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Previous: CORBETT LAKE MINERALS INC, 10SB12G/A, 2000-05-18 |
Next: ADVANTA CONDUIT RECEIVABLES INC, 8-K, 2000-05-18 |
<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) May 16, 2000
Advanta Conduit Receivables, Inc., as Sponsor
on behalf of Advanta Mortgage Loan Trust 2000-1
(Exact name of registrant as specified in its charter)
<TABLE>
<CAPTION>
<S> <C> <C>
Nevada 333-92669 88-0360305
(State or Other Jurisdiction of (Commission File Number) (I.R.S. Employer Identification
Incorporation) No.)
</TABLE>
Advanta Conduit Receivables, Inc.
(Exact name of registrant as specified in its charter)
<TABLE>
<CAPTION>
<S> <C> <C>
Nevada 333-92669 88-0360305
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
Attention: General Counsel
10790 Rancho Bernardo Road
San Diego, California 92127
(Address of principal executive (Zip Code)
offices)
</TABLE>
Registrant's Telephone Number,
including area code: (858) 676-3099
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
In connection with the offering of the Advanta Mortgage Loan Trust,
2000-1, Advanta Mortgage Loan Asset Backed Certificates, Series 2000-1 described
in a Prospectus Supplement related to the offered certificates, 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) Exhibits
<TABLE>
<CAPTION>
Exhibit No. Description
----------- -----------
<S> <C>
99.1. Related Computational Materials
(as defined in Item 5 above).
</TABLE>
2
<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 2000-1
By: Advanta Conduit Receivables, Inc.
By: /s/ Michael Coco
----------------------------------------
Name: Michael Coco
Title: Vice President
By: Advanta Conduit Receivables, Inc
By: /s/ Michael Coco
----------------------------------------
Name: Michael Coco
Title: Vice President
Dated: May 18, 2000
3
<PAGE> 4
EXHIBIT INDEX
<TABLE>
Exhibit No. Description
- ----------- -----------
<S> <C>
99.1. Related Computational Materials
(as defined in Item 5 above).
</TABLE>
4
<PAGE> 1
EXHIBIT 99.1
5
<PAGE> 2
MORGAN STANLEY DEAN WITTER [MSDW LOGO] May 16, 2000
Asset Finance Group
ABS/MBS Capital Markets
Computational Materials
$400,000,000
ADVANTA MORTGAGE LOAN TRUST 2000-1
Mortgage Loan Asset-Backed Certificates
Series 2000-1
<PAGE> 3
MORGAN STANLEY DEAN WITTER [MSDW LOGO] May 16, 2000
Asset Finance Group
ABS/MBS Capital Markets
$400,000,000 Advanta Mortgage Loan Trust 2000-1
Advanta Mortgage Corp. USA -- Master Servicer
Transaction Highlights
<TABLE>
<CAPTION>
Expected Modified Payment
Ratings Avg Life Duration Window
(S&P/ To Call / To Call / To Call /
Class Description Moody's) Balance Mty(1)(2) Mty(1)(2) Mty(1)(2) Day Count Benchmark
- ----- ----------- -------- ------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 FRM Floater SEQ AAA/Aaa $107,764,000 0.81 / 0.81 N/A 18 / 18 Actual/360
A-2 FRM Fixed SEQ AAA/Aaa 57,801,000 2.00 / 2.00 1.78 / 1.78 13 / 13 30/360
A-3 FRM Fixed SEQ AAA/Aaa 40,179,000 3.01 / 3.01 2.58 / 2.58 14 / 14 30/360
A-4 FRM Fixed SEQ AAA/Aaa 62,429,000 5.01 / 5.01 3.95 / 3.95 51 / 55 30/360
A-5 FRM Fixed SEQ AAA/Aaa 24,327,000 7.75 / 10.97 5.49 / 6.85 1 / 103 30/360
A-6 FRM NAS Class AAA/Aaa 32,500,000 6.23 / 6.44 4.69 / 4.80 57 / 161 30/360
A-7 ARM Floater AAA/Aaa 75,000,000 2.66 / 2.82 N/A 93 / 187 Actual/360
</TABLE>
Notes: (1) Both the Fixed Rate and ARM certificates are priced to the 10%
optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
<TABLE>
<S> <C>
Issuer: Advanta Mortgage Loan Trust 2000-1
Sponsor: Advanta Conduit Receivables, Inc.
Master Servicer: Advanta Mortgage Corp. USA
Trustee: Bankers Trust Company of California, N.A.
Managers: MORGAN STANLEY DEAN WITTER (lead manager); Bear
Stearns and Salomon Smith Barney (co-managers -
Fixed Rate Certificates), Prudential Securities
(co-manager - ARM Certificates)
Expected Pricing Date: May [18], 2000
Expected Settlement Date: May [24], 2000
through DTC, Euroclear, and Clearstream
Settles with accrued interest on the Fixed Rate
certificates and settles without accrued interest on
the ARM certificates
</TABLE>
2
<PAGE> 4
Transaction Highlights (cont'd)
<TABLE>
<S> <C>
Distribution Dates: The 25(th) of each month, or if such day is not a
business day, on the next business day, beginning
June 26, 2000
Mortgage Loans: The Trust will consist of two groups of sub-prime
residential mortgage loans:
- The "Fixed Rate Group" loans are fixed-rate,
one- to four-family home equity mortgage
loans, which will support the Class A-1
through Class A-6 certificates
- The "ARM Group" loans are adjustable-rate,
one- to four-family home equity mortgage
loans, which will support the Class A-7
certificates
Pricing Prepayment Speed: - Fixed Rate Certificates: The fixed rate
certificates assume 120% PPC which equates to
a ramped CPR starting at 3.6% CPR in the
first month increasing to 24% CPR over 12
months, and remaining at 24% CPR thereafter
on a seasoning adjusted basis
- ARM Certificates: 28% CPR
Credit Enhancement: Each of the Fixed Rate Certificates and ARM
Certificates are credit enhanced by excess spread
from the mortgage loans, cross-collateralization of
the cash flows of the two groups of mortgage loans,
overcollateralization and a certificate insurance
policy from Ambac Assurance Corporation.
Class A-6 NAS Certificates: The Class A-6 NAS class pays according to the
following schedule (of its pro-rata share):
June 2000 - May 2003: 0% June 2006 - May 2007: 100%
June 2003 - May 2005: 45% June 2007 and thereafter: 300%
June 2005 - May 2006: 80%
Optional Clean-up Call: When the principal balance of the mortgage loans
(aggregate of Fixed Rate Group and ARM Group) is
less than or equal to 10% of the aggregate original
certificate principal balance of the Class A
certificates.
Step-up Coupons: The coupon on the Class A-4, A-5, A-6 and A-7 will
increase after the clean-up call date should the
call not be exercised.
Available Funds Caps: The A-1, A-5, A-6 and A-7 will be subject to an
available funds cap. Supplemental interest will be
payable on the Class A-7 Certificates. Supplemental
interest is not covered by the certificate insurance
policy. The ratings do not address the likelihood of
the payment of supplemental interest.
Trust Tax Status: REMIC
ERISA Eligibility: The Certificates are expected to be ERISA eligible.
SMMEA Eligibility: None of the Certificates are SMMEA eligible.
