<PAGE> 1
===============================================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) February 23, 1999
Advanta Mortgage Loan Trust 1999-1
-----------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 33-52351-05 Application Pending
- ---------------------------- ----------- -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Attention: President
Welsh & McKean Roads
Spring House, Pennsylvania 19477
(Address of Principal ----------
Executive Offices) (Zip Code)
Registrant's telephone number, including area code (215) 657-4000
-------------------------------------------------------------
(Former name or former address, if changed since last report)
===============================================================================
<PAGE> 2
Item 5. Other Events
------------
In connection with the offering of Advanta Mortgage Loan Trust
1999-1 Mortgage Loan Asset-Backed Certificates, Series 1999-1, described in a
Preliminary Prospectus Supplement dated as of February 19, 1999, certain
"Computational Materials" within the meanings of the May 20, 1994 Kidder,
Peabody No-Action Letter and the February 17, 1995 Public Securities Association
No-Action Letter were furnished to certain prospective investors (the "Related
Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
---------
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Related Computational Materials (as defined in
Item 5 above).
<PAGE> 3
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ADVANTA MORTGAGE LOAN TRUST 1999-1
By: Advanta Mortgage Conduit Services,
Inc., as Sponsor
By: /s/ Michael Coco
----------------------
Name: Michael Coco
Title: Vice President
Dated: February 25, 1999
<PAGE> 4
EXHIBIT INDEX
-------------
EXHIBIT NO. DESCRIPTION PAGE NO.
- ----------- ----------- --------
99.1 Related Computational 5
Materials (as defined
in Item 5 above).
<PAGE> 1
$800,000,000
(APPROXIMATE)
ADVANTA MORTGAGE LOAN TRUST 1999-1
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-1
ADVANTA MORTGAGE CONDUIT SERVICES, INC.
SPONSOR
ADVANTA MORTGAGE CORP. USA
MASTER SERVICER
MBIA GUARANTY
$125,000,000 [ ]% CLASS A-1 CERTIFICATES
$82,000,000 [ ]% CLASS A-2 CERTIFICATES
$44,000,000 [ ]% CLASS A-3 CERTIFICATES
$83,000,000 [ ]% CLASS A-4 CERTIFICATES
$26,000,000 [ ]% CLASS A-5 CERTIFICATES
$40,000,000 [ ]% CLASS A-6 "NAS" CERTIFICATES
$400,000,000 FLOATING RATE CLASS A-7 CERTIFICATES
Computational Materials
Neither the Sponsor nor any of its affiliates make any representations as to the
accuracy or completeness of the information herein. The information herein is
preliminary, and will be superseded by the applicable Prospectus Supplement and
by any other information subsequently filed with the Securities and Exchange
Commission. The information herein addresses only certain aspects of the
applicable certificates' characteristics and thus does not provide a complete
assessment of the certificates. As such, the information may not reflect the
impact of all structural characteristics of the certificates. The assumptions
underlying the information, including structure and collateral, may be modified
from time to time to reflect changed circumstances. The attached term sheet is
not intended to be a Prospectus and any investment decision with respect to the
certificates should be made by you based solely upon all of the information
contained in the final Prospectus and Prospectus Supplement. Under no
circumstances shall the information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the certificates
in any jurisdiction in which such offer, solicitation or sale would be unlawful
prior to registration or qualification under the securities laws of such
jurisdiction. The certificates may not be sold nor may an offer to buy be
accepted prior to the delivery of a final Prospectus and Prospectus Supplement
relating to the certificates. All information described herein is preliminary,
limited in nature and subject to completion or amendment. No representation is
made that the above referenced certificates will actually perform as described
in any scenario presented. Neither the Sponsor nor the Master Servicer has
prepared, reviewed or participated in the preparation hereof, is not responsible
for the accuracy hereof and has not authorized its dissemination. A final
Prospectus and Prospectus Supplement may be obtained by contacting Salomon Smith
Barney's Syndicate Desk at (212) 723-6171.
<PAGE> 2
<TABLE>
<CAPTION>
- -------------------------------------- ------------------------------------------------------------------------------------
<S> <C>
CLASS A CERTIFICATES: $125,000,000 Class A-1 Certificates, Fixed Rate (Senior Sequential)
$82,000,000 Class A-2 Certificates, Fixed Rate (Senior Sequential)
$44,000,000 Class A-3 Certificates, Fixed Rate (Senior Sequential)
$83,000,000 Class A-4 Certificates, Fixed Rate (Senior Sequential)
$26,000,000 Class A-5 Certificates, Fixed Rate (Senior Sequential)
$40,000,000 Class A-6 "NAS" Certificates, Fixed Rate (Senior NAS)
$400,000,000 Class A-7 Certificates, Floating Rate
- -------------------------------------- ------------------------------------------------------------------------------------
TITLE OF SECURITIES: Advanta Mortgage Loan Trust 1999-1, Mortgage Loan Asset-Backed Certificates, Series
1999-1 (collectively, the "Certificates").
DESCRIPTION OF TRANSACTION: This MBIA-wrapped transaction has six fixed rate certificates (Classes A-1 to A-6)
and one floating rate certificate (Class A-7) and is supported by two groups of
mortgage loans. Classes A-1 to A-6 are primarily supported by cash flows from a
group of fixed rate first and junior lien mortgages. Class A-7 is primarily
supported by a group of adjustable rate first lien mortgages. Each class will also
have the benefit of limited cross-collateralization from the other group of
mortgage loans.
MORTGAGE LOANS: Both of the fixed and adjustable rate mortgage loans are secured by single-family
residences that may be detached, part of a two- to four-family dwelling, a
condominium unit or a unit in a planned unit development. The actual mortgage loans
in each group as of the closing date will represent approximately $350,000,000 in
each of the fixed rate group and ARM group. It is anticipated that at the end of
the pre-funding period, there will be approximately $400,000,000 in each of the
fixed rate group and ARM group. As of the Statistical Calculation Date, the
principal balance of the mortgage loans is expected to be $313,282,466 for the
fixed rate group and $349,979,204 for the ARM group.
TRUSTEE: Bankers Trust Company of California, N.A.
