust and (y)
the Certificate Insurance Policy.
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<PAGE> 29
Overcollateralization and
Crosscollateralization. The subordination
provisions of the Trust result in a limited
acceleration of the Class A Certificates
relative to the amortization of the Mortgage
Loans in the related Group in the early months
of the transaction. The accelerated
amortization is achieved by the application of
certain excess interest to the payment of Class
A Certificates' principal. This acceleration
feature creates, with respect to each Mortgage
Loan Group, overcollateralization which results
from the excess of the aggregate principal
balances of the Mortgage Loans in the related
Mortgage Loan Group over the related aggregate
Class A Certificate Principal Balance. Once the
required level of overcollateralization is
reached, and subject to the provisions
described in the next paragraph, the
acceleration feature will cease, unless
necessary to maintain the required level of
overcollateralization.
Subject to certain floors, caps and triggers,
the required level of overcollateralization
with respect to a Mortgage Loan Group may
increase or decrease over time. An increase
would result in a temporary period of
accelerated amortization of the related Class A
Certificates to increase the actual level of
overcollateralization to its required level; a
decrease would result in a temporary period of
decelerated amortization to reduce the actual
level of overcollateralization to its required
level.
In addition to the foregoing, the Pooling and
Servicing Agreement provides that such excess
interest, together with certain other excess
amounts, generated by one Mortgage Loan Group
may be used to fund shortfalls in Available
Funds due to losses in other Mortgage Loan
Groups, subject to certain prior requirements
of such Mortgage Loan Groups, including the
funding of any Subordination Increase Amount,
if any.
See "Description of the Certificates --
Overcollateralization Provisions" and
"Description of the Certificates --
Crosscollateralization Provisions."
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<PAGE> 30
The Certificate Insurance Policy. The
Sponsor will obtain a certificate insurance
policy (the "Certificate Insurance Policy"),
with respect to the Class A Certificates,
which is noncancelable, in favor of the
Trustee on behalf of the Owners of the Class
A Certificates. On each Payment Date, the
Insurer will be required to make available
to the Trustee, with respect to each
Mortgage Loan Group, the amount, if any, by
which the Group Insured Distribution Amount
exceeds the related Group Available Funds
(after deducting the amount necessary to pay
the related premium amount to the Insurer,
the Trustee's Fees and certain fees due to
the Master Servicer) as of such Payment
Date. The Certificate Insurance Policy does
not guarantee to owners of the Class A
Certificates any specified rate of
Prepayments. The "Insured Distribution
Amount," with respect to each Mortgage Loan
Group and any Payment Date, is the sum of
any shortfall in the Interest Distribution
Amount for such Mortgage Loan Group and the
amount of any Subordination Deficit. See
"The Certificate Insurance Policy" and "The
Insurer" herein and "Description of Credit
Enhancement" in the Prospectus.
Insurer Ambac Assurance Corporation.
Nature of Class F-IO Certificates
and Class A-IO Certificates General Character of Interest-Only
Securities. As the owners of interest-only
strip securities, the Owners of the Class
F-IO Certificates and the Class A-IO
Certificates will be entitled to receive
monthly distributions only of interest, as
described herein. Because they will not
receive any distributions of principal, the
Owners of the Class F-IO Securities and the
Class A-IO Certificates will be affected by
prepayments, liquidations and other
dispositions (including optional
redemptions described herein) of the
Mortgage Loans in the Fixed Rate Group and
the Adjustable Rate Group, respectively, to
a greater degree than will the Owners of
the other Classes of Fixed Rate Group
Certificates. In addition, since the pool
of Fixed Rate Mortgage Loans and Adjustable
Rate Mortgage Loans as of the Statistic
Calculation Date contains 7,761 and 3,953
Mortgage Loans, respectively, the
prepayment experience of any one of the
Mortgage Loans will not be material to an
investor's overall return.
In general, losses due to limitations,
repurchases by the Master Servicer and other
dispositions of the Mortgage Loans from the
Trust will have the same effect on the
Owners of the Class F-IO Certificates and
the Class A-IO
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<PAGE> 31
Certificates as do prepayments of principal
and are collectively referred to as
"Prepayments."
Generally, because the yield to the Owners
of the Class F-IO Certificates and the Class
A-IO Certificates is more sensitive to rates
of prepayment, it is advisable for potential
investors in the Class F-IO Certificates and
the Class A-IO Certificates to consider
carefully, and to make their own evaluation
of, the effect of any particular assumption
regarding the rates and the timing of
prepayments. In general, when interest rates
decline, prepayments in a pool of
receivables such as the Fixed Rate Mortgage
Loans will increase as borrowers seek to
refinance at lower rates. This will have the
effect of reducing the future stream of
payments available to an owner of an
interest-only security based on such
receivables pool, thus adversely affecting
such investor's yield. Conversely, when
interest rates increase, prepayments will
tend to decrease (because attractive
refinancing opportunities are not available)
and the future stream of payments available
to such an owner of an interest-only
security may not decline as rapidly as
originally anticipated, thus positively
affecting such investor's yield. See
"Prepayment and Yield Considerations --
Yield Sensitivity of the Class F-IO
Certificates and the Class A-IO
Certificates" herein for other factors which
may also influence prepayment rates.
Applicability of Credit Enhancement to the
Class F-IO Certificates and the Class A-IO
Certificates. As described in "Credit
Enhancement -- Overcollateralization
Provisions," the Certificates are subject to
an overcollateralization feature. In
general, the protection afforded by the
overcollateralization feature is for credit
risk and not for prepayment risk. These
features do not guarantee or insure that any
particular rate of prepayment is experienced
by the Trust. If an entire Mortgage Loan
Pool were to prepay in the initial month,
with the result that the Owners of the Class
F-IO Certificates or the Class A-IO
Certificates would receive only a single
month's interest and thus suffer a nearly
complete loss on their investments, no
amounts would be available from the
overcollateralization feature to mitigate
such loss.
Accrual of "Original Issue Discount." The
Class F-IO Certificates and the Class A-IO
Certificates will be issued with "original
issue discount" within the meaning of the
Code. As a result, in certain rapid
prepayment environments the effect of the
rules governing the accrual of original
issue discount may require Owners of the
Class F-IO Certificates and the Class A-IO
Certificates to accrue
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<PAGE> 32
original issue discount at a rate in excess
of the rate at which distributions are
received by such Owners. See "Certain
Federal Income Tax Consequences" herein and
in the Prospectus.
Delinquency Advances,
Compensating Interest and
Servicing Advances The Master Servicer will be obligated to
make Delinquency Advances to the extent
that such Delinquency Advances, in the
Master Servicer's reasonable judgment, are
recoverable from the related Mortgage
Loan. Delinquency Advances are recoverable
from (i) future collections on the Mortgage
Loan which gave rise to the Delinquency
Advance, (ii) Liquidation Proceeds for such
Mortgage Loan and (iii) from certain excess
cash flows not applied for any other
purpose. "Delinquency Advances" are
amounts deposited in the Principal and
Interest Account by the Master Servicer
equal to the sum of the interest portions
(net of the Servicing Fees and certain
other administrative amounts, if any) due,
but not collected with respect to
delinquent Mortgage Loans during the
related Remittance Period. No Delinquency
Advance will be required to be made by the
Master Servicer if, in the good faith
judgment of the Master Servicer, such
Delinquency Advance would not ultimately be
recoverable from the related Mortgage Loan
(any such advance, a "Nonrecoverable
Delinquency Advance"); and if previously
made by the Master Servicer, a
Nonrecoverable Delinquency Advance will be
reimbursable from any amounts in the
Principal and Interest Account prior to any
distributions being made to
Certificateholders.
The Master Servicer will also be obligated
to make advances with respect to certain
taxes and insurance premiums not paid by
Mortgagors on a timely basis. No Servicing
Advance will be required to be made by the
Master Servicer, if in the good faith
judgment of the Master Servicer, such
Servicing Advance would not be recoverable
from the related Mortgage Loan (any such
advance, a "Nonrecoverable Servicing
Advance"); and if previously made by the
Master Servicer, a Nonrecoverable Servicing
Advance will be reimbursable from any
amounts in the Principal and Interest
Account prior to any distribution being made
to Certificateholders.
In addition, the Master Servicer will also
be required to deposit Compensating Interest
in the Principal and Interest Account with
respect to any full Prepayment received on a
Mortgage Loan during the related Remittance
Period out of its own funds without any
right of reimbursement therefor.
"Compensating Interest" is an amount equal
to the
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<PAGE> 33
difference between (x) 30 days' interest at
the Mortgage Loan's coupon rate on the
principal balance as of the first day of the
related Remittance Period and (y) to the
extent not previously advanced, the interest
paid by the Mortgagor with respect to the
Mortgage Loan. The Master Servicer will not
be required to pay Compensating Interest
with respect to any Remittance Period in an
amount in excess of the aggregate Servicing
Fee received by the Master Servicer for such
Remittance Period.
Book-Entry Registration of
the Class A Certificates The Class A Certificates will initially be
issued in book-entry form. Persons
acquiring beneficial ownership interests in
such Class A Certificates ("Beneficial
Owners") may elect to hold their interests
through DTC, in the United States, or CEDEL
or Euroclear in Europe. Transfers within
DTC, CEDEL or Euroclear, as the case may
be, will be in accordance with the rules
and operating procedures of the relevant
system. See "Description of the Class A
Certificates -- Book-Entry Registration of
the Class A Certificates" herein, and
"Description of the Certificates --
Book-Entry Registration" in the Prospectus.
Servicing Fee Advanta Mortgage Corp. USA will retain a
Servicing Fee equal to 0.50% per annum.
Optional Termination The Master Servicer, acting directly or
through a permitted designee, will have the
right to purchase from the Trust all the
Mortgage Loans then held by the Trust at a
price at least equal to par plus accrued
interest net of the Servicing Fee and any
amounts owed to the Master Servicer, on any
Remittance Date after the Remittance Period
during which the outstanding aggregate
principal balances of the Mortgage Loans in
the Trust had declined to 10% or less of
the aggregate principal balance of the
Mortgage Loans as of the Closing Date. The
first such Remittance Date on which such
option may be exercised is the "Clean-up
Call Date".
Ratings It is a condition of the original issuance
of the Class A Certificates that the Class A
Certificates receive ratings of AAA (or,
with respect to the Class F-IO Certificates
and the Class A-IO Certificates, AAAr) by
Standard & Poor's Ratings Group, a division
of The McGraw-Hill Companies ("Standard &
Poor's"), and Aaa by Moody's Investors
Service, Inc. ("Moody's"). A security rating
is not a recommendation to buy, sell or hold
securities, and may be subject to revision
or withdrawal at any time by the assigning
entity. The "r" of the "AAAr" rating of the
Class F-IO Certificates and the Class A-IO
Certificates by Standard & Poor's is
attached to highlight derivative,
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<PAGE> 34
hybrid, and certain other obligations that
Standard & Poor's believes may experience
high volatility or high variability in
expected returns due to non-credit risks.
The ratings issued by Standard & Poor's and
Moody's on the payment of principal and
interest do not cover the payment of the
Supplemental Interest Amounts. See
"Prepayment and Yield Considerations" and
"Ratings" herein and "Yield Considerations"
in the Prospectus.
Federal Tax Aspects For federal income tax purposes, an
election will be made to treat certain
assets of the Trust as one or more REMICs.
Each of the Class A Certificates will be a
"regular interest" in a REMIC which will be
treated as a debt instrument of the Trust
for federal income tax purposes. A class
of Class R Certificates will be designated
as the "residual interest" with respect to
each REMIC election made by the Trust. See
"Certain Federal Income Tax Consequences"
herein and in the Prospectus.
ERISA Considerations The Underwritten Certificates may be
purchased by employee benefit plans that
are subject to ERISA. The Group IB
Certificates and the Group IIB Certificates
are not currently eligible for purchase by
employee benefit plans that are subject to
ERISA, but may become eligible for purchase
by such plans in the future. See "ERISA
Considerations" herein and in the
Prospectus.
Legal Investment
Considerations The Class A Certificates will not
constitute "mortgage related securities"
for purposes of the Secondary Mortgage
Market Enhancement Act of 1984 ("SMMEA").
In addition, institutions whose activities
are subject to review by federal or state
regulatory authorities may be or may become
subject to restrictions, which may be
retroactively imposed by such regulatory
authorities, on the investment by such
institutions in certain forms of mortgage
related securities. All investors whose
investment authority is subject to legal
restrictions should consult their own legal
advisors to determine whether, and to what
extent, the Certificates will constitute
legal investments for them.
Certain Legal Matters Certain legal matters relating to the
validity of the issuance of the Certificates
will be passed upon by Dewey Ballantine LLP,
New York, New York.
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<PAGE> 35
RISK FACTORS
Prospective investors in the Class A Certificates should consider the
following factors, as well as the factors set forth under "Risk Factors" in the
Prospectus, in connection with the purchase of the Class A Certificates.
Risk of Higher Default Rates for Mortgage Loans with Balloon Payments.
11.49% of the Mortgage Loans as of the Statistic Calculation Date by aggregate
principal balance are "Balloon Loans," which have an amortization schedule
extending beyond such Mortgage Loan's maturity date, resulting in a relatively
late unamortized principal balance due in a single payment at maturity. See
"Risk Factors -- Risk of Losses Associated with Balloon Loans" in the
Prospectus.
Investment Risks Associated with the Class F-IO Certificates and Class
A-IO Certificates. As the owners of interest-only strip securities, the Owners
of the Class F-IO Certificates and Class A-IO Certificates will be entitled to
receive monthly distributions only of interest, as described herein. Because
they will not receive any distributions of principal, the Owners of the Class
F-IO Certificates and Class A-IO Certificates will be affected by prepayments,
liquidations and other dispositions (including optional redemptions described
herein) of the Mortgage Loans in the Fixed Rate Groups and the Adjustable Rate
Groups, respectively, to a greater degree than will the Owners of the other
Classes of Fixed Rate Group Certificates and the Adjustable Rate Group
Certificates, respectively.
Nature of Security. Since in certain cases, Mortgage Loans in the Group IA
Pool are secured by junior liens subordinate to the rights of the mortgagee or
beneficiary under the related senior mortgage(s) or deed(s) of trust, the
proceeds from any liquidation, insurance or condemnation proceedings will be
available to satisfy the outstanding balance of such a junior Mortgage Loan only
to the extent that the claims of such senior mortgagee(s) or beneficiary(ies)
have been satisfied in full, including any related foreclosure costs. In
addition, a junior mortgagee may not foreclose on the property securing a junior
mortgage unless it forecloses subject to the senior mortgage(s), in which case
it must either pay the entire amount due on the senior mortgage(s) to the senior
mortgagee(s) at or prior to the foreclosure sale or undertake the obligation to
make payments on the senior mortgage(s) in the event the mortgagor is in default
thereunder. In servicing junior mortgages in its portfolio, it is generally the
Master Servicer's practice to satisfy the senior mortgage(s) at or prior to the
foreclosure sale. The Master Servicer may also advance funds to keep the senior
mortgage(s) current until such time as the Master Servicer satisfies the senior
mortgage(s). The Trust will have no source of funds (and may not be permitted
under the REMIC provisions of the Code) to satisfy the senior mortgage(s) or
make payments due to the senior mortgagee(s). The Master Servicer will be
required to advance such amounts in accordance with the Pooling and Servicing
Agreement.
Information is provided under "The Mortgage Loan Pool -- General" with
respect to the LTVs and the CLTVs of the Mortgage Loans, as of the Statistic
Calculation Date. As discussed in the Prospectus under "Risk Factors," the value
of the Mortgaged Properties underlying such loans could be adversely affected by
a number of factors. As a result, despite the amortization of the junior and
senior mortgage loans on such Mortgaged Properties, there can be no assurance
that the CLTVs of such loans, determined as of a date subsequent to the
origination date, will be the same or lower than the CLTVs for such loans,
determined as of the origination date.
Even assuming that the Mortgaged Properties provided adequate security for
the Mortgage Loans, substantial delay could be encountered in connection with
the liquidation of defaulted Mortgage Loans and corresponding delays in the
receipt of such proceeds by the Trust could occur. Further, the Master Servicer
will be entitled to deduct from liquidation proceeds received in respect of a
fully liquidated Mortgage Loan all expenses incurred in attempting to recover
amounts due on such Mortgage Loan and not yet repaid, including payments to
senior mortgagees, legal fees, real estate taxes, and maintenance and
preservation expenses, thereby reducing collections available to the Trust.
<PAGE> 36
Liquidation expenses with respect to defaulted Mortgage Loans do not
vary directly with the outstanding principal balance of the loan at the time of
default. Therefore, assuming that a servicer took the same steps in realizing
upon a defaulted mortgage loan having a small remaining principal balance as it
would in the case of a defaulted mortgage loan having a larger principal
balance, the amount realized after expenses of liquidation would be smaller as a
percentage of the outstanding principal balance of the smaller mortgage loan
than would be the case with a larger loan. Because the average outstanding
principal balances of the Mortgage Loans are small relative to the size of the
loans in a typical pool of purchase-money first mortgages, realizations net of
liquidation expenses on defaulted Mortgage Loans may also be smaller as a
percentage of the principal amount of the Mortgage Loans than would such net
realizations in the case of a typical pool of purchase-money first mortgage
loans.
Investor-owned properties represent (based solely upon statements made
by the borrowers at the time of origination of the related Mortgage Loan), as a
percentage of the aggregate principal balance of the Mortgage Loans, as of the
Statistic Calculation Date, 4.79% of the Mortgage Loans. It is possible that the
rate of delinquencies, foreclosures and losses on mortgage loans secured by
non-owner occupied properties could be higher than for loans secured by the
primary residence of the borrower.
Risk of Mortgage Loan Rates Reducing the Pass-Through Rate on the
Floating Rate Certificates. The calculation of the Pass-Through Rates on the
Floating Rate Certificates is based upon (i) the value of an index (LIBOR) which
is different from the value of the index applicable to the Mortgage Loans in
each respective group as described under "The Mortgage Loan Pool -- Mortgage
Loans -- Adjustable Rate Groups" (either as a result of the use of a different
index, rate determination date or rate adjustment date) and (ii) the weighted
average of the Coupon Rates of the Mortgage Loans in the Group IIA Pool and
Group IIB Pool which are subject to periodic adjustment caps, maximum rate caps,
minimum rate floors, various resets and reset frequencies. 99.93% of the
Mortgage Loans in the Group IIA Pool and 99.58% of the Mortgage Loans in the
Group IIB Pool by aggregate Principal Balance as of the Statistic Calculation
Date adjust semi-annually based upon the London interbank offered rate for
six-month United States dollar deposits ("Six-Month LIBOR") and 0.07% of the
Group IIA Pool and 0.42% of the Group IIB Pool adjust annually based upon the
one-year constant maturity treasury (the "CMT"), whereas the Pass-Through Rate
on the Floating Rate Certificates adjusts monthly based upon LIBOR as described
under "Description of the Class A Certificates -- Calculation of LIBOR" herein,
subject to the Group IIA Available Funds Cap Rate or the Group IIB Available
Funds Cap Rate, as applicable. Consequently, the interest which becomes due on
the Mortgage Loans in the Group IIA Pool and the Group IIB Pool (net of the
Servicing Fee, the Trustee Fee, the Premium and certain required reductions)
during any Remittance Period may not equal the amount of interest that would
accrue at LIBOR plus the margin on the Floating Rate Certificates during the
related Accrual Period. 61.97% of the Mortgage Loans in the Group IIA Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 2/28 Loans
that provide for a fixed interest rate for a period of approximately two years
following origination. 21.80% of the Mortgage Loans in the Group IIA Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 3/27 Loans
that provide for a fixed interest rate for a period of approximately three years
following origination. 11.90% of the Mortgage Loans in the Group IIA Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 5/25 Loans
that provide for a fixed interest rate for a period of approximately five years
following origination. 70.69% of the Mortgage Loans in the Group IIB Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 2/28 Loans
that provide for a fixed interest rate for a period of approximately two years
following origination. 25.83% of the Mortgage Loans in the Group IIB Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 3/27 Loans
that provide for a fixed interest rate for a period of approximately three years
following origination. 3.48% of the Mortgage Loans in the Group IIB Pool by
aggregate Principal Balance as of the Statistic Calculation Date are 5/25 Loans
that provide for a fixed interest rate for a period of approximately five years
following origination. Thereafter, such Mortgage Loans provide for interest rate
and payment adjustments in a manner similar to the Six-Month LIBOR Loans and
one-year CMT Loans. In particular, the Pass-Through Rate on the Floating Rate
Certificates adjusts monthly, while the interest rates of the
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<PAGE> 37
Mortgage Loans in the Group IIA Pool and the Group IIB Pool adjust less
frequently with the result that the related Available Funds Cap may limit
increases in the Pass-Through Rate on the related Floating Rate Certificates for
extended periods in a rising interest rate environment. In addition, LIBOR,
Six-Month LIBOR and one-year CMT may respond to different economic and market
factors, and there is not necessarily a correlation between them. Thus, it is
possible, for example, that LIBOR may rise during periods in which Six-Month
LIBOR or one-year CMT is stable or is falling or that, even if LIBOR, Six-Month
LIBOR and one-year CMT rise during the same period, LIBOR may rise more rapidly
than Six-Month LIBOR or the one-year CMT. Furthermore, if the Group IIA Pool
Available Funds Cap determines the Pass-Through Rate on the Group IIA Pool
Certificates for a Payment Date, the value of the Class A-16 Certificates will
be temporarily or permanently reduced. Similarly, if the Group IIB Pool
Available Funds Cap determines the Pass-Through Rate on the Group IIB Pool
Certificates for a Payment Date, the value of the Class A-18 Certificates will
be temporarily or permanently reduced.
Investment Risks Associated with the Class A-17 Certificates and the
Class A-19 Certificates. The Class A-17 Certificates and the Class A-19
Certificates are each a class of Fixed Rate Certificates having fixed Formula
Rates of 6.05% in each case. The Pass-Through Rates of the Class A-17
Certificates and the Class A-19 Certificates on each Payment Date will be the
lesser of 6.05% and the Group IIA Available Funds Cap Rate and the Group IIB
Available Funds Cap Rate, respectively. Since the Mortgage Loans in the Group
IIA Pool and in the Group IIB Pool are not fixed rate loans, and rather are
adjustable rate loans having the characteristics described above, and minimum
"floor" Coupon Rates of 3.90% (with respect to the Group IIA Pool) and 3.25%
(with respect to the Group IIB Pool), the Group IIA Available Funds Cap Rate and
the Group IIB Available Funds Cap Rate may determine the Pass-Through Rate on
the Class A-17 Certificates and on the Class A-19 Certificates, respectively,
with the result that the value of the Class A-17 Certificates or the Class A-19
Certificates may be temporarily or permanently reduced.
THE PORTFOLIO OF MORTGAGE LOANS
The Mortgage Loan Pool includes loans which were either originated
directly by the Affiliated Originators or purchased by the Affiliated
Originators from others on a loan-by-loan basis and in either case acquired by
the Sponsor. The Sponsor also acquires loans from Unaffiliated Originators in
long-term commitments from Conduit Participants. Such loans are originated by
Unaffiliated Originators either directly or purchased by the Unaffiliated
Originators from others on a loan-by-loan basis.
The Originators which are affiliated with the Sponsor are Advanta
Mortgage Corp. USA, Advanta National Bank, Advanta Mortgage Corp. Midatlantic,
Advanta Mortgage Corp. Midatlantic II, Advanta Mortgage Corp. Midwest, Advanta
Mortgage Corp. of New Jersey, Advanta Mortgage Corp. Northeast and Advanta
Finance Corp.
UNAFFILIATED ORIGINATORS
MCA. The Sponsor acquired approximately 7.80% of the Mortgage Loans as
of the Statistic Calculation Date from Mortgage Corporation of America ("MCA"),
an Unaffiliated Originator (such mortgage loans, the "MCA Loans"). Mortgage
Corporation of America is headquartered in Southfield, Michigan and is engaged
in originating mortgage loans through retail and wholesale channels. The MCA
Loans consist of 834 Mortgage Loans representing an aggregate principal balance
of $67,442,399.52 as of the Statistic Calculation Date. Approximately 38.83% (by
aggregate principal balance as of the Statistic Calculation Date) of the MCA
Loans are included in the Fixed Rate Group and approximately 61.17% of the MCA
Loans are included in the Adjustable Rate Group. The MCA Loans are related to
properties located in 38 states.
Prior to its purchase of the MCA Loans, the Sponsor performed or caused
to be performed an operational review of the origination and servicing practices
of MCA.
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<PAGE> 38
The weighted average CLTV of the MCA Loans as of the Statistic
Calculation Date was 78.39%; the weighted average Coupon Rate was 10.36% per
annum; the weighted average original term to stated maturity was 314 months; the
weighted average remaining term to stated maturity was 312 months and 99.40% of
the MCA Loans were secured by first mortgages.
PAM. The Sponsor acquired approximately 8.82% of the Mortgage Loans as
of the Statistic Calculation Date from PacificAmerica Money Center, Inc.
("PAM"), an Unaffiliated Originator (such mortgage loans, the "PAM Loans")
PacificAmerica Money Center, Inc. is headquartered in Woodland Hills, CA and is
engaged in originating mortgage loans through retail and wholesale channels. The
PAM Loans consist of 796 Mortgage Loans representing an aggregate principal
balance of $76,192,621.76 as of the Statistic Calculation Date. Approximately
19.06% (by aggregate principal balance as of the Statistic Calculation Date) of
the PAM Loans are included in the Fixed Rate Group and approximately 80.94% of
the PAM Loans are included in the Adjustable Rate Group. The PAM Loans are
related to properties located in 39 states.
Prior to its initial purchase of the PAM Loans, the Sponsor performed
or caused to be performed an operational review of the origination practices of
PAM. The Sponsor has been acquiring Mortgage Loans from PAM since mid-1995.
The weighted average CLTV of the PAM Loans as of the Statistic
Calculation Date was 83.45%, the weighted average Coupon Rate was 10.90% per
annum; the weighted average original term to stated maturity was 347 months; the
weighted average remaining term to stated maturity was 345 months and 94.41% of
the PAM Loans were secured by first mortgages.
Goodrich & Pennington. The Sponsor acquired approximately 6.88% of the
Mortgage Loans as of the Statistic Calculation Date from Goodrich & Pennington
Mortgage Fund, Inc. ("G&P"), an Unaffiliated Originator (such mortgage loans,
the "G&P Loans"). Goodrich & Pennington Mortgage Fund, Inc. is headquartered in
Rohnert Park, CA and is engaged in originating mortgage loans through retail and
wholesale channels. The G&P Loans consist of 524 Mortgage Loans representing an
aggregate principal balance of $59,422,979.94 as of the Statistic Calculation
Date. Approximately 30.28% (by aggregate principal balance as of the Statistic
Calculation Date) of the G&P Loans are included in the Fixed Rate Group and
approximately 69.72% of the G&P Loans are included in the Adjustable Rate Group.
The G&P Loans are related to properties located in 14 states.
Prior to its initial purchase of the G&P Loans, the Sponsor performed
or caused to be performed an operational review of the origination practices of
Goodrich & Pennington Mortgage Fund, Inc.
The weighted average CLTV of the G&P Loans as of the Statistic
Calculation Date was 76.57%; the weighted average Coupon Rate was 10.22% per
annum; the weighted average original term to stated maturity was 357 months; the
weighted average remaining term to stated maturity was 357 months and 99.72% of
the G&P Loans were secured by first mortgages.
McGuire Mortgage Company. The Sponsor acquired approximately 1.43% of
the Mortgage Loans as of the Statistic Calculation Date from McGuire Mortgage
Company ("McGuire"), an Unaffiliated Originator (such mortgage loans, the
"McGuire Loans"). McGuire Mortgage Company is headquartered in Prairie Village,
Kansas and is engaged in originating mortgage loans through retail channels. The
McGuire Loans consist of 153 Mortgage Loans representing an aggregate principal
balance of $12,378,721.62 as of the Statistic Calculation Date. Approximately
97.80% (by aggregate principal balance as of the Statistic Calculation Date) of
the McGuire Loans are included in the Fixed Rate Group, and approximately 2.20%
of the McGuire Loans are included in the Adjustable Rate Group. The McGuire
Loans are related to properties located in 13 states.
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<PAGE> 39
Prior to its initial purchase of the McGuire Loans, the Sponsor
performed or caused to be performed an operational review of the origination and
servicing practices of McGuire Mortgage Company.
The weighted average CLTV of the McGuire Loans as of the Statistic
Calculation Date was 81.27%; the weighted average Coupon Rate was 8.62% per
annum; the weighted average original term to stated maturity was 229 months; the
weighted average remaining term to stated maturity was 227 months and 100% of
the McGuire Loans were secured by first mortgages.
First Street. The Sponsor acquired approximately 1.85% of the Mortgage
Loans as of the Statistic Calculation Date from First Street Mortgage Corp.
("FSMC"), an Unaffiliated Originator (such mortgage loans, the "FSMC Loans").
First Street Mortgage Corp. is headquartered in Jacksonville, Florida and is
engaged in originating mortgage loans through wholesale channels. The FSMC Loans
consist of 191 Mortgage Loans representing an aggregate principal balance of
$15,947,219.47 as of the Statistic Calculation Date. Approximately 68.93% (by
aggregate principal balance as of the Statistic Calculation Date) of the FSMC
Loans are included in the Fixed Rate Group and approximately 31.07% of the FSMC
Loans are included in the Adjustable Rate Group. The FSMC Loans are related to
properties located in 15 states.
Prior to its initial purchase of the FSMC Loans, the Sponsor performed
or caused to be performed an operational review of the origination and servicing
practices of FSMC.
The weighted average CLTV of FSMC Loans as of the Statistic Calculation
Date was 78.51%; the weighted average Coupon Rate was 9.34% per annum; the
weighted average original term to stated maturity was 329 months; the weighted
average remaining term to stated maturity was 328 months and 96.88% of the FSMC
Loans were secured by first mortgages.
Equi-Financial, L.P.. The Sponsor acquired approximately 2.39% of the
Mortgage Loans as of the Statistic Calculation Date from Equi-Financial, L.P.
("EFLP"), an Unaffiliated Originator (such mortgage loans, the "EFLP Loans").
