<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) April 15, 1999
--------------
Mellon Residential Funding Corporation
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-24453 23-2889067
- ------------------------------ ----------- --------------
(State or other (Commission (IRS Employer
jurisdiction of incorporation) File Number) ID Number)
One Mellon Bank Center, Room 410, Pittsburgh, Pennsylvania 15258
- ---------------------------------------------------------- ---------
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code: (412) 236-6559
--------------
N/A
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
------------
Filing of Computational Materials.*
- -----------------------------------
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended,
Mellon Residential Funding Corporation (the "Depositor") is filing a prospectus
and prospectus supplement with the Securities and Exchange Commission relating
to its Mortgage Pass-Through Certificates, Series MHELT 1999-1.
In connection with the offering of the Mortgage Pass-Through
Certificates, Series MHELT 1999-1, J.P. Morgan Securities Inc. prepared certain
materials (the "Computational Materials") which were distributed by J.P. Morgan
Securities Inc. and Mellon Financial Markets, Inc. (the "Underwriters") to their
potential investors. Although the Depositor provided the Underwriters with
certain information regarding the characteristics of the Mortgage Loans in the
related portfolio, it did not participate in the preparation of the
Computational Materials. The Computational Materials are attached hereto as
Exhibit 99.1.
- ---------------------
* Capitalized terms used and not otherwise defined herein shall have the
meanings assigned to them in the Prospectus dated April 14, 1999, and
Prospectus Supplement dated April 14, 1999, of Mellon Residential
Funding Corporation, relating to its Mortgage Pass-Through
Certificates, Series MHELT 1999-1.
-2-
<PAGE> 3
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
-------------------------------------------------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP with respect to
certain tax matters.
23.1 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit
8.1).
99.1 Computational Materials.
-3-
<PAGE> 4
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 thereunto duly authorized.
MELLON RESIDENTIAL FUNDING CORPORATION
By: /s/ Stephen Cobain
-----------------------
Name: Stephen Cobain
Title: President
Dated: April 22, 1999
<PAGE> 5
EXHIBIT INDEX
Exhibit Page
- ------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP with respect to
certain tax matters.
23.1 Consent of Stroock & Stroock & Lavan LLP (included in
Exhibit 8.1).
99.1 Computational Materials.
<PAGE> 1
Exhibit 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
April 15, 1999
Mellon Residential Funding Corporation
One Mellon Bank Center
500 Grant Street
Pittsburgh, Pennsylvania 15258
RE: Mellon Residential Funding Corporation
Registration Statement on Form S-3
(File No. 333-24453)
--------------------------------------
Ladies and Gentlemen:
We have acted as special counsel for Mellon Residential Funding Corporation, a
Delaware Corporation ("the Company") in connection with the issuance of
$134,356,000 aggregate principal amount of Mellon Bank Home Equity Installment
Loan Trust 1999-1 Mortgage Pass-Through Certificates, Series MHELT 1999-1 (the
"Certificates"). A Registration Statement on Form S-3 relating to the
Certificates (No. 333-24453) (the "Registration Statement") has been filed with
the Securities and Exchange Commission under the Securities Act of 1933, as
amended (the "Securities Act"). As set forth in the Prospectus dated April 14,
1999 and the Prospectus Supplement dated April 14, 1999, the Certificates will
be issued by a trust established by the Company pursuant to the provisions of a
Pooling and Servicing Agreement dated as of March 31, 1999 (the "Pooling and
Servicing Agreement") among the Company, as Depositor, Mellon Bank, N.A., as the
Seller and Master Servicer, and Bankers Trust Company of California, N.A., as
the Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred to
above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed the
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under
<PAGE> 2
Securities and Exchange Commission
April 15, 1999
Page 2
the caption "Federal Income Tax Considerations," to the extent that it
constitutes matters of law or legal conclusions, is correct in all material
respects.