SPONSOR: Advanta Mortgage Conduit Services, Inc.
MASTER SERVICER: Advanta Mortgage Corp. USA
STATISTICAL CALCULATION DATE: Opening of business on February 1, 1999.
CUT-OFF DATE: Opening of business on March 1, 1999.
PRICING DATE(1): February 24/25, 1999.
CLOSING DATE(1): March [ ], 1999.
FORM OF CERTIFICATES: Book entry form, same day funds (through
DTC, Euroclear and Cedelbank).
PREPAYMENT PRICING
ASSUMPTION: 120% PPC (fixed rate group); 28% CPR (ARM group)
*100% PPC assumes 3% CPR for the first month then steps up 1.55% (17/11%) CPR each
month thereafter until it reaches 20% CPR in the twelfth month and remains at that
level thereafter during the life of the Mortgage Loans.
OPTIONAL REDEMPTION: 10% clean-up call.
</TABLE>
- -------------------------------------------------------------
(1) Subject to change.
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
1
<PAGE> 3
<TABLE>
<CAPTION>
<S> <C>
STEP-UP PAYMENT DATE: Payment Date following the calendar month in which a 10% clean-up call can be
exercised.
PAYMENT DATE: The 25th day of each month or, if such day is not a business day, the next
succeeding business day, beginning on April 26, 1999.
SERVICING FEE: 50 basis points per annum.
PRE-FUNDING ACCOUNT: The Trust may purchase additional mortgage loans on or before ___ 1999, subject to
certain conditions. At the closing, the Trustee will hold in trust, from the
proceeds of the sale of the Class A Certificates, approximately $50 million, which
may be applied to the purchase of additional mortgage loans for assignment to the
fixed rate group and approximately $50 million, which may be applied to the
purchase of additional mortgage loans for assignment to the ARM group. In addition,
the Sponsor will also be required to fund certain other accounts relating to the
payment of interest during the pre-funding period.
INTEREST ACCRUAL PERIOD: Interest will accrue on Classes A-1 through A-6 Certificates during the calendar
month preceding the Payment Date based on a 30/360 day count. Interest will accrue
on the Class A-7 Certificates from the preceding Payment Date (or from the Closing
Date in the case of the first Payment Date) through the day prior to the current
Payment Date based on an Actual/360 day count. Classes A-1 through A-6 Certificates
will settle with accrued interest from March 1, 1999. Class A-7 Certificates will
settle flat.
PASS-THROUGH RATES, AVAILABLE CLASS A-1 PASS-THROUGH RATE: ___% per annum
FUNDS CAPS, CLASS A-2 PASS-THROUGH RATE: ___% per annum
AND INTEREST STEP-UPS: CLASS A-3 PASS-THROUGH RATE: ___% per annum
CLASS A-4 PASS-THROUGH RATE: ___% per annum
CLASS A-6 PASS-THROUGH RATE: ___% per annum
CLASS A-5 PASS-THROUGH RATE: Classes A-5 is subject to a fixed rate group
available funds cap rate whereby the interest due from the Trust with respect to
Class A-5 Certificates may be limited to (x)(1) the interest the Trust accrues and
collects on the fixed rate mortgage loans minus (2) the sum of the Servicing Fee,
trustee fee and Certificate Insurer premiums divided by (y) the aggregate amount of
fixed rate mortgage loans.
The Class A-5 pass-through rate will be the lesser of (x) with respect to any
Payment Date which occurs on or prior to the Step-Up Payment Date, ___% per annum
and with respect to any Payment Date thereafter ___% + 0.75%, or (y) the fixed rate
group available funds cap rate for such Payment Date.
CLASS A-7 PASS-THROUGH RATE: Classes A-7 is subject to a ARM rate group available
funds cap rate whereby the interest due from the Trust with respect to Class A-7
Certificates may be limited to (x)(1) the interest the Trust accrues and collects
on the ARM rate mortgage loans minus (2) the sum of the Servicing Fee, trustee fee,
Certificate Insurer premiums and 0.50% per annum times the aggregate principal
balance of the ARM group mortgage loans divided by (y) the aggregate amount of ARM
rate mortgage loans.
The Class A-7 pass-through rate will be the lesser of (x) with respect to any
Payment Date which occurs on or prior to the Step-Up Payment Date, LIBOR + ___% per
annum and with respect to any Payment Date thereafter LIBOR + 2x the original
margin, or (y) the ARM group available funds cap rate for such payment date.
CLASS A-7 SUPPLEMENTAL INTEREST
AMOUNT: The Supplemental Interest Amount is the shortfall that exists between the Class
A-7 Certificate pass-through rate (ignoring the ARM available funds cap rate) and
the
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
2
<PAGE> 4
<TABLE>
<CAPTION>
<S> <C>
ARM available funds cap rate. To the extent that a Supplemental Interest Amount
exists and remains unpaid it will carry-forward, accruing interest at the Class A-7
Certificate pass-through rate, and be paid when possible. If an optional
termination is exercised any remaining Supplemental Interest Amount might not be
paid in full.
Any Supplemental Interest Amount is not guaranteed by MBIA and the
ratings do not address the likelihood of receiving any such amounts.
PRINCIPAL DISTRIBUTION: AMOUNTS DISTRIBUTABLE TO HOLDERS OF THE CERTIFICATES SHALL BE ALLOCATED ON EACH
PAYMENT DATE IN THE FOLLOWING ORDER OF PRIORITY:
FIXED RATE GROUP
1. Class A-6 (see below)
2. Classes A-1 through A-5 in sequential order
3. Class A-6
ARM GROUP
1. Class A-7
CLASS A-6 FIXED RATE NAS
CERTIFICATES: The Class A-6 Fixed Rate NAS Certificates will pay principal according to the
following schedule of each Certificates' pro rata share:
Months 0 - 36 (4/99 - 3/02) : 0.0%
Months 37 - 60 (4/02 - 3/04) : 45.0%
Months 61 - 72 (4/04 - 3/05) : 80.0%
Months 73 - 84 (4/05 - 3/06) : 100.0%
Months 85+ (4/06 +) : 300.0%
CERTIFICATE RATINGS: AAA by Standard & Poor's; Aaa by Moody's.