Equi-Financial, L.P. is headquartered in East Providence, Rhode Island and is
engaged in originating mortgage loans through wholesale channels. The EFLP Loans
consist of 300 Mortgages representing an aggregate principal balance of
$20,627,365.10 as of the Statistic Calculation Date. Approximately 74.42% (by
aggregate principal balance as of the Statistic Calculation Date) of the EFLP
Loans are included in the Fixed Rate Group, and approximately 25.58% of the EFLP
Loans are included in the Adjustable Rate Group. The EFLP Loans are related to
properties located in 11 states.
Prior to its purchase of the EFLP Loans, the Sponsor performed or
caused to be performed an operational review of the origination and servicing
practices of EFLP.
The weighted average CLTV of the EFLP Loans as of the Statistic
Calculation Date was 80.55%; the weighted average Coupon Rate was 10.11% per
annum; the weighted average original term to stated maturity was 267 months; the
weighted average remaining term to stated maturity was 266 months and 93.52% of
the EFLP Loans were secured by first mortgages.
The MCA Loans, the G&P Loans, the PAM Loans, the McGuire Loans, the
FSMC Loans and the EFLP Loans are collectively referred to herein as the
"Unaffiliated Originator Loans."
All of the Mortgage Loans purchased by the Sponsor from the
Unaffiliated Originators were originated in accordance with the Sponsor's
underwriting guidelines for Unaffiliated Originators. See "Mortgage Loan Program
- -- Underwriting Guidelines" in the Prospectus.
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<PAGE> 40
DELINQUENCIES
Owned and Managed Servicing Portfolio. The following tables set forth
information relating to the delinquency, loan loss and foreclosure experience of
the Master Servicer for its servicing portfolio, excluding certain loans
serviced by the Master Servicer that were not originated or purchased and
reunderwritten by the Sponsor or its Affiliated Originators (the "Owned and
Managed Servicing Portfolio"), of fixed and adjustable rate mortgage loans as of
March 31, 1998, and for each of the four prior years ended December 31. The
Owned and Managed Servicing Portfolio includes, but is not limited to, the
Mortgage Loans acquired on or prior to March 31, 1998, which are contained in
the Mortgage Loan Pool, as of the Statistic Calculation Date. In addition to the
Owned and Managed Servicing Portfolio, the Master Servicer serviced, as of March
31, 1998, approximately 132,000 mortgage loans with an aggregate principal
balance as of such date of approximately $8.8 billion; such loans were not
originated by the Sponsor or its Affiliated Originators and are being serviced
for third parties on a contract servicing basis (the "Third-Party Servicing
Portfolio"). No loans in the Third-Party Servicing Portfolio are included in the
tables set forth below.
DELINQUENCY AND FORECLOSURE EXPERIENCE OF THE
MASTER SERVICER'S OWNED AND MANAGED SERVICING PORTFOLIO
OF MORTGAGE LOANS
<TABLE>
<CAPTION>
THREE MONTHS ENDING YEAR ENDING DECEMBER 31,
MARCH 31, 1998 1997 1996 1995 1994
-------------------- -------------------- -------------------- -------------------- --------------------
NUMBER DOLLAR NUMBER DOLLAR NUMBER DOLLAR NUMBER DOLLAR NUMBER DOLLAR
OF AMOUNT OF AMOUNT OF AMOUNT OF AMOUNT OF AMOUNT
LOANS (000) LOANS (000) LOANS (000) LOANS (000) LOANS (000)
------- ---------- ------- ---------- ------- ---------- ------- ---------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Portfolio 83,415 $5,491,997 74,525 $4,888,936 43,303 $2,595,981 32,592 $1,797,582 26,446 $1,346,100
Delinquency
percentage(1)
30-59 days 2.55% 2.48% 3.13% 2.99% 3.07% 2.90% 2.67% 2.44% 2.01% 1.57%
60-89 days 0.85 0.88 0.98 0.98 0.85 0.90 0.72 0.71 0.57 0.45
90 days or more 1.41 1.38 1.39 1.28 1.45 1.26 1.69 1.23 1.85 1.51
------- ---------- ------- ---------- ------- ---------- ------- ---------- ------- ----------
Total 4.81% 4.74% 5.50% 5.25% 5.37% 5.06% 5.08% 4.38% 4.43% 3.53%
Foreclosure 2.28% 2.54% 2.10% 2.32% 1.62% 1.92% 1.29% 1.53% 1.35% 1.38%
rate(2)
REO 0.54% -- 0.40% -- 0.42% -- 0.52% -- 0.47% --
properties(3)
</TABLE>
- ----------------------
(1) The period of delinquency is based on the number of days payments are
contractually past due. The delinquency statistics for the period
exclude loans in foreclosure.
(2) "Foreclosure Rate" is the number of mortgage loans or the dollar amount
of mortgage loans in foreclosure as a percentage of the total number of
mortgage loans or the dollar amount of mortgage loans, as the case may
be, as of the date indicated.
(3) REO Properties (i.e., "real estate owned" properties -- properties
relating to mortgages foreclosed or for which deeds in lieu of
foreclosure have been accepted, and held by the Master Servicer pending
disposition) percentages are calculated using the number of loans, not
the dollar amount.
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<PAGE> 41
LOAN LOSS EXPERIENCE
OF THE MASTER SERVICER'S OWNED AND MANAGED SERVICING PORTFOLIO
OF MORTGAGE LOANS
<TABLE>
<CAPTION>
THREE MONTHS ENDING YEAR ENDING DECEMBER 31,
MARCH 31, 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ----------
(Dollars in thousands)
<S> <C> <C> <C> <C> <C>
Average amount
outstanding(1) $5,232,037 $3,677,342 $2,102,643 $1,540,238 $1,225,529
Gross losses(2) $ 6,021 $ 18,897 $ 15,184 $ 13,978 $ 20,886
Recoveries(3) $ 40 $ 45 $ 117 $ 148 $ 179
Net losses(4) $ 5,981 $ 18,852 $ 15,067 $ 13,830 $ 20,707
Net losses as a 0.46% 0.51% 0.72% 0.90% 1.69%
percentage of average
amount outstanding(5)
</TABLE>
- --------------------
(1) "Average Amount Outstanding" during the period is the arithmetic
average of the principal balances of the mortgage loans outstanding on
the last business day of each month during the period.
(2) "Gross Losses" are amounts which have been determined to be
uncollectible relating to mortgage loans for each respective period.
(3) "Recoveries" are recoveries from liquidation proceeds and deficiency
judgments.
(4) "Net Losses" represents "Gross Losses" minus "Recoveries".
(5) March 31, 1998 percentage has been based on annualized net losses.
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<PAGE> 42
THE MORTGAGE LOAN POOL
GENERAL
The Mortgage Loans will be predominantly home equity loans, i.e., loans
used (x) to refinance an existing mortgage loan on more favorable terms, (y) to
consolidate debt, or (z) to obtain cash proceeds by borrowing against the
Mortgagor's equity in the related Mortgaged Property.
The Mortgage Loans to be sold by the Sponsor to the Trust consisted, as
of the Statistic Calculation Date, of 11,714 loans evidenced by promissory notes
(the "Notes") secured by Mortgages on the Mortgaged Properties, which are
located in 50 states and the District of Columbia. The Mortgaged Properties
securing the Mortgage Loans consist primarily of single-family residences (which
may be detached, part of a two- to four-family dwelling, a condominium unit or a
unit in a planned unit development). The Mortgaged Properties may be
owner-occupied (which includes second and vacation homes) and non-owner occupied
investment properties.
The Mortgage Loans will be required to satisfy the following criteria
as of the Statistic Calculation Date: have remaining terms to maturity of no
greater than 30 years; will not be 30 or more days delinquent (except that
certain Mortgage Loans, representing in the aggregate not in excess of 0.51% of
the aggregate principal balance of all Mortgage Loans as of the Statistic
Calculation Date, may be 30-59 days delinquent). Neither the Sponsor nor the
Master Servicer have reason to believe that the delinquency and loss experience
of the Mortgage Loans will differ in any material respect from that of the
Master Servicer's total servicing portfolio, although there can be no assurance
that this will be the case.
Less than 11.36% of the Mortgage Loans (as a percentage of the
aggregate principal balance of all Mortgage Loans as of the Statistic
Calculation Date) are "simple interest" or "date of payment" loans, with the
remainder "actuarial" or "pre-computed" loans. A "simple interest" loan provides
that interest which has accrued to date is paid first and the remaining payment
is applied to reduce the unpaid principal balance. An "actuarial" loan provides
for amortization of the loan over a series of fixed level monthly installments.
98.49% of the Mortgage Loans are secured by first lien mortgages on the related
Mortgaged Properties, and 1.51% of the Mortgage Loans are secured by junior
liens on the related Mortgaged Properties.
Each Mortgage Loan in the Trust will be assigned to one of four
mortgage loan groups (the "Group IA Pool", the "Group IB Pool", the "Group IIA
Pool", and the "Group IIB Pool"). Each of the Mortgage Loans contained in the
Group IA Pool and the Group IIA Pool will be secured by a Mortgage having either
a first or junior lien position with respect to the related Mortgaged Property,
and will have a maximum remaining term to maturity of 30 years. The Mortgage
Loans contained in the Group IB Pool and the Group IIB Pool will be secured by a
Mortgage having a first lien position with respect to the related Mortgaged
Property and will have a maximum remaining term to maturity of 30 years. The
Group IA Pool and the Group IIA Pool will consist of Mortgage Loans owned by
Advanta Conduit Services, Inc. and its other non-bank affiliates; the Group IB
Pool and the Group IIB Pool will consist of Mortgage Loans owned by Advanta
National Bank. The Group IA Certificates represent undivided ownership interests
in all Mortgage Loans contained or to be contained in the Group IA Pool, the
Group IB Certificates represent undivided ownership interests in all Mortgage
Loans contained or to be contained in the Group IB Pool, the Group IIA
Certificates represent undivided ownership interests in all Mortgage Loans
contained or to be contained in the Group IIA Pool, and the Group IIB
Certificates represent undivided ownership interests in all Mortgage Loans
contained or to be contained in the Group IIB Pool.
The CLTVs and LTVs described herein were calculated based upon the
appraised values of the related Mortgaged Properties at the time of origination
(the "Appraised Values"). In general, for purchase money loans, the CLTVs and
LTVs were calculated using the lower of the purchase price or appraised
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<PAGE> 43
values of the related Mortgaged Properties at the time of origination. No
assurance can be given that such appraised values of the Mortgaged Properties
have remained or will remain at their levels on the dates of origination of the
related Mortgage Loans. If property values decline such that the outstanding
balances of the Mortgage Loans, together with the outstanding balances of any
Senior Liens, become equal to or greater than the value of the Mortgaged
Properties, the actual rates of delinquencies, foreclosures and losses could be
higher than those heretofore experienced by the Master Servicer, as set forth
above under "The Portfolio of Mortgage Loans," and in the mortgage lending
industry.
Difference between Statistic Calculation Date Pools and Closing Date
Pools.
The statistical information presented in this Prospectus Supplement is
based on the pools as of the Statistic Calculation Date. These pools aggregated
$232,245,797.50 with respect to the Group IA Pool, $276,197,885.07 with respect
to the Group IB Pool, $234,288,645.23 with respect to Group IIA Pool, and
$121,593,867.92 with respect to the Group IIB Pool. The Sponsor expects that the
actual pools as of the Closing Date will represent approximately $240,000,000 in
Mortgage Loans in the Group IA Pool, approximately $310,000,000 in Mortgage
Loans in the Group IB Pool, approximately $240,000,000 in Mortgage Loans in the
Group IIA Pool, and approximately $135,000,000 in Mortgage Loans in the Group
IIB Pool. The additional Mortgage Loans to be included in the final pools will
represent Mortgage Loans acquired or to be acquired by the Sponsor on or prior
to the Closing Date. In addition, with respect to the pools as of the Statistic
Calculation Date, as to which statistical information is presented herein, some
amortization of the Mortgage Loans contained in such pools will occur prior to
the Closing Date. Moreover, certain loans included in the pools as of the
Statistic Calculation Date may prepay in full or may be determined not to meet
the eligibility requirements for the final pools and as a result may not be
included in the final pools. As a result of the foregoing, the statistical
distribution of characteristics as of the Closing Date for the final Mortgage
Loan pools will vary somewhat from the statistical distribution of such
characteristics as of the Statistic Calculation Date as presented in this
Prospectus Supplement, although such variance will not be material. In the event
that the Sponsor does not, as of the Closing Date, have the full amount of
Mortgage Loans which the Sponsor expects to sell to the Trust on such date,
(i.e., approximately $240,000,000 with respect to the Group IA Pool,
approximately $310,000,000 with respect to the Group IB Pool, approximately
$240,000,000 with respect to the Group IIA Pool, and approximately $135,000,000
with respect to the Group IIB Pool) the Sponsor will reduce the size of the
offering. The Sponsor does not expect that the original principal amount of any
class will increase or decrease by more than 5% as a result of such
non-delivery. Even if the full expected amount of Mortgage Loans is delivered,
certain adjustments (plus or minus 5%) may occur between the class sizes.
THE GROUP IA POOL
The Mortgage Loans in the Group IA Pool as of the Statistic Calculation
Date consist of 3,598 Mortgage Loans under which the related Mortgaged
Properties are located in 48 states and the District of Columbia, as set forth
herein. The Group IA Pool had an aggregate principal balance of $232,245,797.50
and the minimum principal balance of any of the Mortgage Loans in the Group IA
Pool as of the Statistic Calculation Date was $961.83, the maximum principal
balance thereof was $913,943.30 and the average principal balance of such
Mortgage Loans was approximately $64,548.58. The Coupon Rates on the Mortgage
Loans in the Group IA Pool ranged from 7.24% to 17.45% per annum, and the
weighted average Coupon Rate of such Mortgage Loans was 10.37% per annum. The
original term to stated maturity of the Mortgage Loans in the Group IA Pool
ranged from 36 months to 360 months, the remaining term to stated maturity
ranged from 32 months to 360 months, the weighted average original term to
stated maturity was 264 months, the weighted average remaining term to stated
maturity was 262 months and the weighted average seasoning was 1.5 months. No
Mortgage Loan in the Group IA Pool had a stated maturity later than June 7,
2028. 81.26% of the Mortgage Loans in the Group IA Pool by aggregate principal
balance require monthly payments of principal that will fully amortize the
Mortgage Loans by their respective maturity dates, and 18.74% of such Mortgage
Loans by aggregate principal balance are Balloon Loans.
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<PAGE> 44
The weighted average CLTV of the Mortgage Loans included in the Group
IA Pool was 77.02%. The weighted average Junior Lien Ratio (as defined below) of
the Mortgage Loans in the Group IA Pool was 31.25%; the weighted average LTV was
73.91%. Approximately 94.38% of the Mortgage Loans in the Group IA Pool by
aggregate principal balance were secured by first mortgages and approximately
5.62% by junior mortgages.
The "Junior Lien Ratio" of a Mortgage Loan which is in a junior lien
position is equal to the ratio (expressed as a percentage) of the original
principal balance of such Mortgage Loan to the sum of (i) the original principal
balance of such Mortgage Loan and (ii) the principal balance at the time of
origination of the Mortgage Loan of any Senior Liens (computed at the time of
origination of such Mortgage Loan).
The following tables describe the Group IA Pool Mortgage Loans and the
related properties based upon the Group IA Pool as of the Statistic Calculation
Date.
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<PAGE> 45
GROUP IA POOL
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
----- --------------- ------
<S> <C> <C> <C>
Alabama ........................ 9 $ 484,677.17 0.21%
Alaska ......................... 3 209,537.84 0.09
Arizona ........................ 149 8,695,551.85 3.74
Arkansas ....................... 9 318,579.55 0.14
California ..................... 275 29,857,428.33 12.86
Colorado ....................... 94 7,194,069.72 3.10
Connecticut .................... 14 906,106.79 0.39
Delaware ....................... 7 322,272.87 0.14
District of Columbia ........... 1 54,298.36 0.02
Florida ........................ 287 18,179,228.90 7.83
Georgia ........................ 80 4,871,015.45 2.10
Hawaii ......................... 4 542,308.44 0.23
Idaho .......................... 29 1,745,620.78 0.75
Illinois ....................... 68 4,850,825.99 2.09
Indiana ........................ 154 8,155,839.08 3.51
Iowa ........................... 50 2,266,959.94 0.98
Kansas ......................... 78 5,056,827.73 2.18
Kentucky ....................... 38 1,905,837.72 0.82
Louisiana ...................... 20 742,979.40 0.32
Maryland ....................... 69 4,702,156.98 2.02
Massachusetts .................. 28 2,513,280.56 1.08
Michigan ....................... 481 21,165,639.12 9.11
Minnesota ...................... 18 1,188,926.61 0.51
Mississippi .................... 5 251,112.52 0.11
Missouri ....................... 129 7,684,835.54 3.31
Montana ........................ 6 233,943.04 0.10
Nebraska ....................... 18 1,345,369.42 0.58
Nevada ......................... 75 7,713,634.73 3.32
New Hampshire .................. 2 205,268.20 0.09
New Jersey ..................... 55 3,787,743.82 1.63
New Mexico ..................... 27 1,353,756.29 0.58
New York ....................... 35 3,575,694.34 1.54
North Carolina ................. 144 8,819,847.07 3.80
Ohio ........................... 144 7,883,642.80 3.39
Oklahoma ....................... 41 2,129,331.98 0.92
Oregon ......................... 83 7,582,904.33 3.27
Pennsylvania ................... 267 14,439,487.19 6.22
Rhode Island ................... 9 723,721.23 0.31
South Carolina ................. 67 3,738,396.80 1.61
South Dakota ................... 5 115,345.15 0.05
Tennessee ...................... 116 7,381,444.11 3.18
Texas .......................... 54 3,167,483.91 1.36
Utah ........................... 60 4,491,705.73 1.93
Vermont ........................ 3 166,674.81 0.07
Virginia ....................... 162 9,514,744.63 4.10
Washington ..................... 93 8,416,085.27 3.62
West Virginia .................. 12 587,254.88 0.25
Wisconsin ...................... 17 845,396.25 0.36
Wyoming ........................ 4 161,004.28 0.07
----- --------------- ------
TOTAL ..................... 3,598 $ 232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-45
<PAGE> 46
GROUP IA POOL
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CLTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
90.01 - 95.00% ............. 33 $ 1,958,508.96 0.84%
85.01 - 90.00 .............. 233 18,131,779.83 7.81
80.01 - 85.00 .............. 1,153 81,239,870.70 34.98
75.01 - 80.00 .............. 757 55,849,891.68 24.05
70.01 - 75.00 .............. 387 25,970,753.98 11.18
65.01 - 70.00 .............. 289 17,084,028.85 7.36
60.01 - 65.00 .............. 217 11,772,142.18 5.07
55.01 - 60.00 .............. 146 6,424,938.99 2.77
50.01 - 55.00 .............. 74 3,221,281.40 1.39
00.01 - 50.00 .............. 309 10,592,600.93 4.56
----- --------------- ------
TOTAL .................. 3,598 $ 232,245,797.50 100.00%
===== =============== ======
</TABLE>
GROUP IA POOL
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
90.01 - 95.00% ................. 31 $ 1,924,187.33 0.83%
85.01 - 90.00 .................. 201 17,265,830.35 7.43
80.01 - 85.00 .................. 932 74,217,257.03 31.96
75.01 - 80.00 .................. 683 53,100,602.51 22.86
70.01 - 75.00 .................. 357 24,828,348.05 10.69
65.01 - 70.00 .................. 281 17,014,642.75 7.33
60.01 - 65.00 .................. 207 11,254,683.03 4.85
55.01 - 60.00 .................. 138 6,087,952.83 2.62
50.01 - 55.00 .................. 78 3,560,262.37 1.53
00.01 - 50.00 .................. 690 22,992,031.25 9.90
----- --------------- ------
TOTAL ..................... 3,598 $ 232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-46
<PAGE> 47
GROUP IA POOL
DISTRIBUTION OF JUNIOR LIEN RATIOS
(JUNIOR LIENS ONLY)
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
JUNIOR LIEN RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--- -------------- ------
<S> <C> <C> <C>
0.001 - 10.000% .................. 13 $ 138,727.09 1.06%
10.001 - 20.000 ................... 121 3,039,200.61 23.26
20.001 - 30.000 ................... 135 4,300,942.73 32.92
30.001 - 40.000 ................... 66 2,579,554.36 19.75
40.001 - 50.000 ................... 32 1,461,117.61 11.18
50.001 - 60.000 ................... 15 853,912.65 6.54
60.001 - 70.000 ................... 8 322,859.49 2.47
70.001 - 80.000 ................... 6 305,753.97 2.34
80.001 - 90.000 ................... 1 61,751.02 0.47
--- -------------- ------
TOTAL .......................... 397 $13,063,819.53 100.00%
=== ============== ======
</TABLE>
GROUP IA POOL
DISTRIBUTION OF COUPON RATES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
7.001 - 8.000% ................ 61 $ 5,809,981.88 2.50%
8.001 - 9.000 ................. 453 41,378,731.31 17.82
9.001 - 10.000 ................ 959 75,091,733.89 32.33
10.001 - 11.000 ................ 742 49,570,066.04 21.34
11.001 - 12.000 ................ 425 23,609,533.52 10.17
12.001 - 13.000 ................ 615 23,847,254.98 10.27
13.001 - 14.000 ................ 216 8,121,108.85 3.50
14.001 - 15.000 ................ 91 3,391,906.55 1.46
15.001 - 16.000 ................ 28 1,179,450.34 0.51
16.001 - 17.000 ................ 6 174,407.31 0.08
17.001 - 18.000 ................ 2 71,622.83 0.03
----- --------------- ------
TOTAL ..................... 3,598 $232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-47
<PAGE> 48
GROUP IA POOL
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
REMAINING TERM NUMBER OF AGGREGATE % OF AGGREGATE
TO MATURITY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
25 - 36 ....................... 2 $ 78,789.88 0.03%
37 - 48 ....................... 1 15,879.56 0.01
49 - 60 ....................... 28 536,571.43 0.23
73 - 84 ....................... 15 426,367.41 0.18
85 - 96 ....................... 10 296,614.72 0.13
97 - 108 ...................... 1 74,599.98 0.03
109 - 120 ...................... 174 6,216,915.59 2.68
133 - 144 ...................... 17 832,704.56 0.36
145 - 156 ...................... 2 148,547.08 0.06
157 - 168 ...................... 2 65,296.08 0.03
169 - 180 ...................... 1,457 81,561,752.50 35.12
193 - 204 ...................... 5 470,157.72 0.20
205 - 216 ...................... 3 221,563.00 0.10
217 - 228 ...................... 10 588,262.91 0.25
229 - 240 ...................... 694 44,104,240.43 18.99
289 - 300 ...................... 16 1,166,202.73 0.50
301 - 312 ...................... 1 104,787.27 0.05
325 - 336 ...................... 1 86,884.71 0.04
349 - 360 ...................... 1,159 95,249,659.94 41.01
----- --------------- ------
TOTAL ..................... 3,598 $232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-48
<PAGE> 49
GROUP IA POOL
DISTRIBUTION OF PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
$ 0 - 5,000 .................... 2 $ 5,905.30 0.00%
5,001 - 10,000 ................. 34 330,159.25 0.14
10,001 - 15,000 ................ 107 1,394,128.21 0.60
15,001 - 20,000 ................ 186 3,363,169.15 1.45
20,001 - 25,000 ................ 205 4,698,836.39 2.02
25,001 - 30,000 ................ 240 6,633,173.56 2.86
30,001 - 35,000 ................ 232 7,580,453.64 3.26
35,001 - 40,000 ................ 243 9,221,682.48 3.97
40,001 - 45,000 ................ 227 9,683,526.01 4.17
45,001 - 50,000 ................ 216 10,269,456.21 4.42
50,001 - 55,000 ................ 241 12,671,380.80 5.46
55,001 - 60,000 ................ 236 13,611,942.24 5.86
60,001 - 65,000 ................ 168 10,548,159.14 4.54
65,001 - 70,000 ................ 147 9,927,529.05 4.27
70,001 - 75,000 ................ 124 8,997,453.59 3.87
75,001 - 80,000 ................ 107 8,327,765.23 3.59
80,001 - 85,000 ................ 98 8,115,109.40 3.49
85,001 - 90,000 ................ 81 7,082,243.92 3.05
90,001 - 95,000 ................ 70 6,464,207.68 2.78
95,001 - 100,000 ............... 83 8,097,563.58 3.49
100,001 - 150,000 .............. 372 44,300,768.19 19.07
150,001 - 200,000 .............. 89 15,503,930.70 6.68
200,001 - 250,000 .............. 44 9,830,660.19 4.23
250,001 - 300,000 .............. 21 5,620,090.94 2.42
300,001 - 350,000 .............. 12 3,924,410.04 1.69
350,001 - 400,000 .............. 4 1,503,345.30 0.65
400,001 - 450,000 .............. 4 1,677,894.47 0.72
450,001 - 500,000 .............. 3 1,420,270.25 0.61
500,001 - 550,000 .............. 1 526,639.29 0.23
900,001 - 950,000 .............. 1 913,943.30 0.39
----- --------------- ------
TOTAL ........................ 3,598 $232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-49
<PAGE> 50
GROUP IA POOL
DISTRIBUTION OF PROPERTY TYPES
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
SF Detached/De Min PUD ......... 2,996 $196,149,978.84 84.46%
SF Row House/Townhouse/Condo ... 161 8,988,055.35 3.87
Two to Four Family Home ........ 152 10,253,120.78 4.42
Prefabricated Single Family .... 269 14,059,002.31 6.05
Other .......................... 20 2,795,640.22 1.20
----- --------------- ------
TOTAL ..................... 3,598 $ 232,245,797.50 100.00%
===== =============== ======
</TABLE>
GROUP IA POOL
DISTRIBUTION OF OCCUPANCY STATUS
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- ---------------- ------
<S> <C> <C> <C>
Non-Investor owned* ........... 3,175 $ 210,635,553.13 90.70%
Investor owned ................ 423 21,610,244.37 9.30
----- ---------------- ------
TOTAL .................... 3,598 $ 232,245,797.50 100.00%
===== ================ ======
</TABLE>
- ----------------------
* Includes vacation and second homes.
GROUP IA POOL
DISTRIBUTION OF SEASONING
<TABLE>
<CAPTION>
MONTHS ELAPSED NUMBER OF AGGREGATE % OF AGGREGATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
0 - 6 ................... 3,556 $229,903,502.51 98.99%
7 - 12 .................. 37 2,096,910.24 0.90
13 - 24 .................. 1 46,296.08 0.02
25 - 36 .................. 3 179,679.84 0.08
97 - 108 ................. 1 19,408.83 0.01
----- --------------- ------
TOTAL ................. 3,598 $ 232,245,797.50 100.00%
===== =============== ======
</TABLE>
S-50
<PAGE> 51
THE GROUP IB POOL
The Mortgage Loans in the Group IB Pool as of the Statistic Calculation
Date consist of 4,163 Mortgage Loans under which the related Mortgaged
Properties are located in 49 states and the District of Columbia, as set forth
herein. The Group IB Pool had an aggregate principal balance of $276,197,885.07
and the minimum principal balance of any of the Mortgage Loans in the Group IB
Pool as of the Statistic Calculation Date was $1,967.90, the maximum principal
balance thereof was $597,999.01 and the average principal balance of such
Mortgage Loans was approximately $66,345.88. The Coupon Rates on the Mortgage
Loans in the Group IB Pool ranged from 6.50% to 17.05% per annum, and the
weighted average Mortgage Rate of such Mortgage Loans was 9.75% per annum. The
original term to stated maturity of the Mortgage Loans in the Group IB Pool
ranged from 60 months to 360 months, the remaining term to stated maturity
ranged from 39 months to 360 months, the weighted average original term to
stated maturity was 249 months, the weighted average remaining term to stated
maturity was 248 months and the weighted average seasoning was 1 month. No
Mortgage Loan in the Group IB Pool had a stated maturity later than June 15,
2028. 79.79% of the Mortgage Loans in the Group IB Pool by aggregate principal
balance require monthly payments of principal that will fully amortize the
Mortgage Loans by their respective maturity dates, and 20.21% of such Mortgage
Loans by aggregate principal balance are Balloon Loans.
The weighted average CLTV of the Mortgage Loans included in the Group
IB Pool was 74.95%. 100% of the Mortgage Loans in the Group IB Pool by aggregate
principal balance were secured by first mortgages.
The following tables describe the Group IB Pool Mortgage Loans and the
related properties based upon the Group IB Pool as of the Statistic Calculation
Date.