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of the Company or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE> 1
Exhibit 99.1
Page 1 [MELLON BANK LOGO]
- -------------------------------------------------------------------------------
JP Morgan [Mellon Bank Logo] April 15, 1999
- -------------------------------------------------------------------------------
$134,356,000 MELLON BANK HOME EQUITY INSTALLMENT LOAN TRUST, SERIES 1999-1
Mellon Bank N.A. -- Seller/Master Servicer
TRANSACTION HIGHLIGHTS
<TABLE>
<CAPTION>
____________________________________________________________________________________________________________________________________
EXPECTED
APPROXIMATE EXPECTED AVERAGE LIFE PAYMENT FINAL EXPECTED
CLASS CLASS SIZE RATINGS TO 10% WINDOWS TO 10% CALL DAY MATURITY TO LEGAL FINAL
CLASS(2) TYPE(1) ($ THOUSANDS) (S&P/ FITCH) CALL/MATURITY(3) (MONTHS)(3) COUNT 10% CALL MATURITY
____________________________________________________________________________________________________________________________________
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed 61,600,000 AAA/AAA 1.00/1.00 1 - 26 30/360 6/01
A-2 Fixed 27,000,000 AAA/AAA 3.00/3.00 26 - 51 30/360 7/03
A-3 Fixed 10,700,000 AAA/AAA 5.00/5.00 51 - 73 30/360 5/05
A-4 Fixed 10,906,000 AAA/AAA 7.41/9.67 73 - 93 30/360 1/07
A-5 Fixed NAS4 13,400,000 AAA/AAA 6.27/6.49 38 - 93 30/360 1/07
B Fixed 10,750,000 A/- 5.14/5.38 37 - 93 30/360 1/07
------------ --------------
TOTAL 134,356,000
____________________________________________________________________________________________________________________________________
</TABLE>
MANAGERS: J.P. Morgan (lead) and Mellon Financial Markets (Co)
Notes:
1 Class A-1 through A-4 sequential pay; Class A-5 concurrent pay starting in
month 37; Class B concurrent pay starting in month 37 subject to
subordination provisions, certain credit enhancement requirements and
trigger events.
2 CPR in Class A-1 through A-5 and B are priced at a prepayment speed of 100%
of the prepayment assumption (PPC) which equals a prepayment speed starting
at 2% in month 1, increasing by 2.22% per month to 22% CPR in month 10, and
remaining at 22% CPR thereafter.
3 Auction Sale after Optional Termination:
If the Master Servicer does not exercise its optional termination right
within 90 days after the Optional Termination Date, the Trustee is required
to solicit bids for the purchase of all Mortgage Loans and REO Property
remaining in the Trust Fund. If satisfactory bids are received as set forth
in the Agreement, such remaining Mortgage Loans and REO Property will be
sold and the proceeds distributed to the Certificateholders in the same
priority as distributions on a Distribution Date.
4 Class A-5 NAS allocation of senior principal distributions: 0% through month
36; 45% month 37 through month 60; 80% month 61 through month 72; 100% month
73 through month 84; and 300% thereafter.
SELLER/MASTER SERVICER: Mellon Bank, N.A.
DEPOSITOR: Mellon Residential Funding Corporation
TRUSTEE: Bankers Trust Company of California, N.A.
UNDERWRITERS: J.P. Morgan Securities, Inc. (lead) & Mellon
Financial Markets, Inc. (co-manager)
COLLATERAL: Fixed home equity loans secured by first and
second lien mortgages. See attached
"Collateral Description".
CLASS A-1 THROUGH A-5, B The prepayment assumption is 100% of the
PREPAYMENT SPEED: prepayment curve, which equates to a
prepayment speed of 2% CPR in the first
month, increasing by 2.22% per month to
22% CPR in month 10 and remaining at
22% CPR thereafter.
EXPECTED PRICING DATE: TBD
EXPECTED SETTLEMENT DATE: April 29, 1999 through DTC, Euroclear, and
CEDEL.
CUT-OFF DATE: March 31, 1999
DISTRIBUTION DATES: The 25th of each month, beginning May 25,
1999
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 2
Page 2 [MELLON BANK LOGO]
(TRANSACTION HIGHLIGHTS CONTINUED)
----------------------------------
OPTIONAL TERMINATION: On any Distribution Date on which the Pool Principal
Balance is less than 10% of the Cut-off Date Pool
Principal Balance, the Master Servicer will have the
option to purchase, in whole, the Mortgage Loans and
the REO Property, if any, remaining in the Trust
Fund.