CERTIFICATE INSURER: MBIA Insurance Corporation ("MBIA"). MBIA's claims-paying ability is rated AAA/Aaa
by Standard and Poor's and Moody's. Timely interest and ultimate principal payments
on the Certificates will be 100% guaranteed by MBIA. Neither Supplemental Interest
Amount nor interest shortfalls due to the application of the Soldiers' and Sailors'
Civil Relief Act of 1940 are guaranteed by MBIA.
ERISA CONSIDERATIONS: Subject to certain considerations discussed in the prospectus supplement, the
Class A Certificates are ERISA eligible.
TAXATION: REMIC for federal income tax purposes.
LEGAL INVESTMENT: The Certificates will not be SMMEA eligible.
CREDIT ENHANCEMENT: 1) Excess interest to cover losses and distribution of principal in order to
create overcollateralization;
2) Subordination of distributions on the subordinated certificates to the
required distributions on the Class A Certificates;
3) Allocation of losses on the underlying mortgages to the subordinated
certificates; and
4) The MBIA guarantee.
PROSPECTUS: The Certificates are being offered pursuant to a Prospectus supplemented by a
Prospectus Supplement (together, the "Prospectus"). Complete information with
respect to the Certificates and the collateral securing them is contained in the
Prospectus. The information herein is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the foregoing is inconsistent with
the Prospectus, the Prospectus shall govern in all respects. Sales of the
Certificates may not be consummated unless the purchaser has received the
Prospectus.
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
3
<PAGE> 5
DISTRIBUTIONS OF PRINCIPAL AND INTEREST
AMOUNTS DISTRIBUTABLE TO HOLDERS OF THE CERTIFICATES SHALL BE ALLOCATED ON EACH
PAYMENT DATE IN THE FOLLOWING ORDER OF PRIORITY:
1. to pay certain fees, such as fees payable to the Master Servicer, the
Trustee and the Certificate Insurer;
2. to pay interest on the Class A Certificates;
3. to pay principal of the Class A Certificates in the priorities set forth in
the Prospectus;
4. to reimburse the Certificate Insurer;
5. to reimburse the Master Servicer for prior unreimbursed advances and/or
other expenses; and
6. to make a distribution to the owners of the subordinate certificates, which
will be used to pay the Supplemental Interest Amount, if any, subject to
certain limitations.
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
4
<PAGE> 6
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of the Statistical Calculation Date. Certain additions and deletions have been
made to the Mortgage Group, and further additions and deletions will be made
prior to the Closing Date. Any additions or deletions are not anticipated to
have a material impact on the information provided below. The information herein
will be superseded by the information regarding the collateral set forth in the
Prospectus.
Collateral Summary (Fixed Rate)
<TABLE>
-------------------------------------- ----------------------------------------
<S> <C>
Principal Amount (Statistical) $313,282,466.49
Average Loan Balance $63,314.97
Max Current Loan Size $576,850.09
Lien Status 89.69% 1st Lien
10.31% Junior Lien
Loan Type 74.83% Full Amortization Loans
25.17% Balloon Loans
Weighted Avg. LTV 75.28%
Weighted Avg. CLTV 81.11%
Mortgage Interest Rate Range 6.49% - 18.90%
Weighted Average Mortgage 10.39%
Interest Rate
Wtd. Ave. Rem. Mat. 255 months
Weighted Ave. Seasoning 2.3 months
Top State Concentrations 11.55% MI, 9.12% CA, 6.18% PA, 5.70%
OH, 5.31% FL
-------------------------------------- ----------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
5
<PAGE> 7
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
REMAINING PRINCIPAL BALANCES (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 5,000 2 $ 9,411.23 0.00%
5,001 - 10,000 28 268,566.42 0.09
10,001 - 15,000 252 3,449,804.68 1.10
15,001 - 20,000 351 6,285,155.03 2.01
20,001 - 25,000 342 7,749,051.96 2.47
25,001 - 30,000 308 8,609,441.74 2.75
30,001 - 35,000 290 9,504,093.91 3.03
35,001 - 40,000 300 11,301,543.28 3.61
40,001 - 45,000 282 12,053,896.68 3.85
45,001 - 50,000 300 14,338,044.99 4.58
50,001 - 55,000 304 15,967,312.05 5.10
55,001 - 60,000 260 15,007,042.53 4.79
60,001 - 65,000 218 13,637,853.90 4.35
65,001 - 70,000 197 13,327,653.61 4.25
70,001 - 75,000 158 11,446,381.01 3.65
75,001 - 80,000 163 12,669,577.53 4.04
80,001 - 85,000 125 10,332,373.03 3.30
85,001 - 90,000 115 10,075,529.63 3.22
90,001 - 95,000 107 9,905,043.19 3.16
95,001 - 100,000 95 9,303,229.30 2.97
100,001 - 150,000 460 55,440,327.16 17.71
150,001 - 200,000 156 26,627,790.87 8.50
200,001 - 250,000 64 14,496,147.90 4.63
250,001 - 300,000 45 12,232,870.65 3.90
300,001 - 350,000 18 5,808,933.40 1.85
350,001 - 400,000 3 1,096,998.01 0.35
400,001 - 450,000 3 1,285,960.96 0.41
450,001 - 500,000 1 475,581.75 0.15
550,001 - 576,850 1 576,850.09 0.18
