UNITED STATES
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) June 23, 1999
--------------------------------
PaineWebber Mortgage Acceptance Corporation IV (as depositor under the Sale and
Master Servicing Agreement, dated as of June 1, 1999, relating to the Fremont
Home Loan Owner Trust 1999-2, Home Loan Asset Backed Notes, Series 1999-2)
Painewebber Mortgage Acceptance Corporation IV
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-61785 06-1204982
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) Identification No.)
1285 Avenue of the Americas
New York, New York 10019
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 713-2000
------------------------------
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report.)
<PAGE>
ITEM 5. OTHER EVENTS
------------
The Fremont Home Loan Owner Trust 1999-2 (the "ISSUER") was formed
pursuant to an owner trust agreement, dated as of June 1, 1999, and entered into
by PaineWebber Mortgage Acceptance Corporation IV, as depositor (the
"DEPOSITOR"), Wilmington Trust Company, as owner trustee, First Union National
Bank ("FIRST UNION"), as paying agent, and Fremont Investment and Loan
("FREMONT"). The Issuer issued the Home Loan Asset Backed Notes pursuant to an
indenture, dated as of June 1, 1999, between the Issuer and First Union, as
indenture trustee.
As of the Closing Date, assets of the Issuer will consist primarily
of fixed rate and adjustable rate home loans (the "LOANS") as described herein
which are secured by first lien mortgages, deeds of trust or other similar
security instruments.
The statistical information presented in the Prospectus Supplement,
dated June 16, 1999 (the "PROSPECTUS SUPPLEMENT"), concerning the Loans is based
on the characteristics as of May 25, 1999 of a portion of the Loans that will be
transferred to the Issuer on the Closing Date. Capitalized terms used in this
Form 8-K and not defined herein shall have the meaning assigned to such terms in
the Prospectus Supplement. Attached hereto as Exhibit 99 to this Form 8-K is
information, as of June 1, 1999 (the "CUT-OFF DATE"), concerning all of the
Loans that will be transferred to the Issuer on the Closing Date.
ITEM 7. FINANCIAL STATEMENTS AND EXHIBITS
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99) Information concerning the final
pool of Loans as of the Cut-Off
Date
<PAGE>
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.
PAINEWEBBER MORTGAGE ACCEPTANCE
CORPORATION IV
June 22, 1999
By: /S/ BARBARA DAWSON
-----------------------------
Name: Barbara Dawson
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Information concerning the final pool (E)
of Loans as of the Cut-Off Date
Exhibit 99. Information concerning the Loans as of the Cut-Off Date:
POOL 1 LOANS
------------
Number of Loans...................................... 959
Principal Balance
Aggregate.......................................... $79,823,236
Average............................................ $83,236
Range.............................................. $14,741 to $499,526
Current Loan Rate
Weighted Average................................... 10.129%
Range.............................................. 7.250% to 15.000%
Remaining Term to Maturity (months)
Weighted Average................................... 285 months
Range.............................................. 114 months to 360 months
Seasoning (months)
Weighted Average................................... 4 months
Range.............................................. 0 months to 18 months
Loan-to-Value Ratio
Weighted Average................................... 74.79%
Range.............................................. 17.62% to 91.78%
As of the Cut-Off Date, all of the Pool 1 Loans had original stated
maturities of not more than 30 years, and no Pool 1 Loan was scheduled to mature
later than June 1, 2029.
As of the Cut-Off Date, all of the Pool 1 Loans were secured by Mortgaged
Properties located in 44 states.
The following tables are based on certain statistical characteristics, as of
the Cut-Off Date, with respect to the portion of the Pool 1 Loans that have been
identified as of the date of this Prospectus Supplement. The sum of the dollar
amounts and percentages in the following tables may not equal the totals due to
rounding.