AUCTION SALE AFTER
OPTIONAL TERMINATION: If the Master Servicer does not exercise its optional
termination right within 90 days after the Optional
Termination Date, the Trustee is required to solicit
bids for the purchase of all Mortgage Loans and REO
Property remaining in the Trust Fund. If satisfactory
bids are received as set forth in the Agreement, such
remaining Mortgage Loans and REO Property will be
sold and the proceeds distributed to the
Certificateholders in the same priority as
distributions on a Distribution Date.
ERISA ELIGIBILITY: The Class A-1 through A-5 Certificates WILL be ERISA
eligible (and there will be no prefunding account).
The Class B Certificates are NOT ERISA eligible.
SMMEA ELIGIBILITY: The Certificates are NOT SMMEA eligible as there are
2nd mortgages in the pool.
CREDIT ENHANCEMENT
Class A1 through Class A5:
o 8.0% Class B Subordinated Certificates
o Overcollateralization building from 0% to 1% of the original aggregate
Class Certificate Balance, or, if after the Stepdown Date, the greater
of (i) 2% of the Pool Principal Balance as of the last day of the
related Due Period and, (ii) $671,783 which equals 50 bps of the
initial pool balance.
o Monthly Excess Interest Amount
Class B:
o Overcollateralization building from 0% to 1% of the original aggregate
Class Certificate Balance, or, if after the Stepdown Date, the greater
of (i) 2% of the Pool Principal Balance as of the last day of the
related Due Period and, (ii) $671,783 which equals 50 bps of the
initial pool balance.
o Monthly Excess Interest Amount
CLASS RATING LEVEL PERCENT OF TRANSACTION
-------------------------------------------------------------------
A1-A5 AAA/AAA 92%
B A/- 8%
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 3
Page 3 [MELLON BANK LOGO]
MELLON RESIDENTIAL FUNDING CORP. 1999-1 COLLATERAL DESCRIPTION
--------------------------------------------------------------
COLLATERAL: The collateral pool will consist of a combination of first and
second lien home equity loans. These loans are predominantly used
by borrowers to consolidate debt, for home improvements, to
refinance an existing mortgage loan on more favorable terms, or to
obtain cash proceeds by borrowing against the homeowner's equity
in the related mortgage property.
<TABLE>
<CAPTION>
FIXED RATE HOME EQUITY INSTALLMENT LOANS(1)
-------------------------------------------
<S> <C>
AGGREGATE POOL BALANCE ($MM): $134,356,564.24
NUMBER OF LOANS: 2,391
AVERAGE OUTSTANDING BALANCE: $56,192.62
PRODUCT TYPE: Fixed Rate Home Equity Loans
WEIGHTED AVERAGE COUPON: 8.27%
ORIGINAL WEIGHTED AVERAGE TERM: 175.44 months
REMAINING WEIGHTED AVERAGE TERM: 165.98 months
WEIGHTED AVERAGE SEASONING: 9.47 months
LIEN POSITION: 81.10% first lien; 16.07% second lien; 0.05%
third lien; 2.79% N/A
WEIGHTED AVERAGE COMBINED LOAN TO VALUE RATIO: 78.12%
PROPERTY TYPE: 92.05% single family; 2.79% townhouse; 0.23%
mobile-home; 0.21% condominium; 0.20% duplex;
multifamily 0.08%; 1.72% other; 2.72% N/A
OWNER OCCUPANCY: 94.42% primary; 1.20% rental,
0.32% second home; 1.27% other; 2.79% N/A
GEOGRAPHIC DISTRIBUTION (>= 5%): PA (36.26%), OH (32.68%), NJ (9.66%),
VA (8.80%), MD (5.94%)
</TABLE>
NOTE:
----
1 All percentages and weighted averages calculated on the outstanding balance.
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 4
Page 4 [MELLON BANK LOGO]
AVERAGE LIFE SENSITIVITY TO CHANGES IN PREPAYMENT RATES
-------------------------------------------------------
<TABLE>
<CAPTION>
ASSUMES A 10% CALL (OPTIONAL TERMINATION OR AUCTION SALE)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC PREPAYMENT ASSUMPTION
0% 50% 75% 100%(1) 125% 150%
---- ----- ----- ------- ------ -----
WINDOW WINDOW WINDOW WINDOW WINDOW WINDOW
WAL (MONTHS) WAL (MONTHS) WAL (MONTHS) WAL (MONTHS) WAL (MONTHS) WAL (MONTHS)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 5.83 5/99-9/10 1.79 5/99-4/03 1.29 5/99-2/02 1.00 5/99-6/01 0.81 5/99-1/01 0.67 5/99-9/00
137 48 34 26 21 17
CLASS A-2 13.30 9/10-11/13 5.80 4/03-2/08 4.01 2/02-12/04 3.00 6/01-7/03 2.32 1/01-4/02 1.91 9/00-10/01
39 59 35 26 16 14
CLASS A-3 14.57 11/13-11/13 10.46 2/08-6/11 7.20 12/04-9/08 5.00 7/03-5/05 3.81 4/02-10/03 2.76 10/01-10/02
1 41 46 23 19 13
CLASS A-4 14.57 11/13-11/13 12.16 6/11-6/11 9.65 9/08-12/08 7.41 5/05-1/07 5.67 10/03-8/05 4.41 10/02-7/04
1 1 4 21 23 22
CLASS A-5 9.07 5/02-11/13 7.27 5/02-6/11 6.73 5/02-12/08 6.27 6/02-1/07 5.61 8/02-8/05 4.96 10/02-7/04
139 110 80 56 37 22
CLASS B 13.62 2/10-11/13 8.45 10/03-6/11 6.46 7/02-12/08 5.14 5/02-1/07 4.34 5/02-8/05 3.86 5/02-7/04
46 93 78 57 40 27
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSUMES A 10% CALL (OPTIONAL TERMINATION OR AUCTION SALE)
- -------------------------------------------------------------------
PPC PREPAYMENT ASSUMPTION
200%
----
WINDOW
WAL (MONTHS)
<S> <C> <C>
CLASS A-1 0.50 5/99-5/00
13
CLASS A-2 1.38 5/00-1/01
9
CLASS A-3 1.97 1/01-6/01
6
CLASS A-4 2.46 6/01-1/02
8
CLASS A-5 3.55 1/02- 2/03
14
CLASS B 3.53 5/02-2/03
10
- -------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSUMES NO 10% CALL (RUN TO MATURITY)
- -----------------------------------------------------------------------------------------------------------------------------
PPC PREPAYMENT ASSUMPTION
0% 50% 75% 100%(1) 125%
-------- ------ ----- ------- ------
WINDOW WINDOW WINDOW WINDOW WINDOW
WAL (MONTHS) WAL (MONTHS) WAL (MONTHS) WAL (MONTHS) WAL (MONTHS)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-4 14.57 11/13-11/13 13.87 6/11-11/13 12.11 9/08-11/13 9.67 5/05-11/13 7.03 10/03-7/12
1 30 63 103 106
CLASS A-5 9.07 5/02-11/13 7.29 5/02-11/13 6.80 5/02-11/13 6.49 6/02-11/13 6.32 8/02-4/12
139 139 139 138 117
CLASS B 13.62 2/10-11/13 8.69 10/03-11/13 6.73 7/02-10/12 5.38 5/02-9/10 4.55 5/02-10/08
46 122 124 101 78
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ASSUMES NO 10% CALL (RUN TO MATURITY)
- -----------------------------------------------------------
PPC PREPAYMENT ASSUMPTION
150% 200%
--------- -----------
WINDOW WINDOW
WAL (MONTHS) WAL (MONTHS)
<S> <C> <C> <C> <C>
CLASS A-4 4.77 10/02-9/10 2.46 6/01-1/02
96 8
CLASS A-5 6.24 10/02-7/10 4.68 1/02-9/07
94 69
CLASS B 4.05 5/02-4/07 3.67 5/02-2/05
60 34
- ----------------------------------------------------------
</TABLE>
NOTE:
1 The prepayment assumption is 100% of the prepayment curve (PPC), which
equates to a prepayment speed of 2% CPR in the first month, increasing by
2.22% per month to 22% CPR in month 10 and remaining at 22% thereafter.