- ---------------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
6
<PAGE> 8
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MORTGAGE RATES (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
6.001 - 7.000 3 $ 378,565.26 0.12%
7.001 - 8.000 88 8,628,397.79 2.75
8.001 - 9.000 625 58,373,899.59 18.63
9.001 - 10.000 987 83,417,841.26 26.64
10.001 - 11.000 1,063 73,305,705.38 23.40
11.001 - 12.000 811 44,937,197.91 14.34
12.001 - 13.000 766 27,720,614.86 8.85
13.001 - 14.000 332 9,690,528.13 3.09
14.001 - 15.000 167 4,213,653.59 1.35
15.001 - 16.000 60 1,452,616.15 0.46
16.001 - 17.000 34 915,463.90 0.29
17.001 - 18.000 9 207,314.46 0.07
18.001 - 18.900 3 40,668.21 0.01
- ---------------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
7
<PAGE> 9
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MONTHS REMAINING TO SCHEDULED MATURITY (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
37 - 48 4 $ 53,266.82 0.02%
49 - 60 27 477,237.94 0.15
61 - 72 11 286,482.51 0.09
73 - 84 33 1,131,643.63 0.36
85 - 96 15 336,830.77 0.11
97 - 108 11 298,263.32 0.10
109 - 120 240 7,491,368.51 2.39
121 - 132 4 123,689.66 0.04
133 - 144 26 989,966.24 0.32
145 - 156 6 329,339.23 0.11
157 - 168 14 1,279,040.42 0.41
169 - 180 2,298 125,915,096.43 40.18
181 - 192 4 235,689.39 0.08
193 - 204 4 285,226.66 0.09
205 - 216 3 191,685.00 0.06
217 - 228 20 1,131,354.61 0.36
229 - 240 810 50,237,304.41 16.04
253 - 264 1 67,642.16 0.02
265 - 276 2 431,719.12 0.14
277 - 288 1 82,250.00 0.03
289 - 300 26 2,082,583.72 0.66
301 - 312 1 475,581.75 0.15
325 - 336 4 376,388.92 0.12
337 - 348 19 1,875,639.80 0.60
349 - 360 1,364 117,097,175.47 37.37
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
8
<PAGE> 10
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
DISTRIBUTION OF OCCUPANCY STATUS (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Not Owner Occupied 420 $ 22,696,836.34 7.24%
Owner Occupied 4,528 290,585,630.15 92.76
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
DISTRIBUTION OF PROPERTY TYPE (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- -------------------------------------------------------------------------
<S> <C> <C> <C>
SF Detached/
Deminimus PUD 4,285 $ 273,332,252.28 87.26%
SF Row/
Townhouse/Condo 232 12,999,100.94 4.15
Two to Four Family Home 220 15,550,265.63 4.96
Prefabricated Single
Family 200 10,321,785.43 3.29
Other 11 1,079,062.21 0.34
- -------------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
LIEN POSITION (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
1st Lien Position 3,765 $280,981,529.08 89.69%
Junior Lien Position 1,183 32,300,937.41 10.31
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
9
<PAGE> 11
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
GEOGRAPHIC DISTRIBUTION (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 10 $472,791.62 0.15%
Alaska 1 169,998.22 0.05
Arizona 114 5,865,102.15 1.87
Arkansas 58 2,396,062.90 0.76
California 295 28,559,429.53 9.12
Colorado 70 4,878,536.53 1.56
Connecticut 39 2,475,392.33 0.79
Delaware 22 1,748,203.74 0.56
District of Columbia 8 659,020.35 0.21
Florida 303 16,626,179.59 5.31
Georgia 126 7,976,415.09 2.55
Hawaii 7 1,815,473.92 0.58
Idaho 27 1,313,052.10 0.42
Illinois 189 12,694,786.27 4.05
Indiana 175 9,455,721.35 3.02
Iowa 49 2,620,544.97 0.84
Kansas 87 4,947,261.97 1.58
Kentucky 60 3,631,048.70 1.16
Louisiana 59 3,334,192.00 1.06
Maine 20 760,153.73 0.24
Maryland 131 10,143,506.58 3.24
Massachusetts 81 4,219,865.15 1.35
Michigan 608 36,190,494.28 11.55
Minnesota 56 2,794,373.40 0.89
Mississippi 54 2,618,588.28 0.84
Missouri 186 9,912,331.22 3.16
Montana 12 965,514.78 0.31
Nebraska 32 2,000,679.81 0.64
Nevada 35 2,650,454.11 0.85
New Hampshire 20 1,009,404.44 0.32
New Jersey 124 9,923,945.84 3.17
New Mexico 28 1,404,622.04 0.45
New York 181 13,560,562.60 4.33
North Carolina 153 9,830,187.99 3.14
North Dakota 11 340,315.91 0.11
Ohio 284 17,863,345.70 5.70
Oklahoma 62 3,018,047.78 0.96
Oregon 43 3,972,479.94 1.27
Pennsylvania 354 19,356,365.69 6.18
Rhode Island 15 865,444.88 0.28
South Carolina 91 5,401,995.87 1.72
South Dakota 4 172,159.03 0.05
Tennessee 133 8,629,284.22 2.75
Texas 137 8,435,293.83 2.69
Utah 53 3,537,400.68 1.13
Vermont 17 1,251,083.94 0.40
Virginia 116 7,686,308.37 2.45
Washington 100 7,676,724.25 2.45
West Virginia 53 2,551,050.39 0.81
Wisconsin 48 2,688,840.75 0.86
Wyoming 7 212,427.68 0.07
- ------------------------------------------------------------------------
TOTALS 4,948 313,282,466.49 100.00
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
10
<PAGE> 12
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
COMBINED LOAN-TO-VALUE RATIOS (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
8.48 - 50.00 241 $ 9,263,662.11 2.96%
50.01 - 55.00 76 3,284,983.14 1.05
55.01 - 60.00 115 5,883,389.98 1.88
60.01 - 65.00 202 10,293,660.59 3.29