</TABLE>
3
<PAGE> 5
Average Life Sensitivity Tables (Priced to Call)
Fixed Rate and ARM Groups
<TABLE>
<CAPTION>
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
Class A-1
Average Life 6.91 1.57 0.93 0.81 0.69 0.55 0.47
First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000
Last Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001
Payment Window 155 39 21 18 15 12 10
Class A-2
Average Life 14.85 4.42 2.37 2.00 1.62 1.24 1.01
Mod Duration 8.37 3.58 2.08 1.78 1.47 1.14 0.94
First Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001
Last Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001
Payment Window 50 31 16 13 10 7 6
Class A-3
Average Life 18.42 7.20 3.63 3.01 2.39 1.78 1.41
Mod Duration 9.28 5.26 3.03 2.58 2.10 1.60 1.29
First Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001
Last Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001
Payment Window 35 41 17 14 11 8 5
Class A-4
Average Life 24.27 12.39 6.35 5.01 3.82 2.68 2.02
Mod Duration 10.25 7.50 4.73 3.95 3.16 2.32 1.80
First Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001
Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 9/25/2005 12/25/2003 1/25/2003
Payment Window 93 85 63 51 31 19 14
Class A-5
Average Life 27.50 16.09 9.50 7.75 6.03 4.21 3.05
Mod Duration 10.37 8.52 6.31 5.49 4.56 3.42 2.59
First Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 9/25/2005 12/25/2003 1/25/2003
Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003
Payment Window 1 1 1 1 11 12 10
</TABLE>
4
<PAGE> 6
Average Life Sensitivity Tables (Priced to Call)
Fixed Rate and ARM Groups (continued)
<TABLE>
<CAPTION>
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
Class A-6
Average Life 11.74 7.99 6.69 6.23 5.42 4.28 3.40
Mod Duration 7.14 5.59 4.94 4.69 4.23 3.50 2.88
First Prin 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003
Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003
Payment Window 294 157 78 57 38 18 5
Class A-7
Average Life 20.39 6.98 3.68 2.66 2.06 1.50 1.13
First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000
Last Prin 11/25/2027 6/25/2016 11/25/2009 2/25/2008 7/25/2006 11/25/2004 10/25/2003
Payment Window 330 193 114 93 74 54 41
</TABLE>
5
<PAGE> 7
Average Life Sensitivity Tables (Priced to Maturity)
Fixed Rate and ARM Groups
<TABLE>
<CAPTION>
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
PPC % 0 50 100 120 155 200 250
CPR % 0 10 20 28 35 45 55
Class A-1
Average Life 6.91 1.57 0.93 0.81 0.69 0.55 0.47
First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000
Last Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001
Payment Window 155 39 21 18 15 12 10
Class A-2
Average Life 14.85 4.42 2.37 2.00 1.62 1.24 1.01
Mod Duration 8.37 3.58 2.08 1.78 1.47 1.14 0.94
First Prin 4/25/2013 8/25/2003 2/25/2002 11/25/2001 8/25/2001 5/25/2001 3/25/2001
Last Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001
Payment Window 50 31 16 13 10 7 6
Class A-3
Average Life 18.42 7.20 3.63 3.01 2.39 1.78 1.41
Mod Duration 9.28 5.26 3.03 2.58 2.10 1.60 1.29
First Prin 5/25/2017 2/25/2006 5/25/2003 11/25/2002 5/25/2002 11/25/2001 8/25/2001
Last Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001
Payment Window 35 41 17 14 11 8 5
Class A-4
Average Life 24.27 12.40 6.36 5.01 3.82 2.68 2.02
Mod Duration 10.25 7.50 4.74 3.95 3.16 2.32 1.80
First Prin 3/25/2020 6/25/2009 9/25/2004 12/25/2003 3/25/2003 6/25/2002 12/25/2001
Last Prin 2/25/2028 11/25/2016 6/25/2010 6/25/2008 9/25/2005 12/25/2003 1/25/2003
Payment Window 96 90 70 55 31 19 14
Class A-5
Average Life 28.66 20.15 12.95 10.97 8.06 4.53 3.08
Mod Duration 10.48 9.34 7.56 6.85 5.54 3.61 2.61
First Prin 2/25/2028 11/25/2016 6/25/2010 6/25/2008 9/25/2005 12/25/2003 1/25/2003
Last Prin 12/25/2029 11/25/2027 5/25/2019 12/25/2016 1/25/2014 6/25/2010 2/25/2004
Payment Window 23 133 108 103 101 79 14
</TABLE>
6
<PAGE> 8
Average Life Sensitivity Tables (Priced to Maturity)
Fixed Rate and ARM Groups (continued)
<TABLE>
<CAPTION>
Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
Class A-6
Average Life 11.74 8.00 6.76 6.44 6.08 5.62 4.59
Mod Duration 7.14 5.59 4.97 4.80 4.59 4.32 3.68
First Prin 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003 6/25/2003
Last Prin 10/25/2029 8/25/2027 2/25/2019 10/25/2016 11/25/2013 4/25/2010 1/25/2008
Payment Window 317 291 189 161 126 83 56
Class A-7
Average Life 20.49 7.66 4.06 2.82 2.18 1.58 1.19
First Prin 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000 6/25/2000
Last Prin 7/25/2029 5/25/2028 11/25/2021 12/25/2015 6/25/2012 3/25/2009 1/25/2007
Payment Window 350 336 258 187 145 106 80
</TABLE>
7
<PAGE> 9
To 10% Call
Percentage of Initial Class A-1 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/24/2000 100 100 100 100 100 100 100
5/25/2001 89 66 42 32 18 0 0
5/25/2002 84 33 0 0 0 0 0
5/25/2003 78 5 0 0 0 0 0
5/25/2004 72 0 0 0 0 0 0
5/25/2005 65 0 0 0 0 0 0
5/25/2006 58 0 0 0 0 0 0
5/25/2007 51 0 0 0 0 0 0
5/25/2008 44 0 0 0 0 0 0
5/25/2009 36 0 0 0 0 0 0
5/25/2010 29 0 0 0 0 0 0
5/25/2011 20 0 0 0 0 0 0
5/25/2012 10 0 0 0 0 0 0
5/25/2013 0 0 0 0 0 0 0
5/25/2014 0 0 0 0 0 0 0
5/25/2015 0 0 0 0 0 0 0
5/25/2016 0 0 0 0 0 0 0
5/25/2017 0 0 0 0 0 0 0
5/25/2018 0 0 0 0 0 0 0
5/25/2019 0 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