2 If the Master Servicer does not exercise its optional termination right
within 90 days after the Optional Termination Date, the Trustee is required
to solicit bids for the purchase of all Mortgage Loans and REO Property
remaining in the Trust Fund. If satisfactory bids are received as set forth
in the Agreement, such remaining Mortgage Loans and REO Property will be
sold and the proceeds distributed to the Certificateholders in the same
priority as distributions on a Distribution Date.
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 5
Page 5 [MELLON BANK LOGO]
<TABLE>
<CAPTION>
PORTFOLIO BY LOAN PURPOSE
- ------------------------------------------------------------------------------------------------
PERCENT OF CURRENT
LOAN PURPOSE NUMBER OF LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Consolidation 1,872 111,156,679.79 82.73%
Convenience 26 1,218,699.55 0.91%
Home Improvement 20 892,363.83 0.66%
Personal 11 309,392.51 0.23%
Tax/Inv/Edu 7 303,214.07 0.23%
Vehicle 2 31,190.91 0.02%
Other 1 105,317.00 0.08%
No Data Available 452 20,339,706.58 15.14%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY REMAINING TERM
- ------------------------------------------------------------------------------------------------
REMAINING TERM PERCENT OF CURRENT
(MONTHS) NUMBER OF LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 - 60 87 1,393,722.02 1.04%
61 - 90 74 1,363,179.60 1.01%
91 - 120 188 6,696,367.20 4.98%
121 - 150 330 11,948,589.39 8.89%
151 - 180 1,712 112,954,706.03 84.07%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY PROPERTY STATE
- ------------------------------------------------------------------------------------------------
PERCENT OF CURRENT
PROPERTY STATE NUMBER OF LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Delaware 17 883,563.05 0.66%
District of Columbia 10 413,918.96 0.31%
Illinois 15 530,844.43 0.40%
Indiana 31 1,454,858.67 1.08%
Kentucky 51 3,703,064.29 2.76%
Maryland 152 7,986,440.54 5.94%
New Jersey 194 12,977,838.91 9.66%
North Carolina 29 1,968,285.90 1.46%
Ohio 749 43,905,169.98 32.68%
Pennsylvania 950 48,712,552.29 36.26%
Virginia 193 11,820,027.22 8.80%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 6
Page 6 [MELLON BANK LOGO]
<TABLE>
<CAPTION>
PORTFOLIO BY COMBINED LTV
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
COMBINED LTV LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01% - 10.00% 1 13,646.98 0.01%
10.01% - 20.00% 16 370,082.57 0.28%
20.01% - 30.00% 42 1,087,326.16 0.81%
30.01% - 40.00% 68 2,121,347.25 1.58%
40.01% - 50.00% 92 3,110,184.58 2.31%
50.01% - 60.00% 142 6,271,121.32 4.67%
60.01% - 70.00% 244 11,718,800.45 8.72%
70.01% - 80.00% 389 22,201,499.67 16.52%
80.01% - 90.00% 1,394 87,371,172.95 65.03%
90.01% - 100.00% 3 91,382.31 0.07%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY PROPERTY TYPE
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
PROPERTY TYPE LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 2,166 123,675,727.97 92.05%
Townhouse 76 3,741,896.52 2.79%
Mobile Home 7 314,520.24 0.23%
Duplex 6 269,992.01 0.20%
Condomininum 8 275,545.85 0.21%
Multi-Family 2 104,551.37 0.08%
Other 62 2,313,527.00 1.72%
No Data Available 64 3,660,803.28 2.72%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY LIEN POSITION
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
LIEN POSITION LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First Lien 1,653 108,957,200.06 81.10%
Second Lien 671 21,593,898.67 16.07%
Third Lien 1 60,681.20 0.05%
No Data Available 66 3,744,784.31 2.79%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 7
Page 7 [MELLON BANK LOGO]
<TABLE>
<CAPTION>
PORTFOLIO BY OCCUPANCY TYPE
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
OCCUPANCY LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 2,224 126,853,507.26 94.42%
Rental 42 1,614,759.52 1.20%
Second Home 9 426,195.27 0.32%
Other 51 1,709,943.78 1.27%
No Data Available 65 3,752,158.41 2.79%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY COUPON
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
COUPON RANGE LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.01 - 7.50 147 9,858,138.67 7.34%