S-51
<PAGE> 52
GROUP IB POOL
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
Alabama .................. 38 $ 1,896,709.62 0.69%
Arizona .................. 52 3,675,736.92 1.33
Arkansas ................. 71 3,182,672.11 1.15
California ............... 106 13,850,918.88 5.01
Colorado ................. 73 6,813,347.99 2.47
Connecticut .............. 30 2,588,604.10 0.94
Delaware ................. 31 2,279,017.69 0.83
District of Columbia ..... 16 1,272,803.73 0.46
Florida .................. 106 6,983,240.29 2.53
Georgia .................. 119 8,111,788.49 2.94
Hawaii ................... 5 958,237.07 0.35
Idaho .................... 9 533,610.32 0.19
Illinois ................. 179 12,263,023.37 4.44
Indiana .................. 116 6,024,736.39 2.18
Iowa ..................... 58 2,872,251.73 1.04
Kansas ................... 70 3,907,562.11 1.41
Kentucky ................. 58 2,716,628.03 0.98
Louisiana ................ 54 2,654,515.00 0.96
Maine .................... 19 935,091.88 0.34
Maryland ................. 152 13,605,756.93 4.93
Massachusetts ............ 40 4,990,682.72 1.81
Michigan ................. 639 35,791,486.16 12.96
Minnesota ................ 87 6,170,367.13 2.23
Mississippi .............. 43 2,272,904.65 0.82
Missouri ................. 154 7,858,663.04 2.85
Montana .................. 13 699,327.91 0.25
Nebraska ................. 35 1,714,202.87 0.62
Nevada ................... 15 1,103,932.27 0.40
New Hampshire ............ 6 360,627.89 0.13
New Jersey ............... 111 11,645,307.01 4.22
New Mexico ............... 37 2,573,596.78 0.93
New York ................. 152 12,208,537.12 4.42
North Carolina ........... 127 8,118,375.11 2.94
North Dakota ............. 8 257,818.20 0.09
Ohio ..................... 242 15,463,382.66 5.60
Oklahoma ................. 50 2,349,648.78 0.85
Oregon ................... 44 4,164,589.62 1.51
Pennsylvania ............. 316 18,942,085.77 6.86
Rhode Island ............. 12 923,555.29 0.33
South Carolina ........... 38 1,922,406.89 0.70
South Dakota ............. 12 576,288.74 0.21
Tennessee ................ 96 5,589,919.91 2.02
Texas .................... 166 8,435,114.02 3.05
Utah ..................... 25 2,972,248.25 1.08
Vermont .................. 22 1,376,886.40 0.50
Virginia ................. 98 6,416,941.50 2.32
Washington ............... 60 6,940,871.21 2.51
West Virginia ............ 102 4,626,458.37 1.68
Wisconsin ................ 45 2,330,532.72 0.84
Wyoming .................. 6 274,873.43 0.10
----- --------------- ------
TOTAL ............... 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
S-52
<PAGE> 53
GROUP IB POOL
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CLTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
85.01 - 90.00% .............. 32 $ 2,784,016.76 1.01%
80.01 - 85.00 ............... 1,245 95,580,050.63 34.61
75.01 - 80.00 ............... 946 71,067,107.10 25.73
70.01 - 75.00 ............... 583 40,645,322.05 14.72
65.01 - 70.00 ............... 334 20,483,935.39 7.42
60.01 - 65.00 ............... 249 13,152,280.25 4.76
55.01 - 60.00 ............... 194 9,428,090.56 3.41
50.01 - 55.00 ............... 114 5,680,095.86 2.06
00.01 - 50.00 ............... 466 17,376,986.47 6.29
----- --------------- ------
TOTAL .................. 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
GROUP IB POOL
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
85.01 - 90.00% ................. 32 $ 2,784,016.76 1.01%
80.01 - 85.00 .................. 1,245 95,580,050.63 34.61
75.01 - 80.00 .................. 946 71,067,107.10 25.73
70.01 - 75.00 .................. 583 40,645,322.05 14.72
65.01 - 70.00 .................. 334 20,483,935.39 7.42
60.01 - 65.00 .................. 249 13,152,280.25 4.76
55.01 - 60.00 .................. 194 9,428,090.56 3.41
50.01 - 55.00 .................. 114 5,680,095.86 2.06
00.01 - 50.00 .................. 466 17,376,986.47 6.29
----- --------------- ------
TOTAL ..................... 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
S-53
<PAGE> 54
GROUP IB POOL
DISTRIBUTION OF COUPON RATES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
6.001 - 7.000% ............. 9 $ 772,184.96 0.28%
7.001 - 8.000 .............. 279 24,087,678.94 8.72
8.001 - 9.000 .............. 911 72,831,050.12 26.37
9.001 - 10.000 ............. 1,197 84,397,429.35 30.56
10.001 - 11.000 ............. 767 46,784,212.85 16.94
11.001 - 12.000 ............. 540 26,544,967.45 9.61
12.001 - 13.000 ............. 334 15,055,721.74 5.45
13.001 - 14.000 ............. 98 4,573,763.87 1.66
14.001 - 15.000 ............. 21 928,359.68 0.34
15.001 - 16.000 ............. 3 116,335.45 0.04
16.001 - 17.000 ............. 3 75,180.66 0.03
17.001 - 18.000 ............. 1 31,000.00 0.01
----- --------------- ------
TOTAL ................... 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
S-54
<PAGE> 55
GROUP IB POOL
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
REMAINING NUMBER OF AGGREGATE % OF AGGREGATE
TERM TO MATURITY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
37 - 48 ..................... 1 $ 37,297.01 0.01%
49 - 60 ..................... 24 693,587.86 0.25
61 - 72 ..................... 6 165,307.74 0.06
73 - 84 ..................... 22 626,797.79 0.23
85 - 96 ..................... 5 242,822.84 0.09
97 - 108 .................... 2 32,181.63 0.01
109 - 120 ................... 218 8,245,439.11 2.99
121 - 132 ................... 9 429,837.03 0.16
133 - 144 ................... 36 1,619,788.33 0.59
145 - 156 ................... 6 376,151.50 0.14
157 - 168 ................... 9 576,649.40 0.21
169 - 180 ................... 1,736 108,395,723.08 39.25
181 - 192 ................... 9 453,943.12 0.16
193 - 204 ................... 12 698,948.73 0.25
205 - 216 ................... 5 383,202.87 0.14
217 - 228 ................... 64 4,088,772.71 1.48
229 - 240 ................... 884 59,525,976.36 21.55
265 - 276 ................... 3 296,975.90 0.11
277 - 288 ................... 1 15,000.00 0.01
289 - 300 ................... 30 2,194,975.36 0.79
301 - 312 ................... 1 65,365.00 0.02
313 - 324 ................... 1 22,886.40 0.01
337 - 348 ................... 1 162,560.55 0.06
349 - 360 ................... 1,078 86,847,694.75 31.44
----- --------------- ------
TOTAL ................... 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
S-55
<PAGE> 56
GROUP IB POOL
DISTRIBUTION OF PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
$ 0 - 5,000 ................ 2 $ 4,830.25 0.00%
5,001 - 10,000 ............... 4 39,526.07 0.01
10,001 - 15,000 ............... 79 1,119,870.58 0.41
15,001 - 20,000 ............... 159 2,921,959.77 1.06
20,001 - 25,000 ............... 196 4,570,712.11 1.65
25,001 - 30,000 ............... 280 7,884,032.51 2.85
30,001 - 35,000 ............... 267 8,806,137.09 3.19
35,001 - 40:000 ............... 313 11,866,733.22 4.30
40,001 - 45,000 ............... 297 12,777,812.84 4.63
45,001 - 50,000 ............... 301 14,404,033.64 5.22
50,001 - 55,000 ............... 259 13,638,114.06 4.94
55,001 - 60,000 ............... 280 16,179,538.32 5.86
60,001 - 65,000 ............... 201 12,644,925.99 4.58
65,001 - 70,000 ............... 177 11,961,258.60 4.33
70,001 - 75,000 ............... 181 13,177,073.31 4.77
75,001 - 80,000 ............... 153 11,917,327.46 4.31
80,001 - 85,000 ............... 117 9,693,368.26 3.51
85,001 - 90,000 ............... 91 8,012,239.98 2.90
90,001 - 95,000 ............... 83 7,697,218.26 2.79
95,001 - 100,000 .............. 97 9,498,008.17 3.44
100,001 - 150,000 .............. 420 50,003,563.91 18.10
150,001 - 200,000 .............. 105 18,164,488.68 6.58
200,001 - 250,000 .............. 47 10,559,524.81 3.82
250,001 - 300,000 .............. 22 5,965,049.77 2.16
300,001 - 350,000 .............. 14 4,588,101.37 1.66
350,001 - 400,000 .............. 5 1,836,379.53 0.66
400,001 - 450,000 .............. 5 2,100,083.89 0.76
450,001 - 500,000 .............. 4 1,952,584.83 0.71
500,001 - 550,000 .............. 2 1,049,388.78 0.38
550,001 - 600,000 .............. 2 1,163,999.01 0.42
----- --------------- ------
TOTAL ....................... 4,163 $ 276,197,885.07 100.00%
===== =============== ======
</TABLE>
S-56
<PAGE> 57
GROUP IB POOL
DISTRIBUTION OF PROPERTY TYPES
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ------
<S> <C> <C> <C>
SF Detached/DeMin PUD ........... 3,698 $ 248,246,180.91 89.88%
SF Row House/Townhouse/Condo .... 207 11,375,215.21 4.12
Prefabricated Single Family ..... 146 8,560,580.07 3.10
Two to Four Family Homes ........ 112 8,015,908.88 2.90
----- -------------- ------
TOTAL ...................... 4,163 $ 276,197,885.07 100.00%
===== ============== ======
</TABLE>
GROUP IB POOLS
DISTRIBUTION OF OCCUPANCY STATUS
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- ---------------- ------
<S> <C> <C> <C>
Non-Investor owned* ........... 4,066 $ 270,854,379.41 98.07%
Investor owned ................ 97 5,343,505.66 1.93
----- ---------------- ------
TOTAL .................... 4,163 $ 276,197,885.07 100.00%
===== ================ ======
</TABLE>
- ----------------------
* Includes vacation and second homes
GROUP IB POOL
DISTRIBUTION OF SEASONING
<TABLE>
<CAPTION>
MONTHS ELAPSED NUMBER OF AGGREGATE % OF AGGREGATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- ---------------- ------
<S> <C> <C> <C>
0 - 6 ........................ 4,145 $ 274,992,138.15 99.56%
7 - 12 ....................... 12 875,526.30 0.32
13 - 24 ....................... 6 330,220.62 0.12
----- ---------------- ------
TOTAL ................. 4,163 $ 276,197,885.07 100.00%
===== ================ ======
</TABLE>
S-57
<PAGE> 58
THE GROUP IIA POOL
The Mortgage Loans in the Group IIA Pool as of the Statistic
Calculation Date consist of 2,498 loans under which the related Mortgaged
Properties are located in 48 states, as set forth herein. The Mortgage Loans in
the Group IIA Pool had an aggregate principal balance of $234,288,645.23, the
minimum principal balance of any of such Mortgage Loans was $9,996.25, the
maximum principal balance thereof was $674,333.33 and the average principal
balance of such Mortgage Loans was approximately $93,790.49. The weighted
average current Coupon Rate of the Mortgage Loans in the Group IIA Pool was
10.40%. The margins for the Mortgage Loans in the Group IIA Pool range from
2.25% to 11.50% and the weighted average margin was 6.33%.
The Mortgage Loans in the Group IIA Pool have original terms to stated
maturity from 120 months to 360 months, remaining terms to stated maturity from
118 months to 360 months, a weighted average original term to stated maturity of
359 months, a weighted average remaining term to stated maturity of 357 months
and a weighted average seasoning of 1.5 months. No Mortgage Loan in the Group
IIA Pool had a stated maturity later than June 10, 2028. 100% of the Mortgage
Loans in the Group IIA Pool by aggregate principal balance require monthly
payments of principal that will fully amortize such Mortgage Loans by their
respective maturity dates.
The weighted average CLTV of the Mortgage Loans included in the Group
IIA Pool was 80.01%. 100% of the Mortgage Loans in the Group IIA Pool by
aggregate principal balance were secured by first mortgages.
99.93% of the Mortgage Loans in the Group IIA Pool bear interest (in
some instances, following an initial fixed-rate period) at a six-month LIBOR
rate, plus a margin. 96.48% are indexed on the average of the six-month LIBOR
rates based on quotations at five major banks as set forth in the "Money Rates"
section of The Wall Street Journal, Western Edition, on the first business day
of the month; 0.24% are indexed on the average of the six-month LIBOR rates
based on quotations at five major banks as set forth in the "Money Rates"
section of The Wall Street Journal, Western Edition, on the 15th day of the
month; 2.34% are indexed on the average of the six-month LIBOR rates based on
quotations of major banks, as published by the Federal National Mortgage
Association ("FNMA"), on the first business day of the month; 0.87% are indexed
on the average of the six-month LIBOR rates based on quotations at five major
banks as set forth in the "Money Rates" section of The Wall Street Journal,
Western Edition, on the most recent daily quote available. 0.07% are indexed on
the weekly average of the one-year constant maturity treasury.
With respect to the Mortgage Loans in the Group IIA Pool, 61.97% of
such Mortgage Loans bear interest at a fixed rate of interest for a two-year
period following origination, 21.80% of such Mortgage Loans bear interest at a
fixed rate of interest for a three-year period following origination, and 11.90%
of such Mortgage Loans bear interest at a fixed rate of interest for a five year
period following origination; after such initial periods, such Mortgage Loans
bear interest at adjustable rates, as described above.
99.93% of the loans in the Group IIA Pool have semi-annual interest
rate and semi-annual payment adjustment frequencies. 0.07% of the loans in the
Group IIA Pool have annual interest rate and annual payment adjustment
frequencies. 71.66% of the Mortgage Loans in the Group IIA Pool have a periodic
rate adjustment cap of 1.00%; 28.17% of such Mortgage Loans have a periodic rate
adjustment cap of 1.5%; 0.18% of the Mortgage Loans in the Group IIA Pool have a
periodic rate adjustment cap of 2.00%. 55.93% of the Mortgage Loans in the Group
IIA Pool have a lifetime cap of 7.00%; 26.83% have a lifetime cap of 6.50%;
16.70% have a lifetime cap of 6.00%. The weighted average number of months until
the next reset date is approximately 29 months. The weighted average maximum
Coupon Rate was approximately 17.10%, with maximum Coupon Rates that range from
13.49% to 22.99%. The weighted average minimum Coupon Rate was approximately
9.46%, with minimum Coupon Rates that range from 3.90% to 16.49%.
S-58
<PAGE> 59
The following tables describe the Group IIA Pool Mortgage Loans and the
related properties based upon the Group IIA Pool as of the Statistic Calculation
Date.
GROUP IIA POOL
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
Alabama ..................... 1 $ 111,089.38 0.05%
Alaska ...................... 1 151,135.08 0.06
Arizona ..................... 54 5,512,985.29 2.35
Arkansas .................... 2 138,035.74 0.06
California .................. 229 36,134,933.60 15.42
Colorado .................... 93 9,874,401.38 4.21
Connecticut ................. 21 2,383,380.50 1.02
Delaware .................... 4 385,605.27 0.16
Florida ..................... 153 13,096,709.80 5.59
Georgia ..................... 37 3,668,956.25 1.57
Idaho ....................... 24 2,745,487.61 1.17
Illinois .................... 82 7,975,799.18 3.40
Indiana ..................... 90 4,889,999.01 2.09
Iowa ........................ 13 914,193.30 0.39
Kansas ...................... 11 889,959.75 0.38
Kentucky .................... 23 1,877,334.73 0.80
Louisiana ................... 6 660,353.86 0.28
Maine ....................... 3 236,984.98 0.10
Maryland .................... 36 3,658,300.59 1.56
Massachusetts ............... 25 2,395,502.30 1.02
Michigan .................... 501 33,493,570.86 14.30
Minnesota ................... 32 2,974,919.23 1.27
Mississippi ................. 3 287,733.66 0.12
Missouri .................... 22 2,082,642.29 0.89
Montana ..................... 6 583,810.62 0.25
Nebraska .................... 3 157,614.61 0.07
Nevada ...................... 93 10,311,463.51 4.40
New Hampshire ............... 6 563,705.41 0.24
New Jersey .................. 53 5,261,917.67 2.25
New Mexico .................. 9 968,045.19 0.41
New York .................... 43 4,578,277.49 1.95
North Carolina .............. 44 4,089,064.50 1.75
Ohio ........................ 149 11,081,189.36 4.73
Oklahoma .................... 19 1,447,781.22 0.62
Oregon ...................... 107 11,054,486.52 4.72
Pennsylvania ................ 81 6,977,247.62 2.98
Rhode Island ................ 6 551,238.78 0.24
South Carolina .............. 10 859,497.91 0.37
South Dakota ................ 5 457,067.92 0.20
Tennessee ................... 22 1,705,780.22 0.73
Texas ....................... 92 8,113,588.87 3.46
Utah ........................ 89 9,684,097.72 4.13
Vermont ..................... 2 737,680.00 0.31
Virginia .................... 26 2,047,915.04 0.87
Washington .................. 102 12,039,786.57 5.14
West Virginia ............... 9 658,409.14 0.28
Wisconsin ................... 55 3,682,165.70 1.57
Wyoming ..................... 1 136,800.00 0.06
----- --------------- ------
TOTAL .................. 2,498 $ 234,288,645.23 100.00%
===== =============== ======
</TABLE>
S-59
<PAGE> 60
GROUP IIA POOL
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CLTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
90.01 - 95.00% .............. 11 $ 1,491,570.14 0.64%
85.01 - 90.00 ............... 422 50,681,038.16 21.63
80.01 - 85.00 ............... 670 65,088,812.11 27.78
75.01 - 80.00 ............... 606 55,705,948.33 23.78
70.01 - 75.00 ............... 306 26,801,363.08 11.44
65.01 - 70.00 ............... 198 16,265,828.38 6.94
60.01 - 65.00 ............... 118 8,061,095.20 3.44
55.01 - 60.00 ............... 59 3,445,392.61 1.47
50.01 - 55.00 ............... 32 2,426,441.11 1.04
00.01 - 50.00 ............... 76 4,321,156.11 1.84
----- --------------- ------
TOTAL .................. 2,498 $ 234,288,645.23 100.00%
===== =============== ======
</TABLE>
GROUP IIA POOL
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
90.01 - 95.00% .............. 11 $ 1,491,570.14 0.64%
85.01 - 90.00 ............... 422 50,681,038.16 21.63
80.01 - 85.00 ............... 670 65,088,812.11 27.78
75.01 - 80.00 ............... 606 55,705,948.33 23.78
70.01 - 75.00 ............... 306 26,801,363.08 11.44
65.01 - 70.00 ............... 198 16,265,828.38 6.94
60.01 - 65.00 ............... 118 8,061,095.20 3.44
55.01 - 60.00 ............... 59 3,445,392.61 1.47
50.01 - 55.00 ............... 32 2,426,441.11 1.04
00.01 - 50.00 ............... 76 4,321,156.11 1.84
----- --------------- ------
TOTAL .................. 2,498 $ 234,288,645.23 100.00%
===== =============== ======
</TABLE>
S-60
<PAGE> 61
GROUP IIA POOL
DISTRIBUTION OF CURRENT COUPON RATES
<TABLE>
<CAPTION>
RANGE OF CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
7.001 - 8.000% ................ 37 $ 4,864,210.31 2.08%
8.001 - 9.000 ................. 219 26,459,068.29 11.29
9.001 - 10.000 ................ 600 66,811,924.39 28.52
10.001 - 11.000 ................ 818 75,708,532.90 32.31
11.001 - 12.000 ................ 526 39,322,438.28 16.78
12.001 - 13.000 ................ 189 14,473,474.46 6.18
13.001 - 14.000 ................ 64 3,956,065.12 1.69
14.001 - 15.000 ................ 29 1,847,665.58 0.79
15.001 - 16.000 ................ 13 709,434.27 0.30
16.001 - 17.000 ................ 3 135,831.63 0.06
----- --------------- ------
TOTAL ..................... 2,498 $ 234,288,645.23 100.00%
===== =============== ======
</TABLE>
GROUP IIA POOL
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
REMAINING TERM NUMBER OF AGGREGATE % OF AGGREGATE
TO MATURITY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
109 - 120 ...................... 1 $ 29,284.22 0.01%
169 - 180 ...................... 18 1,076,571.78 0.46
217 - 228 ...................... 2 118,931.53 0.05
229 - 240 ...................... 3 608,303.28 0.26
289 - 300 ...................... 5 274,756.82 0.12
349 - 360 ...................... 2,469 232,180,797.60 99.10
----- --------------- ------
TOTAL ..................... 2,498 $234,288,645.23 100.00%
===== =============== ======
</TABLE>
S-61
<PAGE> 62
GROUP IIA POOL
DISTRIBUTION OF PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------------- ------
<S> <C> <C> <C>
$5,001 - 10,000 ............... 1 $ 9,996.25 0.00%
10,001 - 15,000 ............... 2 24,875.21 0.01
15,001 - 20,000 ............... 20 360,659.24 0.15
20,001 - 25,000 ............... 43 1,007,333.33 0.43
25,001 - 30,000 ............... 74 2,092,898.13 0.89
30,001 - 35,000 ............... 67 2,203,378.14 0.94
35,001 - 40,000 ............... 103 3,886,215.62 1.66
40,001 - 45,000 ............... 108 4,635,069.50 1.98
45,001 - 50,000 ............... 143 6,840,568.76 2.92
50,001 - 55,000 ............... 110 5,804,966.26 2.48
55,001 - 60,000 ............... 147 8,507,468.91 3.63
60,001 - 65,000 ............... 120 7,532,001.18 3.21
65,001 - 70,000 ............... 121 8,179,730.30 3.49
70,001 - 75,000 ............... 108 7,856,687.97 3.35
75,001 - 80,000 ............... 100 7,760,490.48 3.31
80,001 - 85,000 ............... 108 8,906,859.50 3.80
85,001 - 90,000 ............... 95 8,330,285.67 3.56
90,001 - 95,000 ............... 88 8,157,637.00 3.48
95,001 - 100,000 .............. 79 7,723,307.40 3.30
100,001 - 150,000 .............. 532 64,388,681.95 27.48
150,001 - 200,000 .............. 183 31,399,994.15 13.40
200,001 - 250,000 .............. 76 16,778,175.87 7.16
250,001 - 300,000 .............. 43 11,809,034.82 5.04
300,001 - 350,000 .............. 13 4,073,758.02 1.74
350,001 - 400,000 .............. 7 2,632,228.55 1.12
400,001 - 450,000 .............. 5 2,201,730.72 0.94
500,001 - 550,000 .............. 1 510,278.97 0.22
650,001 - 700,000 .............. 1 674,333.33 0.29
----- --------------- ------
TOTAL ....................... 2,498 $ 234,288,645.23 100.00%
===== =============== ======
</TABLE>
S-62
<PAGE> 63
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF PROPERTY TYPES
PROPERTY TYPE NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
SF Detached/DeMin PUD.................... 2,172 $ 208,472,284.40 88.98%
SF Row House/Townhouse/Condo............. 100 8,366,316.34 3.57%
Two to Four Family Home.................. 131 10,000,495.57 4.27
Prefabricated Single Family.............. 89 6,809,215.87 2.91
Other.................................... 6 640,333.05 0.27
----- ------------------ -------
TOTAL .............................. 2,498 $ 234,288,645.23 100.00%
===== ================== =======
</TABLE>
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF OCCUPANCY STATUS
OCCUPANCY STATUS NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Non-Investor Owned*...................... 2,305 $ 221,408,896.97 94.50%
Investor Owned........................... 193 12,879,748.26 5.50
----- ---------------- -------
TOTAL .............................. 2,498 $ 234,288,645.23 100.00%
===== ================ =======
</TABLE>
- ----------------------
* Includes vacation and second homes.
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF SEASONING
MONTHS ELAPSED NUMBER OF AGGREGATE % OF AGGREGATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0 - 6............. 2,481 $ 233,143,050.07 99.51%
7 - 12............. 17 1,145,595.16 0.49
----- ---------------- -------
TOTAL............... 2,498 $ 234,288,645.23 100.00%
===== ================ =======
</TABLE>
S-63
<PAGE> 64
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF MAXIMUM COUPON RATES
RANGE OF MAXIMUM NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
13.000 to 13.499%......... 1 $ 139,873.83 0.06%
13.500 to 13.999.......... 3 297,524.25 0.13
14.000 to 14.499.......... 15 2,174,760.07 0.93
14.500 to 14.999.......... 40 5,408,469.99 2.31
15.000 to 15.499.......... 66 7,805,067.57 3.33
15.500 to 15.999.......... 213 25,450,686.60 10.86
16.000 to 16.499.......... 354 33,259,578.21 14.20
16.500 to 16.999.......... 430 44,747,252.96 19.10
17.000 to 17.499.......... 412 37,795,677.76 16.13
17.500 to 17.999.......... 424 36,142,178.35 15.43
18.000 to 18.499.......... 171 14,222,061.70 6.07
18.500 to 18.999.......... 131 10,723,251.34 4.58
19.000 to 19.499.......... 81 5,691,615.55 2.43
19.500 to 19.999.......... 74 5,401,479.18 2.31
20.000 to 20.499.......... 26 1,377,677.08 0.59
20.500 to 20.999.......... 19 1,395,933.08 0.60
21.000 to 21.499.......... 19 1,320,107.72 0.56
21.500 to 21.999.......... 10 457,178.16 0.20
22.000 to 22.499.......... 4 191,774.74 0.08
22.500 to 22.999.......... 5 286,497.09 0.12
----- ----------------- -------
TOTAL .................... 2,498 $ 234,288,645.23 100.00%
===== ================= =======
</TABLE>
S-64
<PAGE> 65
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF MINIMUM COUPON RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MINIMUM COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
3.500 to 3.999% .......... 2 $ 73,965.54 0.03%
4.000 to 4.499 ........... 12 1,197,594.71 0.51
4.500 to 4.999 ........... 34 3,752,267.75 1.60
5.000 to 5.499 ........... 80 7,743,007.25 3.30
5.500 to 5.999 ........... 147 14,981,189.67 6.39
6.000 to 6.499 ........... 86 8,292,065.22 3.54
6.500 to 6.999 ........... 54 4,436,326.81 1.89
7.000 to 7.499 ........... 8 754,017.57 0.32
7.500 to 7.999 ........... 47 4,948,860.53 2.11
8.000 to 8.499 ........... 29 3,238,306.82 1.38
8.500 to 8.999 ........... 331 34,724,536.89 14.82
9.000 to 9.499 ........... 120 14,351,435.58 6.13
9.500 to 9.999 ........... 251 27,432,834.58 11.71
10.000 to 10.499 ........... 317 29,108,113.27 12.42
10.500 to 10.999 ........... 292 27,638,532.26 11.80
11.000 to 11.499 ........... 231 17,882,903.43 7.63
11.500 to 11.999 ........... 236 17,587,279.77 7.51
12.000 to 12.499 ........... 72 6,064,372.47 2.59
12.500 to 12.999 ........... 68 5,065,321.22 2.16
13.000 to 13.499 ........... 30 1,734,672.16 0.74
13.500 to 13.999 ........... 14 921,679.42 0.39
14.000 to 14.499 ........... 11 574,838.78 0.25
14.500 to 14.999 ........... 13 1,101,648.45 0.47
15.000 to 15.499 ........... 7 366,994.07 0.16
15.500 to 15.999 ........... 3 180,049.38 0.08
16.000 to 16.499 ........... 3 135,831.63 0.06
----- -------------------- -------
TOTAL ................... 2,498 $ 234,288,645.23 100.00%
===== ==================== =======
</TABLE>
S-65
<PAGE> 66
<TABLE>
<CAPTION>
GROUP IIA POOL
DISTRIBUTION OF MARGINS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
2.01 to 3.00%....... 20 $ 3,210,001.66 1.37%
3.01 to 4.00........ 99 10,437,131.36 4.45
4.01 to 5.00........ 215 22,462,034.78 9.59
5.01 to 6.00........ 596 59,698,979.32 25.48
6.01 to 7.00........ 805 74,623,478.71 31.85
7.01 to 8.00........ 511 42,492,940.18 18.14
8.01 to 9.00........ 177 15,729,663.39 6.71
9.01 to 10.00........ 64 4,795,417.23 2.05
10.01 to 11.00........ 10 737,091.67 0.31
11.01 to 12.00........ 1 101,906.93 0.04
----- ----------------- -------
TOTAL ............... 2,498 $ 234,288,645.23 100.00%
===== ================= =======
</TABLE>
S-66
<PAGE> 67
<TABLE>
<CAPTION>
GROUP IIA POOL
NEXT INTEREST ADJUSTMENT DATE DISTRIBUTION
NEXT INTEREST NUMBER OF AGGREGATE % OF AGGREGATE
ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
June, 1998................. 5 $ 405,984.47 0.17%
July, 1998................. 9 1,137,077.68 0.49
August, 1998 .............. 17 1,795,945.56 0.77
September, 1998............ 10 1,178,016.77 0.50
October, 1998.............. 49 4,824,089.33 2.06
November, 1998............. 4 530,263.62 0.23
December, 1998............. 2 118,650.00 0.05
March, 1999................ 1 81,600.00 0.03
April, 1999................ 1 85,806.55 0.04
August, 1999............... 1 75,644.51 0.03
September, 1999............ 1 56,815.16 0.02
October 1999............... 8 494,153.58 0.21
November, 1999............. 13 1,203,391.90 0.51
December, 1999............. 13 1,043,251.68 0.45
January, 2000.............. 114 11,663,005.72 4.98
February, 2000............. 154 15,332,087.90 6.54
March, 2000................ 254 23,103,732.74 9.86
April, 2000................ 694 61,872,734.93 26.41
May, 2000.................. 277 25,393,672.88 10.84
June, 2000................. 45 4,942,520.00 2.11
October, 2000.............. 3 255,847.55 0.11
November, 2000............. 5 431,485.23 0.18
December, 2000............. 4 479,294.00 0.20
January, 2001.............. 12 938,724.47 0.40
February, 2001............. 55 5,763,939.12 2.46
March, 2001................ 208 18,174,825.22 7.76
April, 2001................ 160 15,647,615.71 6.68
May, 2001.................. 82 7,790,670.26 3.33
June, 2001................. 19 1,586,900.00 0.68
August, 2002............... 2 115,493.81 0.05
September, 2002............ 1 48,774.10 0.02
November, 2002............. 2 236,583.75 0.10
December, 2002............. 1 68,624.34 0.03
January, 2003.............. 1 59,889.61 0.03
February, 2003............. 5 355,490.36 0.15
March, 2003................ 49 4,780,818.10 2.04
April, 2003................ 96 10,224,506.29 4.36
May, 2003.................. 88 8,249,737.91 3.52
June, 2003................. 33 3,740,980.42 1.60
----- ----------------- -------
TOTAL................. 2,498 $ 234,288,645.23 100.00%
===== ================= =======
</TABLE>
S-67
<PAGE> 68
THE GROUP IIB POOL
The Mortgage Loans in the Group IIB Pool as of the Statistic
Calculation Date consist of 1,455 loans under which the related Mortgaged
Properties are located in 47 states and the District of Columbia, as set forth
herein. The Mortgage Loans in the Group IIB Pool had an aggregate principal
balance of $121,593,867.92, the minimum principal balance of any of such
Mortgage Loans was $12,151.42, the maximum principal balance thereof was
$711,151.08 and the average principal balance of such Mortgage Loans was
approximately $83,569.67. The weighted average current Coupon Rate of the
Mortgage Loans in the Group IIB Pool was 10.04%. The margins for the Mortgage
Loans in the Group IIB Pool range from 2.42% to 9.70% and the weighted average
margin was 5.88%.