65.01 - 70.00 310 14,788,532.41 4.72
70.01 - 75.00 442 23,466,050.50 7.49
75.01 - 80.00 893 52,988,715.56 16.91
80.01 - 85.00 1,402 87,768,167.42 28.02
85.01 - 90.00 1,110 92,170,558.25 29.41
90.01 - 95.00 157 13,374,746.53 4.27
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
LOAN-TO-VALUE RATIOS (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
3.75 - 50.00 1,368 $ 39,388,120.05 12.57%
50.01 - 55.00 71 3,377,995.86 1.08
55.01 - 60.00 94 5,347,347.15 1.71
60.01 - 65.00 169 9,578,450.79 3.06
65.01 - 70.00 256 13,274,983.77 4.24
70.01 - 75.00 317 20,020,758.57 6.39
75.01 - 80.00 669 46,839,624.80 14.95
80.01 - 85.00 882 73,968,125.44 23.61
85.01 - 90.00 979 88,556,263.64 28.26
90.01 - 95.00 143 12,930,796.42 4.13
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
11
<PAGE> 13
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
JUNIOR LIEN RATIOS (FIXED RATE)(1)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
5.145 - 10.000 64 $ 1,235,695.40 3.83%
10.001 - 20.000 408 9,091,989.22 28.15
20.001 - 30.000 377 10,222,324.34 31.65
30.001 - 40.000 187 5,929,101.64 18.36
40.001 - 50.000 77 2,882,663.40 8.92
50.001 - 60.000 36 1,402,303.35 4.34
60.001 - 70.000 13 623,911.09 1.93
70.001 - 80.000 10 387,669.93 1.20
80.001 - 90.000 10 475,487.94 1.47
90.001 - 92.251 1 49,791.10 0.15
- ----------------------------------------------------------------------
TOTAL 1,183 32,300,937.41 100.00%
</TABLE>
SEASONING (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
0 - 6 4,800 $ 301,863,067.70 96.35%
7 - 12 116 8,908,416.55 2.84
13 - 24 17 1,661,750.71 0.53
25 - 36 1 97,600.19 0.03
49 - 60 1 475,581.75 0.15
73 - 84 5 124,140.53 0.04
85 - 96 2 50,379.07 0.02
97 - 108 1 37,728.57 0.01
109 - 120 2 29,769.60 0.01
121 - 132 1 16,359.20 0.01
133 - 144 2 17,672.62 0.01
- ----------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 100.00%
</TABLE>
PRODUCT TYPE (FIXED RATE)
<TABLE>
<CAPTION>
COUNT BALANCE WAC WAM ORIGTERM AMORTTERM
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Balloon 1,009 $ 78,861,634 10.57966 177 180 360
Fixed Non-Balloon 3,939 234,420,832 10.32474 281 283 283
- ---------------------------------------------------------------------------------------------------------
TOTAL 4,948 313,282,466.49 10.38891 255 257 303
</TABLE>
- -----------------------------------------------------
(1) Junior Liens only.
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
12
<PAGE> 14
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
<TABLE>
<CAPTION>
COLLATERAL SUMMARY (ARM)
- --------------------------------------- -----------------------------------------
<S> <C>
Principal Amount (Statistical) $349,979,204.48
Average Loan Balance $95,414.18
Max Current Loan Size $682,895.50
Lien Status 100% 1st Lien
Loan Type 100% Fully Amortizing Loans
Weighted Avg. LTV 79.47%
Weighted Avg. CLTV 79.47%
Mortgage Interest Rate Range 5.250% - 17.300%
Weighted Average Mortgage 10.02%
Interest Rate
Weighted Avg. Margin 6.17%
Weighted Avg. Lifetime Cap 16.90%
Weighted Avg. Lifetime Floor 9.05%
Wtd. Ave. Rem. Mat. 354 months
Weighted Ave. Seasoning 2.2 months
Top State Concentrations 14.45% MI, 13.62% CA, 8.14% IL, 6.48%
OH, 4.82% FL
- --------------------------------------- -----------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
13
<PAGE> 15
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
REMAINING PRINCIPAL BALANCES (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
5,001 - 10,000 1 $ 5,596.46 0.00%
10,001 - 15,000 8 106,996.60 0.03
15,001 - 20,000 30 560,782.25 0.16
20,001 - 25,000 59 1,368,141.35 0.39
25,001 - 30,000 103 2,870,358.51 0.82
30,001 - 35,000 146 4,787,301.37 1.37
35,001 - 40,000 140 5,316,743.60 1.52
40,001 - 45,000 165 7,086,919.59 2.02
45,001 - 50,000 210 10,020,044.45 2.86
50,001 - 55,000 205 10,804,702.87 3.09
55,001 - 60,000 203 11,684,732.87 3.34
60,001 - 65,000 207 12,991,187.90 3.71
65,001 - 70,000 197 13,299,046.38 3.80
70,001 - 75,000 159 11,567,153.19 3.31
75,001 - 80,000 164 12,780,033.89 3.65
80,001 - 85,000 136 11,282,898.20 3.22
85,001 - 90,000 132 11,598,285.49 3.31
90,001 - 95,000 90 8,351,841.38 2.39
95,001 - 100,000 127 12,449,820.83 3.56
100,001 - 150,000 676 82,140,707.71 23.47
150,001 - 200,000 228 39,107,741.85 11.17
200,001 - 250,000 117 26,098,889.97 7.46
250,001 - 300,000 84 22,679,631.53 6.48
300,001 - 350,000 43 13,780,647.02 3.94
350,001 - 400,000 16 6,060,505.95 1.73
400,001 - 450,000 5 2,134,358.94 0.61
450,001 - 500,000 7 3,368,638.38 0.96
500,001 - 550,000 4 2,119,742.64 0.61
550,001 - 600,000 5 2,872,857.81 0.82
650,001 - 682,896 1 682,895.50 0.20
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
14
<PAGE> 16
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MORTGAGE RATES (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
5.001 - 6.000 2 $ 268,351.85 0.08%
6.001 - 7.000 23 2,638,222.66 0.75