7.51 - 8.00 895 63,524,625.41 47.28%
8.01 - 8.50 400 20,961,543.82 15.60%
8.51 - 9.00 424 23,163,575.11 17.24%
9.01 - 9.50 220 8,348,479.36 6.21%
9.51 - 10.00 108 3,351,987.43 2.49%
10.01 - 10.50 47 1,240,734.92 0.92%
10.51 - 11.50 101 2,983,025.41 2.22%
11.51 - 12.50 37 752,766.84 0.56%
12.51 - 13.50 9 141,968.42 0.11%
13.51 - 14.50 3 29,718.85 0.02%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO BY CURRENT BALANCE
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
CURRENT BALANCE LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 - 10,000 63 459,290.22 0.34%
10,001 - 20,000 234 3,523,668.32 2.62%
20,001 - 30,000 341 8,641,911.30 6.43%
30,001 - 40,000 318 11,210,693.33 8.34%
40,001 - 50,000 307 13,732,531.57 10.22%
50,001 - 60,000 252 13,820,936.90 10.29%
60,001 - 70,000 212 13,806,894.72 10.28%
70,001 - 80,000 181 13,489,881.95 10.04%
- ------------------------------------------------------------------------------------------------
</TABLE>
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
<PAGE> 8
Page 8 [MELLON BANK LOGO]
<TABLE>
<CAPTION>
PORTFOLIO BY CURRENT BALANCE
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
CURRENT BALANCE LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
80,001 - 90,000 117 9,970,312.48 7.42%
90,001 - 100,000 100 9,535,247.20 7.10%
100,001 - 125,000 144 15,949,471.60 11.87%
125,001 - 150,000 57 7,829,771.96 5.83%
150,001 - 175,000 29 4,650,558.81 3.46%
175,001 - 200,000 18 3,351,824.50 2.49%
200,001 - 225,000 3 651,125.43 0.48%
225,001 - 250,000 8 1,900,471.80 1.41%
250,001 - 275,000 7 1,831,972.15 1.36%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE RATES
- ------------------------------------------------------------------------------------------------
NUMBER OF PERCENT OF CURRENT
MORTGAGE RATES LOANS CURRENT BALANCE BALANCE
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.01 - 7.50 254 18,179,169.71 13.53%
7.51 - 8.00 893 63,397,891.42 47.19%
8.01 - 8.50 355 16,617,118.44 12.37%
8.51 - 9.00 382 20,246,917.75 15.07%
9.01 - 9.50 204 7,461,401.05 5.55%
9.51 - 10.00 106 3,305,851.43 2.46%
10.01 - 10.50 47 1,240,734.92 0.92%
10.51 - 11.50 101 2,983,025.41 2.22%
11.51 - 12.50 37 752,766.84 0.56%
12.51 - 13.50 9 141,968.42 0.11%
13.51 - 14.50 3 29,718.85 0.02%
- ------------------------------------------------------------------------------------------------
TOTALS: 2,391 134,356,564.24 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Additional information is available upon request. Information herein is believed
to be reliable but J.P. Morgan does not warrant its completeness or accuracy.
These materials are subject to change from time to time without notice. Past
performance is not indicative of future results. Any description of the
collateral contained herein supersedes any previous collateral information and
will be superseded by the final prospectus relating to the securities. These
materials are not intended as an offer or solicitation for the purchase or sale
of any financial instrument, and may not be relied upon by you in evaluating the
merits of investing in the securities described herein. Any investment decision
with respect to the securities should be made by you based solely upon the
information contained in the final prospectus relating to the securities. No
assurance or representation can be made as to the actual rate or timing of
principal payments or prepayments on any of the collateral or the performance
characteristics of the securities. This information was prepared in reliance on
information regarding the collateral furnished by the seller of the collateral.
J.P. Morgan and/or its affiliates and employees may hold a position or act as
market maker in the financial instruments of any issuer discussed herein or act
as underwriter, placement agent, advisor or lender to such issuer. J.P. Morgan
Securities Inc. is a member of SIPC. Copyright 1999 J.P. Morgan & Co.
Incorporated. Clients should contact analysts at and execute transactions
through a J.P. Morgan entity in their home jurisdiction unless governing law
permits otherwise.
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