The Mortgage Loans in the Group IIB Pool have original terms to stated
maturity from 96 months to 360 months, remaining terms to stated maturity from
95 months to 360 months, a weighted average original term to stated maturity of
356 months, a weighted average remaining term to stated maturity of 355 months
and a weighted average seasoning of 1.3 months. No Mortgage Loan in the Group
IIB Pool had a stated maturity later than June 10, 2028. 100% of the Mortgage
Loans in the Group IIB Pool by aggregate principal balance require monthly
payments of principal that will fully amortize such Mortgage Loans by their
respective maturity dates.
The weighted average CLTV of the Mortgage Loans included in the Group
IIB Pool was 77.67%. 100% of the Mortgage Loans in the Group IIB Pool by
aggregate principal balance were secured by first mortgages.
99.58% of the Mortgage Loans in the Group IIB Pool bear interest (in
some instances, following an initial fixed-rate period) at a six-month LIBOR
rate, plus a margin. 84.26% are indexed on the average of the six-month LIBOR
rates based on quotations at five major banks as set forth in the "Money Rates"
section of The Wall Street Journal, Western Edition, on the first business day
of the month; 0.45% are indexed on the average of the six-month LIBOR rates
based on quotations at five major banks as set forth in the "Money Rates"
section of The Wall Street Journal, Western Edition, on the 15th day of the
month; 4.75% are indexed on the average of the six-month LIBOR rates based on
quotations of major banks, as published by the Federal National Mortgage
Association ("FNMA"), on the first business day of the month; 10.11% are indexed
on the average of the six-month LIBOR rates based on quotations at five major
banks as set forth in the "Money Rates" section of The Wall Street Journal,
Western Edition, on the most recent daily quote available; 0.42% are indexed on
the weekly average of the one-year constant maturity treasury.
With respect to the Mortgage Loans in the Group IIB Pool, 70.69% of
such Mortgage Loans bear interest at a fixed rate of interest for a two-year
period following origination, 25.83% of such Mortgage Loans bear interest at a
fixed rate of interest for a three-year period following origination, and 3.48%
of such Mortgage Loans bear interest at a fixed rate of interest for a five year
period following origination; after such initial periods, such Mortgage Loans
bear interest at adjustable rates, as described above.
99.58% of the loans in the Group IIB Pool have semi-annual interest
rate and semi-annual payment adjustment frequencies. 0.42% of the loans in the
Group IIB Pool have annual interest rate and annual payment adjustment
frequencies. 88.76% of the Mortgage Loans in the Group IIB Pool have a periodic
rate adjustment cap of 1.00%; 10.25% of such Mortgage Loans have a periodic rate
adjustment cap of 1.5%; 0.82% of the Mortgage Loans in the Group IIB Pool have a
periodic rate adjustment cap of 2.00% and 0.17% have a periodic rate adjustment
cap of 3.00%. 60.49% of the Mortgage Loans in the Group IIB Pool have a lifetime
cap of 7.00%; 8.18% have a lifetime cap of 6.50%; 31.33% have a lifetime cap of
6.00%. The weighted average number of months until the next reset date is
approximately 27 months. The weighted average maximum Coupon Rate was
approximately 16.69%, with maximum Coupon Rates that range from 13.00% to
20.90%. The weighted average minimum Coupon Rate was approximately 9.78%, with
minimum Coupon Rates that range from 3.25% to 13.90%
S-68
<PAGE> 69
The following tables describe the Group IIB Pool Mortgage Loans and the
related properties based upon the Group IIB Pool as of the Statistic Calculation
Date.
<TABLE>
<CAPTION>
GROUP IIB POOL
GEOGRAPHIC DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- -------------- ----------------- -----------------
<S> <C> <C> <C>
Alabama................. 2 $ 97,650.00 0.08%
Arizona................. 14 1,212,455.50 1.00
Arkansas................ 8 335,836.81 0.28
California.............. 47 7,816,518.98 6.43
Colorado................ 38 4,397,999.06 3.62
Connecticut............. 5 531,785.45 0.44
Delaware................ 7 676,623.08 0.56
District of Columbia.... 3 333,518.68 0.27
Florida................. 28 2,517,384.24 2.07
Georgia................. 16 2,008,453.27 1.65
Idaho................... 5 339,562.15 0.28
Illinois................ 93 8,724,770.39 7.18
Indiana................. 39 2,298,073.73 1.89
Iowa.................... 24 1,333,386.48 1.10
Kansas.................. 11 615,026.50 0.51
Kentucky................ 5 291,523.80 0.24
Louisiana............... 7 473,214.96 0.39
Maine................... 5 282,267.71 0.23
Maryland................ 36 3,707,337.51 3.05
Massachusetts........... 19 2,489,222.14 2.05
Michigan................ 553 38,806,983.89 31.92
Minnesota............... 20 1,852,440.27 1.52
Mississippi............. 4 194,433.29 0.16
Missouri................ 20 1,427,544.44 1.17
Montana................. 1 64,973.32 0.05
Nebraska................ 6 352,314.49 0.29
Nevada.................. 7 767,684.48 0.63
New Hampshire........... 1 46,000.00 0.04
New Jersey.............. 34 4,148,035.03 3.41
New Mexico.............. 2 72,943.00 0.06
New York................ 28 2,545,528.83 2.09
North Carolina.......... 21 1,419,921.10 1.17
Ohio.................... 118 8,130,535.56 6.69
Oklahoma................ 1 58,282.01 0.05
Oregon.................. 34 3,754,986.85 3.09
Pennsylvania............ 55 5,332,726.61 4.39
Rhode Island............ 2 325,758.51 0.27
South Carolina.......... 9 545,071.88 0.45
South Dakota............ 2 148,681.10 0.12
Tennessee............... 7 636,018.84 0.52
Texas................... 5 391,169.70 0.32
Utah.................... 5 531,471.06 0.44
Vermont................. 6 532,664.14 0.44
Virginia................ 31 2,423,148.33 1.99
Washington.............. 11 2,253,341.72 1.85
West Virginia........... 8 414,339.91 0.34
Wisconsin............... 50 3,743,728.15 3.08
Wyoming................. 2 190,530.97 0.16
----- ---------------- -------
TOTAL.............. 1,455 $ 121,593,867.92 100.00%
===== ================ =======
</TABLE>
S-69
<PAGE> 70
<TABLE>
<CAPTION>
GROUP IIB POOL
DISTRIBUTION OF CLTVS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CLTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
85.01 - 90.00%.......... 3 $ 271,793.53 0.22%
80.01 - 85.00........... 524 48,206,951.53 39.65
75.01 - 80.00........... 452 38,019,814.92 31.27
70.01 - 75.00........... 206 17,316,733.40 14.24
65.01 - 70.00........... 78 6,524,681.77 5.37
60.01 - 65.00........... 62 4,226,841.60 3.48
55.01 - 60.00........... 42 2,420,524.90 1.99
50.01 - 55.00........... 21 1,246,323.98 1.02
00.01 - 50.00........... 67 3,360,202.29 2.76
----- ---------------- -------
TOTAL .............. 1,455 $ 121,593,867.92 100.00%
===== ================ =======
</TABLE>
<TABLE>
<CAPTION>
GROUP IIB POOL
DISTRIBUTION OF LTVS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
85.01 - 90.00%.......... 3 $ 271,793.53 0.22%
80.01 - 85.00........... 524 48,206,951.53 39.65
75.01 - 80.00........... 452 38,019,814.92 31.27
70.01 - 75.00........... 206 17,316,733.40 14.24
65.01 - 70.00........... 78 6,524,681.77 5.37
60.01 - 65.00........... 62 4,226,841.60 3.48
55.01 - 60.00........... 42 2,420,524.90 1.99
50.01 - 55.00........... 21 1,246,323.98 1.02
00.01 - 50.00........... 67 3,360,202.29 2.76
----- ---------------- -------
TOTAL .............. 1,455 $ 121,593,867.92 100.00%
===== ================ =======
</TABLE>
<TABLE>
<CAPTION>
GROUP IIB POOL
DISTRIBUTION OF CURRENT COUPON RATES
RANGE OF CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
6.001 - 7.000% ....... 2 $ 162,339.24 0.13%
7.001 - 8.000 ........ 45 5,214,094.77 4.29
8.001 - 9.000 ........ 206 22,321,861.97 18.36
9.001 - 10.000 ........ 328 31,687,761.69 26.06
10.001 - 11.000 ........ 524 39,331,563.68 32.35
11.001 - 12.000 ........ 286 18,482,813.64 15.20
12.001 - 13,000 ........ 55 4,001,560.79 3.29
13.001 - 14.000 ........ 9 391,872.14 0.32
----- ----------------- -------
TOTAL .............. 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
S-70
<PAGE> 71
GROUP IIB POOL
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
REMAINING TERM NUMBER OF AGGREGATE
TO MATURITY MORTGAGE LOANS PRINCIPAL BALANCE % OF AGGREGATE
PRINCIPAL BALANCE
<S> <C> <C> <C>
85 - 96............ 1 $ 29,541.82 0.02%
133 - 144............ 1 28,599.78 0.02
169 - 180............ 26 1,568,105.34 1.29
217 - 228............ 2 89,027.23 0.07
229 - 240............ 19 1,016,359.32 0.84
289 - 300............ 3 133,565.97 0.11
349 - 360............ 1,403 118,728,668.46 97.64
----- ----------------- -------
TOTAL .............. 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
S-71
<PAGE> 72
GROUP IIB POOL
DISTRIBUTION OF PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE %AGGREGATE
PRINCIPAL BALANCE
<S> <C> <C> <C> <C>
$10,001 - 15,000....... 4 $ 55,638.90 0.05%
15,001 - 20,000....... 8 149,510.43 0.12
20,001 - 25,000....... 20 472,802.29 0.39
25,001 - 30,000....... 52 1,473,972.94 1.21
30,001 - 35,000....... 54 1,781,782.13 1.47
35,001 - 40,000....... 72 2,722,762.26 2.24
40,001 - 45,000....... 88 3,785,605.43 3.11
45,001 - 50,000....... 98 4,674,070.50 3.84
50,001 - 55,000....... 82 4,316,840.91 3.55
55,001 - 60,000....... 106 6,147,540.16 5.06
60,001 - 65,000....... 91 5,722,588.74 4.71
65,001 - 70,000....... 88 5,967,569.06 4.91
70,001 - 75,000....... 69 5,003,075.64 4.11
75,001 - 80,000....... 63 4,900,517.92 4.03
80,001 - 85,000....... 40 3,298,774.26 2.71
85,001 - 90,000....... 43 3,798,280.16 3.12
90,001 - 95,000....... 52 4,823,358.65 3.97
95,001 - 100,000....... 50 4,890,461.16 4.02
100,001 - 150,000....... 252 30,461,881.83 25.05
150,001 - 200,000....... 67 11,545,133.91 9.49
200,001 - 250,000....... 30 6,634,107.74 5.46
250,001 - 300,000....... 14 3,753,952.61 3.09
300,001 - 350,000....... 5 1,653,497.01 1.36
400,001 - 450,000....... 2 840,941.94 0.69
450,001 - 500,000....... 3 1,453,050.26 1.20
550,001 - 600,000....... 1 555,000.00 0.46
700,001 - 750,000....... 1 711,151.08 0.58
----- ----------------- -------
TOTAL ............... 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
S-72
<PAGE> 73
GROUP IIB POOL
DISTRIBUTION OF PROPERTY TYPES
<TABLE>
<CAPTION>
PROPERTY TYPE NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
SF Detached/DeMin PUD..................... 1,317 $ 111,026,899.26 91.31%
SF Row House/Townhouse/Condo.............. 58 4,130,207.21 3.40
Two to Four Family Homes.................. 45 4,013,086.66 3.30
Prefabricated Single Family............... 35 2,423,674.79 1.99
----- ----------------- -------
TOTAL ............................... 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
GROUP IIB POOL
DISTRIBUTION OF OCCUPANCY STATUS
<TABLE>
<CAPTION>
OCCUPANCY STATUS NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
Non-Investor owned*................. 1,431 $ 119,994,855.52 98.68%
Investor owned...................... 24 1,599,012.40 1.32
----- ----------------- -------
TOTAL ......................... 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
- ----------------------
* Includes vacation and second homes.
GROUP IIB POOL
DISTRIBUTION OF SEASONING
<TABLE>
<CAPTION>
MONTHS ELAPSED NUMBER OF AGGREGATE % OF AGGREGATE
SINCE ORIGINATION MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
0 - 6............................ 1,444 $ 119,744,065.21 98.48%
7 - 12............................ 11 1,849,802.71 1.52
----- ------------------ -------
TOTAL....................... 1,455 $ 121,593,867.92 100.00%
===== ================== =======
</TABLE>
S-73
<PAGE> 74
GROUP IIB POOL
DISTRIBUTION OF MAXIMUM COUPON RATES
<TABLE>
<CAPTION>
RANGE OF MAXIMUM NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C> <C>
13.000 to 13.499%......... 2 $ 162,339.24 0.13%
13.500 to 13.999.......... 1 95,632.32 0.08
14.000 to 14.499.......... 5 872,973.64 0.72
14.500 to 14.999.......... 48 5,258,433.47 4.32
15.000 to 15.499.......... 90 9,670,795.71 7.95
15.500 to 15.999.......... 185 18,856,583.78 15.51
16.000 to 16.499.......... 281 22,138,672.45 18.21
16.500 to 16.999.......... 229 19,951,807.69 16.41
17.000 to 17.499.......... 172 13,670,983.12 11.24
17.500 to 17.999.......... 260 19,229,337.35 15.81
18.000 to 18.499.......... 80 5,091,000.66 4.19
18.500 to 18.999.......... 43 2,561,735.91 2.11
19.000 to 19.499.......... 32 2,368,086.53 1.95
19.500 to 19.999.......... 18 1,273,613.91 1.05
20.000 to 20.499.......... 6 308,663.07 0.25
20.500 to 20.999.......... 3 83,209.07 0.07
----- ------------------ ------
TOTAL ................... 1,455 $ 121,593,867.92 100.00%
===== ================== =======
</TABLE>
S-74
<PAGE> 75
GROUP IIB POOL
DISTRIBUTION OF MINIMUM COUPON RATES
<TABLE>
<CAPTION>
RANGE OF MINIMUM NUMBER OF AGGREGATE % OF AGGREGATE
COUPON RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
3.000 to 3.499%.......... 1 $ 119,000.00 0.10%
3.500 to 3.999........... 4 423,681.02 0.35
4.000 to 4.499........... 12 822,958.29 0.68
4.500 to 4.999........... 20 1,332,327.11 1.10
5.000 to 5.499........... 5 530,055.05 0.44
5.500 to 5.999........... 8 844,200.77 0.69
6.000 to 6.499........... 8 1,040,245.12 0.86
6.500 to 6.999........... 3 331,106.81 0.27
7.000 to 7.499........... 11 955,983.05 0.79
7.500 to 7.999........... 41 4,455,538.51 3.66
8.000 to 8.499........... 87 9,314,992.26 7.66
8.500 to 8.999........... 124 13,556,583.29 11.15
9.000 to 9.499........... 94 9,030,322.62 7.43
9.500 to 9.999........... 198 18,942,437.11 15.58
10.000 to 10.499........... 263 19,250,147.28 15.83
10.500 to 10.999........... 236 18,384,472.74 15.12
11.000 to 11.499........... 125 8,222,711.07 6.76
11.500 to 11.999........... 146 9,335,609.94 7.68
12.000 to 12.499........... 40 2,968,391.71 2.44
12.500 to 12.999........... 20 1,341,232.03 1.10
13.000 to 13.499........... 4 253,650.81 0.21
13.500 to 13.999........... 5 138,221.33 0.11
----- ------------------- ------
TOTAL ................... 1,455 $ 121,593,867.92 100.00%
===== =================== =======
</TABLE>
S-75
<PAGE> 76
GROUP IIB POOL
DISTRIBUTION OF MARGINS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C> <C>
2.01 to 3.00%......... 4 $ 286,796.63 0.24%
3.01 to 4.00.......... 46 4,515,973.65 3.71
4.01 to 5.00.......... 279 28,082,100.52 23.09
5.01 to 6.00.......... 383 34,202,117.08 28.13
6.01 to 7.00.......... 475 36,339,812.79 29.89
7.01 to 8.00.......... 216 15,066,013.65 12.39
8.01 to 9.00.......... 48 2,990,869.72 2.46
9.01 to 10.00.......... 4 110,183.88 0.09
----- ----------------- ------
TOTAL ............... 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
S-76
<PAGE> 77
GROUP IIB POOL
NEXT INTEREST ADJUSTMENT DATE DISTRIBUTION
<TABLE>
<CAPTION>
NEXT INTEREST NUMBER OF AGGREGATE % OF AGGREGATE
ADJUSTMENT DATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
<S> <C> <C> <C>
July, 1999.................... 2 $ 261,524.66 0.22%
August, 1999.................. 2 172,113.97 0.14
September, 1999............... 2 337,890.04 0.28
October, 1999................. 5 1,017,971.30 0.84
November, 1999................ 5 382,774.25 0.31
December, 1999................ 30 3,799,333.47 3.12
January, 2000................. 71 7,151,360.28 5.88
February, 2000................ 65 7,849,782.81 6.46
March, 2000................... 88 7,303,660.15 6.01
April, 2000................... 309 25,377,716.42 20.87
May, 2000..................... 356 25,824,857.47 21.24
June, 2000.................... 94 6,472,610.00 5.32
October, 2000................. 1 183,255.54 0.15
December, 2000................ 1 53,385.86 0.04
January, 2001................. 3 364,988.99 0.30
March, 2001................... 23 1,776,922.64 1.46
April, 2001................... 162 13,385,269.12 11.01
May, 2001..................... 178 l3,735,228.20 11.30
June, 2001.................... 18 1,912,720.00 1.57
December, 2002................ 1 78,123.76 0.06
March, 2003................... 1 66,723.16 0.05
April, 2003................... 24 2,791,268.88 2.30
May, 2003..................... 14 1,294,386.95 1.06
----- ----------------- ------
TOTAL ................... 1,455 $ 121,593,867.92 100.00%
===== ================= =======
</TABLE>
S-77
<PAGE> 78
PREPAYMENT AND YIELD CONSIDERATIONS
The weighted average life of, and, if purchased at other than par, the
yield to maturity on a Class A Certificate will be directly related to the rate
of payment of principal of the Mortgage Loans in the related Mortgage Loan
Group, including for this purpose voluntary payment in whole or in part of
Mortgage Loans in the Mortgage Loan Group prior to stated maturity (a
"Prepayment"), liquidations due to defaults, casualties and condemnations, and
repurchases of Mortgage Loans in the related Mortgage Loan Group by the Sponsor,
the Originators or the Master Servicer. The actual rate of principal prepayments
on pools of mortgage loans is influenced by a variety of economic, tax,
geographic, demographic, social, legal and other factors and has fluctuated
considerably in recent years. In addition, the rate of principal prepayments may
differ among pools of mortgage loans at any time because of specific factors
relating to the mortgage loans in the particular pool, including, among other
things, the age of the mortgage loans, the geographic locations of the
properties securing the loans and the extent of the mortgagors' equity in such
properties, and changes in the mortgagors' housing needs, job transfers and
unemployment.
The timing of changes in the rate of prepayments may significantly
affect the actual yield to investors, even if the average rate of principal
prepayments is consistent with the expectations of investors. In general, the
earlier the payment of principal of the Mortgage Loans the greater the effect on
an investor's yield to maturity. As a result, the effect on an investor's yield
of prepayments occurring at a rate higher (or lower) than the rate anticipated
by the investor during the period immediately following the issuance of the
Class A Certificates will not be offset by a subsequent like reduction (or
increase) in the rate of principal prepayments. Investors must make their own
decisions as to the appropriate prepayment assumptions to be used in deciding
whether to purchase any of the Class A Certificates. The Sponsor makes no
representations or warranties as to the rate of prepayment or the factors to be
considered in connection with such determination.
PROJECTED PREPAYMENTS AND YIELDS FOR CLASS A CERTIFICATES (OTHER THAN THE CLASS
F-IO CERTIFICATES AND THE CLASS A-IO CERTIFICATES)
If purchased at other than par, the yield to maturity on a Class A
Certificate will be affected by the rate of the payment of principal of the
Mortgage Loans in the related Mortgage Loan Group. If the actual rate of
payments on the Mortgage Loans in the related Mortgage Loan Group is slower than
the rate anticipated by an investor who purchases a Class A Certificate of the
related class at a discount, the actual yield to such investor will be lower
than such investor's anticipated yield. If the actual rate of payments on the
Mortgage Loans in the related Mortgage Loan Group is faster than the rate
anticipated by an investor who purchases a Class A Certificate of the related
class at a premium, the actual yield to such investor will be lower than such
investor's anticipated yield.
The Mortgage Loans in the Group IA Pool and the Group IB Pool are
fixed-rate mortgage loans. The rate of prepayments with respect to conventional
fixed rate mortgage loans has fluctuated significantly in recent years. In
general, if prevailing interest rates fall significantly below the interest
rates on fixed rate mortgage loans, such mortgage loans are likely to be subject
to higher prepayment rates than if prevailing rates remain at or above the
interest rate on such mortgage loans. However, the monthly payment on mortgage
loans similar to the Mortgage Loans is often smaller than the monthly payment on
a purchase-money first mortgage loan. Consequently, a decrease in the interest
rate payable as a result of a refinancing would result in a relatively small
reduction in the amount of the Mortgagor's monthly payment, as a result of the
relatively small loan balance. Conversely, if prevailing interest rates rise
appreciably above the interest rates on fixed rate mortgage loans, such mortgage
loans are likely to experience a lower prepayment rate than if prevailing rates
remain at or below the interest rates on such
S-78
<PAGE> 79
mortgage loans. 79.98% of the Mortgage Loans in the Group IA Pool by aggregate
principal balance and 80.17% of the Mortgage Loans in the Group IB Pool had
prepayment penalties.
All of the Mortgage Loans in the Group IIA Pool and the Group IIB Pool
are adjustable rate mortgage loans. As is the case with conventional fixed rate
mortgage loans, adjustable rate mortgage loans may be subject to a greater rate
of principal prepayments in a declining interest rate environment. For example,
if prevailing interest rates fall significantly, adjustable rate mortgage loans
could be subject to higher prepayment rates than if prevailing interest rates
remain constant because the availability of fixed-rate mortgage loans at
competitive interest rates may encourage mortgagors to refinance their
adjustable rate mortgage loans to "lock in" a lower fixed interest rate.
However, no assurance can be given as to the level of prepayments that the
Mortgage Loans will experience. 82.69% of the Mortgage Loans in the Group IIA
Pool by aggregate principal balance and 82.03% of the Mortgage Loans in the
Group IIB Pool had prepayment penalties.
"Weighted average life" refers to the average amount of time that will
elapse from the date of issuance of a security until each dollar of principal of
such security will be repaid to the investor. The weighted average life of the
Class A Certificates of each class will be influenced by the rate at which
principal payments on the Mortgage Loans in the related Mortgage Loan Pool are
paid, which may be in the form of scheduled amortization, accelerated
amortization or prepayments (for this purpose, the term "prepayment" includes
Prepayments and liquidations due to default) or as a result of an early
termination of the Trust.
The Final Scheduled Payment Dates for the Class A-1 Certificates, the
Class A-2 Certificates, the Class A-3 Certificates, the Class A-4 Certificates,
the Class A-5 Certificates, the Class A-7 Certificates, the Class A-9
Certificates, the Class A-10 Certificates, the Class A-11 Certificates, the
Class A-12 Certificates, the Class A-13 Certificates, the Class A-17
Certificates and the Class A-19 Certificates have been calculated based on 0%
CPR with no Monthly Excess Cashflow Amounts used to make prepayments of
principal to the Owners of the related Class A Certificates, plus 13 months, and
on the assumptions specified below in this section. The Final Scheduled Payment
Dates for the Class A-6 Certificates, the Class A-8 Certificates, the Class A-14
Certificates, the Class A-15 Certificates, the Class A-16 Certificates and the
Class A-18 Certificates have been calculated assuming that the Mortgage Loan in
the related Group having the latest maturity amortizes according to its terms.
The Final Scheduled Payment Dates for the Class F-IO Certificates and the Class
A-IO Certificates have been calculated based on the stated number of payment
periods with regards to such Certificate.
The model used in this Prospectus Supplement is a prepayment assumption
(the "Prepayment Assumption") which represents an assumed rate of prepayment
each month relative to the then outstanding principal balance of a pool of
mortgage loans for the life of such mortgage loans. The "100% Prepayment
Assumption" assumes a conditional prepayment rate of 3% per annum of the then
outstanding principal balance of the Mortgage Loans in the first month of the
life of the Mortgage Loans and an additional 1.55% (precisely, 17/11%) per annum
in each month thereafter until the twelfth month. Beginning in the twelfth month
and in each month thereafter during the life of the Mortgage Loans, the 100%
Prepayment Assumption assumes a conditional prepayment rate of 20% per annum
each month. As used in the table below, 0% Prepayment Assumption assumes
prepayment rates equal to 0% of the Prepayment Assumption, i.e., no prepayments
on the representative mortgage loans having the characteristics described below.
Correspondingly, 100% Prepayment Assumption assumes prepayment rates equal to
100% of the Prepayment Assumption, and so forth. The Prepayment Assumption does
not purport to be a historical description of prepayment experience or a
prediction of the anticipated rate of prepayment of any pool of mortgage loans,
including the related Mortgage Loans. The Sponsor believes that no existing
statistics of which it is aware provide a reliable basis for holders of Class A
Certificates to predict the amount or the timing of receipt of prepayments on
the Mortgage Loans.
S-79
<PAGE> 80
The tables below were prepared on the basis of the assumptions in the
following paragraph and there are discrepancies between the characteristics of
the actual Mortgage Loans and the characteristics of the Mortgage Loans assumed
in preparing the tables. Any such discrepancy may have an effect upon the
percentages of the Class A Certificate Principal Balances outstanding and
weighted average lives of the Class A Certificates set forth in the tables. In
addition, since the actual Mortgage Loans in each Mortgage Loan Group have
characteristics which differ from those assumed in preparing the tables set
forth below, the distributions of principal on the Class A Certificates may be
made earlier or later than as indicated in the tables.
For the purpose of the tables below, it is assumed that:
(i) the Mortgage Loans consist of the representative
mortgage loans having the characteristics set forth
below,
(ii) the Closing Date is June 22, 1998,
(iii) distributions on the Certificates are made on the
25th day of each month regardless of the day on which
the Payment Date actually occurs, commencing on July
27, 1998, in accordance with the priorities described
herein,
(iv) all prepayments are prepayments in full and include
30 days' interest thereon, (v) no early termination
of the Trust occurs, unless otherwise specified,
(vi) no Mortgage Loan is ever delinquent,
(vii) the assumed levels of one-month LIBOR, six-month
LIBOR, and one-year CMT are 5.65625%, 5.75% and
5.43%, respectively,
(viii) the Class A Certificates have the respective
pass-through rates and original principal balances as
set forth herein, and
(ix) all of the additional Mortgage Loans are delivered to
the Trust by the Closing Date.
PREPAYMENT SCENARIOS
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
<S> <C> <C> <C> <C> <C> <C> <C>
Group IA Pool(1) 0% 50% 100% 120% 150% 200% 250%
Group IB Pool(1) 0% 50% 100% 120% 150% 200% 250%
Group IIA Pool(2) 0% 10% 20% 25% 30% 40% 50%
Group IIB Pool(2) 0% 10% 20% 25% 30% 40% 50%
</TABLE>
- ------------------------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
S-80
<PAGE> 81
REPRESENTATIVE MORTGAGE LOANS
<TABLE>
<CAPTION>
GROSS ORIGINAL AMORTIZATION REMAINING TERM BALLOON
COUPON TERM TO MATURITY TO MATURITY TERM AMORTIZATION
PRINCIPAL BALANCE RATE (MONTHS) (MONTHS) (MONTHS) METHOD
GROUP IA
<S> <C> <C> <C> <C>
$44,860,326.70 10.639% 359 357 180 Balloon
443,094.41 12.079 58 57 N/A Level Pay
45,790,343.56 9.967 239 237 N/A Level Pay
41,685,539.89 10.537 179 177 N/A Level Pay
799,680.61 10.470 298 295 N/A Level Pay
7,169,997.15 10.241 116 115 N/A Level Pay
99,251,017.68 10.450 360 358 N/A Level Pay
GROUP IB
$61,068,155.45 10.324% 360 359 180 Balloon
579,032.31 9.432 60 59 N/A Level Pay
10,866,192.79 9.480 115 114 N/A Level Pay
61,588,516.22 9.607 178 177 N/A Level Pay
96,748,376.85 9.688 360 359 N/A Level Pay
76,424,877.24 9.479 237 236 N/A Level Pay
2,724,849.14 9.341 298 297 N/A Level Pay
</TABLE>
S-81
<PAGE> 82
REPRESENTATIVE MORTGAGE LOANS
<TABLE>
<CAPTION>
PERIODIC
ORIGINAL REMAINING CAP
GROSS TERM TO TERM TO MONTHS TO (FIRST PERIODIC CAP
PRINCIPAL COUPON MATURITY MATURITY COUPON RESET (SUBSEQUENT
BALANCE RATE (MONTHS) (MONTHS) ADJUSTMENT INDEX MARGIN DATE) RESET DATES)
------- ---- -------- -------- ---------- ----- ------ ----- ------------
GROUP IIA
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 561,102.66 9.507% 360 360 6 6 Month LIBOR 6.318% 1.390% 1.390%
161,899,281.03 10.560 360 358 22 6 Month LIBOR 6.762 2.952 1.187
1,213,794.21 10.082 360 358 4 6 Month LIBOR 7.267 1.309 1.309
42,829,569.82 10.228 358 356 34 6 Month LIBOR 6.152 2.962 1.092
5,372,068.74 10.505 356 355 5 6 Month LIBOR 6.794 1.426 1.426
23,938,110.23 10.129 350 349 59 6 Month LIBOR 4.902 1.424 1.058
491,794.48 11.515 360 355 1 6 Month LIBOR 7.202 1.222 1.222
211,473.74 8.453 360 358 34 1 Year CMT 4.824 3.000 1.703
2,172,965.79 10.289 360 357 3 6 Month LIBOR 7.106 1.333 1.333
1,309,839.30 10.629 360 356 2 6 Month LIBOR 6.901 1.457 1.457
GROUP IIB
$350,822.01 10.750% 359 358 35 1 Year CMT 6.283% 3.000% 2.000%
93,369,407.37 10.091 359 357 22 6 Month LIBOR 5.939 2.917 1.096
35,998,147.49 9.975 349 348 34 6 Month LIBOR 5.780 3.000 1.003
219,969.71 11.403 360 360 60 1 Year CMT 7.437 3.000 2.000
5,061,653.42 9.534 356 355 59 6 Month LIBOR 5.377 3.000 1.000
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL LIFE LIFE RESET
BALANCE CAP FLOOR FREQUENCY
------- --- ----- ---------
GROUP IIA
<S> <C> <C> <C>
$ 561,102.66 16.507% 9.507% Semi-annual
161,899,281.03 17.115 10.326 Semi-annual
1,213,794.21 16.497 9.398 Semi-annual
42,829,569.82 17.139 8.129 Semi-annual
5,372,068.74 17.116 10.175 Semi-annual
23,938,110.23 17.072 8.899 Semi-annual
491,794.48 18.098 10.062 Semi-annual
211,473.74 15.453 7.108 Annual
2,172,965.79 17.020 10.289 Semi-annual
1,309,839.30 17.309 9.821 Semi-annual
GROUP IIB
$350,822.01 17.750% 10.750% Annual
93,369,407.37 16.611 9.748 Semi-annual
35,998,147.49 16.869 9.889 Semi-annual
219,969.71 18.403 11.403 Annual
5,061,653.42 16.534 9.534 Semi-annual
</TABLE>
S-83
<PAGE> 83
The following tables set forth the percentages of the initial principal
amount of the Class A Certificates that would be outstanding after each of the
dates shown, based on prepayment scenarios described in the table entitled
"Prepayment Scenarios". The percentages have been rounded to the nearest 1%.