<PAGE>
POOL 1 - GEOGRAPHIC DISTRIBUTION
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ----- ------- -------
California................................ 205 $24,820,991 31.09%
Florida................................... 157 10,708,640 13.42
New York.................................. 69 7,121,975 8.92
Illinois.................................. 45 3,670,509 4.60
Washington................................ 27 2,817,059 3.53
Ohio...................................... 47 2,641,693 3.31
Michigan.................................. 48 2,052,486 2.57
Oregon.................................... 17 2,003,194 2.51
Georgia................................... 26 1,985,221 2.49
Pennsylvania.............................. 38 1,940,621 2.43
New Jersey................................ 22 1,904,493 2.39
Indiana................................... 35 1,889,555 2.37
Arizona................................... 22 1,498,181 1.88
Massachusetts............................. 14 1,358,864 1.70
Missouri.................................. 19 1,159,660 1.45
Tennessee................................. 17 1,152,426 1.44
Idaho..................................... 13 1,067,120 1.34
Utah...................................... 10 1,054,175 1.32
Nevada.................................... 8 1,052,043 1.32
Colorado.................................. 13 1,030,986 1.29
North Carolina............................ 10 844,513 1.06
Texas..................................... 9 728,331 0.91
Connecticut............................... 8 709,319 0.89
South Carolina............................ 10 569,111 0.71
Louisiana................................. 6 469,735 0.59
Oklahoma.................................. 8 435,147 0.55
Wisconsin................................. 8 395,164 0.50
Kansas.................................... 7 343,353 0.43
Mississippi............................... 8 306,211 0.38
Arkansas.................................. 5 283,236 0.35
Kentucky.................................. 5 279,760 0.35
Montana................................... 3 241,194 0.30
New Mexico................................ 2 238,607 0.30
New Hampshire............................. 3 233,728 0.29
Virginia.................................. 5 221,894 0.28
Minnesota................................. 2 184,376 0.23
Rhode Island.............................. 1 68,932 0.09
Hawaii.................................... 1 68,092 0.09
Maryland.................................. 1 65,553 0.08
Alaska.................................... 1 60,435 0.08
Iowa...................................... 1 48,289 0.06
West Virginia............................. 1 39,553 0.05
Delaware.................................. 1 30,758 0.04
Maine..................................... 1 28,053 0.04
----- ----------- ------
Total.................................. 959 $79,823,236 100.00%
===== =========== ======
<PAGE>
POOL 1 - PRINCIPAL BALANCES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
$ 10,000.01-$ 15,000.00................... 1 $ 14,741 0.02%
$ 15,000.01-$ 20,000.00................... 11 208,687 0.26
$ 20,000.01-$ 30,000.00................... 85 2,253,306 2.82
$ 30,000.01-$ 40,000.00................... 136 4,851,684 6.08
$ 40,000.01-$ 50,000.00................... 118 5,363,718 6.72
$ 50,000.01-$100,000.00................... 366 25,697,308 32.19
$100,000.01-$250,000.00................... 209 30,027,586 37.62
$250,000.01-$500,000.00................... 33 11,406,206 14.29
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
As of the Cut-Off Date, the average Principal Balance of the Pool 1 Loans was
approximately $83,236.
POOL 1 - CURRENT LOAN RATES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
7.001%- 8.000%.......................... 10 $ 1,947,920 2.44%
8.001%- 9.000%.......................... 154 17,945,337 22.48
9.001%-10.000%.......................... 259 23,631,562 29.60
10.001%-11.000%.......................... 264 20,772,743 26.02
11.001%-12.000%.......................... 138 8,780,835 11.00
12.001%-13.000%.......................... 87 4,452,205 5.58
13.001%-14.000%.......................... 44 2,196,678 2.75
14.001%-15.000%.......................... 3 95,955 0.12
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Loan Rate of the Pool 1 Loans
was approximately 10.129% per annum.