8
<PAGE> 10
To 10% Call
Percentage of Initial Class A-2 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 87 42
5/25/2002 100 100 76 45 0 0 0
5/25/2003 100 100 0 0 0 0 0
5/25/2004 100 64 0 0 0 0 0
5/25/2005 100 24 0 0 0 0 0
5/25/2006 100 0 0 0 0 0 0
5/25/2007 100 0 0 0 0 0 0
5/25/2008 100 0 0 0 0 0 0
5/25/2009 100 0 0 0 0 0 0
5/25/2010 100 0 0 0 0 0 0
5/25/2011 100 0 0 0 0 0 0
5/25/2012 100 0 0 0 0 0 0
5/25/2013 97 0 0 0 0 0 0
5/25/2014 73 0 0 0 0 0 0
5/25/2015 39 0 0 0 0 0 0
5/25/2016 20 0 0 0 0 0 0
5/25/2017 0 0 0 0 0 0 0
5/25/2018 0 0 0 0 0 0 0
5/25/2019 0 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
9
<PAGE> 11
To 10% Call
Percentage of Initial Class A-3 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 99 1 0
5/25/2003 100 100 96 44 0 0 0
5/25/2004 100 100 19 0 0 0 0
5/25/2005 100 100 0 0 0 0 0
5/25/2006 100 88 0 0 0 0 0
5/25/2007 100 48 0 0 0 0 0
5/25/2008 100 25 0 0 0 0 0
5/25/2009 100 0 0 0 0 0 0
5/25/2010 100 0 0 0 0 0 0
5/25/2011 100 0 0 0 0 0 0
5/25/2012 100 0 0 0 0 0 0
5/25/2013 100 0 0 0 0 0 0
5/25/2014 100 0 0 0 0 0 0
5/25/2015 100 0 0 0 0 0 0
5/25/2016 100 0 0 0 0 0 0
5/25/2017 99 0 0 0 0 0 0
5/25/2018 65 0 0 0 0 0 0
5/25/2019 27 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
10
<PAGE> 12
To 10% Call
Percentage of Initial Class A-4 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 45
5/25/2003 100 100 100 100 84 23 0
5/25/2004 100 100 100 78 37 0 0
5/25/2005 100 100 73 42 6 0 0
5/25/2006 100 100 47 19 0 0 0
5/25/2007 100 100 27 4 0 0 0
5/25/2008 100 100 21 0 0 0 0
5/25/2009 100 100 10 0 0 0 0
5/25/2010 100 84 0 0 0 0 0
5/25/2011 100 68 0 0 0 0 0
5/25/2012 100 53 0 0 0 0 0
5/25/2013 100 39 0 0 0 0 0
5/25/2014 100 26 0 0 0 0 0
5/25/2015 100 13 0 0 0 0 0
5/25/2016 100 4 0 0 0 0 0
5/25/2017 100 0 0 0 0 0 0
5/25/2018 100 0 0 0 0 0 0
5/25/2019 100 0 0 0 0 0 0
5/25/2020 98 0 0 0 0 0 0
5/25/2021 89 0 0 0 0 0 0
5/25/2022 79 0 0 0 0 0 0
5/25/2023 68 0 0 0 0 0 0
5/25/2024 56 0 0 0 0 0 0
5/25/2025 43 0 0 0 0 0 0
5/25/2026 28 0 0 0 0 0 0
5/25/2027 12 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
11
<PAGE> 13
To 10% Call
Percentage of Initial Class A-5 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 100
5/25/2003 100 100 100 100 100 100 45
5/25/2004 100 100 100 100 100 67 0
5/25/2005 100 100 100 100 100 0 0
5/25/2006 100 100 100 100 72 0 0
5/25/2007 100 100 100 100 0 0 0
5/25/2008 100 100 100 0 0 0 0
5/25/2009 100 100 100 0 0 0 0
5/25/2010 100 100 0 0 0 0 0
5/25/2011 100 100 0 0 0 0 0
5/25/2012 100 100 0 0 0 0 0
5/25/2013 100 100 0 0 0 0 0
5/25/2014 100 100 0 0 0 0 0
5/25/2015 100 100 0 0 0 0 0
5/25/2016 100 100 0 0 0 0 0
5/25/2017 100 0 0 0 0 0 0
5/25/2018 100 0 0 0 0 0 0
5/25/2019 100 0 0 0 0 0 0
5/25/2020 100 0 0 0 0 0 0
5/25/2021 100 0 0 0 0 0 0
5/25/2022 100 0 0 0 0 0 0
5/25/2023 100 0 0 0 0 0 0
5/25/2024 100 0 0 0 0 0 0
5/25/2025 100 0 0 0 0 0 0
5/25/2026 100 0 0 0 0 0 0
5/25/2027 100 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
12
<PAGE> 14
To 10% Call
Percentage of Initial Class A-6 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 100
5/25/2003 100 100 100 100 100 100 100
5/25/2004 99 94 90 88 84 79 0
5/25/2005 98 89 80 77 71 0 0
5/25/2006 96 79 66 60 52 0 0
5/25/2007 92 69 51 44 0 0 0
5/25/2008 82 45 23 0 0 0 0
5/25/2009 71 28 10 0 0 0 0
5/25/2010 62 18 0 0 0 0 0
5/25/2011 53 11 0 0 0 0 0
5/25/2012 43 7 0 0 0 0 0
5/25/2013 35 4 0 0 0 0 0
5/25/2014 26 2 0 0 0 0 0
5/25/2015 17 1 0 0 0 0 0
5/25/2016 14 1 0 0 0 0 0
5/25/2017 10 0 0 0 0 0 0
5/25/2018 7 0 0 0 0 0 0
5/25/2019 4 0 0 0 0 0 0
5/25/2020 3 0 0 0 0 0 0
5/25/2021 2 0 0 0 0 0 0
5/25/2022 2 0 0 0 0 0 0
5/25/2023 1 0 0 0 0 0 0
5/25/2024 1 0 0 0 0 0 0
5/25/2025 1 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
13
<PAGE> 15
To 10% Call
Percentage of Initial Class A-7 Certificate Principal Balance Outstanding
<TABLE>
<CAPTION>
Dates Scenario 1 Scenario 2 Scenario 3 Scenario 4 Scenario 5 Scenario 6 Scenario 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/24/2000 100 100 100 100 100 100 100
5/25/2001 97 87 77 69 62 52 42
5/25/2002 96 77 60 47 38 26 16
5/25/2003 95 68 46 34 25 15 8
5/25/2004 94 60 37 24 16 8 0
5/25/2005 94 53 29 17 10 0 0
5/25/2006 93 47 23 12 7 0 0
5/25/2007 92 42 18 9 0 0 0
5/25/2008 91 37 15 0 0 0 0
5/25/2009 90 33 12 0 0 0 0
5/25/2010 89 29 0 0 0 0 0
5/25/2011 87 26 0 0 0 0 0
5/25/2012 86 23 0 0 0 0 0
5/25/2013 84 20 0 0 0 0 0
5/25/2014 82 18 0 0 0 0 0
5/25/2015 80 16 0 0 0 0 0
5/25/2016 77 14 0 0 0 0 0
5/25/2017 75 0 0 0 0 0 0
5/25/2018 71 0 0 0 0 0 0
5/25/2019 68 0 0 0 0 0 0
5/25/2020 64 0 0 0 0 0 0
5/25/2021 59 0 0 0 0 0 0
5/25/2022 54 0 0 0 0 0 0
5/25/2023 48 0 0 0 0 0 0
5/25/2024 42 0 0 0 0 0 0
5/25/2025 35 0 0 0 0 0 0
5/25/2026 27 0 0 0 0 0 0
5/25/2027 18 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
14
<PAGE> 16
TO MATURITY
- -----------
PERCENTAGE OF INITIAL CLASS A-1 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/24/2000 100 100 100 100 100 100 100
5/25/2001 89 66 42 32 18 0 0
5/25/2002 84 33 0 0 0 0 0
5/25/2003 78 5 0 0 0 0 0
5/25/2004 72 0 0 0 0 0 0
5/25/2005 65 0 0 0 0 0 0
5/25/2006 58 0 0 0 0 0 0
5/25/2007 51 0 0 0 0 0 0
5/25/2008 44 0 0 0 0 0 0
5/25/2009 36 0 0 0 0 0 0
5/25/2010 29 0 0 0 0 0 0
5/25/2011 20 0 0 0 0 0 0
5/25/2012 10 0 0 0 0 0 0