PERCENTAGE OF INITIAL CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 91 68 45 36 21 0 0
06/25/2000 86 34 0 0 0 0 0
06/25/2001 81 3 0 0 0 0 0
06/25/2002 75 0 0 0 0 0 0
06/25/2003 68 0 0 0 0 0 0
06/25/2004 62 0 0 0 0 0 0
06/25/2005 54 0 0 0 0 0 0
06/25/2006 48 0 0 0 0 0 0
06/25/2007 41 0 0 0 0 0 0
06/25/2008 33 0 0 0 0 0 0
06/25/2009 25 0 0 0 0 0 0
06/25/2010 16 0 0 0 0 0 0
06/25/2011 6 0 0 0 0 0 0
06/25/2012 0 0 0 0 0 0 0
06/25/2013 0 0 0 0 0 0 0
06/25/2014 0 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
7.40 1.59 0.97 0.85 0.73 0.61 0.52
Weighted
Average Life
(years):(2)
7.40 1.59 0.97 0.85 0.73 0.61 0.52
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-84
<PAGE> 84
PERCENTAGE OF INITIAL CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 95 52
06/25/2000 100 100 75 43 0 0 0
06/25/2001 100 100 0 0 0 0 0
06/25/2002 100 59 0 0 0 0 0
06/25/2003 100 18 0 0 0 0 0
06/25/2004 100 0 0 0 0 0 0
06/25/2005 100 0 0 0 0 0 0
06/25/2006 100 0 0 0 0 0 0
06/25/2007 100 0 0 0 0 0 0
06/25/2008 100 0 0 0 0 0 0
06/25/2009 100 0 0 0 0 0 0
06/25/2010 100 0 0 0 0 0 0
06/25/2011 100 0 0 0 0 0 0
06/25/2012 89 0 0 0 0 0 0
06/25/2013 0 0 0 0 0 0 0
06/25/2014 0 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted 14.65 4.29 2.34 1.99 1.64 1.28 1.06
Average Life
(years):(1)
Weighted 14.65 4.29 2.34 1.99 1.64 1.28 1.06
Average Life
(years):(2)
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-85
<PAGE> 85
<TABLE>
<CAPTION>
PERCENTAGE OF INITIAL CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 97 13 0
06/25/2001 100 100 90 43 0 0 0
06/25/2002 100 100 19 0 0 0 0
06/25/2003 100 100 0 0 0 0 0
06/25/2004 100 80 0 0 0 0 0
06/25/2005 100 45 0 0 0 0 0
06/25/2006 100 24 0 0 0 0 0
06/25/2007 100 1 0 0 0 0 0
06/25/2008 100 0 0 0 0 0 0
06/25/2009 100 0 0 0 0 0 0
06/25/2010 100 0 0 0 0 0 0
06/25/2011 100 0 0 0 0 0 0
06/25/2012 100 0 0 0 0 0 0
06/25/2013 90 0 0 0 0 0 0
06/25/2014 73 0 0 0 0 0 0
06/25/2015 55 0 0 0 0 0 0
06/25/2016 35 0 0 0 0 0 0
06/25/2017 12 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
17.21 7.10 3.60 3.01 2.42 1.83 1.47
Weighted
Average Life
(years):(2)
17.21 7.10 3.60 3.01 2.42 1.83 1.47
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-86
<PAGE> 86
PERCENTAGE OF INITIAL CLASS A-4 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 0
06/25/2001 100 100 100 100 63 0 0
06/25/2002 100 100 100 44 0 0 0
06/25/2003 100 100 28 0 0 0 0
06/25/2004 100 100 0 0 0 0 0
06/25/2005 100 100 0 0 0 0 0
06/25/2006 100 100 0 0 0 0 0
06/25/2007 100 100 0 0 0 0 0
06/25/2008 100 57 0 0 0 0 0
06/25/2009 100 14 0 0 0 0 0
06/25/2010 100 0 0 0 0 0 0
06/25/2011 100 0 0 0 0 0 0
06/25/2012 100 0 0 0 0 0 0
06/25/2013 100 0 0 0 0 0 0
06/25/2014 100 0 0 0 0 0 0
06/25/2015 100 0 0 0 0 0 0
06/25/2016 100 0 0 0 0 0 0
06/25/2017 100 0 0 0 0 0 0
06/25/2018 82 0 0 0 0 0 0
06/25/2019 58 0 0 0 0 0 0
06/25/2020 32 0 0 0 0 0 0
06/25/2021 3 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
21.33 10.23 4.85 4.01 3.14 2.32 1.83
Weighted
Average Life
(years):(2)
21.33 10.23 4.85 4.01 3.14 2.32 1.83
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-87
<PAGE> 87
PERCENTAGE OF INITIAL CLASS A-5 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 83
06/25/2001 100 100 100 100 100 25 0
06/25/2002 100 100 100 100 48 0 0
06/25/2003 100 100 100 57 0 0 0
06/25/2004 100 100 66 9 0 0 0
06/25/2005 100 100 26 0 0 0 0
06/25/2006 100 100 10 0 0 0 0
06/25/2007 100 100 0 0 0 0 0
06/25/2008 100 100 0 0 0 0 0
06/25/2009 100 100 0 0 0 0 0
06/25/2010 100 81 0 0 0 0 0
06/25/2011 100 53 0 0 0 0 0
06/25/2012 100 27 0 0 0 0 0
06/25/2013 100 0 0 0 0 0 0
06/25/2014 100 0 0 0 0 0 0
06/25/2015 100 0 0 0 0 0 0
06/25/2016 100 0 0 0 0 0 0
06/25/2017 100 0 0 0 0 0 0
06/25/2018 100 0 0 0 0 0 0
06/25/2019 100 0 0 0 0 0 0
06/25/2020 100 0 0 0 0 0 0
06/25/2021 100 0 0 0 0 0 0
06/25/2022 79 0 0 0 0 0 0
06/25/2023 53 0 0 0 0 0 0
06/25/2024 25 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
25.11 13.19 6.60 5.24 4.06 2.88 2.22
Weighted
Average Life
(years):(2)
25.11 13.19 6.60 5.24 4.06 2.88 2.22
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-88
<PAGE> 88
PERCENTAGE OF INITIAL CLASS A-6 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 100 41
06/25/2002 100 100 100 100 100 53 0
06/25/2003 100 100 100 100 85 16 0
06/25/2004 100 100 100 100 54 5 0
06/25/2005 100 100 100 79 36 3 0
06/25/2006 100 100 100 71 34 3 0
06/25/2007 100 100 90 56 26 3 0
06/25/2008 100 100 71 42 17 0 0
06/25/2009 100 100 55 30 10 0 0
06/25/2010 100 100 41 21 5 0 0
06/25/2011 100 100 30 14 2 0 0
06/25/2012 100 100 22 8 0 0 0
06/25/2013 100 76 10 2 0 0 0
06/25/2014 100 64 6 0 0 0 0
06/25/2015 100 53 4 0 0 0 0
06/25/2016 100 43 1 0 0 0 0
06/25/2017 100 34 0 0 0 0 0
06/25/2018 100 27 0 0 0 0 0
06/25/2019 100 22 0 0 0 0 0
06/25/2020 100 17 0 0 0 0 0
06/25/2021 100 14 0 0 0 0 0
06/25/2022 100 10 0 0 0 0 0
06/25/2023 100 7 0 0 0 0 0
06/25/2024 100 4 0 0 0 0 0
06/25/2025 94 1 0 0 0 0 0
06/25/2026 62 0 0 0 0 0 0
06/25/2027 28 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
28.38 18.32 11.88 9.83 7.28 4.40 3.05
Weighted
Average Life
(years):(2)
27.95 15.83 9.61 7.70 5.90 4.11 3.02
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-89
<PAGE> 89
PERCENTAGE OF INITIAL CLASS A-7 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 100 100
06/25/2002 99 91 83 80 75 66 51
06/25/2003 97 82 69 63 54 38 0
06/25/2004 94 68 45 37 23 2 0
06/25/2005 89 52 22 11 0 0 0
06/25/2006 75 14 0 0 0 0 0
06/25/2007 61 0 0 0 0 0 0
06/25/2008 47 0 0 0 0 0 0
06/25/2009 34 0 0 0 0 0 0
06/25/2010 20 0 0 0 0 0 0
06/25/2011 7 0 0 0 0 0 0
06/25/2012 0 0 0 0 0 0 0
06/25/2013 0 0 0 0 0 0 0
06/25/2014 0 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
9.76 6.57 5.66 5.39 5.03 4.58 3.99
Weighted
Average Life
(years):(2)
9.76 6.57 5.66 5.39 5.01 4.23 3.46
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-90
<PAGE> 90
PERCENTAGE OF INITIAL CLASS A-8 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 100 100
06/25/2002 100 100 100 100 100 100 100
06/25/2003 100 100 100 100 100 100 83
06/25/2004 100 100 100 100 100 100 34
06/25/2005 100 100 100 100 92 55 10
06/25/2006 100 100 61 44 28 23 0
06/25/2007 100 80 26 16 7 4 0
06/25/2008 100 51 11 5 2 0 0
06/25/2009 100 33 5 2 0 0 0
06/25/2010 100 20 2 1 0 0 0
06/25/2011 100 12 1 0 0 0 0
06/25/2012 91 7 0 0 0 0 0
06/25/2013 14 1 0 0 0 0 0
06/25/2014 12 0 0 0 0 0 0
06/25/2015 9 0 0 0 0 0 0
06/25/2016 7 0 0 0 0 0 0
06/25/2017 5 0 0 0 0 0 0
06/25/2018 4 0 0 0 0 0 0
06/25/2019 3 0 0 0 0 0 0
06/25/2020 3 0 0 0 0 0 0
06/25/2021 2 0 0 0 0 0 0
06/25/2022 1 0 0 0 0 0 0
06/25/2023 1 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
15.26 10.62 8.64 8.21 7.81 7.33 5.82
Weighted
Average Life
(years):(2)
15.26 10.62 8.48 7.77 6.43 4.68 3.51
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-91
<PAGE> 91
PERCENTAGE OF INITIAL CLASS A-9 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 90 67 44 35 21 0 0
06/25/2000 83 29 0 0 0 0 0
06/25/2001 76 0 0 0 0 0 0
06/25/2002 69 0 0 0 0 0 0
06/25/2003 61 0 0 0 0 0 0
06/25/2004 52 0 0 0 0 0 0
06/25/2005 43 0 0 0 0 0 0
06/25/2006 35 0 0 0 0 0 0
06/25/2007 27 0 0 0 0 0 0
06/25/2008 17 0 0 0 0 0 0
06/25/2009 8 0 0 0 0 0 0
06/25/2010 0 0 0 0 0 0 0
06/25/2011 0 0 0 0 0 0 0
06/25/2012 0 0 0 0 0 0 0
06/25/2013 0 0 0 0 0 0 0
06/25/2014 0 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
6.15 1.51 0.96 0.85 0.74 0.63 0.55
Weighted
Average Life
(years):(2)
6.15 1.51 0.96 0.85 0.74 0.63 0.55
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-92
<PAGE> 92
PERCENTAGE OF INITIAL CLASS A-10 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 97 62
06/25/2000 100 100 71 44 5 0 0
06/25/2001 100 93 0 0 0 0 0
06/25/2002 100 52 0 0 0 0 0
06/25/2003 100 16 0 0 0 0 0
06/25/2004 100 0 0 0 0 0 0
06/25/2005 100 0 0 0 0 0 0
06/25/2006 100 0 0 0 0 0 0
06/25/2007 100 0 0 0 0 0 0
06/25/2008 100 0 0 0 0 0 0
06/25/2009 100 0 0 0 0 0 0
06/25/2010 95 0 0 0 0 0 0
06/25/2011 77 0 0 0 0 0 0
06/25/2012 57 0 0 0 0 0 0
06/25/2013 0 0 0 0 0 0 0
06/25/2014 0 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1)
13.99 4.14 2.32 2.00 1.66 1.31 1.11
Weighted
Average Life
(years):(2)
13.99 4.14 2.32 2.00 1.66 1.31 1.11
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-93
<PAGE> 93
PERCENTAGE OF INITIAL CLASS A-11 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 13 0
06/25/2001 100 100 95 42 0 0 0
06/25/2002 100 100 12 0 0 0 0
06/25/2003 100 100 0 0 0 0 0
06/25/2004 100 76 0 0 0 0 0
06/25/2005 100 35 0 0 0 0 0
06/25/2006 100 10 0 0 0 0 0
06/25/2007 100 0 0 0 0 0 0
06/25/2008 100 0 0 0 0 0 0
06/25/2009 100 0 0 0 0 0 0
06/25/2010 100 0 0 0 0 0 0
06/25/2011 100 0 0 0 0 0 0
06/25/2012 100 0 0 0 0 0 0
06/25/2013 45 0 0 0 0 0 0
06/25/2014 24 0 0 0 0 0 0
06/25/2015 0 0 0 0 0 0 0
06/25/2016 0 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 15.45 6.78 3.57 3.00 2.44 1.87 1.51
Weighted
Average Life
(years):(2) 15.45 6.78 3.57 3.00 2.44 1.87 1.51
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or less of
the aggregate principal balance of the Mortgage Loans as of the Closing
Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-94
<PAGE> 94
PERCENTAGE OF INITIAL CLASS A-12 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 2
06/25/2001 100 100 100 100 62 0 0
06/25/2002 100 100 100 43 0 0 0
06/25/2003 100 100 28 0 0 0 0
06/25/2004 100 100 0 0 0 0 0
06/25/2005 100 100 0 0 0 0 0
06/25/2006 100 100 0 0 0 0 0
06/25/2007 100 77 0 0 0 0 0
06/25/2008 100 41 0 0 0 0 0
06/25/2009 100 7 0 0 0 0 0
06/25/2010 100 0 0 0 0 0 0
06/25/2011 100 0 0 0 0 0 0
06/25/2012 100 0 0 0 0 0 0
06/25/2013 100 0 0 0 0 0 0
06/25/2014 100 0 0 0 0 0 0
06/25/2015 100 0 0 0 0 0 0
06/25/2016 65 0 0 0 0 0 0
06/25/2017 27 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 18.44 9.81 4.80 3.99 3.16 2.35 1.88
Weighted
Average Life
(years):(2) 18.44 9.81 4.80 3.99 3.16 2.35 1.88
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-95
<PAGE> 95
PERCENTAGE OF INITIAL CLASS A-13 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 30 0
06/25/2002 100 100 100 100 52 0 0
06/25/2003 100 100 100 59 0 0 0
06/25/2004 100 100 67 6 0 0 0
06/25/2005 100 100 23 0 0 0 0
06/25/2006 100 100 5 0 0 0 0
06/25/2007 100 100 0 0 0 0 0
06/25/2008 100 100 0 0 0 0 0
06/25/2009 100 100 0 0 0 0 0
06/25/2010 100 74 0 0 0 0 0
06/25/2011 100 43 0 0 0 0 0
06/25/2012 100 14 0 0 0 0 0
06/25/2013 100 0 0 0 0 0 0
06/25/2014 100 0 0 0 0 0 0
06/25/2015 100 0 0 0 0 0 0
06/25/2016 100 0 0 0 0 0 0
06/25/2017 100 0 0 0 0 0 0
06/25/2018 95 0 0 0 0 0 0
06/25/2019 80 0 0 0 0 0 0
06/25/2020 64 0 0 0 0 0 0
06/25/2021 46 0 0 0 0 0 0
06/25/2022 26 0 0 0 0 0 0
06/25/2023 4 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 22.69 12.84 6.55 5.26 4.10 2.94 2.28
Weighted
Average Life
(years):(2) 22.69 12.84 6.55 5.26 4.10 2.94 2.28
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-96
<PAGE> 96
PERCENTAGE OF INITIAL CLASS A-14 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 100 45
06/25/2002 100 100 100 100 100 54 0
06/25/2003 100 100 100 100 84 17 0
06/25/2004 100 100 100 100 53 6 0
06/25/2005 100 100 100 76 35 3 0
06/25/2006 100 100 100 68 33 3 0
06/25/2007 100 100 85 54 24 3 0
06/25/2008 100 100 67 40 16 0 0
06/25/2009 100 100 51 28 9 0 0
06/25/2010 100 100 38 19 5 0 0
06/25/2011 100 100 27 12 2 0 0
06/25/2012 100 100 19 7 0 0 0
06/25/2013 100 62 8 1 0 0 0
06/25/2014 100 51 5 0 0 0 0
06/25/2015 100 41 2 0 0 0 0
06/25/2016 100 32 0 0 0 0 0
06/25/2017 100 24 0 0 0 0 0
06/25/2018 100 18 0 0 0 0 0
06/25/2019 100 15 0 0 0 0 0
06/25/2020 100 11 0 0 0 0 0
06/25/2021 100 9 0 0 0 0 0
06/25/2022 100 6 0 0 0 0 0
06/25/2023 100 4 0 0 0 0 0
06/25/2024 85 2 0 0 0 0 0
06/25/2025 65 0 0 0 0 0 0
06/25/2026 44 0 0 0 0 0 0
06/25/2027 20 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 27.69 17.43 11.59 9.63 7.19 4.43 3.10
Weighted
Average Life
(years):(2) 27.38 15.66 9.55 7.65 5.88 4.12 3.05
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-97
<PAGE> 97
PERCENTAGE OF INITIAL CLASS A-15 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 100 100 100 100 100 100 100
06/25/2001 100 100 100 100 100 100 100
06/25/2002 99 94 89 88 84 79 72
06/25/2003 98 89 80 77 71 61 32
06/25/2004 95 79 65 60 52 38 13
06/25/2005 92 69 51 44 34 20 4
06/25/2006 82 45 22 16 10 8 0
06/25/2007 72 28 9 6 2 1 0
06/25/2008 62 18 4 2 1 0 0
06/25/2009 53 11 2 1 0 0 0
06/25/2010 44 7 1 0 0 0 0
06/25/2011 36 4 0 0 0 0 0
06/25/2012 28 2 0 0 0 0 0
06/25/2013 1 0 0 0 0 0 0
06/25/2014 1 0 0 0 0 0 0
06/25/2015 1 0 0 0 0 0 0
06/25/2016 1 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 11.28 7.99 6.74 6.42 6.05 5.59 4.71
Weighted
Average Life
(years):(2) 11.28 7.99 6.69 6.27 5.53 4.39 3.48
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-98
<PAGE> 98
PERCENTAGE OF INITIAL CLASS A-16 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 95 82 68 62 55 42 29
06/25/2000 95 74 55 46 37 21 6
06/25/2001 95 74 54 45 37 21 6
06/25/2002 95 72 47 37 29 16 6
06/25/2003 95 67 39 28 20 9 3
06/25/2004 95 64 32 21 14 5 1
06/25/2005 95 57 25 16 10 3 0
06/25/2006 95 51 20 12 7 1 0
06/25/2007 95 45 16 9 4 1 0
06/25/2008 95 40 12 6 3 0 0
06/25/2009 95 36 10 5 2 0 0
06/25/2010 95 32 8 3 1 0 0
06/25/2011 95 28 6 2 0 0 0
06/25/2012 95 25 4 1 0 0 0
06/25/2013 95 22 3 1 0 0 0
06/25/2014 95 19 2 0 0 0 0
06/25/2015 95 17 2 0 0 0 0
06/25/2016 95 15 1 0 0 0 0
06/25/2017 95 13 1 0 0 0 0
06/25/2018 90 11 0 0 0 0 0
06/25/2019 85 9 0 0 0 0 0
06/25/2020 79 8 0 0 0 0 0
06/25/2021 72 6 0 0 0 0 0
06/25/2022 64 5 0 0 0 0 0
06/25/2023 56 4 0 0 0 0 0
06/25/2024 46 3 0 0 0 0 0
06/25/2025 36 2 0 0 0 0 0
06/25/2026 24 1 0 0 0 0 0
06/25/2027 11 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 24.15 9.34 4.59 3.47 2.69 1.68 0.99
Weighted
Average Life
(years):(2) 23.98 8.38 4.11 3.13 2.41 1.49 0.88
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-99
<PAGE> 99
PERCENTAGE OF INITIAL CLASS A-17 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 99 85 75 71 68 66 67
06/25/2001 97 51 26 20 16 16 27
06/25/2002 95 28 8 4 2 1 3
06/25/2003 93 16 2 1 0 0 0
06/25/2004 90 0 0 0 0 0 0
06/25/2005 87 0 0 0 0 0 0
06/25/2006 84 0 0 0 0 0 0
06/25/2007 80 0 0 0 0 0 0
06/25/2008 76 0 0 0 0 0 0
06/25/2009 71 0 0 0 0 0 0
06/25/2010 65 0 0 0 0 0 0
06/25/2011 59 0 0 0 0 0 0
06/25/2012 52 0 0 0 0 0 0
06/25/2013 44 0 0 0 0 0 0
06/25/2014 36 0 0 0 0 0 0
06/25/2015 26 0 0 0 0 0 0
06/25/2016 14 0 0 0 0 0 0
06/25/2017 2 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 13.25 3.35 2.67 2.54 2.46 2.41 2.56
Weighted
Average Life
(years):(2) 13.25 3.35 2.67 2.54 2.46 2.41 2.50
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
S-100
<PAGE> 100
PERCENTAGE OF INITIAL CLASS A-18 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 95 82 68 62 55 42 29
06/25/2000 94 74 55 46 37 21 6
06/25/2001 94 74 54 45 37 21 6
06/25/2002 94 72 47 37 28 15 6
06/25/2003 94 67 39 28 20 9 3
06/25/2004 94 64 31 21 14 5 1
06/25/2005 94 57 25 16 10 3 0
06/25/2006 94 51 20 12 7 1 0
06/25/2007 94 45 16 9 4 1 0
06/25/2008 94 40 12 6 3 0 0
06/25/2009 94 36 10 4 2 0 0
06/25/2010 94 31 8 3 1 0 0
06/25/2011 94 28 6 2 0 0 0
06/25/2012 94 25 4 1 0 0 0
06/25/2013 94 22 3 1 0 0 0
06/25/2014 94 19 2 0 0 0 0
06/25/2015 94 16 2 0 0 0 0
06/25/2016 94 14 1 0 0 0 0
06/25/2017 92 12 1 0 0 0 0
06/25/2018 87 10 0 0 0 0 0
06/25/2019 82 9 0 0 0 0 0
06/25/2020 76 7 0 0 0 0 0
06/25/2021 69 6 0 0 0 0 0
06/25/2022 61 5 0 0 0 0 0
06/25/2023 52 3 0 0 0 0 0
06/25/2024 43 2 0 0 0 0 0
06/25/2025 33 1 0 0 0 0 0
06/25/2026 21 1 0 0 0 0 0
06/25/2027 8 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted
Average Life
(years):(1) 23.79 9.26 4.57 3.46 2.69 1.68 0.99
Weighted
Average Life
(years):(2) 23.66 8.34 4.10 3.13 2.41 1.49 0.88
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
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<PAGE> 101
PERCENTAGE OF INITIAL CLASS A-19 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATE Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
---- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
06/25/1998 100 100 100 100 100 100 100
06/25/1999 100 100 100 100 100 100 100
06/25/2000 99 85 75 71 68 66 67
06/25/2001 97 51 25 20 16 16 27
06/25/2002 94 28 8 4 2 1 3
06/25/2003 92 15 2 1 0 0 0
06/25/2004 89 0 0 0 0 0 0
06/25/2005 85 0 0 0 0 0 0
06/25/2006 82 0 0 0 0 0 0
06/25/2007 77 0 0 0 0 0 0
06/25/2008 73 0 0 0 0 0 0
06/25/2009 68 0 0 0 0 0 0
06/25/2010 62 0 0 0 0 0 0
06/25/2011 55 0 0 0 0 0 0
06/25/2012 47 0 0 0 0 0 0
06/25/2013 39 0 0 0 0 0 0
06/25/2014 30 0 0 0 0 0 0
06/25/2015 19 0 0 0 0 0 0
06/25/2016 7 0 0 0 0 0 0
06/25/2017 0 0 0 0 0 0 0
06/25/2018 0 0 0 0 0 0 0
06/25/2019 0 0 0 0 0 0 0
06/25/2020 0 0 0 0 0 0 0
06/25/2021 0 0 0 0 0 0 0
06/25/2022 0 0 0 0 0 0 0
06/25/2023 0 0 0 0 0 0 0
06/25/2024 0 0 0 0 0 0 0
06/25/2025 0 0 0 0 0 0 0
06/25/2026 0 0 0 0 0 0 0
06/25/2027 0 0 0 0 0 0 0
06/25/2028 0 0 0 0 0 0 0
Weighted 12.69 3.34 2.67 2.53 2.46 2.41 2.56
Average Life
(years):(1)
Weighted 12.69 3.34 2.67 2.53 2.46 2.41 2.50
Average Life
(years):(2)
</TABLE>
(1) To Maturity
(2) To 10% Call (3)
(3) This assumes that an optional termination is exercised by the Master
Servicer when the aggregate principal balance has declined to 10% or
less of the aggregate principal balance of the Mortgage Loans as of the
Closing Date.
The weighted average life of each indicated class of Class A Certificates has
been determined by (i) multiplying the amount of each principal payment by the
number of years from the date of issuance to the related Payment Date, (ii)
adding the results and (iii) dividing by the sum of the initial respective
Certificate Principal Balance for the related Class A Certificates as of the
Closing Date.
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<PAGE> 102
The actual characteristics and performance of the Mortgage Loans will
differ from the assumptions used in constructing the tables set forth above,
which only demonstrate how the Mortgage Loans may behave under varying
prepayment scenarios. It is unlikely that the Mortgage Loans will prepay at the
same levels of CPR or in accordance with the Prepayment Assumptions. Moreover,
the varying remaining terms to maturity of the Mortgage Loans could produce
slower or faster principal payments then indicated in the foregoing tables.
YIELD SENSITIVITY OF THE CLASS F-IO CERTIFICATES AND THE CLASS A-IO CERTIFICATES
As the owners of interest-only strip securities, the Owners of the
Class F-IO Certificates and the Class A-IO Certificates will be entitled to
receive monthly distributions only of interest, as described herein. Because
they will not receive any distributions of principal, the Owners of the Class
F-IO Certificates and the Class A-IO Certificates will be affected by
prepayments, liquidations and other dispositions (including optional redemptions
described herein) of the Mortgage Loans in the Group IA Pool and the Group IB
Pool (with respect to the Class F-IO Certificates) and the Group IIA Pool and
the Group IIB Pool (with respect to the Class A-IO Certificates) to a greater
degree than will the Owners of the other Classes of each of these four mortgage
loan groups.
PAYMENT LAG FEATURE OF FIXED RATE CERTIFICATES
Pursuant to the Pooling and Servicing Agreement, an amount equal to
Mortgagor payments with respect to each Mortgage Loan (net of the Servicing Fee)
received by the Master Servicer during each Remittance Period is to be remitted
to the Trustee on or prior to the related Monthly Remittance Date; the Trustee
will not be required to distribute any such amounts to the Owners until the next
succeeding Payment Date. As a result, the monthly distributions to the Owners
generally reflect Mortgagor payments during the prior calendar month, and the
first Payment Date will not occur until July 27, 1998. Thus, the effective yield
to the Owners of the Fixed Rate Certificates will be below that otherwise
produced by the related Pass-Through Rate because distributions to Owners of
such Certificates in respect of any given month will not be made until on or
after the 25th day of the following month.
USE OF PROCEEDS
The Sponsor will cause the Trust to acquire the Mortgage Loans
concurrently with the issuance of the Class A Certificates. The net proceeds
from the sale of the Class A Certificates will be paid over to the Originators
in consideration for the transfer of the Mortgage Loans. Such amount will be
determined as a result of the pricing of the Class A Certificates through the
offering described in this Prospectus Supplement. The net proceeds to be
received from the sale of the Mortgage Loans will be added to the Originators'
general funds and will be available for general corporate purposes, including
the repayment of debt and the purchase of new mortgage loans.
The Group IB Certificates and the Group IIB Certificates will be
delivered by the Trust to Advanta National Bank in consideration for the sale of
its Mortgage Loans to the Trust, which comprise the Group IB Pool and the Group
IIB Pool. This Prospectus Supplement and the accompanying Prospectus also cover
the resale of the Group IB Certificates and the Group IIB Certificates from time
to time by Advanta National Bank or its affiliates.