7.001 - 8.000 153 19,161,962.71 5.48
8.001 - 9.000 504 60,694,029.81 17.34
9.001 - 10.000 1,043 112,358,051.07 32.11
10.001 - 11.000 974 86,519,645.06 24.73
11.001 - 12.000 609 45,792,915.66 13.08
12.001 - 13.000 225 15,148,996.77 4.33
13.001 - 14.000 84 4,425,988.20 1.26
14.001 - 15.000 24 1,340,436.01 0.38
15.001 - 16.000 18 1,102,087.41 0.31
16.001 - 17.000 8 463,422.73 0.13
17.001 - 17.300 1 65,094.54 0.02
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
GROSS MARGIN (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
2.01 - 3.00 45 $ 5,617,536.19 1.61%
3.01 - 4.00 87 10,582,413.66 3.02
4.01 - 5.00 539 58,988,751.61 16.85
5.01 - 6.00 1,006 97,614,372.80 27.90
6.01 - 7.00 946 91,177,759.78 26.06
7.01 - 8.00 673 59,363,552.20 16.96
8.01 - 9.00 268 19,996,247.90 5.71
9.01 - 10.00 88 5,720,976.88 1.63
10.01 - 11.00 13 777,294.61 0.22
11.01 - 12.00 2 65,492.27 0.02
12.01 - 12.13 1 74,806.58 0.02
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
15
<PAGE> 17
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
NEXT MORTGAGE RATE ADJUSTMENT (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Feb-99 16 $ 2,250,091.75 0.64%
Mar-99 6 698,606.07 0.20
Apr-99 15 2,136,243.13 0.61
May-99 33 3,464,773.74 0.99
Jun-99 20 2,159,629.36 0.62
Jul-99 12 1,169,971.39 0.33
Aug-99 14 1,345,018.30 0.38
Sep-99 5 328,828.47 0.09
Oct-99 13 1,186,818.73 0.34
Nov-99 28 3,513,186.69 1.00
Dec-99 16 1,363,267.08 0.39
Jan-00 5 349,476.81 0.10
Feb-00 2 269,747.03 0.08
Mar-00 1 20,957.30 0.01
Apr-00 11 937,580.46 0.27
May-00 13 967,242.95 0.28
Jun-00 14 961,984.60 0.27
Jul-00 32 4,381,135.84 1.25
Aug-00 54 5,884,944.33 1.68
Sep-00 111 12,068,745.76 3.45
Oct-00 287 33,073,383.72 9.45
Nov-00 319 35,989,303.73 10.29
Dec-00 124 11,706,789.38 3.34
Jan-01 56 5,347,730.62 1.53
Feb-01 9 849,220.00 0.24
Apr-01 4 476,140.80 0.14
May-01 6 1,074,405.03 0.31
Jun-01 7 591,733.20 0.17
Jul-01 33 3,475,915.31 0.99
Aug-01 92 10,438,048.55 2.98
Sep-01 168 15,023,966.70 4.29
Oct-01 316 26,856,719.23 7.67
Nov-01 421 37,498,207.45 10.72
Dec-01 502 42,198,627.73 12.07
Jan-02 405 33,418,579.33 9.55
Feb-02 102 8,721,350.54 2.49
Jul-03 2 113,434.49 0.03
Aug-03 2 110,112.47 0.03
Sep-03 22 1,475,755.26 0.42
Oct-03 51 5,572,094.95 1.59
Nov-03 80 8,221,595.62 2.35
Dec-03 111 10,392,634.13 2.97
Jan-04 87 7,979,308.89 2.28
Feb-04 41 3,915,897.56 1.12
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
16
<PAGE> 18
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MONTHS REMAINING TO SCHEDULED MATURITY (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
49 - 60 2 $ 56,360.25 0.02%
73 - 84 1 10,244.68 0.00
109 - 120 6 200,967.56 0.06
133 - 144 2 98,865.94 0.03
157 - 168 1 123,693.44 0.04
169 - 180 58 2,707,062.80 0.77
181 - 192 2 120,104.78 0.03
205 - 216 1 28,994.36 0.01
217 - 228 5 177,204.82 0.05
229 - 240 99 6,245,614.05 1.78
253 - 264 2 134,252.99 0.04
265 - 276 1 68,000.00 0.02
289 - 300 7 631,913.31 0.18
313 - 324 1 55,250.00 0.02
337 - 348 5 267,646.15 0.08
349 - 360 3,475 339,053,029.35 96.87
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
DISTRIBUTION OF OCCUPANCY STATUS (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Not Owner Occupied 217 $ 14,691,417.00 4.20%
Owner Occupied 3,451 335,287,787.48 95.80
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
17
<PAGE> 19
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
DISTRIBUTION OF PROPERTY TYPE (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ------------------------------------------------------------------------
<S> <C> <C> <C>
SF Detached/
Deminimus PUD 3,216 $313,286,341.88 89.52%
SF Row/
Townhouse/Condo 153 11,763,758.43 3.36
Two to Four Family
Home 189 17,060,479.86 4.87
Prefabricated
Single Family 105 7,481,276.23 2.14
Other 5 387,348.08 0.11
- ------------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
LIEN PRIORITY (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ------------------------------------------------------------------------
<S> <C> <C> <C>
1ST Lien 3,668 $349,979,204.48 100.00%
- ------------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
18
<PAGE> 20
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
GEOGRAPHICAL DISTRIBUTION (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 3 $ 134,755.12 0.04%
Arizona 47 4,306,233.76 1.23
Arkansas 26 1,754,916.60 0.50
California 261 47,710,583.29 13.62
Colorado 97 11,185,512.58 3.20
Connecticut 20 2,050,284.18 0.59
Delaware 9 1,014,818.99 0.29
District of Columbia 2 177,567.21 0.05
Florida 181 16,864,066.34 4.82
Georgia 69 6,872,532.66 1.96
Hawaii 2 628,622.01 0.18
Idaho 40 3,657,181.30 1.04
Illinois 273 28,480,429.03 8.14
Indiana 141 8,879,984.41 2.54
Iowa 15 655,896.16 0.19
Kansas 25 1,559,586.72 0.45
Kentucky 33 2,552,299.32 0.73
Louisiana 24 1,667,222.25 0.48
Maine 8 450,042.31 0.13
Maryland 75 8,472,308.05 2.42
Massachusetts 57 7,647,496.12 2.19