5/25/2013 0 0 0 0 0 0 0
5/25/2014 0 0 0 0 0 0 0
5/25/2015 0 0 0 0 0 0 0
5/25/2016 0 0 0 0 0 0 0
5/25/2017 0 0 0 0 0 0 0
5/25/2018 0 0 0 0 0 0 0
5/25/2019 0 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
15
<PAGE> 17
TO MATURITY
- -----------
PERCENTAGE OF INITIAL CLASS A-2 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 87 42
5/25/2002 100 100 76 45 0 0 0
5/25/2003 100 100 0 0 0 0 0
5/25/2004 100 64 0 0 0 0 0
5/25/2005 100 24 0 0 0 0 0
5/25/2006 100 0 0 0 0 0 0
5/25/2007 100 0 0 0 0 0 0
5/25/2008 100 0 0 0 0 0 0
5/25/2009 100 0 0 0 0 0 0
5/25/2010 100 0 0 0 0 0 0
5/25/2011 100 0 0 0 0 0 0
5/25/2012 100 0 0 0 0 0 0
5/25/2013 97 0 0 0 0 0 0
5/25/2014 73 0 0 0 0 0 0
5/25/2015 39 0 0 0 0 0 0
5/25/2016 20 0 0 0 0 0 0
5/25/2017 0 0 0 0 0 0 0
5/25/2018 0 0 0 0 0 0 0
5/25/2019 0 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
16
<PAGE> 18
TO MATURITY
- -----------
PERCENTAGE OF INITIAL CLASS A-3 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 99 1 0
5/25/2003 100 100 96 44 0 0 0
5/25/2004 100 100 19 0 0 0 0
5/25/2005 100 100 0 0 0 0 0
5/25/2006 100 88 0 0 0 0 0
5/25/2007 100 48 0 0 0 0 0
5/25/2008 100 25 0 0 0 0 0
5/25/2009 100 0 0 0 0 0 0
5/25/2010 100 0 0 0 0 0 0
5/25/2011 100 0 0 0 0 0 0
5/25/2012 100 0 0 0 0 0 0
5/25/2013 100 0 0 0 0 0 0
5/25/2014 100 0 0 0 0 0 0
5/25/2015 100 0 0 0 0 0 0
5/25/2016 100 0 0 0 0 0 0
5/25/2017 99 0 0 0 0 0 0
5/25/2018 65 0 0 0 0 0 0
5/25/2019 27 0 0 0 0 0 0
5/25/2020 0 0 0 0 0 0 0
5/25/2021 0 0 0 0 0 0 0
5/25/2022 0 0 0 0 0 0 0
5/25/2023 0 0 0 0 0 0 0
5/25/2024 0 0 0 0 0 0 0
5/25/2025 0 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
17
<PAGE> 19
TO MATURITY
PERCENTAGE OF INITIAL CLASS A-4 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 45
5/25/2003 100 100 100 100 84 23 0
5/25/2004 100 100 100 78 37 0 0
5/25/2005 100 100 73 42 6 0 0
5/25/2006 100 100 47 19 0 0 0
5/25/2007 100 100 27 4 0 0 0
5/25/2008 100 100 21 0 0 0 0
5/25/2009 100 100 10 0 0 0 0
5/25/2010 100 84 0 0 0 0 0
5/25/2011 100 68 0 0 0 0 0
5/25/2012 100 53 0 0 0 0 0
5/25/2013 100 39 0 0 0 0 0
5/25/2014 100 26 0 0 0 0 0
5/25/2015 100 13 0 0 0 0 0
5/25/2016 100 4 0 0 0 0 0
5/25/2017 100 0 0 0 0 0 0
5/25/2018 100 0 0 0 0 0 0
5/25/2019 100 0 0 0 0 0 0
5/25/2020 98 0 0 0 0 0 0
5/25/2021 89 0 0 0 0 0 0
5/25/2022 79 0 0 0 0 0 0
5/25/2023 68 0 0 0 0 0 0
5/25/2024 56 0 0 0 0 0 0
5/25/2025 43 0 0 0 0 0 0
5/25/2026 28 0 0 0 0 0 0
5/25/2027 12 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
18
<PAGE> 20
TO MATURITY
PERCENTAGE OF INITIAL CLASS A-5 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 100
5/25/2003 100 100 100 100 100 100 45
5/25/2004 100 100 100 100 100 67 0
5/25/2005 100 100 100 100 100 17 0
5/25/2006 100 100 100 100 72 4 0
5/25/2007 100 100 100 100 48 2 0
5/25/2008 100 100 100 100 47 2 0
5/25/2009 100 100 100 80 36 2 0
5/25/2010 100 100 100 59 23 0 0
5/25/2011 100 100 77 42 14 0 0
5/25/2012 100 100 57 28 7 0 0
5/25/2013 100 100 41 18 2 0 0
5/25/2014 100 100 29 11 0 0 0
5/25/2015 100 100 18 5 0 0 0
5/25/2016 100 100 12 1 0 0 0
5/25/2017 100 89 7 0 0 0 0
5/25/2018 100 70 3 0 0 0 0
5/25/2019 100 53 0 0 0 0 0
5/25/2020 100 40 0 0 0 0 0
5/25/2021 100 32 0 0 0 0 0
5/25/2022 100 26 0 0 0 0 0
5/25/2023 100 20 0 0 0 0 0
5/25/2024 100 14 0 0 0 0 0
5/25/2025 100 10 0 0 0 0 0
5/25/2026 100 5 0 0 0 0 0
5/25/2027 100 2 0 0 0 0 0
5/25/2028 83 0 0 0 0 0 0
5/25/2029 29 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
19
<PAGE> 21
TO MATURITY
PERCENTAGE OF INITIAL CLASS A-6 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/1/2000 100 100 100 100 100 100 100
5/25/2001 100 100 100 100 100 100 100
5/25/2002 100 100 100 100 100 100 100
5/25/2003 100 100 100 100 100 100 100
5/25/2004 99 94 90 88 84 79 64
5/25/2005 98 89 80 77 71 62 29
5/25/2006 96 79 66 60 52 39 11
5/25/2007 92 69 51 44 35 20 3
5/25/2008 82 45 23 17 11 9 0
5/25/2009 71 28 10 6 3 3 0
5/25/2010 62 18 4 2 1 0 0
5/25/2011 53 11 2 1 0 0 0
5/25/2012 43 7 1 0 0 0 0
5/25/2013 35 4 0 0 0 0 0
5/25/2014 26 2 0 0 0 0 0
5/25/2015 17 1 0 0 0 0 0
5/25/2016 14 1 0 0 0 0 0
5/25/2017 10 0 0 0 0 0 0
5/25/2018 7 0 0 0 0 0 0
5/25/2019 4 0 0 0 0 0 0
5/25/2020 3 0 0 0 0 0 0
5/25/2021 2 0 0 0 0 0 0
5/25/2022 2 0 0 0 0 0 0
5/25/2023 1 0 0 0 0 0 0
5/25/2024 1 0 0 0 0 0 0
5/25/2025 1 0 0 0 0 0 0
5/25/2026 0 0 0 0 0 0 0
5/25/2027 0 0 0 0 0 0 0
5/25/2028 0 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
20
<PAGE> 22
TO MATURITY
PERCENTAGE OF INITIAL CLASS A-7 CERTIFICATE PRINCIPAL BALANCE OUTSTANDING
<TABLE>
<CAPTION>
DATES SCENARIO 1 SCENARIO 2 SCENARIO 3 SCENARIO 4 SCENARIO 5 SCENARIO 6 SCENARIO 7
- ----- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
5/24/2000 100 100 100 100 100 100 100
5/25/2001 97 87 77 69 62 52 42
5/25/2002 96 77 60 47 38 26 16
5/25/2003 95 68 46 34 25 15 8
5/25/2004 94 60 37 24 16 8 4
5/25/2005 94 53 29 17 10 4 1
5/25/2006 93 47 23 12 7 2 0
5/25/2007 92 42 18 9 4 1 0
5/25/2008 91 37 15 6 3 0 0
5/25/2009 90 33 12 4 1 0 0
5/25/2010 89 29 9 3 1 0 0
5/25/2011 87 26 7 2 0 0 0
5/25/2012 86 23 6 1 0 0 0
5/25/2013 84 20 4 1 0 0 0
5/25/2014 82 18 3 0 0 0 0
5/25/2015 80 16 2 0 0 0 0
5/25/2016 77 14 2 0 0 0 0
5/25/2017 75 12 1 0 0 0 0
5/25/2018 71 10 1 0 0 0 0
5/25/2019 68 9 1 0 0 0 0
5/25/2020 64 8 0 0 0 0 0
5/25/2021 59 6 0 0 0 0 0
5/25/2022 54 5 0 0 0 0 0