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<PAGE> 103
THE SPONSOR AND THE MASTER SERVICER
The Sponsor, Advanta Mortgage Conduit Services, Inc. is a direct
subsidiary of Advanta Mortgage Corp. USA, the Master Servicer, and is an
indirect subsidiary of Advanta Corp., a Delaware corporation ("Advanta Parent"),
a publicly-traded company with its principal executive offices located in Spring
House, Pennsylvania with assets as of March 31, 1998 in excess of $3.5 billion.
Advanta Parent, through its subsidiaries (including the Master Servicer) has
managed assets (including mortgage loans) in excess of $9.9 billion as of March
31, 1998. See "The Sponsor and the Transferor" in the Prospectus.
As of March 31, 1998, the Master Servicer and its subsidiaries were
servicing approximately 83,000 Mortgage Loans in the Owned and Managed Servicing
Portfolio representing an aggregate outstanding principal balance of
approximately $5.5 billion, and approximately 132,000 mortgage loans in the
Third-Party Servicing Portfolio representing an aggregate outstanding principal
balance of approximately $8.8 billion. See "The Master Servicer" in the
Prospectus.
On October 28, 1997, Advanta Parent announced that it had reached a
definitive agreement under which Fleet Financial Group, Inc. ("Fleet") would
acquire Advanta Parent's consumer credit card business and would combine it with
Fleet's consumer credit card business (the "Transaction"). On February 20, 1998,
a special meeting of stockholders of Advanta Parent was held whereby the
stockholders approved the Transaction with Fleet. The Transaction was completed
on the same day. In addition, Advanta Parent completed its cash tender offer
(the "Tender Offer") to purchase approximately $850 million of its Class A and
Class B common stock at $40 per share net, and its Stock Appreciation Income
Linked Securities Depositary shares at $32.80 per share net. The Tender Offer
commenced on January 20, 1998 and expired at 12:00 midnight, New York City time
on February 20, 1998. Advanta Parent continues to operate its mortgage and
business services companies, including the Sponsor and the Master Servicer.
As of March 31, 1998, the Sponsor or its affiliates have issued, and
the Master Servicer services, 36 issues of mortgage pass-through securities with
an original balance of approximately $8.1 billion.
The Master Servicer may resign or be removed, only in accordance with
the terms of the Pooling and Servicing Agreement. No removal or resignation
shall become effective until the Trustee or a successor servicer shall have
assumed the Master Servicer's responsibilities and obligations in accordance
therewith. See "The Pooling and Servicing Agreement -- Removal and Resignation
of the Master Servicer" in the Prospectus.
The Master Servicer has the right, but not the obligation, to purchase
from the Trust any Mortgage Loan which is in default or is "in imminent danger
of being in" default.
The Master Servicer may not assign its obligations under the Pooling
and Servicing Agreement, in whole or in part, unless it shall have first
obtained the written consent of the Trustee and the Insurer, which consent is
required not to be unreasonably withheld; provided, however, that any assignee
must meet the eligibility requirements for a successor servicer set forth in the
Pooling and Servicing Agreement. See "The Pooling and Servicing Agreement --
Removal and Resignation of the Master Servicer" in the Prospectus.
The Master Servicer may enter into Sub-Servicing Agreements with
qualified Sub-Servicers with respect to the servicing of all or any portion of
the Mortgage Loans. The Pooling and Servicing Agreement will provide that
affiliates of the Master Servicer which are qualified to service mortgage loans
are qualified Sub-Servicers. No Sub-Servicing Agreements discharge the Master
Servicer from its servicing obligations. See "Mortgage Loan Program --
Sub-Servicers" in the Prospectus.
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<PAGE> 104
Upon removal or resignation of the Master Servicer, the Trustee may
solicit bids for a successor servicer and, pending the appointment of a
successor Master Servicer as a result of soliciting such bids, will be required
to serve as Master Servicer. If the Trustee is unable to obtain a qualifying bid
and is prevented by law from acting as servicer, the Trustee will be required to
appoint, or petition a court of competent jurisdiction to appoint, an eligible
successor. Any successor is required to be a housing and home finance
institution, bank or mortgage servicing institution which is acceptable to the
Trustee and shall assume all or any part of the responsibilities, duties or
liabilities of the Master Servicer.
The Class A Certificates will not represent an interest in or
obligation of, nor are the Mortgage Loans guaranteed by, the Sponsor, the Master
Servicer or Advanta Parent, nor will they be insured or guaranteed by the
Federal Deposit Insurance Corporation (the "FDIC") or any other governmental
agency or instrumentality.
DESCRIPTION OF THE CERTIFICATES
GENERAL
Persons in whose name a Class A Certificate is registered in the
Register maintained by the Trustee are the "Owners" of the Class A Certificates.
For so long as the Class A Certificates are in book-entry form with DTC, the
only "Owner" of the Class A Certificates as the term "Owner" is used in the
Pooling and Servicing Agreement will be Cede. No Beneficial Owner will be
entitled to receive a Definitive Certificate representing such person's interest
in the Trust, except in the event that Definitive Certificates are issued under
limited circumstances set forth in the Pooling and Servicing Agreement. All
references herein to the Owners of Class A Certificates shall mean and include
the rights of Beneficial Owners, as such rights may be exercised through DTC and
its participating organizations, except as otherwise specified in the Pooling
and Servicing Agreement. See "Description of the Securities -- Form of
Securities" in the Prospectus.
Each class of Class A Certificates will evidence the right to receive
on each Payment Date such Class' Distribution Amount for such class of Class A
Certificates, in each case until the related Certificate Principal Balance has
been reduced to zero. The Owners of the class of Class R Certificates will be
entitled to receive distributions of residual Net Monthly Excess Cashflow not
required for other purposes pursuant to the Pooling and Servicing Agreement.
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<PAGE> 105
REMITTANCE DATES
The Pooling and Servicing Agreement will require that the Trustee
create and maintain a Certificate Account. See "Description of the Securities --
Payments on Mortgage Loans" in the Prospectus.
On the eighteenth day of each month (or, if such day is not a Business
Day, the immediately preceding Business Day) (the "Remittance Date") the Master
Servicer is required to withdraw from the Principal and Interest Account for
each Mortgage Loan Pool and remit to the Trustee, for deposit in the Certificate
Account, the Monthly Remittance Amount with respect to each Mortgage Loan Pool.
The Monthly Remittance Amount is the sum of the amounts collected by the Master
Servicer in respect of the Mortgage Loans with regard to each Mortgage Loan Pool
during the period beginning on the first day of the calendar month immediately
preceding the month in which the related Remittance Date occurs and ending on
the last day of such month (the "Remittance Period") plus any related Loan
Purchase Prices, Substitution Amounts, Delinquency Advances and Compensating
Interest, less the sum of certain amounts the Master Servicer is permitted to
withdraw from the Principal and Interest Account, as described under
"Description of the Securities -- Withdrawals from the Principal and Interest
Account."
BOOK ENTRY REGISTRATION OF THE CLASS A CERTIFICATES
The Class A Certificates will be book-entry certificates (the
"Book-Entry Certificates"). The Beneficial Owners may elect to hold their Class
A Certificates through DTC in the United States, or CEDEL or Euroclear in Europe
if they are participants of such systems ("Participants"), or indirectly through
organizations which are Participants in such systems. The Book-Entry
Certificates will be issued in one or more certificates per class of Class A
Certificates which in the aggregate equal the principal balance of such Class A
Certificates and will initially be registered in the name of Cede & Co., the
nominee of DTC. CEDEL and Euroclear will hold omnibus positions on behalf of
their Participants through customers' securities accounts in CEDEL's and
Euroclear's names on the books of their respective depositaries which in turn
will hold such positions in customers' securities accounts in the depositaries'
names on the books of DTC. Citibank will act as depositary for CEDEL and Morgan
will act as depositary for Euroclear (in such capacities, individually the
"Relevant Depositary" and collectively the "European Depositaries"). Investors
may hold such beneficial interests in the Book-Entry Certificates in minimum
denominations representing principal amounts of $1,000 and in integral multiples
in excess thereof. Except as described below, no Beneficial Owner will be
entitled to receive a Definitive Certificate. Unless and until Definitive
Certificates are issued, it is anticipated that the only "Owner" of such Class A
Certificates will be Cede & Co., as nominee of DTC. Beneficial Owners will not
be Owners as that term is used in the Pooling and Servicing Agreement.
Beneficial Owners are only permitted to exercise their rights indirectly through
Participants and DTC.
The Beneficial Owner's ownership of a Book-Entry Certificate will be
recorded on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (each, a "Financial Intermediary") that maintains the
Beneficial Owner's account for such purpose. In turn, the Financial
Intermediary's Ownership of such Book-Entry Certificate will be recorded on the
records of DTC (or of a participating firm that acts as agent for the Financial
Intermediary, whose interest will in turn be recorded on the records of DTC, if
the Beneficial Owner's Financial Intermediary is not a DTC Participant and on
the records of CEDEL or Euroclear, as appropriate).
Beneficial Owners will receive all distributions of principal of, and
interest on, the Class A Certificates from the Trustee through DTC and DTC
Participants. While such Class A Certificates are outstanding (except under the
circumstances described below), under the rules, regulations and procedures
creating and affecting DTC and its operations (the "Rules"), DTC is required to
make book-entry transfers among Participants on whose behalf it acts with
respect to such Class A Certificates and is
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<PAGE> 106
required to receive and transmit distributions of principal of, and interest on,
such Class A Certificates. Participants and indirect participants with whom
Beneficial Owners have accounts with respect to Class A Certificates are
similarly required to make book-entry transfers and receive and transmit such
distributions on behalf of their respective Beneficial Owners. Accordingly,
although Beneficial Owners will not possess certificates, the Rules provide a
mechanism by which Beneficial Owners will receive distributions and will be able
to transfer their interest.
Beneficial Owners will not receive or be entitled to receive
certificates representing their respective interests in the Class A
Certificates, except under the limited circumstances described below. Unless and
until Definitive Certificates are issued, Beneficial Owners who are not
Participants may transfer ownership of Class A Certificates only through
Participants and indirect participants by instructing such Participants and
indirect participants to transfer such Class A Certificates, by book-entry
transfer, through DTC for the account of the purchasers of such Class A
Certificates, which account is maintained with their respective Participants.
Under the Rules and in accordance with DTC's normal procedures, transfers of
ownership of such Class A Certificates will be executed through DTC and the
accounts of the respective Participants at DTC will be debited and credited.
Similarly, the Participants and indirect participants will make debits or
credits, as the case may be, on their records on behalf of the selling and
purchasing Beneficial Owners.
Because of time zone differences, credits of securities received in
CEDEL or Euroclear as a result of a transaction with a Participant will be made
during subsequent securities settlement processing and dated the business day
following the DTC settlement date. Such credits or any transactions in such
securities settled during such processing will be reported to the relevant
Euroclear or CEDEL Participants on such business day. Cash received in CEDEL or
Euroclear as a result of sales of securities by or through a CEDEL Participant
(as defined below) or Euroclear Participant (as defined below) to a DTC
Participant will be received with value on the DTC settlement date but will be
available in the relevant CEDEL or Euroclear cash account only as of the
business day following settlements in DTC. For information with respect to tax
documentation procedures relating to the Certificates, see "Certain Federal
Income Tax Consequences -- Foreign Investors" and " -- Backup Withholding" in
the Prospectus and "Global Clearance, Settlement and Tax Documentation
Procedures -- Certain U.S. Federal Income Tax Documentation Requirements" in
Annex I to the Prospectus.
Transfers between Participants will occur in accordance with DTC rules.
Transfers between CEDEL Participants and Euroclear Participants will occur in
accordance with their respective rules and operating procedures.
Cross-market transfers between persons holding directly or indirectly
through DTC, on the one hand, and directly or indirectly through CEDEL
Participants or Euroclear Participants, on the other, will be effected in DTC in
accordance with DTC rules on behalf of the relevant European international
clearing system by the Relevant Depositary; however, such cross-market
transactions will require delivery of instructions to the relevant European
international clearing system by the counterparty in such system in accordance
with its rules and procedures and within its established deadlines (European
time). The relevant European international clearing system will, if the
transaction meets its settlement requirements, deliver instructions to the
Relevant Depositary to take action to effect final settlement on its behalf by
delivering or receiving securities in DTC, and making or receiving payment in
accordance with normal procedures for same day funds settlement applicable to
DTC. CEDEL Participants and Euroclear Participants may not deliver instructions
directly to the European Depositaries.
DTC, which is a New York-chartered limited purpose trust company,
performs services for its Participants ("DTC Participants"), some of which
(and/or their representatives) own DTC. In accordance with its normal
procedures, DTC is expected to record the positions held by each DTC Participant
in the Book-Entry Certificates, whether held for its own account or as a nominee
for another person. In general,
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<PAGE> 107
beneficial ownership of Book-Entry Certificates will be subject to the rules,
regulations and procedures governing DTC and DTC Participants as in effect from
time to time.
CEDEL is incorporated under the laws of Luxembourg as a professional
depository. CEDEL holds securities for its participant organizations ("CEDEL
Participants") and facilitates the clearance and settlement of securities
transactions between CEDEL Participants through electronic book-entry changes in
accounts of CEDEL Participants, thereby eliminating the need for physical
movement of certificates. Transactions may be settled in CEDEL in any of 28
currencies, including United States dollars. CEDEL provides to its CEDEL
Participants, among other things, services for safekeeping, administration,
clearance and settlement of internationally traded securities and securities
lending and borrowing. CEDEL interfaces with domestic markets in several
countries. As a professional depository, CEDEL is subject to regulation by the
Luxembourg Monetary Institute. CEDEL Participants are recognized financial
institutions around the world, including underwriters, securities brokers and
dealers, banks, trust companies, clearing corporations and certain other
organizations. Indirect access to CEDEL is also available to others, such as
banks, brokers, dealers and trust companies that clear through or maintain a
custodial relationship with a CEDEL Participant, either directly or indirectly.
Euroclear was created in 1968 to hold securities for participants of
Euroclear ("Euroclear Participants") and to clear and settle transactions
between Euroclear Participants through simultaneous electronic book-entry
delivery against payment, thereby eliminating the need for physical movement of
certificates and any risk from lack of simultaneous transfers of securities and
cash. Transactions may now be settled in any of 27 currencies, including United
States dollars. Euroclear includes various other services, including securities
lending and borrowing and interfaces with domestic markets in several countries
generally similar to the arrangements for cross-market transfers with DTC
described above. Euroclear is operated by the Brussels, Belgium office of Morgan
Guaranty Trust Company of New York (the "Euroclear Operator"), under contract
with Euroclear Clearance Systems S.C., a Belgian cooperative corporation (the
"Cooperative"). All operations are conducted by the Euroclear Operator, and all
Euroclear Securities clearance accounts and Euroclear cash accounts are accounts
with the Euroclear Operator, not the Cooperative. The Cooperative establishes
policy for Euroclear on behalf of Euroclear Participants. Euroclear Participants
include banks (including central banks), securities brokers and dealers and
other professional financial intermediaries. Indirect access to Euroclear is
also available to other firms that clear through or maintain a custodial
relationship with a Euroclear Participant, either directly or indirectly.
The Euroclear Operator is the Belgian branch of a New York banking
corporation which is a member bank of the Federal Reserve System. As such, it is
regulated and examined by the Board of Governors of the Federal Reserve System
and the New York State Banking Department, as well as the Belgian Banking
Commission.
Securities clearance accounts and cash accounts with the Euroclear
operator are governed by the Terms and Conditions Governing Use of Euroclear and
the related Operating Procedures of the Euroclear System and applicable Belgian
law (collectively, the "Terms and Conditions"). The Terms and Conditions govern
transfers of securities and cash within Euroclear, withdrawals of securities and
cash from Euroclear, and receipts of payments with respect to securities in
Euroclear. All securities in Euroclear are held on a fungible basis without
attribution of specific certificates to specific securities clearance accounts.
The Euroclear Operator acts under the Terms and Conditions only on behalf of
Euroclear Participants, and has no record of or relationship with persons
holding through Euroclear Participants.
Distributions on the Book-Entry Certificates will be made on each
Payment Date by the Trustee to DTC. DTC will be responsible for crediting the
amount of such payments to the accounts of the applicable DTC Participants in
accordance with DTC's normal procedures. Each DTC Participant will be
responsible for disbursing such payment to the Beneficial Owners of the
Book-Entry Certificates that it
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<PAGE> 108
represents and to each Financial Intermediary for which it acts as agent. Each
such Financial Intermediary will be responsible for disbursing funds to the
Beneficial Owners of the Book-Entry Certificates that it represents.
Under a book-entry format, Beneficial Owners of the Book-Entry
Certificates may experience some delay in their receipt of payments, since such
payments will be forwarded by the Trustee to Cede. Distributions with respect to
Class A Certificates held through CEDEL or Euroclear will be credited to the
cash accounts of CEDEL Participants or Euroclear Participants in accordance with
the relevant system's rules and procedures, to the extent received by the
Relevant Depositary. Such distributions will be subject to tax reporting in
accordance with relevant United States tax laws and regulations. Because DTC can
only act on behalf of Financial Intermediaries, the ability of a Beneficial
Owner to pledge Book-Entry Certificates, to persons or entities that do not
participate in the Depository system, or otherwise take actions in respect of
such Book-Entry Certificates, may be limited due to the lack of physical
certificates for such Book-Entry Certificates. In addition, issuance of the
Book-Entry Certificates in book-entry form may reduce the liquidity of such
Certificates in the secondary market since certain potential investors may be
unwilling to purchase Certificates for which they cannot obtain physical
certificates.
Monthly and annual reports on the Trust provided by the Trustee to
Cede, as nominee of DTC, may be made available to Beneficial Owners upon
request, in accordance with the rules, regulations and procedures creating and
affecting the Depository, and to the Financial Intermediaries to whose DTC
accounts the Book-Entry Certificates of such Beneficial Owners are credited.
DTC has advised the Trustee that, unless and until Definitive
Certificates are issued, DTC will take any action permitted to be taken by the
holders of the Book-Entry Certificates under the Pooling and Servicing Agreement
only at the direction of one or more Financial Intermediaries to whose DTC
accounts the Book-Entry Certificates are credited, to the extent that such
actions are taken on behalf of Financial Intermediaries whose holdings include
such Book-Entry Certificates. CEDEL or the Euroclear Operator, as the case may
be, will take any action permitted to be taken by an Owner under the Pooling and
Servicing Agreement on behalf of a CEDEL Participant or Euroclear Participant
only in accordance with its relevant rules and procedures and subject to the
ability of the Relevant Depositary to effect such actions on its behalf through
DTC. DTC may take actions, at the direction of the related Participants, with
respect to some Class A Certificates which conflict with actions taken with
respect to other Class A Certificates.
Definitive Certificates will be issued to Beneficial Owners of the
Book-Entry Certificates, or their nominees, rather than to DTC, only if (a) DTC
or the Sponsor advises the Trustee in writing that DTC is no longer willing,
qualified or able to discharge properly its responsibilities as a nominee and
depository with respect to the Book-Entry Certificates and the Sponsor or the
Trustee is unable to locate a qualified successor, (b) the Sponsor, at its sole
option, elects to terminate a book-entry system through DTC or (c) DTC, at the
direction of the Beneficial Owners representing a majority of the outstanding
Percentage Interests of the Class A Certificates, advises the Trustee in writing
that the continuation of a book-entry system through DTC (or a successor
thereto) is no longer in the best interests of Beneficial Owners.
Upon the occurrence of any of the events described in the immediately
preceding paragraph, the Trustee will be required to notify all Beneficial
Owners of the occurrence of such event and the availability through DTC of
Definitive Certificates. Upon surrender by DTC of the global certificate or
certificates representing the Book-Entry Certificates and instructions for
re-registration, the Trustee will issue Definitive Certificates, at the
Sponsor's expense and thereafter the Trustee will recognize the holders of such
Definitive Certificates as Owners under the Pooling and Servicing Agreement.
Although DTC, CEDEL and Euroclear have agreed to the foregoing
procedures in order to facilitate transfers of Certificates among Participants
of DTC, CEDEL and Euroclear, they are under no
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<PAGE> 109
obligation to perform or continue to perform such procedures and such procedures
may be discontinued at any time.
Neither the Sponsor, the Master Servicer, the Group I Insurer nor the
Trustee will have any liability for any actions taken by DTC or its nominee,
Euroclear, or CEDEL, including, without limitation, actions for any aspect of
the records relating to or payments made on account of beneficial ownership
interests in the Class A Certificates held by Euroclear, CEDEL or Cede & Co., as
nominee for DTC, or for maintaining, supervising or reviewing any records
relating to such beneficial ownership interests.
PAYMENT DATES
The Pooling and Servicing Agreement will provide that an Owner, upon
receiving the final distribution on such Owner's Certificate, will be required
to send such Certificate to the Trustee.
Each Owner of record of the related Class of the Class A Certificates
will be entitled to receive such Owner's Percentage Interest in the amounts due
such Class on such Payment Date. The "Percentage Interest" of a Class A
Certificate as of any date of determination will be equal to the percentage
obtained by dividing the principal balance of such Certificate as of the Cut-Off
Date by the Certificate Principal Balance for the related Class of the Class A
Certificates as of the Cut-Off Date.
DISTRIBUTIONS
Distributions on the Certificates are required to be made on each
Payment Date, commencing on July 27, 1998, to the Owners on each Record Date in
an amount equal to the product of such Owner's Percentage Interest and the
amount distributed in respect of such Certificateholders' class of such
Certificates on such Payment Date as described under "Distributions of Interest"
and "Distributions of Principal" in the "Summary" of this Prospectus Supplement.
See "Description of the Securities -- Distributions" in the Prospectus.
CALCULATION OF LIBOR
On the second business day preceding each Payment Date or, in the case
of the first Payment Date, on the second business day preceding the Closing Date
(each such date, an "Interest Determination Date"), the Trustee will determine
the London interbank offered rate for one-month U.S. dollar deposits ("LIBOR")
for the next Accrual Period for the Class A-16 Certificates and the Class A-18
Certificates on the basis of the offered rates of the Reference Banks for
one-month U.S. dollar deposits, as such rates appear on the Telerate Page 3750
as of 11:00 a.m. (London time) on such Interest Determination Date. As used in
this section, "Business Day" means a day on which banks are open for dealing in
foreign currency and exchange in London and New York City; Telerate Page 3750
means the display page so designated on the Dow Jones Telerate Service (or such
other page on that service or any successor service for the purpose of
displaying comparable rates or prices); and "Reference Banks" means four leading
banks selected by the Master Servicer and engaged in transactions in Eurodollar
deposits in the international Eurocurrency market (i) with an established place
of business in London, (ii) whose quotations appear on the Telerate Page 3750 on
the Interest Determination Date in question, (iii) which have been designated as
such by the Trustee and (iv) not controlling, controlled by, or be under common
control with, the Sponsor.
On each Interest Determination Date, LIBOR for the related Accrual
Period for the Class A-16 Certificates and the Class A-18 Certificates will be
established by the Trustee as follows:
(a) If on such Interest Determination Date two or more Reference Banks
provides such offered quotations, LIBOR for the related Accrual Period for the
Class A-16 Certificates and the Class A-18
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Certificates shall be the arithmetic mean of such offered quotations (rounded
upwards if necessary to the nearest 1/100,000 of 1% (0.0000001), with five
one-millionths of a percentage point rounded upward, of all such quotations.
(b) If on such Interest Determination Date fewer than two Reference
Banks provide such offered quotations, LIBOR for the related Accrual Period for
the Class A-16 Certificates and the Class A-18 Certificates shall be the rate
for that day will be the arithmetic mean, rounded upward, if necessary, to the
nearest 1/100,000 of 1% (0.0000001), with five one-millionths of a percentage
point rounded upward, of the offered per annum rates that one or more leading
banks in New York City, selected by the Indenture Trustee, are quoting as of
approximately 11:00 a.m., New York City time, on such LIBOR Determination Date
to leading European banks for United States dollar deposits for the Index
Maturity; provided that if the banks selected as aforesaid are not quoting as
mentioned in this sentence, LIBOR in effect for the applicable Interest Period
will be LIBOR in effect for the previous Interest Period.
The establishment of LIBOR on each Interest Determination Date by the
Trustee and the Trustee's calculation of the rate of interest applicable to the
Class A-16 Certificates and the Class A-18 Certificates for the related Accrual
Period shall (in the absence of manifest error) be final and binding. Each such
rate of interest may be obtained by telephoning the Trustee at 1-800-735-7777.
CERTAIN ACTIVITIES
The Trust has not and will not: (i) issue securities (except for the
Certificates); (ii) borrow money; (iii) make loans; (iv) invest in securities
for the purpose of exercising control; (v) underwrite securities; (vi) except as
provided in the Pooling and Servicing Agreement, engage in the purchase and sale
(or turnover) of investments; (vii) offer securities in exchange for property
(except Certificates for the Mortgage Loans); or (viii) repurchase or otherwise
reacquire its securities. See "Description of the Securities -- Reports To The
Securityholders" in the Prospectus for information regarding reports to the
Owners.
CREDIT ENHANCEMENT
OVERCOLLATERALIZATION PROVISIONS
Overcollateralization Resulting from Cash Flow Structure. The Pooling
and Servicing Agreement requires that, on each Payment Date, certain excess cash
flows with respect to a Mortgage Loan Group, consisting of the difference
between (i) the difference between (x) the interest which is collected on the
Mortgage Loans in such Mortgage Loan Group during a Remittance Period (net of
the Servicing Fee) plus any Delinquency Advances and Compensating Interest and
(y) the sum of (I) the interest which accrues on the related Class A
Certificates during the related Accrual Period and (II) the portion of the
premium due to the Insurer related to such Mortgage Loan Group with respect to
the Insurance Policy, and the Trustee's Fee (such difference, the "Total Monthly
Excess Spread" with respect to the related Mortgage Loan Group), and (ii) any
portion of the Total Monthly Excess Spread which is used to cover any Realized
Losses and shortfalls in Available Funds (provided, that this does not apply to
any shortfall attributed to any Supplemental Interest Amount) on such Payment
Date in the related Mortgage Loan Group, or in the other Mortgage Loan Groups,
or used to reimburse the Insurer on account of prior Insured Payments (such
excess cash flows with respect to a Mortgage Loan Group being the "Net Monthly
Excess Spread" with respect to such Mortgage Loan Group), be applied on such
Payment Date as an accelerated payment of principal on the related Class A
Certificates, but only to the limited extent hereafter described.
This has the effect of accelerating the amortization of the Class A
Certificates relative to the amortization of the Mortgage Loans in the related
Mortgage Loan Group. To the extent that any Net
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Monthly Excess Spread is not so used, the Pooling and Servicing Agreement
provides that it will be used to reimburse the Master Servicer with respect to
any amounts owing to it, or otherwise applied as directed by the Owners of the
Class R Certificates.
With respect to any Mortgage Loan Group and Payment Date, the positive
difference, if any, between (x) the aggregate principal balances of the Mortgage
Loans in such Mortgage Loan Group as of the close of business on the last day of
the preceding Remittance Period and (y) the aggregate Class A Certificate
Principal Balance of the Class A Certificates issued in respect of the related
Mortgage Loan Group as of such Payment Date (and following the making of all
distributions on such Payment Date) is the "Subordinated Amount" with respect to
such Mortgage Loan Group as of such Payment Date. Pursuant to the Pooling and
Servicing Agreement relating to the Certificates, each Mortgage Loan Group's Net
Monthly Excess Spread will be applied as an accelerated payment of principal on
the related class or classes of Class A Certificates until the related
Subordinated Amount has increased to the level required with respect to the
related Mortgage Loan Group. Any amount of Net Monthly Excess Spread actually
applied as an accelerated payment of principal is a "Subordination Increase
Amount." The required level of the Subordinated Amount with respect to a
Mortgage Loan Group and Payment Date is the "Specified Subordinated Amount" with
respect to such Mortgage Loan Group and Payment Date. The Specified Subordinated
Amount may, over time, decrease, or increase, subject to certain floors, caps
and triggers.
To the extent that any Mortgage Loan Group's Net Monthly Excess Spread is not
required to be applied to the payment of a Subordination Increase Amount on the
Class A Certificates relating to such Mortgage Loan Group because the
Subordinated Amount with respect to such Mortgage Loan Group is equal to or
greater than the then Specified Subordinated Amount with respect to such
Mortgage Loan Group, such Net Monthly Excess Spread (together with the amount of
any Subordination Reduction Amount, as described in the next paragraph) is
permitted to be applied to the payment of Subordination Increase Amounts on the
class or classes of Class A Certificates relating to the other Mortgage Loan
Groups, as described below under " -- Cross Collateralization Provisions", to
the extent necessary to increase the Subordinated Amount with respect to such
Mortgage Loan Group to the level of its respective Specified Subordinated
Amount.
In the event that the required level of the Specified Subordinated
Amount with respect to a Mortgage Loan Group is permitted to decrease or "step
down" on a Payment Date in the future, the Pooling and Servicing Agreement
provides that a portion of the principal which would otherwise be distributed to
the Owners of the class or classes of Class A Certificates on such Payment Date
shall be distributed to, or otherwise applied as directed by, the Owners of the
Class R Certificates on such Payment Date. This has the effect of decelerating
the amortization of the Class A Certificates relative to the amortization of the
Mortgage Loans in the related Mortgage Loan Group, and of reducing the related
Subordinated Amount. With respect to any Mortgage Loan Group and Payment Date,
the excess, if any, of (x) the Subordinated Amount that would apply to the
related Mortgage Loan Group on such Payment Date after taking into account all
distributions to be made on such Payment Date (except for any distributions of
related Subordination Reduction Amounts as described in this sentence) over (y)
the related Specified Subordinated Amount is the "Excess Subordinated Amount"
with respect to such Mortgage Loan Group and Payment Date. If, on any Payment
Date, the Excess Subordinated Amount is, or, after taking into account all other
distributions to be made on such Payment Date would be, greater than zero (i.e.,
the Subordinated Amount is or would be greater than the related Specified
Subordinated Amount), then any amounts relating to principal which would
otherwise be distributed to the Owners of the related class or classes of Class
A Certificates on such Payment Date shall instead be used to reimburse the
Master Servicer for certain amounts owing to it, or otherwise applied as
directed by, the Owners of the Class R Certificates (subject to certain other
prior applications as described below under " -- Crosscollateralization
Provisions") in an amount equal to the lesser of (x) the Excess Subordinated
Amount and (y) the amount available for distribution on account of principal
with respect to the related
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Class A Certificates on such Payment Date; such amount being the "Subordination
Reduction Amount" with respect to the related Mortgage Loan Group for such
Payment Date.