Michigan 625 50,591,537.70 14.45
Minnesota 38 2,873,697.97 0.82
Mississippi 26 1,842,954.28 0.53
Missouri 70 3,786,391.70 1.08
Montana 10 728,723.14 0.21
Nebraska 7 536,899.03 0.15
Nevada 47 5,625,760.94 1.61
New Hampshire 12 925,267.59 0.26
New Jersey 85 10,784,083.17 3.08
New Mexico 26 2,027,610.46 0.58
New York 103 10,480,361.47 2.99
North Carolina 95 7,043,025.74 2.01
North Dakota 1 21,434.37 0.01
Ohio 334 22,696,078.85 6.48
Oklahoma 19 1,218,319.87 0.35
Oregon 61 7,292,295.25 2.08
Pennsylvania 168 13,177,740.70 3.77
Rhode Island 19 1,938,226.87 0.55
South Carolina 38 3,057,556.64 0.87
South Dakota 4 228,858.24 0.07
Tennessee 41 4,392,301.36 1.26
Texas 70 6,405,035.53 1.83
Utah 64 7,197,037.84 2.06
Vermont 7 577,008.78 0.16
Virginia 82 8,234,741.82 2.35
Washington 91 11,547,495.00 3.30
West Virginia 12 624,931.64 0.18
Wisconsin 98 6,893,137.21 1.97
Wyoming 7 508,352.91 0.15
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
19
<PAGE> 21
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
COMBINED LOAN-TO-VALUE RATIO (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
00.01 - 50.00 105 $ 4,763,316.44 1.36%
50.01 - 55.00 57 3,420,935.52 0.98
55.01 - 60.00 86 5,174,226.44 1.48
60.01 - 65.00 197 14,888,531.29 4.25
65.01 - 70.00 277 22,010,799.26 6.29
70.01 - 75.00 459 41,649,147.56 11.90
75.01 - 80.00 1,032 101,877,287.17 29.11
80.01 - 85.00 990 104,631,509.60 29.90
85.01 - 90.00 450 50,336,393.45 14.38
90.01 - 95.00 15 1,227,057.75 0.35
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
LOAN-TO-VALUE RATIO (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
00.01 - 50.00 105 $ 4,763,316.44 1.36%
50.01 - 55.00 57 3,420,935.52 0.98
55.01 - 60.00 86 5,174,226.44 1.48
60.01 - 65.00 197 14,888,531.29 4.25
65.01 - 70.00 277 22,010,799.26 6.29
70.01 - 75.00 459 41,649,147.56 11.90
75.01 - 80.00 1,032 101,877,287.17 29.11
80.01 - 85.00 990 104,631,509.60 29.90
85.01 - 90.00 450 50,336,393.45 14.38
90.01 - 95.00 15 1,227,057.75 0.35
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
20
<PAGE> 22
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
PRODUCT TYPE (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE WAC WAM ORIGTERM AMORTTERM
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 ML 98 $11,196,035.43 9.61 347 350 350
2 Yr Fixed 6 ML 1,012 $110,885,154.73 10.11 356 359 359
3 Yr Fixed 6 ML 2,041 $178,619,395.39 10.12 354 356 356
5 Yr Fixed 6 ML 393 $37,551,966.25 9.51 348 349 349
1 Yr CMT 84 $8,927,890.25 9.58 354 357 357
2 Yr Fixed 1 Yr CMT 20 $1,266,151.01 10.22 353 360 360
3 Yr Fixed 1 Yr CMT 17 $1,303,744.30 9.91 337 342 342
5 Yr Fixed 1 Yr CMT 3 $228,867.12 10.22 358 360 360
- --------------------------------------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 10.02 354 356 356
</TABLE>
BALLOON (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
Non-Balloon Loan 3,668 $349,979,204.48 100.00%
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
SEASONING (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
0 - 6 3,593 $ 343,359,038.20 98.11%
7 - 12 69 6,346,923.67 1.81
13 - 24 5 267,646.15 0.08
121 - 122 1 5,596.46 0.00
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
21
<PAGE> 23
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MINIMUM MORTGAGE RATES (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
2.500 - 2.999 2 $ 187,552.29 0.05%
4.000 - 4.499 26 2,902,522.54 0.83
4.500 - 4.999 68 7,451,237.65 2.13
5.000 - 5.499 122 13,026,380.33 3.72
5.500 - 5.999 245 20,911,276.03 5.98
6.000 - 6.499 48 4,158,108.52 1.19
6.500 - 6.999 126 10,855,229.78 3.10
7.000 - 7.499 54 5,378,268.14 1.54
7.500 - 7.999 351 39,375,003.20 11.24
8.000 - 8.499 137 16,818,742.09 4.81
8.500 - 8.999 277 30,668,193.56 8.76
9.000 - 9.499 264 28,799,696.25 8.23
9.500 - 9.999 523 56,092,311.59 16.02
10.000 - 10.499 288 26,717,768.71 7.63
10.500 - 10.999 444 36,882,247.18 10.53
11.000 - 11.499 259 19,620,513.82 5.61
11.500 - 11.999 195 15,187,447.83 4.34
12.000 - 12.499 91 6,498,138.99 1.86
12.500 - 12.999 52 3,018,659.98 0.86
13.000 - 13.499 41 2,189,189.90 0.63
13.500 - 13.999 29 1,664,827.41 0.48
14.000 - 14.499 7 343,034.85 0.10
14.500 - 14.999 9 590,495.66 0.17
15.000 - 15.499 5 267,819.00 0.08
15.500 - 15.999 3 232,055.80 0.07
16.500 - 16.900 2 142,483.38 0.04
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
22
<PAGE> 24
PRELIMINARY MORTGAGE GROUPS
The information herein regarding the collateral represents the Mortgage Group as
of Statistical Calculation Date. Certain additions and deletions have been made
to the Mortgage Group, and further additions and deletions will be made prior to
the Closing Date. Any additions or deletions are not anticipated to have a
material impact on the information provided below. The information herein will
be superseded by the information regarding the collateral set forth in the
Prospectus.