5/25/2023 48 4 0 0 0 0 0
5/25/2024 42 3 0 0 0 0 0
5/25/2025 35 2 0 0 0 0 0
5/25/2026 27 1 0 0 0 0 0
5/25/2027 18 1 0 0 0 0 0
5/25/2028 9 0 0 0 0 0 0
5/25/2029 0 0 0 0 0 0 0
5/25/2030 0 0 0 0 0 0 0
5/25/2031 0 0 0 0 0 0 0
PPC % 0 50 100 120 150 200 250
CPR % 0 10 20 28 35 45 55
</TABLE>
21
<PAGE> 23
SCHEDULE OF AVAILABLE FUNDS CAP RATES
-------------------------------------
<TABLE>
<CAPTION>
DATE CLASS A-1 CLASS A-7
- ---- --------- ---------
ACTUAL/360 ACTUAL/360
<S> <C> <C>
5/25/2000 -- --
6/25/2000 8.9780% 8.3434%
7/25/2000 9.5759 8.8997
8/25/2000 9.2663 8.6150
9/25/2000 9.2656 8.6164
10/25/2000 9.5738 8.9109
11/25/2000 9.2643 8.6263
12/25/2000 9.5724 8.1850
1/25/2001 9.2631 7.9278
2/25/2001 9.2630 7.9303
3/25/2001 10.2553 8.7817
4/25/2001 9.2627 7.9450
5/25/2001 9.5713 8.4064
6/25/2001 9.2624 8.1559
7/25/2001 9.5710 8.4745
8/25/2001 9.2621 8.2037
9/25/2001 9.2620 8.2053
10/25/2001 9.5706 8.4864
11/25/2001 9.2618 8.4030
12/25/2001 9.5704 8.7046
1/25/2002 9.2616 8.4680
2/25/2002 9.2615 8.4707
3/25/2002 10.2537 9.3802
4/25/2002 9.2613 8.4976
5/25/2002 9.5698 8.9789
6/25/2002 9.2608 8.7116
7/25/2002 9.5692 9.0529
8/25/2002 9.2602 8.7652
9/25/2002 9.2599 8.7677
10/25/2002 9.5683 9.0718
11/25/2002 9.2593 8.9702
12/25/2002 9.5676 9.2911
1/25/2003 9.2587 9.0338
2/25/2003 9.2582 9.0363
3/25/2003 10.2496 10.0062
</TABLE>
22
<PAGE> 24
SCHEDULE OF AVAILABLE FUNDS CAP RATES
-------------------------------------
<TABLE>
<CAPTION>
DATE CLASS A-1 CLASS A-7
- ---- --------- ---------
ACTUAL/360 ACTUAL/360
<S> <C> <C>
4/25/2003 9.2572% 9.1043%
5/25/2003 9.5652 11.2198
6/25/2003 10.8786
7/25/2003 11.6193
8/25/2003 11.2468
9/25/2003 11.2481
10/25/2003 11.6344
11/25/2003 11.9953
12/25/2003 12.4111
1/25/2004 12.1627
2/25/2004 12.1629
3/25/2004 13.0018
4/25/2004 12.2029
5/25/2004 13.3677
6/25/2004 12.9366
7/25/2004 13.5264
8/25/2004 13.0902
9/25/2004 13.0903
10/25/2004 13.5268
11/25/2004 13.6358
12/25/2004 14.0905
1/25/2005 13.7442
2/25/2005 13.7443
3/25/2005 15.2668
4/25/2005 13.8224
5/25/2005 14.8466
6/25/2005 14.3677
7/25/2005 14.9744
8/25/2005 14.4914
9/25/2005 14.5091
10/25/2005 14.9928
11/25/2005 14.5827
12/25/2005 15.0688
1/25/2006 14.6009
2/25/2006 14.6009
</TABLE>
23
<PAGE> 25
SCHEDULE OF AVAILABLE FUNDS CAP RATES
-------------------------------------
<TABLE>
<CAPTION>
DATE CLASS A-1 CLASS A-7
- ---- --------- ---------
ACTUAL/360 ACTUAL/360
<S> <C> <C>
3/25/2006 16.1848%
4/25/2006 14.6186
5/25/2006 15.1059
6/25/2006 14.6186
7/25/2006 15.1095
8/25/2006 14.6221
9/25/2006 14.6397
10/25/2006 15.1277
11/25/2006 14.6398
12/25/2006 15.1278
1/25/2007 14.6433
2/25/2007 14.6433
3/25/2007 16.2317
4/25/2007 14.6609
5/25/2007 15.1496
</TABLE>
24
<PAGE> 26
FIXED RATE GROUP - COLLATERAL SUMMARY
-------------------------------------
FIXED RATE GROUP
----------------
<TABLE>
<S> <C> <C>
NUMBER OF MORTGAGE LOANS 4,916
TOTAL OUTSTANDING PRINCIPAL BALANCE $298,292,270
AVERAGE PRINCIPAL BALANCE $ 60,678 $1,061 - $499,176
WEIGHTED AVERAGE MORTGAGE COUPON RATE 10.48% 5.63% - 20.45%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 275 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 271 8 - 360
WEIGHTED AVERAGE FICO 624
WEIGHTED AVERAGE CLTV 77.19% 9.77% - 100.93%
WEIGHTED AVERAGE JUNIOR LIEN RATIO 29.27% (FOR SECOND LIENS ONLY)
PREPAYMENT PENALTY
YES 96.27%
NO 3.73%
</TABLE>
FIXED RATE GROUP
----------------
GEOGRAPHIC DISTRIBUTION
-----------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
- ----- -------------- ------- -------
<S> <C> <C> <C>
California 295 $27,790,358.51 9.32%
Pennsylvania 479 25,645,853.66 8.60
Michigan 340 19,996,656.76 6.70
Florida 284 18,188,182.11 6.10
New York 211 15,384,866.03 5.16
Ohio 229 13,012,603.99 4.36
Virginia 181 10,947,807.18 3.67
Illinois 167 10,003,620.15 3.35
Tennessee 151 9,628,386.00 3.23
Missouri 188 9,505,836.12 3.19
Other 2,391 138,188,099.29 46.32
- ----- ----- -------------- -----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
The mortgaged properties in the Fixed Rate Group are located in a total of 48
states and the District of Columbia
25
<PAGE> 27
FIXED RATE GROUP
----------------
DISTRIBUTION OF CLTV RATIOS
---------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ----------- -------------- ------- -------
<S> <C> <C> <C>
0.01 - 60.00% 678 $27,625,417.45 9.26%
60.01 - 70.00 497 25,706,854.31 8.62
70.01 - 75.00 990 70,841,735.40 23.75
75.01 - 80.00 744 47,575,792.73 15.95
80.01 - 85.00 1,158 72,744,100.75 24.38
85.01 - 90.00 598 38,815,407.82 13.01
90.01 - 95.00 85 4,223,225.72 1.42
95.01 - 100.00 161 10,353,718.57 3.47
100.01 - 101.00 5 406,017.05 0.14
- --------------- ----- ------------- ------
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Minimum CLTV: 9.77%
Maximum CLTV: 100.93%
Weighted Average CLTV: 77.19%
FIXED RATE GROUP
----------------
DISTRIBUTION BY AMORTIZATION TYPE
---------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
AMORTIZATION TYPE MORTGAGE LOANS BALANCE BALANCE
- ----------------- -------------- ------- -------
<S> <C> <C> <C>
Balloon 122 $9,038,095.90 3.03%
Fully Amortizing 4,794 289,254,173.90 96.97
- ---------------- ----- -------------- -----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
26
<PAGE> 28
FIXED RATE GROUP
----------------