The Pooling and Servicing Agreement provides that, on any Payment Date,
all amounts collected on account of principal (other than any such amount
applied to the payment of a Subordination Reduction Amount) with respect to a
Mortgage Loan Group during the prior Remittance Period will be distributed to
the Owners of the related class of Class A Certificates on such Payment Date. If
any Mortgage Loan became a Liquidated Mortgage Loan during such prior Remittance
Period, the Net Liquidation Proceeds related thereto and allocated to principal
may be less than the principal balance of the related Mortgage Loan; the amount
of any such insufficiency is a "Realized Loss." In addition, the Pooling and
Servicing Agreement provides that the principal balance of any Mortgage Loan
which becomes a Liquidated Mortgage Loan shall thenceforth equal zero. The
Pooling and Servicing Agreement does not contain any rule which requires that
the amount of any Realized Loss be distributed to the Owners of the related
Class A Certificates on the Payment Date which immediately follows the event of
loss, i.e., the Pooling and Servicing Agreement does not require the current
recovery of losses. However, the occurrence of a Realized Loss may reduce the
Subordinated Amount with respect to the related Mortgage Loan Group, which, to
the extent that such reduction causes the Subordinated Amount to be less than
the related Specified Subordinated Amount applicable to the related Payment
Date, will require the payment of a Subordination Increase Amount on such
Payment Date (or, if insufficient funds are available on such Payment Date, or
subsequent Payment Dates, until the Subordinated Amount equals the related
Specified Subordinated Amount). The effect of the foregoing is to allocate
losses to the Owners of the Class R Certificates by reducing, or eliminating
entirely, payment of Net Monthly Excess Spread and of Subordination Reduction
Amounts which such Owners would otherwise receive.
Overcollateralization and the Certificate Insurance Policy. The Pooling
and Servicing Agreement defines a "Subordination Deficit" with respect to a
Mortgage Loan Group and Payment Date to be the amount, if any, by which (x) the
aggregate Class A Certificate Principal Balance of the Class A Certificates
issued in respect of the related Mortgage Loan Group as of such Payment Date,
and following the making of all distributions to be made on such Payment Date
(except for any payment to be made as to principal from proceeds of the
Certificate Insurance Policy), exceeds (y) the aggregate principal balance of
the Mortgage Loans in the related Mortgage Loan Group as of the close of
business on the last day of the preceding Remittance Period. The Pooling and
Servicing Agreement requires the Trustee to make a claim for an Insured Payment
under the Insurance Policy not later than the third Business Day prior to any
Payment Date as to which the Trustee has determined that a Subordination Deficit
will occur for the purpose of applying the proceeds of such Insured Payment as a
payment of principal to the Owners of the Class A Certificates on such Payment
Date. The Insurance Policy is thus similar to the subordination provisions
described above insofar as the Insurance Policy guarantees ultimate, rather than
current, payment of the amounts of any Realized Losses to the Owners of the
related Class A Certificates. Investors in the Class A Certificates should
realize that, under extreme loss or delinquency scenarios applicable to the
related Mortgage Loan Group, they may temporarily receive no distributions of
principal.
CROSSCOLLATERALIZATION PROVISIONS
On each Payment Date, an amount equal to the sum of (x) the Total
Monthly Excess Spread with respect to each Mortgage Loan Group and Payment Date
plus (y) any Subordination Reduction Amount with respect to such Mortgage Loan
Group and Payment Date (such amount being the "Total Monthly Excess Cashflow"
with respect to such Mortgage Loan Group and Payment Date) with respect to each
Mortgage Loan Group will be required to be applied in the following order of
priority:
(i) such amount shall be used to fund any shortfall on such
Payment Date with respect to the related Mortgage Loan Group
and equal to the difference, if any, between (x) the Insured
Distribution Amount for the related Mortgage Loan Group for
such
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Payment Date and (y) the Available Funds with respect to the
related Mortgage Loan Group for such Payment Date (the amount
of such difference being equal to an "Available Funds
Shortfall" with respect to the related Mortgage Loan Group);
(ii) if the Mortgage Loan Group described in (i) above is the Group
IA Pool, then any remaining amount after the application
described in (i) above shall be used to fund any Available
Funds Shortfall with respect to the other Mortgage Loan Groups
in the following order of priority: the Group IIA Pool, then
the Group IB Pool and then the Group IIB Pool;
(iii) if the Mortgage Loan Group described in (i) above is the Group
IB Pool, then any remaining amount after the application
described in (i) above shall be used to fund any Available
Funds Shortfall with respect to the other Mortgage Loan Groups
in the following order of priority: the Group IIB Pool, then
the Group IA Pool and then the Group IIA Pool;
(iv) if the Mortgage Loan Group described in (i) above is the Group
IIA Pool, then any remaining amount after the application
described in (i) above shall be used to fund any Available
Funds Shortfall with respect to the other Mortgage Loan Groups
in the following order of priority: the Group IA Pool, then
the Group IIB Pool and then the Group IB Pool;
(v) if the Mortgage Loan Group described in (i) above is the Group
IIB Pool, then any remaining amount after the application
described in (i) above shall be used to fund any Available
Funds Shortfall with respect to the other Mortgage Loan Groups
in the following order of priority: the Group IB Pool, then
the Group IIA Pool and then the Group IA Pool;
(vi) any portion of the Total Monthly Excess Cashflow with respect
to such Mortgage Loan Group remaining after the applications
described in clause (i), (ii), (iii), (iv) and (v) above shall
be paid to the Insurer in respect of amounts owed on account
of any Insured Payments theretofore made with respect to the
related Mortgage Loan Group (any such amount so owed to the
Insurer and not theretofore paid, together with accrued
interest thereon, the "Insurer Reimbursable Amount" with
respect to the related Mortgage Loan Group); and
(vii) any portion of the Total Monthly Excess Cashflow with respect
to such Mortgage Loan Group remaining after the application
described in clauses (i), (ii), (iii), (iv), (v) and (vi)
above shall be paid to the Insurer in respect of any Insurer
Reimbursable Amount with respect to the other Mortgage Loan
Groups according to the priorities noted above.
The amount, if any, of the Total Monthly Excess Cashflow with respect
to a Mortgage Loan Group on a Payment Date remaining after such applications is
the "Net Monthly Excess Cashflow" with respect to such Mortgage Loan Group for
such Payment Date; such amount is required to be applied in the following order
of priority on such Payment Date:
(a) such amount shall be used to fund the payment of any required
Subordination Increase Amount with respect to the related
Mortgage Loan Group as a portion of the distribution of the
Principal Distribution Amount on such Payment Date;
(b) any portion of the Net Monthly Excess Cashflow remaining after
the application described in clause (a) above shall be used to
make any required Subordination
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Increase Amount with respect to the other Mortgage Loan
Groups, in a like manner as described in clauses (ii) through
(v), above; and
(c) any remaining Net Monthly Cashflow may then be used to
reimburse the Master Servicer for certain amounts owing to it,
or may be otherwise applied as directed by the Owners of the
Class R Certificates.
CREDIT ENHANCEMENT DOES NOT APPLY TO PREPAYMENT RISK OR BASIS RISK
In general, the protection afforded by the subordination provisions and
by the Certificate Insurance Policy is protection for credit risk and not for
prepayment risk or basis risk (the risk that changes in the value of the indices
on the Mortgage Loans will not match the changes in the value of the index
applicable to calculate the interest on the Certificates). The subordination
provisions may not be adjusted, nor may a claim be made under the Certificate
Insurance Policy to guarantee or insure that any particular rate of prepayment
is experienced by the Trust.
THE POOLING AND SERVICING AGREEMENT
In addition to the provisions of the Pooling and Servicing Agreement
summarized elsewhere in this Prospectus Supplement and the Prospectus, there is
set forth below a summary of certain other provisions of the Pooling and
Servicing Agreement.
FORMATION OF THE TRUST
The Trust will be created and established pursuant to the Pooling and
Servicing Agreement on the Closing Date. On such date, the Sponsor will cause
the Trust to acquire the Mortgage Loans, and the Trust will issue the Class A
Certificates to the Owners thereof.
The property of the Trust shall include all money, instruments and
other property to the extent such money, instruments and other property are
subject or intended to be held in trust for the benefit of the Owners, and all
proceeds thereof, including, without limitation, (i) the Mortgage Loans, (ii)
such amounts, including Eligible Investments, as from time to time may be held
by the Trustee in the Certificate Account and by the Master Servicer in the
Principal and Interest Accounts (except as otherwise provided in the Pooling and
Servicing Agreement), each to be created pursuant to the Pooling and Servicing
Agreement, (iii) any Mortgaged Property, the ownership of which has been
effected on behalf of the Trust as a result of foreclosure or acceptance by the
Master Servicer of a deed in lieu of foreclosure and that has not been withdrawn
from the Trust, (iv) any insurance policies relating to the Mortgage Loans and
any rights of the Sponsor or the affiliated Originators under any insurance
policies, and (v) Net Liquidation Proceeds with respect to any Liquidated Loan
(collectively, the "Trust Estate").
SALE OF MORTGAGE LOANS
Not later than the Closing Date the Sponsor will cause the Originators
to transfer the Mortgage Loans pursuant to one or more Master Mortgage Loan
Transfer Agreements between the Originators and the Sponsor (the "Master
Transfer Agreements"). In the Master Transfer Agreements the Originators will
make certain representations and warranties; the Sponsor will assign its rights
to enforce such representations and warranties to the Trustee.
Pursuant to the Pooling and Servicing Agreement, the Sponsor on the
Closing Date will cause the Trust to acquire all right, title and interest
of the Originators in each Mortgage Loan listed on the schedule delivered to
the Trustee on the Closing Date (the "Schedule of Mortgage Loans") and all
their right, title
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and interest in all principal collected and all interest due on each such
Mortgage Loan on or after the Cut-Off Date.
The Group IB Certificates and the Group IIB Certificates will be
delivered by the Trust to Advanta National Bank in consideration for its sale to
the Trust of the Mortgage Loans comprising the Group IB Pool and the Group IIB
Pool.
In connection with the sale of the Mortgage Loans on the Closing Date,
the Originators will be required to deliver to the Trustee a file (a "Mortgage
Loan File") consisting of, among other things, (i) the original Notes or
certified copies thereof, endorsed by the Originator thereof in blank or to the
order of the holder, (ii) originals of all intervening assignments, showing a
complete chain of title from origination to the applicable Originators, if any,
including warehousing assignments, with evidence of recording thereon, (iii)
originals of all assumption and modification agreements if any, and, unless such
Mortgage Loan is covered by a counsel's opinion as described in the next
paragraph, (iv) either: (a) the original Mortgage, with evidence of recording
thereon, (b) a true and accurate copy of the Mortgage where the original has
been transmitted for recording, until such time as the original is returned by
the public recording office or (c) a copy of the Mortgage certified by the
public recording office in those instances where the original recorded Mortgage
has been lost. The Trustee will agree, for the benefit of the Owners, to review
each such file within 90 days after the Closing Date to ascertain that all
required documents (or certified copies of documents) have been executed and
received.
The Originators are additionally required to cause to be prepared and
recorded, within 75 business days of the Closing Date (or, if original recording
information is unavailable, within such later period as is permitted by the
Pooling and Servicing Agreement) assignments of the Mortgages from the
Originators to the Trustee, in the appropriate jurisdictions in which such
recordation is necessary to perfect the lien thereof as against creditors of or
purchasers from the Originators; provided, however, that such requirements may
be waived to the extent that the Sponsor delivers to the Trustee an acceptable
opinion of counsel also acceptable to the Insurer to the effect that the
preparation and recordation of such assignments in certain jurisdictions is not
necessary to protect the Trust's interest in the related Mortgage Loans.
GOVERNING LAW
The Pooling and Servicing Agreement and each Class A Certificate will
be construed in accordance with and governed by the laws of the State of New
York applicable to agreements made and to be performed therein.
REPORTING REQUIREMENTS
On each Payment Date the Trustee is required to report in writing to
each Owner:
(i) the amount of the distribution with respect to the each
Class of Certificates (based on a Certificate in the original principal
amount of $1,000);
(ii) the amount of such distribution allocable to principal on
the related Mortgage Loans in each Mortgage Loan Group, separately
identifying the aggregate amount of any Prepayments or other recoveries
of principal included therein;
(iii) the amount of such distribution allocable to interest on
the related Mortgage Loans in each Mortgage Loan Group (based on a
Certificate in the original principal amount of $1,000);
(iv) the Interest Carry Forward Amount for each Class;
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(v) the principal amount (or Class F-IO Notional Principal
Balance or Class A-IO Notional Principal Balance with respect to the
Class F-IO Certificates and the Class A-IO Certificates) of each Class
of the Class A Certificates (based on a Certificate in the original
principal (or notional principal) amount of $1,000) which will be
outstanding after giving effect to any payment of principal on such
Payment Date;
(vi) the aggregate Principal Balance of all Mortgage Loans and
the aggregate Principal Balance of the Mortgage Loans in each Mortgage
Loan Group after giving effect to any payment of principal on such
Payment Date;
(vii) based upon information furnished by the Sponsor such
information as may be required by Section 6049(d)(7)(C) of the Code and
the regulations promulgated thereunder to assist the Owners in
computing their market discount;
(viii) the total of any Substitution Amounts or Loan Purchase
Price amounts included in such distribution with respect to Mortgage
Loan Group;
(ix) the weighted average Coupon Rate of the Mortgage Loans in
each Mortgage Loan Group;
(x) the Subordination Amount for each Mortgage Loan Group and
the Certificate Principal Balance of each Class of the Class A
Certificates then outstanding after giving effect to any payment of
principal on such Payment Date; and
Certain obligations of the Trustee to provide information to the Owners
are conditioned upon such information being received from the Master Servicer.
In addition, on each Payment Date the Trustee will be required to
distribute to each Owner, together with the information described above, the
following information prepared by the Master Servicer and furnished to the
Trustee for such purpose and with respect to each Mortgage Loan Group:
(a) the number and aggregate Principal Balance of Mortgage
Loans (i) 30-59 days delinquent, (ii) 60-89 days delinquent and (iii)
90 or more days delinquent, as of the close of business on the last
business day of the calendar month next preceding the Payment Date and
the number and aggregate Principal Balances of the Mortgage Loans and
related data;
(b) the number and aggregate Principal Balance of all Mortgage
Loans in foreclosure proceedings as of the close of business on the
last business day of the calendar month preceding such Payment Date;
(c) the number of Mortgagors and the aggregate Principal
Balance of the related Mortgagors involved in bankruptcy proceedings as
of the close of business on the last business day of the calendar month
next preceding such Payment Date;
(d) the existence and status of any Properties as to which
title has been taken in the name of, or on behalf of the Trustee, as of
the close of business of the last business day of the month next
preceding the Payment Date;
(e) the book value of any real estate acquired through
foreclosure or grant of a deed in lieu of foreclosure as of the close
of business on the last business day of the calendar month next
preceding the Payment Date; and
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(f) the amount of cumulative Realized Losses.
TERMINATION OF THE TRUST
The Pooling and Servicing Agreement provides that the Trust will
terminate upon the payment to the Owners of all Certificates of all amounts
required to be paid to such Owners and to the Insurer of all amounts required to
be paid to the Insurer as reimbursement for any prior drawings on the Insurance
Policy and upon the last to occur of (a) the final payment or other liquidation
(or any advance made with respect thereto) of the last Mortgage Loan, (b) the
disposition of all property acquired in respect of any Mortgage Loan remaining
in the Trust Estate and (c) at any time when a Qualified Liquidation of the
Trust Estate is effected as described below. To effect a termination pursuant to
clause (c) above, the Owners of all Certificates then outstanding will be
required (i) unanimously to direct the Trustee on behalf of the Trust to adopt a
plan of complete liquidation, as contemplated by Section 860F(a)(4) of the Code
and (ii) to furnish to the Trustee an opinion of counsel experienced in federal
income tax matters acceptable to the Trustee to the effect that such liquidation
constitutes a Qualified Liquidation.
OPTIONAL TERMINATION
By the Master Servicer. At its option, the Master Servicer acting
directly or through one or more affiliates may determine to purchase from the
Trust all of the Mortgage Loans and other property then held by the Trust, and
thereby effect early retirement of the Class A Certificates, on any Remittance
Date on and after the Clean-up Call Date, provided that such early retirement
may only be effected with the consent of the Insurer if it would result in a
draw on the Insurance Policy.
Termination Upon Loss of REMIC Status. Following a final determination
by the Internal Revenue Service or by a court of competent jurisdiction, in
either case from which no appeal is taken within the permitted time for such
appeal, or if any appeal is taken, following a final determination of such
appeal from which no further appeal can be taken, to the effect that the Trust
does not and will no longer qualify as a "REMIC" pursuant to Section 860D of the
Code (the "Final Determination"), at any time on or after the date which is 30
calendar days following such Final Determination, the Owners of a majority in
Percentage Interests represented by the Class A Certificates then Outstanding
may direct the Trustee on behalf of the Trust to adopt a plan of complete
liquidation, as contemplated by Section 860F(a)(4) of the Code.
THE INSURER
Ambac is a Wisconsin-domiciled stock insurance corporation regulated by
the Office of the Commissioner of Insurance of the State of Wisconsin and
licensed to do business in 50 states, the District of Columbia, the Commonwealth
of Puerto Rico and Guam. Ambac primarily insures newly issued municipal and
structured finance obligations. Ambac is a wholly-owned subsidiary of Ambac
Financial Group, Inc., a 100% publicly-held company. Moody's, Standard & Poor's
and Fitch have each assigned a triple-A claims-paying ability rating to Ambac.
The consolidated financial statements of Ambac and its subsidiaries as
of December 31, 1997 and December 31, 1996 and for the three years ended
December 31, 1997, prepared in accordance with generally accepted accounting
principles, included in the Annual Report on Form 10-K of Ambac Financial Group,
Inc. (which was filed with the Commission on March 31, 1998, Commission File No.
1-10777) and the consolidated financial statements of Ambac and its subsidiaries
as of March 31, 1998 and for the periods ending March 31, 1998 and March 31,
1997 included in the Quarterly Report on Form 10-Q of Ambac Financial Group,
Inc. for the period ended March 31, 1998 (which was filed with the Commission on
May 15, 1998) are hereby incorporated by reference into this Prospectus
Supplement and shall be deemed to be a part hereof. Any statement contained in a
document incorporated herein by reference shall be modified or superseded for
the purposes of this Prospectus Supplement to the extent
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that a statement contained herein by reference herein also modifies or
supersedes such statement. Any statement so modified or superseded shall not be
deemed, except as so modified or superseded, to constitute a part of this
Prospectus Supplement.
All financial statements of Ambac and its subsidiaries included in
documents filed by Ambac Financial Group, Inc. with the Commission pursuant to
Section 13(a), 13(c), 14 or 15(d) of the Securities Exchange Act of 1934, as
amended, subsequent to the date of this Prospectus Supplement and prior to the
termination of the offering of the Class A Certificates shall be deemed to be
incorporated by reference into this Prospectus Supplement and to be a part
hereof from the respective dates of filing such documents.
The following table sets forth the capitalization of Ambac as of
December 31, 1995, December 31, 1996, December 31, 1997 and March 31, 1998,
respectively, in conformity with generally accepted accounting principles.
AMBAC ASSURANCE CORPORATION
CAPITALIZATION TABLE
(DOLLARS IN MILLIONS)
<TABLE>
<CAPTION>
December 31, 1995 December 31, 1996 December 31, 1997 March 31, 1998
(audited) (audited) (audited) (unaudited)
------ ------ ------ ------
<S> <C> <C> <C> <C>
Unearned premiums $ 906 $ 995 $1,184 $1,202
Other liabilities 295 259 520 597
------ ------ ------ ------
Total liabilities 1,201 1,254 1,704 1,799
------ ------ ------ ------
Stockholder's equity: (1)
Common stock 82 82 82 82
Additional paid-in capital 481 515 521 525
Accumulated other 87 66 118 114
comprehensive income
Retained earnings 907 992 1,180 1,236
------ ------ ------ ------
Total stockholder's equity 1,557 1,655 1,901 1,957
------ ------ ------ ------
Total liabilities and stockholder's
equity $2,758 $2,909 $3,605 $3,756
====== ====== ====== ======
</TABLE>
(1) Components of stockholder's equity have been restated for all periods
presented to reflect "accumulated other comprehensive income" in accordance with
the Statement of Financial Account Standards No. 130 "Reporting Comprehensive
Income" adopted by Ambac effective January 1, 1998. As this new standard only
requires additional information in the financial statements, it does not affect
the Ambac's financial position or results of operations.
For additional financial information concerning Ambac, see the audited
financial statements of Ambac incorporated by reference herein. Copies of the
financial statements of Ambac incorporated herein by reference and copies of
Ambac's annual statement for the year ended December 31, 1997 prepared in
accordance with statutory accounting standards are available, without charge
from Ambac. The address of Ambac's administrative offices and its telephone
number are One State Street Plaza, 17th Floor, New York, New York, 10004, (212)
668-0340.
Ambac makes no representation regarding the Certificates or the
advisability of investing in the Certificates and makes no representation
regarding, nor has it participated in the preparation of, this Prospectus
Supplement other than the information supplied by Ambac and presented under the
headings
S-119
<PAGE> 119
"The Insurance Policy" and "The Insurer" and in the financial statements
incorporated herein by reference.
THE INSURANCE POLICY
The Insurer, in consideration of the payment of the premium and subject
to the terms of the Insurance Policy, agrees unconditionally and irrevocably to
pay to the Trustee for the benefit of the Holders of the Insured Obligations,
that portion of the Insured Amounts which shall become Due for Payment but shall
be unpaid by reason of Nonpayment.
The Insurer will make such payments to the Trustee from its own funds
on the later of (a) three Business Days following delivery of the Notice to the
Insurer of Nonpayment or (b) the Business Day on which the Insured Amounts are
Due for Payment. The Insurer shall be subrogated to all the Holders' rights to
payment on the Insured Obligations to the extent of the insurance disbursements
so made. Once payments of the Insured Amounts have been made to the Trustee, the
Insurer shall have no further obligation in respect of such Insured Amounts.
Payment of Insured Amounts shall be made only at the time set forth in the
Insurance Policy and no accelerated payment of Insured Amounts shall be made
regardless of any acceleration of any of the Class A Certificates, unless such
acceleration is at the sole option of the Insurer.
Notwithstanding the foregoing paragraph, the Insurance Policy does not
cover shortfalls, if any, attributable to the liability of the Trust or the
Trustee for withholding taxes, if any (including interest and penalties in
respect of any such liability), any prepayment penalty or other accelerated
payment which at any time may become due on or with respect to any Insured
Obligation, other than at the sole option of the Insurer, nor against any risk
other than Nonpayment, including failure of the Trustee to make any payment due
the Holders of the Insured Obligations.
The Insurer will pay any Insured Payment that is a Preference Amount on
the Business Day following receipt on a Business Day of a certified copy of the
order requiring the return of a preference payment, and such other documentation
as is reasonably required by the Insurer, such documentation being in a form
satisfactory to the Insurer, provided that if such documents are received after
12:00 noon New York City time on such Business Day, they will be deemed to be
received on the following Business Day.
Insured Payments due under the Insurance Policy unless otherwise stated
therein will be disbursed by the Insurer to the Trustee on behalf of the Holders
by wire transfer of immediately available funds in the amount of the Insured
Payment.
As used herein, the following terms shall have the following meanings:
"Deficiency Amount" means the excess, if any, of Required Payments over
the Net Available Distribution Amount for such Payment Date.
"Due for Payment" shall mean with respect to an Insured Amount, the
Payment Date on which Insured Amounts are due or, with respect to an Insured
Payment which is a Preference Amount, the Business Day on which the required
documentation referred to above has been received by the Insurer.
"Holder" shall mean any person who is the registered owner or
beneficial owner of any Insured Obligation.
"Insured Amounts" shall mean, with respect to any Payment Date, the
Deficiency Amount (including any amounts paid in respect of an Insufficiency
Amount) for such Payment Date.
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<PAGE> 120
"Insured Obligations" shall mean the Class A Certificates.
"Insured Payments" shall mean, the aggregate amount actually paid by
the Insurer to the Trustee in respect of (i) Insured Amounts for a Payment Date
and (ii) Preference Amounts for any given Business Day.
"Net Available Distribution Amount" means, with respect to any Payment
Date, the sum of (i) the amount on deposit in the Certificate Account on such
Payment Date with respect to each of the Mortgage Loan Groups, minus the
Trustee's Fee with respect to such Mortgage Loan Group and minus the premium
then due to the Insurer, plus (ii) any Total Monthly Excess Cashflow available
from the other Mortgage Loan Groups.
"Nonpayment" shall mean, with respect to any Distribution Date, a
Deficiency Amount owing in respect of such Distribution Date.
"Notice" means the notice sent in writing by telecopy, substantially in
the form of Exhibit A attached to the Certificate Insurance Policy, from the
Trustee specifying the Insured Amount which shall be due and owing on the
applicable Distribution Date.
"Preference Amount" means any payment of principal or interest on an
Insured Obligation which has become Due for Payment and which is made to a
Holder by or on behalf of the Trustee which has been deemed a preferential
transfer and theretofore recovered from its Holder pursuant to the United States
Bankruptcy Code in accordance with a final, nonappealable order of a court of
competent jurisdiction.
"Required Payments" shall mean, with respect to each Class of
Certificate, as of any Payment Date, the sum of (i) the Interest Distribution
Amount and (ii) any Subordination Deficit with respect to such Mortgage Loan
Group.
Any notice under the Insurance Policy may be made at the address listed
below for the Insurer or such other address as the Insurer shall specify in
writing to the Trustee.
The notice address of the Insurer is One State Street Plaza, New York,
New York 10004 Attention: General Counsel, or such other address as the Insurer
shall specify to the Trustee in writing. The Insurance Policy is being issued
under and pursuant to, and shall be construed under, the laws of the State of
California, without giving effect to the conflict of laws principles thereof.
THE INSURANCE PROVIDED BY THE INSURANCE POLICY IS NOT COVERED BY THE
PROPERTY/CASUALTY INSURANCE SECURITY FUND SPECIFIED IN ARTICLE 76 OF THE NEW
YORK INSURANCE LAW.
CLAIMS ARISING UNDER THE INSURANCE POLICY WOULD BE EXCLUDED FROM
COVERAGE BY THE CALIFORNIA INSURANCE GUARANTY ASSOCIATION ESTABLISHED PURSUANT
TO THE LAWS OF CALIFORNIA.
The Insurance Policy is not cancelable for any reason. The premium on
the Insurance Policy is not refundable for any reason.
S-121
<PAGE> 121
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
The following discussion of certain of the material anticipated federal
income tax consequences of the purchase, ownership and disposition of the Class
A Certificates is to be considered only in connection with "Certain Federal
Income Tax Consequences" in the Prospectus. The discussion herein and in the
Prospectus is based upon laws, regulations, rulings and decisions now in effect,
all of which are subject to change. The discussion below and in the Prospectus
does not purport to deal with all federal tax consequences applicable to all
categories of investors, some of which may be subject to special rules.
Investors should consult their own tax advisors in determining the federal,
state, local and any other tax consequences to them of the purchase, ownership
and disposition of the Class A Certificates.
REMIC ELECTIONS
The Trustee will cause one or more REMIC elections to be made with
respect to certain specified assets of the Trust for federal income tax
purposes. Qualification as a REMIC requires ongoing compliance with certain
conditions. Dewey Ballantine LLP, special tax counsel, will advise that, in its
opinion, for federal income tax purposes, assuming the REMIC elections are made
and compliance with the Pooling and Servicing Agreement, the Trust will be
treated as a REMIC for federal income tax purposes. Each of the Fixed Rate Group
Certificates will be a "regular interest" in a REMIC, which will be treated as a
debt instrument of the Trust for federal income tax purposes. Each of the
Adjustable Rate Certificates and the related rights to receive Supplemental
Interest Payments will be comprised of (i) a "regular interest" in a REMIC and
(ii) the right to receive Supplemental Interest Payments having the
characteristics described below.
For federal income tax purposes, regular interests in a REMIC are
treated as debt instruments issued by the REMIC on the date on which those
interests are created, and not as ownership interests in the REMIC or its
assets. Owners of Class A Certificates that otherwise report income under a cash
method of accounting will be required to report income with respect to such
Class A Certificates under an accrual method. The Class A Certificates may be
issued with "original issue discount" for federal income tax purposes. The
prepayment assumption that will be used in determining the rate of accrual of
original issue discount on the Class A Certificates is 100% of the "Prepayment
Assumption". See "Payment and Yield Considerations -- Projected Prepayments and
Yields for Class A Certificates" herein. No representation is made that any of
the Mortgage Loans will prepay at such rates or any other rate. See "Payment and
Yield Considerations -- Projected Prepayments and Yields for Class A
Certificates" herein and "Certain Federal Income Tax Consequences -- Discount
and Premium" in the Prospectus.
SPECIAL TAX ATTRIBUTES
The Class A Certificates possess certain special tax attributes by
virtue of the REMIC provisions of the Code. See "Certain Federal Income Tax
Consequences -- REMIC Securities -- Special Tax Attributes" in the Prospectus.
The Small Business Job Protection Act of 1996 repeals the bad debt reserve
method of accounting for mutual savings banks and domestic building and loan
associations for tax years beginning after December 31, 1995. As a result,
Section 593(d) of the Code is no longer applicable to treat REMIC regular
interests, including the Certificates, as "qualifying real property loans."
S-122
<PAGE> 122
SUPPLEMENTAL INTEREST AMOUNTS
The Beneficial Owners of the Floating Rate Certificates and the related
rights to receive Supplemental Interest Amounts will be treated for tax purposes
as owning two separate investments: (i) the respective Floating Rate
Certificates without the right to receive Supplemental Interest Amounts and (ii)
the right to receive the Supplemental Interest Amounts. The Owners of the
respective Floating Rate Certificates must allocate the purchase price of their
Certificates between these two investments based on their relative fair market
values. The purchase price allocated to the first investment will be the issue
price of the respective Floating Rate Certificates for calculating accruals of
original issue discount. See "Certain Federal Income Tax Consequences --
Discount and Premium" in the Prospectus.