MAXIMUM MORTGAGE RATES (ARM)
<TABLE>
<CAPTION>
COUNT BALANCE % BY BALANCE
- ----------------------------------------------------------------------
<S> <C> <C> <C>
12.000 - 12.499 1 $ 213,159.54 0.06%
12.500 - 12.999 3 248,549.77 0.07
13.000 - 13.499 4 518,626.97 0.15
13.500 - 13.999 27 3,609,751.14 1.03
14.000 - 14.499 42 5,902,014.20 1.69
14.500 - 14.999 151 20,362,478.75 5.82
15.000 - 15.499 175 22,157,050.61 6.33
15.500 - 15.999 392 43,777,665.16 12.51
16.000 - 16.499 413 44,168,590.54 12.62
16.500 - 16.999 619 65,214,250.20 18.63
17.000 - 17.499 382 35,163,332.08 10.05
17.500 - 17.999 521 43,113,317.78 12.32
18.000 - 18.499 329 25,145,159.21 7.18
18.500 - 18.999 267 19,094,284.71 5.46
19.000 - 19.499 138 9,641,194.71 2.75
19.500 - 19.999 73 4,555,898.86 1.30
20.000 - 20.499 59 3,082,668.39 0.88
20.500 - 20.999 17 749,360.89 0.21
21.000 - 21.499 18 1,060,143.51 0.30
21.500 - 21.999 10 536,841.27 0.15
22.000 - 22.499 10 635,164.99 0.18
22.500 - 22.999 6 303,779.35 0.09
23.000 - 23.499 5 266,860.52 0.08
23.500 - 23.999 4 264,470.46 0.08
24.000 - 24.499 1 65,094.54 0.02
25.000 - 28.115 1 129,496.33 0.04
- ----------------------------------------------------------------------
TOTAL 3,668 349,979,204.48 100.00%
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
23
<PAGE> 25
WEIGHTED AVERAGE LIFE SENSITIVITY TABLES
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
CALL
I II III IV V VI VII
0%PPC 50%PPC 100%PPC 120%PPC 150%PPC 200%PPC 250%PPC
0%CPR 10%CPR 20%CPR 28%CPR 35%CPR 45%CPR 55%CPR
<S> <C> <C> <C> <C> <C> <C> <C>
A-1
WAL 6.75 1.46 0.92 0.82 0.72 0.61 0.53
WINDOW 1-161 1-35 1-20 1-17 1-14 1-12 1-10
EXP FINAL 08/2012 02/2002 11/2000 08/2000 05/2000 03/2000 01/2000
A-2
WAL 14.63 4.33 2.35 2.00 1.65 1.30 1.09
WINDOW 161-180 35-70 20-36 17-31 14-25 12-19 10-15
EXP FINAL 03/2014 01/2005 03/2002 10/2001 04/2001 10/2000 06/2000
A-3
WAL 16.56 7.24 3.64 3.03 2.43 1.83 1.48
WINDOW 180-223 70-107 36-51 31-42 25-33 19-24 15-19
EXP FINAL 10/2017 02/2008 06/2003 09/2002 12/2001 03/2001 10/2000
A-4
WAL 23.55 12.59 6.52 5.12 3.91 2.76 2.09
WINDOW 223-335 107-192 51-118 42-90 33-68 24-46 19-33
EXP FINAL 02/2027 03/2015 01/2009 09/2006 11/2004 01/2003 12/2001
A-5
WAL 28.19 16.67 9.88 7.54 5.95 4.26 3.12
WINDOW 335-338 192-200 118-118 90-90 68-71 46-52 33-39
EXP FINAL 05/2027 11/2015 01/2009 09/2006 02/2005 07/2003 06/2002
A-6-NAS
WAL 11.70 8.11 6.77 6.22 5.33 4.20 3.29
WINDOW 37-338 37-200 37-118 37-90 37-71 37-52 37-39
EXP FINAL 05/2027 11/2015 01/2009 09/2006 02/2005 07/2003 06/2002
A-7
WAL 19.82 6.78 3.61 2.58 2.01 1.46 1.11
WINDOW 1-338 1-200 1-118 1-90 1-71 1-52 1-39
EXP FINAL 05/2027 11/2015 01/2009 09/2006 02/2005 07/2003 06/2002
- ----------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
24
<PAGE> 26
WEIGHTED AVERAGE LIFE SENSITIVITY TABLES
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
MATURITY
I II III IV V VI VII
0%PPC 50%PPC 100%PPC 120%PPC 150%PPC 200%PPC 250%PPC
0%CPR 10%CPR 20%CPR 28%CPR 35%CPR 45%CPR 55%CPR
<S> <C> <C> <C> <C> <C> <C> <C>
A-1
WAL 6.75 1.46 0.92 0.82 0.72 0.61 0.53
WINDOW 1-161 1-35 1-20 1-17 1-14 1-12 1-10
EXP FINAL 08/2012 02/2002 11/2000 08/2000 05/2000 03/2000 01/2000
A-2
WAL 14.63 4.33 2.35 2.00 1.65 1.30 1.09
WINDOW 161-180 35-70 20-36 17-31 14-25 12-19 10-15
EXP FINAL 03/2014 01/2005 03/2002 10/2001 04/2001 10/2000 06/2000
A-3
WAL 16.56 7.24 3.64 3.03 2.43 1.83 1.48
WINDOW 180-223 70-107 36-51 31-42 25-33 19-24 15-19
EXP FINAL 10/2017 02/2008 06/2003 09/2002 12/2001 03/2001 10/2000
A-4
WAL 23.55 12.59 6.56 5.18 3.91 2.76 2.09
WINDOW 223-335 107-192 51-130 42-106 33-68 24-46 19-33
EXP FINAL 02/2027 03/2015 01/2010 01/2008 11/2004 01/2003 12/2001
A-5
WAL 28.89 20.12 13.50 11.59 8.65 4.81 3.23
WINDOW 335-356 192-329 130-223 106-192 68-167 46-123 33-46
EXP FINAL 11/2028 08/2026 10/2017 03/2015 02/2013 06/2009 01/2003
A-6-NAS
WAL 11.70 8.11 6.84 6.52 6.16 5.70 4.70
WINDOW 37-355 37-326 37-177 37-177 37-165 37-121 37-93
EXP FINAL 10/2028 05/2026 12/2013 12/2013 12/2012 04/2009 12/2006
A-7
WAL 19.90 7.37 3.94 2.76 2.13 1.55 1.16
WINDOW 1-355 1-343 1-259 1-187 1-145 1-106 1-80
EXP FINAL 10/2028 10/2027 10/2020 10/2014 04/2011 01/2008 11/2005
- ----------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of these
materials. If you did not receive such a disclaimer please contact your Salomon
Smith Barney Financial Advisor immediately.
25