DISTRIBUTION OF REMAINING TERM TO MATURITY
------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ----------- -------------- ------- -------
<S> <C> <C> <C>
1 - 60 31 $684,905.86 0.23%
61 - 120 316 10,524,014.57 3.53
121 - 180 1,306 55,542,210.77 18.62
181 - 240 1,736 104,112,170.73 34.90
241 - 300 21 1,925,545.87 0.65
301 - 360 1,506 125,503,422.00 42.07
- --------- ----- -------------- -----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Minimum Remaining Term: 8 months
Maximum Remaining Term: 360 months
Weighted Average Remaining Term: 271 months
FIXED RATE GROUP
----------------
DISTRIBUTION OF PRINCIPAL BALANCE
---------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ------------------ -------------- ------- -------
<S> <C> <C> <C>
$1 - $25,000 858 $16,260,314.70 5.45%
25,001 - 50,000 1,711 64,253,832.60 21.54
50,001 - 75,000 1,183 71,762,908.36 24.06
75,001 - 100,000 489 42,308,085.07 14.18
100,001 - 150,000 424 50,737,924.16 17.01
150,001 - 200,000 150 25,514,379.82 8.55
200,001 - 250,000 46 10,165,514.92 3.41
250,001 - 300,000 31 8,582,667.95 2.88
300,001 - 350,000 13 4,135,544.15 1.39
350,001 - 500,000 11 4,571,098.07 1.53
- ----------------- ----- ------------ ----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Minimum Principal Balance: $1,061.02
Maximum Principal Balance: $499,175.70
Average Principal Balance: $60,677.84
27
<PAGE> 29
FIXED RATE GROUP
----------------
DISTRIBUTION OF CURRENT MORTGAGE COUPON RATES
---------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE
- --------------------- -------- ------------- -------
<S> <C> <C> <C>
5.001 - 6.000% 1 $86,719.64 0.03%
6.001 - 7.000 27 4,686,589.21 1.57
7.001 - 8.000 64 9,359,038.05 3.14
8.001 - 9.000 539 48,917,683.43 16.40
9.001 - 10.000 1,225 91,227,237.54 30.58
10.001 - 11.000 961 59,640,220.66 19.99
11.001 - 12.000 565 30,365,751.22 10.18
12.001 - 13.000 470 20,842,620.93 6.99
13.001 - 14.000 388 13,402,900.76 4.49
14.001 - 15.000 317 10,160,877.50 3.41
15.001 - 16.000 201 5,716,952.25 1.92
16.001 - 17.000 108 2,838,240.55 0.95
17.001 - 18.000 31 650,965.23 0.22
18.001 - 21.000 19 396,472.83 0.13
- --------------- ----- ------------- ------
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Minimum Mortgage Coupon Rate: 5.63%
Maximum Mortgage Coupon Rate: 20.45%
Weighted Average Mortgage Coupon Rate: 10.48%
28
<PAGE> 30
FIXED RATE GROUP
----------------
DISTRIBUTION OF JUNIOR LIEN RATIOS (JUNIOR LIENS ONLY)
------------------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
JUNIOR LIEN RATIOS MORTGAGE LOANS BALANCE BALANCE
- ------------------ -------------- ------- -------
<S> <C> <C> <C>
0.01 - 10.00% 32 $601,838.53 2.77%
10.01 - 20.00 248 5,660,877.46 26.06
20.01 - 30.00 279 6,863,804.18 31.60
30.01 - 40.00 143 4,856,135.35 22.35
40.01 - 50.00 65 1,975,571.62 9.09
50.01 - 60.00 18 655,847.67 3.02
60.01 - 70.00 18 411,410.14 1.89
70.01 - 80.00 11 374,261.79 1.72
80.01 - 90.00 7 220,865.45 1.02
90.01 - 100.00 3 104,576.01 0.48
- -------------- ---- -------------- ----
Total: 824 $21,725,188.20 100.00%
</TABLE>
Minimum Junior Lien Ratio: 6.58%
Maximum Junior Lien Ratio: 100.00%
Weighted Average Junior Lien Ratio: 29.27%
FIXED RATE GROUP
----------------
DISTRIBUTION OF PROPERTY TYPES
------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
PROPERTY TYPE MORTGAGE LOANS BALANCE BALANCE
- ------------- -------------- ------- -------
<S> <C> <C> <C>
SF Detached/Deminimus PUD 4,336 $267,384,679.28 89.64%
SF Row House/Condos/Townhouses 228 10,907,895.16 3.66
Two to Four Family Home 132 8,658,246.56 2.90
Prefabricated Single Family 220 11,341,448.80 3.80
- --------------------------- --- ------------- ----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
29
<PAGE> 31
FIXED RATE GROUP
----------------
DISTRIBUTION OF OCCUPANCY STATUS
--------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
OCCUPANCY STATUS MORTGAGE LOANS BALANCE BALANCE
- ---------------- -------------- ------- -------
<S> <C> <C> <C>
Owner Occupied 4,791 $292,648,283.94 98.11%
Non-Owner Occupied 125 5,643,985.86 1.89
- ------------------ ----- ------------ ----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Owner Occupied properties include vacation homes and second homes
FIXED RATE GROUP
----------------
DISTRIBUTION OF SEASONING
-------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ----------------- -------------- ------- -------
<S> <C> <C> <C>
0 - 6 4,281 $260,476,661.74 87.32%
7 - 12 528 31,159,226.95 10.45
13 - 24 59 5,052,532.81 1.69
25 - 142 48 1,603,848.30 0.54
- -------- ----- ------------ ----
TOTAL: 4,916 $298,292,269.80 100.00%
</TABLE>
Minimum Seasoning: 0 months
Maximum Seasoning: 142 months
Weighted Average Seasoning: 4 months
30
<PAGE> 32
ARM GROUP - COLLATERAL SUMMARY
------------------------------
ARM GROUP
---------
<TABLE>
<S> <C> <C>
NUMBER OF MORTGAGE LOANS 771
TOTAL OUTSTANDING PRINCIPAL BALANCE $64,154,148
AVERAGE PRINCIPAL BALANCE $83,209 $9,986 - $384,413
WEIGHTED AVERAGE MORTGAGE COUPON RATE 9.82% 7.23% - 17.13%
WEIGHTED AVERAGE MARGIN 5.50% 0.45% - 12.13%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 347 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 346 49 - 360
WEIGHTED AVERAGE FICO 613
WEIGHTED AVERAGE MAXIMUM COUPON RATE 16.82% 14.23% - 24.13%