A Beneficial Owner of an Floating Rate Certificate and the related
rights to receive Supplemental Interest Amounts will be treated for federal
income tax purposes as having entered into a notional principal contract on the
date that it purchases its Certificate. Treasury Regulations under Section 446
of the Code relating to notional principal contracts (the "Notional Principal
Contract Regulations") provide that taxpayers, regardless of their method of
accounting, generally must recognize the ratable daily portion of a periodic
payment for the taxable year to which that portion relates. Any Supplemental
Interest Amounts will be periodic payments. Income with respect to periodic
payments under a notional principal contract for a taxable year should
constitute ordinary income. The purchase price allocated to the right to receive
the related Supplemental Interest Amounts will be treated as a nonperiodic
payment under the Notional Principal Contract Regulations. Such a nonperiodic
payment may be amortized using several methods, including the level payment
method described in the Notional Principal Contract Regulations.
The right to receive the Supplemental Interest Amounts will not
constitute: (i) a "real estate asset" within the meaning of Section 858(c)(5)(A)
of the Internal Revenue Code (the "Code") if held by a real estate investment
trust; (ii) a "qualified mortgage" within the meaning of Section 860G(a)(3) of
the Code or a "permitted investment" within the meaning of Section 860G(a)(5) of
the Code if held by a REMIC; or (iii) assets described in Section
7701(a)(19)(C)(xi) of the Code if held by a thrift. Moreover, other special
rules may apply to certain investors, including dealers in securities and
dealers in notional principal contracts.
If the Master Servicer, acting directly or through a permitted
designee, exercises its right to an Optional Termination, the Supplemental
Interest Amount may not be paid in full.
TAXATION OF FOREIGN INVESTORS
In general, foreign investors will not be subject to U.S. withholding
on income from the Supplemental Interest Amounts. See "Certain Federal Income
Tax Consequences -- Foreign Investors -- Grantor Trust Securities and REMIC
Regular Securities" in the Prospectus.
S-123
<PAGE> 123
ERISA CONSIDERATIONS
Section 406 of the Employee Retirement Income Security Act of 1974, as
amended ("ERISA") and Section 4975 of the Code prohibit a pension, profit
sharing or other employee benefit plan (the "Plans") from engaging in certain
transactions involving "plan assets" with persons that are "parties in interest"
under ERISA or "disqualified persons" under the Code with respect to the Plan
unless a statutory or administrative exemption applies to the transaction. ERISA
also imposes certain duties on persons who are fiduciaries of Plans subject to
ERISA. A violation of these "prohibited transaction" rules may generate excise
tax and other liabilities under ERISA and the Code for such persons. In
addition, investments by Plans are subject to ERISA's general fiduciary
requirements, including the requirement of investment prudence and
diversification and the requirement that a Plan's investments be made in
accordance with the documents governing the Plan.
The United States Department of Labor (the "DOL") has issued a
regulation (the "Plan Asset Regulation") describing what constitutes the assets
of a Plan when the Plan acquires an equity interest in another entity. The Plan
Asset Regulation states that, unless an exception described in the regulation is
applicable, the underlying assets of a corporation, partnership or trust in
which a Plan makes an equity investment will be considered, for purposes of
ERISA, to be assets of the investing Plan. Pursuant to the Plan Asset
Regulation, if the assets of the Trust were deemed to be plan assets by reason
of a Plan's investment in any Underwritten Certificates, such plan assets would
include an undivided interest in any assets held in such Trust. Therefore, in
the absence of an exemption, the purchase, sale or holding of any Underwritten
Certificate by a Plan (including certain individual retirement arrangements)
subject to Section 406 of ERISA or Section 4975 of the Code might result in
prohibited transactions and the imposition of excise taxes and civil penalties.
The DOL has issued to the Underwriters individual prohibited
transaction exemptions, (the "Exemptions"), which generally exempt from the
application of the prohibited transaction provisions of Section 406(a), Section
406(b)(1), Section 406(b)(2) and Section 407(a) of ERISA and the excise taxes
imposed pursuant to Sections 4975(a) and (b) of the Code, certain transactions
with respect to the initial purchase, the holding and the subsequent resale by
Plans of certificates in pass-through trusts that consist of certain
receivables, loans and other obligations that meet the conditions and
requirements of the Exemptions. The loans covered by the Exemptions include
mortgage loans such as the Mortgage Loans.
Among the conditions that must be satisfied for the Exemptions to apply
are the following:
(1) the acquisition of the certificates by a Plan is on terms
(including the price for the certificates) that are at least as
favorable to the Plan as they would be in an arm's-length transaction
with an unrelated party;
(2) the rights and interests evidenced by the certificates
acquired by the Plan are not subordinated to the rights and interests
evidenced by other certificates of the trust;
(3) the certificates acquired by the Plan have received a
rating at the time of such acquisition that is one of the three highest
generic rating categories from either Standard & Poor's, Moody's, Fitch
Investor's Service, Inc. ("Fitch") or Duff & Phelps Credit Rating Co.
("D&P");
(4) the Trustee is not an affiliate of any other member of the
Restricted Group (as defined below);
(5) the sum of all payments made to and retained by the
Underwriters in connection with the distribution of the certificates
represents not more than reasonable compensation for
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<PAGE> 124
underwriting the certificates; the sum of all payments made to and
retained by the Originator and the Sponsor pursuant to the assignment
of the loans to the Trust Estate represents not more than the fair
market value of such loans; the sum of all payments made to and
retained by any Servicer represents not more than reasonable
compensation for such person's services under the Pooling and Servicing
Agreement and reimbursement of such person's reasonable expenses in
connection therewith; and
(6) the Plan investing in the certificates is an "accredited
investor" as defined in Rule 501(a)(1) of Regulation D of the
Commission under the Securities Act.
The Trust Estate must also meet the following requirements:
(i) the corpus of the Trust Estate must consist solely of assets of the
type that have been included in other investment pools;
(ii) certificates in such other investment pools must have been rated
in one of the three highest rating categories of Standard & Poor's, Moody's,
Fitch or D&P for at least one year prior to the Plan's acquisition of
certificates; and
(iii) certificates evidencing interests in such other investment pools
must have been purchased by investors other than Plans for at least one year
prior to the Plan's acquisition of certificates.
Moreover, the Exemptions provide relief from certain
self-dealing/conflict of interest prohibited transactions that may occur when
the Plan fiduciary causes a Plan to acquire certificates in a trust in which the
fiduciary (or its affiliate) is an obligor on the receivables held in the trust;
provided that, among other requirements, (i) in the case of an acquisition in
connection with the initial issuance of certificates, at least fifty percent of
each class of certificates in which Plans have invested is acquired by persons
independent of the Restricted Group and at least fifty percent of the aggregate
interest in the trust is acquired by persons independent of the Restricted
Group; (ii) such fiduciary (or its affiliate) is an obligor with respect to five
percent or less of the fair market value of the obligations contained in the
trust; (iii) the Plan's investment in certificates of any class does not exceed
twenty-five percent of all of the certificates of that class outstanding at the
time of the acquisition; and (iv) immediately after the acquisition, no more
than twenty-five percent of the assets of the Plan with respect to which such
person is a fiduciary are invested in certificates representing an interest in
one or more trusts containing assets sold or serviced by the same entity. The
Exemptions do not apply to Plans sponsored by the Sponsor, the Insurer, the
Underwriters, the Trustee, the Master Servicer, any other servicer, any obligor
with respect to Mortgage Loans included in the Trust Estate constituting more
than five percent of the aggregate unamortized principal balance of the assets
in the Trust Estate, or any affiliate of such parties (the "Restricted Group").
As of the date hereof, there is no single Mortgage Loan included in the
Trust Estate that constitutes more than five percent of the aggregate
unamortized principal balance of the assets of the Trust Estate. Before
purchasing an Underwritten Certificate based on the Exemptions, a fiduciary of a
Plan should itself confirm (1) that such Certificate constitutes a "certificate"
for purposes of the Exemptions and (2) that the conditions and other
requirements set forth in the Exemptions would be satisfied.
Any person purchasing an Underwritten Certificate paying supplemental
interest (each, a "Supplemental Interest Paying Certificate") and the related
right to receive Supplemental Interest Amounts will have acquired, for purposes
of ERISA and for federal income tax purposes, such Certificate without the right
to receive the Supplemental Interest Amounts, together with the right to receive
the Supplemental Interest Amounts. The Exemptions do not apply to the
acquisition, holding or resale of the right to receive the Supplemental Interest
Amounts. Accordingly, the acquisition of the right to receive
S-125
<PAGE> 125
the Supplemental Interest Amounts by a Plan could result in a prohibited
transaction unless another administrative exemption to ERISA's prohibited
transaction rules is applicable. One or more alternative exemptions may be
available with respect to certain prohibited transaction rules of ERISA that
might apply in connection with the initial purchase, holding and resale of the
right to receive the Supplemental Interest Amounts, including, but not limited
to: (i) Prohibited Transaction Class Exemption ("PTCE") 91-38, regarding
investments by bank collective investment funds; (ii) PTCE 90-1, regarding
investments by insurance company pooled separate accounts; (iii) PTCE 84-14,
regarding transactions negotiated by qualified professional asset managers; or
(iv) PTCE 75-1, Part II, regarding principal transactions by broker-dealers (the
"Principal Transactions Exemption"). It is believed that the conditions of the
Principal Transactions Exemption will be met with respect to the acquisition of
a right to receive the Supplemental Interest Amounts by a Plan, so long as such
Underwriter is not a fiduciary with respect to the Plan (and is not a party in
interest with respect to the Plan by reason of being a participating employer or
affiliate thereof). Before purchasing Certificates based on an administrative
exemption (or exemptions), a fiduciary of a Plan should determine whether the
conditions of such exemption (or exemptions) would be met and whether the scope
of the relief provided by such exemption (or exemptions) would cover all acts
that might be construed as prohibited transactions.
Prospective Plan investors in the Underwritten Certificates should
consult with their legal advisors concerning the impact of ERISA and the Code,
the applicability of the Exemptions, and the potential consequences in their
specific circumstances, prior to making an investment in the Class A
Certificates. Moreover, each Plan fiduciary should determine whether under the
general fiduciary standards of investment procedure and diversification an
investment in the Underwritten Certificates is appropriate for the Plan, taking
into account the overall investment policy of the Plan and the composition of
the Plan's investment portfolio.
The Group IB Certificates and the Group IIB Certificates are not
currently eligible for purchase by employee benefit plans that are subject to
ERISA, but may become eligible for purchase by such plans in the future.
In addition to the matters described above, purchasers of a Class A
Certificate that are insurance companies should consult with their counsel with
respect to the recent United States Supreme Court case interpreting the
fiduciary responsibility rules of ERISA, John Hancock Mutual Life Insurance Co.
v. Harris Trust and Savings Bank, 114 S. Ct. 517 (1993). In John Hancock, the
Supreme Court ruled that assets held in an insurance company's general account
may be deemed to be "plan assets" for ERISA purposes under certain
circumstances. Prospective purchasers using insurance company general account
assets should determine whether the decision affects their ability to make
purchases of the Class A Certificates.
RATINGS
It is a condition of the original issuance of the Class A Certificates
that they receive ratings of "AAA" (or, in the case of the Class F-IO
Certificates and the Class A-IO Certificates, a rating of "AAAr") by Standard &
Poor's and "Aaa" by Moody's. The ratings assigned to the Class A Certificates
will be based on the claims-paying ability of the Insurer.
Explanations of the significance of such ratings may be obtained from
Moody's, 99 Church Street, New York, New York 10007 and Standard & Poor's, 25
Broadway, New York, New York 10006. Such ratings will be the views only of such
rating agencies. There is no assurance that such ratings will continue for any
period of time or that such ratings will not be revised or withdrawn. Any such
revision or withdrawal of such ratings may have an adverse effect on the market
price of the Class A Certificates. A security rating is not a recommendation to
buy, sell or hold securities.
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<PAGE> 126
The "r" of the "AAAr" rating of the Class F-IO Certificates and the
Class A-IO Certificates by Standard & Poor's is attached to highlight
derivative, hybrid, and certain other obligations that Standard & Poor's
believes may experience high volatility or high variability in expected returns
due to non-credit risks. Examples of such obligations are: securities whose
principal or interest return is indexed to equities, commodities, or currencies;
certain swap and options; and interest only and principal only mortgage
securities. The absence of an "r" symbol should not be taken as an indication
that an obligation will exhibit no volatility or variability in total return.
The ratings assigned to the Class A Certificates do not address the
likelihood of the payment of any Supplemental Interest Amounts.
The ratings of Moody's on home equity pass-through certificates address
the likelihood of the receipt by the Owners of all distributions to which such
Owners are entitled. Moody's rating opinions address the structural and legal
issues and tax-related aspects associated with the Certificates, including the
nature of the underlying home equity loans and the credit quality of the credit
support provider, if any. Moody's ratings on pass-through certificates do not
represent any assessment of the likelihood that principal prepayments may differ
from those originally anticipated.
Such ratings do not address the possibility that, as a result of
principal prepayments, certificateholders may receive a lower than anticipated
yield.
The ratings of the Certificates should be evaluated independently from
similar ratings on other types of securities. A security rating is not a
recommendation to buy, sell or hold securities and may be subject to revision or
withdrawal at any time by the assigning rating agency.
The Sponsor has not requested a rating of the Class A Certificates offered
hereby by any rating agency other than Moody's and Standard & Poor's and the
Sponsor has not provided information relating to the Class A Certificates or the
Mortgage Loans to any rating agency other than Moody's and Standard & Poor's.
There can be no assurance as to whether any other rating agency will rate the
Class A Certificates offered hereby or, if another rating agency rates such
Class A Certificates, what rating would be assigned to such Class A Certificates
by such rating agency. Any such unsolicited rating assigned by another rating
agency to the Class A Certificates offered hereby may be lower than the rating
assigned to such Class A Certificates by Moody's and Standard & Poor's.
LEGAL INVESTMENT CONSIDERATIONS
No class of the Class A Certificates will constitute "mortgage related
securities" for purposes of SMMEA.
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<PAGE> 127
PLAN OF DISTRIBUTION
Subject to the terms and conditions set forth in the Underwriting
Agreement, dated June 11, 1998 (the "Underwriting Agreement"), the Sponsor has
agreed to cause the Trust to sell the Underwritten Certificates to the
Underwriters and the Underwriters have agreed to purchase the Underwritten
Certificates.
On the Closing Date, the Trust will deliver the Group IB Certificates
and the Group IIB Certificates to Advanta National Bank in consideration for the
sale of its Mortgage Loans, which comprise the Group IB Pool and the Group IIB
Pool. The Group IB Certificates and the Group IIB Certificates may be resold
from time to time in negotiated transactions at varying prices to be determined
at the time of the related transaction. This Prospectus Supplement and the
Accompanying Prospectus also cover the resale of the Group IB Certificates and
the Group IIB Certificates from time to time by Advanta National Bank or its
affiliates.
In the Underwriting Agreement, the Underwriters have agreed, subject to
the terms and conditions set forth therein, to purchase the entire principal
amount of each class of the Underwritten Certificates in the amounts with
respect to each Underwriter as set forth below:
PRINCIPAL AMOUNT
<TABLE>
<CAPTION>
Morgan Stanley & Co. Prudential Securities
Class of Securities Incorporated Lehman Brothers Inc. Incorporated
------------------- ------------ -------------------- ------------
<S> <C> <C> <C>
Class A-1 Certificates $24,333,334 $24,333,333 $24,333,333
Class A-2 Certificates 13,666,668 13,666,666 13,666,666
Class A-3 Certificates 11,333,334 11,333,333 11,333,333
Class A-4 Certificates 5,666,668 5,666,666 5,666,666
Class A-5 Certificates 8,000,000 8,000,000 8,000,000
Class A-6 Certificates 9,000,000 9,000,000 9,000,000
Class A-7 Certificates 5,000,000 5,000,000 5,000,000
Class A-8 Certificates 3,000,000 3,000,000 3,000,000
Class A-16 Certificates 60,000,000 60,000,000 60,000,000
Class A-17 Certificates 20,000,000 20,000,000 20,000,000
Class F-IO Certificates (1) - -
Class A-IO Certificates (1) - -
</TABLE>
(1) No principal payments are distributed with respect to the Class F-IO
Certificates and the Class A-IO Certificates. Interest will be distributed and
calculated on the basis of the Class F-IO Notional Principal Balance and the
Class A-IO Notional Principal Balance only. Morgan Stanley & Co. Incorporated is
the sole underwriter with respect to the Class F-IO Certificates and the Class
A-IO Certificates.
The Underwriters have agreed to reimburse the Sponsor for certain
expenses in connection with the issuance and distribution of the Underwritten
Certificates.
The Underwriters have informed the Sponsor that they propose to offer
the Underwritten Certificates for sale from time to time in one or more
negotiated transactions, or otherwise, at varying prices to be determined, in
each case, at the time of the related sale. The Underwriters may effect such
transactions by selling the Underwritten Certificates to or through dealers, and
such dealers may receive compensation in the form of underwriting discounts,
concessions or commissions from the Underwriters. In connection with the sale of
the Underwritten Certificates, the Underwriters may be deemed to have received
compensation from the Sponsor in the form of underwriting compensation. The
Underwriters and any dealers that participate with the Underwriters in the
distribution of the Underwritten Certificates
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<PAGE> 128
may be deemed to be underwriters and any commissions received by them and any
profit on the resale of the Underwritten Certificates by them may be deemed to
be underwriting discounts and commissions under the 1933 Act.
Advanta Mortgage Conduit Services, Inc. has agreed to indemnify the
Underwriters against certain liabilities including liabilities under the 1933
Act.
In connection with this offering and in compliance with applicable law
and industry practice, the Underwriters may overallot or effect transactions
which stabilize, maintain or otherwise affect the market price of the
Underwritten Certificates at a level above that which might otherwise prevail in
the open market, including stabilizing bids, effecting syndicate covering
transactions or imposing penalty bids. A stabilizing bid means the placing of
any bid, or the effecting of any purchase, for the purpose of pegging, fixing or
maintaining the price of a security. A syndicate covering transaction means the
placing of any bid on behalf of the underwriting syndicate or the effecting of
any purchase to reduce a short position created in connection with the offering.
A penalty bid means an arrangement that permits Morgan Stanley, as managing
underwriter, to reclaim a selling concession from a syndicate member in
connection with the offering when Underwritten Certificates originally sold by
the syndicate member are purchased in syndicate covering transactions. The
Underwriters are not required to engage in any of these activities. Any such
activities, if commenced, may be discontinued at any time.
The Sponsor has been advised by the Underwriters that the Underwriters
presently intend to make a market in the Underwritten Certificates, as permitted
by applicable laws and regulations. The Underwriters are not obligated, however,
to make a market in the Underwritten Certificates and such market-making may be
discontinued at any time at the sole discretion of the Underwriters.
Accordingly, no assurance can be given as to the liquidity of any trading
markets for the Underwritten Certificates.
EXPERTS
The consolidated financial statements of the Insurer, Ambac Assurance
Corporation, as of December 31, 1997 and 1996 and for each of the years in the
three-year period ended December 31, 1997 are incorporated by reference herein
and in the registration statement in reliance upon the report of KPMG Peat
Marwick LLP, independent certified public accountants, incorporated by reference
herein, and upon the authority of said firm as experts in accounting and
auditing.
CERTAIN LEGAL MATTERS
Certain legal matters relating to the validity of the issuance of the
Class A Certificates will be passed upon for the Sponsor and the Underwriters by
Dewey Ballantine LLP, New York, New York.
S-129
<PAGE> 129
INDEX TO DEFINED TERMS
1
1933 Act 3
A
Accrual Period 15
Actuarial loan 39
Adjustable Rate Group 5
Advanta Conduit Services 4
Advanta Parent 100
Affiliated Originators 2
Aggregate Certificate Principal Balance 11
Ambac 2
AMBAC 3, 114
Appraised Values 39
Available Funds Shortfall 110
Average Amount Outstanding 38
B
Balloon Loans 32
Beneficial Owners 30
Book-Entry Certificates 102
Business day 106
Business Day 14
C
CEDEL 2
CEDEL Participants 104
Certificate Insurance Policy 27
Certificate Principal Balance 5
Certificates 4
Class 5
Class A Certificates 1
Class A Distribution Amount 25
Class A Formula Distribution Amount 24
Class A Interest Distribution Amount 15
Class A Principal Distribution Amount 23
Class A-1 Certificates 1
Class A-10 Certificates 1
Class A-11 Certificates 1
Class A-12 Certificates 1
Class A-13 Certificates 1
Class A-14 Certificates 1
Class A-14 Formula Rate 6
Class A-15 Formula Rate 7
Class A-15 Lockout Distribution Amount 18
Class A-15 Lockout Percentage 19
Class A-15 Lockout Pro Rata Distribution Amount 19
Class A-16 Certificates 1
Class A-16 Formula Pass Through Rate 7
Class A-16 Pass-Through Rate 7
Class A-17 Certificates 1
Class A-17 Formula Rate 7
Class A-17 Lockout Distribution Amount 20
Class A-17 Lockout Percentage 20
Class A-17 Lockout Pro Rata Distribution Amount 20
Class A-18 Certificates 1
Class A-18 Formula Pass Through Rate 7
Class A-18 Pass-Through Rate 7
Class A-19 Certificates 1
Class A-19 Lockout Distribution Amount 22
Class A-19 Lockout Percentage 22
Class A-19 Lockout Pro Rata Distribution Amount 22
Class A-2 Certificates 1
Class A-3 Certificates 1
Class A-4 Certificates 1
Class A-5 Certificates 1
Class A-6 Certificates 1
Class A-6 Formula Rate 6
Class A-7 Certificates 1
Class A-7/A-8 Lockout Distribution Amount 17
Class A-7/A-8 Lockout Percentage 17
Class A-7/A8 Lockout Pro Rata Distribution Amount 17
Class A-8 Formula Rate 6
Class A-9 Certificates 1
Class A-IO Certificates 1
Class A-IO Notional Principal Balance 2
Class F-IO Certificates 1
Class F-IO Notional Principal Balance 2
Class R Certificates 1, 4
Clean-up Call Date 30
Closing Date 4
CMT 33
Code 119
Commission 3
Compensating Interest 29
Cooperative 104
Cut-Off Date 2, 4
D
D&P 120
Date of payment loan 39
Deficiency Amount 116
Delinquency Advances 29
DOL 120
DTC 2
DTC Participants 103
Due for Payment 116
E
EFLP 36
Euroclear 2
Euroclear Operator 104
Euroclear Participants 104
European Depositaries 102
Excess Subordinated Amount 108
Exemptions 120
F
FDIC 101
Final Determination 114
Final Scheduled Payment Dates 14
Financial Intermediary 102
Fitch 120
Fixed Rate Certificates 1
Fixed Rate Group 5
Floating Rate Certificates 1
FNMA 55, 65
Foreclosure Rate 37
FSMC 36
G
G&P 35
G&P Loans 35
Gross Losses 38
Group IA Available Funds Cap Rate 7
Group IA Certificates 1
Group IA Pool 5, 39
Group IB Available Funds Cap Rate 8
Group IB Certificates 1
Group IB Pool 5, 39
Group II Maximum Rate 9, 10
Group IIA Available Funds Cap Rate 8
Group IIA Pool 39
Group IIA Pool Class A-IO Interest 8
Group IIB Available Funds Cap Rate 10
Group IIB Certificates 1
Group IIB Pool 5, 39
Group IIB Pool Class A-IO Interest 10
<PAGE> 130
H
Holder 116
I
Insured Amounts 116
Insured Distribution Amount 27
Insured Obligations 117
Insured Payment 25
Insured Payments 117
Insurer 2, 3
Insurer Reimbursable Amount 110
Interest Determination Date 106
J
Junior Lien Ratio 41
L
LIBOR 106
Liquidated Mortgage Loan 25
M
Master Transfer Agreements 111
MCA 34
MCA Loans 34
McGuire 35
McGuire Loans 35
Moody's 30, 120
Mortgage Loan File 112
Mortgage Loans 2
N
Net Available Distribution Amount 117
Net Losses 38
Net Monthly Excess Cashflow 110
Net Monthly Excess Spread 107
Nonpayment 117
Nonrecoverable Delinquency Advance 29
Nonrecoverable Servicing Advance 29
Notes 39
Notice 117
Notional Principal Contract Regulations 119
O
Optional Termination 9
Original Issue Discount 118
Owned and Managed Servicing Portfolio 37
Owner(s) 101
P
PAM 35
PAM Loans 35
Participants 102
Payment Date 14
Percentage Interest 106
Plan Asset Regulation 120
Plans 120
Pooling and Servicing Agreement 2
Pre-computed loan 39
Preference Amount 117
Prepayment 75
Prepayment Assumption 76, 118
Principal Balance 8
Principal Distribution Amount 23
Principal Transactions Exemption 122
PTCE 122
R
Realized Loss 109
Record Date 14
Recoveries 38
Reference Banks 106
Regular interest 31
Relevant Depositary 102
Remittance Date 102
Remittance Period 102
Required Payments 117
Residual interest 31
Restricted Group 121
Reuters Screen LIBO page 106
Rules 102
S
Schedule of Mortgage Loans 111
Simple interest loan 39
Six-Month LIBOR 33
SMMEA 31
Specified Subordinated Amount 108
Standard & Poor's 30
Statistic Calculation Date 11
Subordinated Amount 108
Subordination Deficit 25, 109
Subordination Increase Amount 108
Subordination Reduction Amount 109
Supplemental Interest Amount 9, 10
Supplemental Interest Paying Certificate 121
T
Terms and Conditions 104
Third-Party Servicing Portfolio 37
Total Monthly Excess Cashflow 109
Total Monthly Excess Spread 107
Trust 4
Trust Estate 111
Trustee 2, 4
U
Unaffiliated Originator Loans 35, 36
Unaffiliated Originators 2
Underwriters 2
Underwriting Agreement 124
Underwritten Certificates 1
W
Weighted average life 76
S-131
<PAGE> 131
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
PROSPECTUS SUPPLEMENT
Available Information S-3
Reports to the Certificateholders S-3
Incorporation of Certain Documents by Reference S-3
Summary S-4
Risk Factors S-32
The Portfolio of Mortgage Loans S-34
The Mortgage Loan Pool S-39
Prepayment and Yield Considerations S-75
Use of Proceeds S-99
The Sponsor and the Master Servicer S-100
Description of the Certificates S-101
Credit Enhancement S-107
The Pooling and Servicing Agreement S-111
The Insurer S-114
The Insurance Policy S-116
Certain Federal Income Tax Consequences S-118
ERISA Considerations S-120
Ratings S-122
Legal Investment Considerations S-123
Plan of Distribution S-124
Experts S-125
Certain Legal Matters S-125
Index of Principal Defined Terms S-126
PROSPECTUS
Summary of Prospectus 4
Risk Factors 14
The Trusts 19
The Mortgage Pools 26
Mortgage Loan Program 28
Description of the Securities 36
Subordination 51
Description of Credit Enhancement 52
Hazard Insurance; Claims Thereunder 57
The Sponsor and the Transferor 57
The Master Servicer 58
The Pooling and Servicing Agreement 58
Yield Considerations 64
Maturity and Prepayment Considerations 65
Certain Legal Aspects of Mortgage Loans and Related Matters 67
Certain Federal Income Tax Consequences 74
</TABLE>
1
<PAGE> 132
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
ERISA Considerations 87
Legal Investment Matters 89
Use of Proceeds 90
Methods of Distribution 90
Legal Matters 91
Financial Information 91
Additional Information 92
Index of Principal Definitions 93
Global Clearance, Settlement and Tax Documentation Procedures Annex I
</TABLE>
2
<PAGE> 133
PAGE
ADVANTA MORTGAGE
LOAN TRUST 1998-2
$73,000,000 6.44% CLASS A-1 GROUP IA FIXED RATE CERTIFICATES
$41,000,000 6.12% CLASS A-2 GROUP IA FIXED RATE CERTIFICATES
$34,000,000 6.19% CLASS A-3 GROUP IA FIXED RATE CERTIFICATES
$17,000,000 6.31% CLASS A-4 GROUP IA FIXED RATE CERTIFICATES
$24,000,000 6.33% CLASS A-5 GROUP IA FIXED RATE CERTIFICATES
$27,000,000 6.63% CLASS A-6 GROUP IA FIXED RATE CERTIFICATES
$15,000,000 6.15% CLASS A-7 GROUP IA FIXED RATE CERTIFICATES
$9,000,000 6.36% CLASS A-8 GROUP IA FIXED RATE CERTIFICATES
$88,000,000 6.44% CLASS A-9 GROUP IB FIXED RATE CERTIFICATES
$61,000,000 6.12% CLASS A-10 GROUP IB FIXED RATE CERTIFICATES
$38,000,000 6.21% CLASS A-11 GROUP IB FIXED RATE CERTIFICATES
$28,000,000 6.33% CLASS A-12 GROUP IB FIXED RATE CERTIFICATES
$28,000,000 6.36% CLASS A-13 GROUP IB FIXED RATE CERTIFICATES
$36,000,000 6.65% CLASS A-14 GROUP IB FIXED RATE CERTIFICATES
$31,000,000 6.25% CLASS A-15 GROUP IB FIXED RATE CERTIFICATES
$180,000,000 CLASS A-16 GROUP IIA FLOATING RATE CERTIFICATES
$60,000,000 6.05% CLASS A-17 GROUP IIA FIXED RATE CERTIFICATES
$101,250,000 CLASS A-18 GROUP IIB FLOATING RATE CERTIFICATES
$33,750,000 6.05% CLASS A-19 GROUP IIB FIXED RATE CERTIFICATES
$55,000,000 5.00% CLASS F-I0 CERTIFICATES*
$93,750,000 5.00% CLASS A-I0 CERTIFICATES**
MORTGAGE LOAN
ASSET-BACKED CERTIFICATES
SERIES 1998-2
PROSPECTUS SUPPLEMENT
MORGAN STANLEY DEAN WITTER
LEHMAN BROTHERS
PRUDENTIAL SECURITIES INCORPORATED
JUNE 11, 1998
3