WEIGHTED AVERAGE MINIMUM COUPON RATE 9.28% 7.23% - 17.13%
INDEX
6 MONTH LIBOR 97.61%
1 YR CMT 2.39%
WEIGHTED AVERAGE LTV 78.50% 12.14% - 98.99%
LIEN POSITION
FIRST 100.00%
PREPAYMENT PENALTY
YES 96.72%
NO 3.28%
</TABLE>
ARM GROUP
---------
GEOGRAPHIC DISTRIBUTION
-----------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
- ----- -------------- ------- -------
<S> <C> <C> <C>
California 32 $4,579,709.97 7.14%
Michigan 65 3,834,127.46 5.98
Florida 41 3,617,266.76 5.64
Washington 32 3,463,437.71 5.40
New York 36 3,297,851.58 5.14
Illinois 43 3,256,984.31 5.08
Georgia 30 3,253,505.48 5.07
Colorado 22 2,908,949.15 4.53
Oregon 24 2,814,211.76 4.39
Pennsylvania 41 2,537,487.33 3.96
Other 405 30,590,616.49 47.67
- ----- --- ------------- -----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
The mortgaged properties in the ARM Group are located in 45 states
31
<PAGE> 33
ARM GROUP
---------
DISTRIBUTION OF LTV RATIOS
--------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
LTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------- -------------- ------- -------
<S> <C> <C> <C>
0.01 - 60.00% 67 $3,261,072.71 5.08%
60.01 - 70.00 64 4,767,099.73 7.43
70.01 - 75.00 199 18,683,553.77 29.13
75.01 - 80.00 110 8,719,786.71 13.59
80.01 - 85.00 172 15,378,805.60 23.97
85.01 - 90.00 138 11,994,618.03 18.70
90.01 - 95.00 15 1,090,869.25 1.70
95.01 - 100.00 6 258,342.20 0.40
- -------------- -------------- ---------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum LTV: 12.14%
Maximum LTV: 98.99%
Weighted Average LTV: 78.50%
ARM GROUP
---------
DISTRIBUTION OF REMAINING TERM TO MATURITY
------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ----------- -------------- ------- -------
<S> <C> <C> <C>
1 - 60 2 $31,484.55 0.05%
61 - 120 13 465,022.10 0.72
121 - 180 27 1,182,074.33 1.84
181 - 240 52 3,762,622.25 5.86
241 - 300 4 257,542.79 0.40
301 - 360 673 58,455,401.98 91.13
- --------- --- ------------- -----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Remaining Term: 49 months
Maximum Remaining Term: 360 months
Weighted Average Remaining Term: 346 months
32
<PAGE> 34
ARM GROUP
---------
DISTRIBUTION OF PRINCIPAL BALANCE
---------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ------------------ -------------- ------- -------
<S> <C> <C> <C>
$1 - $25,000 26 $523,985.36 0.82%
25,001 - 50,000 200 7,855,987.92 12.25
50,001 - 75,000 235 14,535,610.73 22.66
75,001 - 100,000 100 8,701,546.26 13.56
100,001 - 150,000 128 15,542,688.95 24.22
150,001 - 200,000 53 9,043,522.12 14.10
200,001 - 250,000 13 2,951,814.25 4.60
250,001 - 300,000 5 1,357,705.98 2.12
300,001 - 350,000 9 2,894,873.90 4.51
350,001 - 400,000 2 746,412.53 1.16
- ----------------- --- ---------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Principal Balance: $9,985.83
Maximum Principal Balance: $384,412.53
Average Principal Balance: $83,209.01
ARM GROUP
---------
DISTRIBUTION OF PROPERTY TYPES
------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
PROPERTY TYPE MORTGAGE LOANS BALANCE BALANCE
- ------------- -------------- ------- -------
<S> <C> <C> <C>
SF Detached/Deminimus PUD 689 $57,840,451.56 90.15%
SF Row House/Condos/Townhouses 32 2,423,054.16 3.78
Two to Four Family Home 23 2,274,272.03 3.55
Prefabricated Single Family 27 1,616,370.25 2.52
- --------------------------- --- ------------ ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
33
<PAGE> 35
ARM GROUP
---------
DISTRIBUTION OF OCCUPANCY STATUS
--------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
OCCUPANCY STATUS MORTGAGE LOANS BALANCE BALANCE
- ---------------- -------------- ------- -------
<S> <C> <C> <C>
Owner Occupied 752 $62,978,688.90 98.17%
Non-Owner Occupied 19 1,175,459.10 1.83
- ------------------ --- ------------ ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Owner Occupied properties include vacation homes and second homes
ARM GROUP
---------
DISTRIBUTION OF SEASONING
-------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ----------------- -------------- ------- -------
<S> <C> <C> <C>
0 - 6 768 $64,002,147.24 99.76%
7 - 12 3 152,000.76 0.24
- ------ --- ---------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Seasoning: 0 months
Maximum Seasoning: 11 months
Weighted Average Seasoning: 2 months
34
<PAGE> 36
ARM GROUP
---------
DISTRIBUTION OF CURRENT MORTGAGE COUPON RATES
---------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE
- --------------------- -------------- ------- -------
<S> <C> <C> <C>
7.001 - 8.000% 51 $5,555,146.83 8.66%
8.001 - 9.000 182 19,481,910.51 30.37
9.001 - 10.000 200 17,202,039.88 26.81
10.001 - 11.000 132 9,418,755.72 14.68
11.001 - 12.000 86 5,991,690.71 9.34
12.001 - 13.000 58 3,798,938.73 5.92
13.001 - 14.000 35 1,769,555.64 2.76
14.001 - 15.000 21 794,889.25 1.24
15.001 - 16.000 2 62,911.97 0.10
16.001 - 17.000 3 56,937.53 0.09
17.001 - 18.000 1 21,371.23 0.03
- --------------- ----- -------------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Current Mortgage Coupon Rate: 7.23%
Maximum Current Mortgage Coupon Rate: 17.13%
Weighted Average Current Mortgage Coupon Rate: 9.82%
35
<PAGE> 37
ARM GROUP
DISTRIBUTION OF MAXIMUM MORTGAGE COUPON RATES
AGGREGATE % OF AGGREGATE
RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE
- --------------------- -------------- --------------- --------------
14.001 - 15.000% 51 $5,555,146.83 8.66%
15.001 - 16.000 182 19,481,910.51 30.37
16.001 - 17.000 200 17,202,039.88 26.81
17.001 - 18.000 132 9,418,755.72 14.68
18.001 - 19.000 86 5,991,690.71 9.34
19.001 - 20.000 59 3,849,653.73 6.00
20.001 - 21.000 34 1,718,840.64 2.68
21.001 - 22.000 21 794,889.25 1.24
22.001 - 23.000 2 62,911.97 0.10
23.001 - 24.000 3 56,937.53 0.09
24.001 - 25.000 1 21,371.23 0.03
- --------------- ------ -------------- ----
Total: 771 $64,154,148.00 100.00%
Minimum Maximum Mortgage Coupon Rate: 14.23%
Maximum Maximum Mortgage Coupon Rate: 24.13%
Weighted Average Maximum Mortgage Coupon Rate: 16.82%
36
<PAGE> 38
ARM GROUP
---------
DISTRIBUTION OF MINIMUM MORTGAGE COUPON RATES
---------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE COUPON RATES MORTGAGE LOANS BALANCE BALANCE
- --------------------- -------------- ------- -------
<S> <C> <C> <C>
7.001 - 8.000% 217 $22,321,817.33 34.80%
8.001 - 9.000 119 11,824,086.60 18.43
9.001 - 10.000 148 12,172,625.56 18.97
10.001 - 11.000 109 7,413,435.36 11.56
11.001 - 12.000 77 5,153,810.26 8.03
12.001 - 13.000 47 2,907,403.87 4.53
13.001 - 14.000 29 1,517,337.70 2.37
14.001 - 15.000 19 702,410.59 1.09
15.001 - 16.000 2 62,911.97 0.10
16.001 - 17.000 3 56,937.53 0.09
17.001 - 18.000 1 21,371.23 0.03
- --------------- ---- -------------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Minimum Mortgage Coupon Rate: 7.23%
Maximum Minimum Mortgage Coupon Rate: 17.13%
Weighted Average Minimum Mortgage Coupon Rate: 9.28%
37
<PAGE> 39
ARM GROUP
---------
DISTRIBUTION OF MARGINS
-----------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MARGINS MORTGAGE LOANS BALANCE BALANCE
- ------- -------------- ------- -------
<S> <C> <C> <C>
0.001 - 1.000% 1 $241,342.78 0.38%
1.001 - 2.000 48 5,268,736.26 8.21
2.001 - 3.000 51 5,370,281.16 8.37
3.001 - 4.000 53 4,644,870.97 7.24
4.001 - 5.000 53 5,542,219.68 8.64
5.001 - 6.000 162 14,565,255.02 22.70
6.001 - 7.000 174 14,883,188.90 23.20
7.001 - 8.000 115 7,993,057.29 12.46
8.001 - 9.000 63 3,651,435.86 5.69
9.001 - 10.000 35 1,390,908.90 2.17
10.001 - 11.000 6 263,806.49 0.41
11.001 - 12.000 9 309,047.78 0.48
12.001 - 13.000 1 29,996.91 0.05
- --------------- --- ------------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Margin: 0.45%
Maximum Margin: 12.13%
Weighted Average Margin: 5.50%
ARM GROUP
---------
DISTRIBUTION OF INITIAL INTEREST RATE ADJUSTMENT CAPS
-----------------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
INITIAL INTEREST RATE NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT CAP MORTGAGE LOANS BALANCE BALANCE
- -------------- -------------- ------- -------
<S> <C> <C> <C>
1.00% 219 $20,682,604.16 32.24%
2.00 5 283,828.74 0.44
3.00 547 43,187,715.10 67.32
- ---- --- ------------- -----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Initial Interest Rate Adjustment Cap: 1.00%
Maximum Initial Interest Rate Adjustment Cap: 3.00%
Weighted Average Initial Interest Rate Adjustment Cap: 2.35%
38
<PAGE> 40
ARM GROUP
---------
DISTRIBUTION OF ANNUAL INTEREST RATE ADJUSTMENT CAPS
----------------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
ANNUAL INTEREST RATE NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT CAP MORTGAGE LOANS BALANCE BALANCE
- -------------- -------------- ------- -------
<S> <C> <C> <C>
1.00% 749 $62,567,767.68 97.53%
2.00 22 1,586,380.32 2.47
- ---- --- ------------ ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Minimum Annual Interest Rate Adjustment Cap: 1.00%
Maximum Annual Interest Rate Adjustment Cap: 2.00%
Weighted Average Annual Interest Rate Adjustment Cap: 1.02%
39
<PAGE> 41
ARM GROUP
---------
DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE
---------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE
- --------------- -------------- ------- -------
<S> <C> <C> <C>
June, 2000 3 $173,133.79 0.27%
July, 2000 1 105,649.30 0.16
August, 2000 4 546,639.55 0.85
September, 2000 3 209,053.13 0.33
October, 2000 23 1,560,895.29 2.43
November, 2000 7 403,844.28 0.63
December, 2000 11 715,474.26 1.12
January, 2001 21 2,155,410.47 3.36
February, 2001 38 3,770,098.59 5.88
March, 2001 42 4,306,674.95 6.71
April, 2001 27 3,165,852.27 4.93
May, 2001 5 599,430.00 0.93
December, 2001 1 93,684.05 0.15
February, 2002 1 156,021.64 0.24
March, 2002 1 20,902.51 0.03
May, 2002 1 39,911.57 0.06
September, 2002 2 142,845.32 0.22
November, 2002 29 2,084,657.64 3.25
December, 2002 38 2,946,135.83 4.59
January, 2003 33 2,671,694.55 4.16
February, 2003 161 13,302,859.62 20.75
March, 2003 145 11,073,304.78 17.27
April, 2003 125 10,304,905.13 16.06
May, 2003 29 2,179,256.00 3.40
May, 2004 1 17,917.86 0.03
November, 2004 3 355,224.28 0.55
December, 2004 1 89,943.66 0.14
January, 2005 2 95,075.86 0.15
February, 2005 7 444,638.73 0.69
March, 2005 2 74,785.69 0.12
April, 2005 4 348,227.40 0.54
- ----------- --- ---------- ----
TOTAL: 771 $64,154,148.00 100.00%
</TABLE>
Weighted Average Next Interest Adjustment Date: August 13, 2002
Weighted Average Number of Months to Next Interest Rate Adjustment Date: 28
40
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