<PAGE>
POOL 1 - LOAN-TO-VALUE RATIOS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
15.001%-20.000%........................... 2 $ 44,417 0.06%
20.001%-25.000%........................... 3 104,872 0.13
25.001%-30.000%........................... 7 377,355 0.47
30.001%-35.000%........................... 16 597,332 0.75
35.001%-40.000%........................... 18 938,301 1.18
40.001%-45.000%........................... 14 538,313 0.67
45.001%-50.000%........................... 26 1,246,227 1.56
50.001%-55.000%........................... 24 1,490,797 1.87
55.001%-60.000%........................... 65 4,020,102 5.04
60.001%-65.000%........................... 65 3,976,416 4.98
65.001%-70.000%........................... 129 9,627,202 12.06
70.001%-75.000%........................... 158 13,780,159 17.26
75.001%-80.000%........................... 260 24,951,787 31.26
80.001%-85.000%........................... 94 10,635,532 13.32
85.001%-90.000%........................... 76 7,365,203 9.23
90.001%-95.000%........................... 2 129,220 0.16
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the Pool
1 Loans was approximately 74.79%.
POOL 1 - OCCUPANCY STATUS
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ----- ------- -------
Owner Occupied............................ 767 $66,789,518 83.67%
Non-Owner Occupied........................ 192 13,033,719 16.33
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
POOL 1 - MORTGAGED PROPERTY TYPES
NUMBER AGGREGATE % OF POOL
PROPERTY OF PRINCIPAL PRINCIPAL
TYPE LOANS BALANCE BALANCE
- -------- ----- ------- -------
Single Family............................. 820 $69,579,741 87.17%
2-4 Family................................ 80 6,604,088 8.27
Condominium............................... 37 2,325,491 2.91
Manufactured Housing...................... 22 1,313,916 1.65
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
<PAGE>
POOL 1 - MONTHS SINCE ORIGINATION
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN AGE (IN OF PRINCIPAL PRINCIPAL
MONTHS) LOANS BALANCE BALANCE
- --------------------- ----- ------- -------
0......................................... 116 $ 9,243,781 11.58%
1......................................... 126 10,652,135 13.34
2......................................... 205 17,288,445 21.66
3......................................... 50 3,943,681 4.94
4......................................... 57 5,975,237 7.49
5......................................... 23 1,506,351 1.89
6......................................... 102 8,477,947 10.62
7......................................... 80 6,596,561 8.26
8 or more................................. 200 16,139,097 20.22
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average number of months since
origination of the Pool 1 Loans was approximately 4 months.
POOL 1 - REMAINING TERMS TO MATURITY
NUMBER AGGREGATE % OF POOL
RANGE OF REMAINING TERMS TO OF PRINCIPAL PRINCIPAL
MATURITY (IN MONTHS) LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
1 to 170.................................. 24 $ 1,397,436 1.75%
171 to 180................................ 317 26,481,055 33.17
181 to 240................................ 73 5,301,220 6.64
241 to 350................................ 34 3,227,475 4.04
351 to 360................................ 511 43,416,050 54.39
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Pool 1 Loans was approximately 285 months.
POOL 1 - TRANSFEROR ASSIGNED RISK CATEGORIES
NUMBER AGGREGATE % OF POOL
TRANSFEROR ASSIGNED RISK OF PRINCIPAL PRINCIPAL
CATEGORIES LOANS BALANCE BALANCE
Loan Class A.............................. 221 $20,472,243 25.65%
Loan Class A-............................. 269 25,653,602 32.14
Loan Class B.............................. 231 18,837,706 23.60
Loan Class C.............................. 179 11,988,306 15.02
Loan Class C-............................. 33 1,538,449 1.93
Loan Class D.............................. 26 1,332,930 1.67
---- ----------- ------
Total.................................. 959 $79,823,236 100.00%
==== =========== ======
<PAGE>
Pool 2 Loan Statistics
As of the Cut-Off Date, the portion of the Pool 2 Loans that have been
identified as of the date of this Prospectus Supplement had the following
approximate characteristics:
POOL 2 LOANS
------------
Number of Loans...................................... 3,364
Principal Balance
Aggregate.......................................... $342,523,735
Average............................................ $101,820
Range.............................................. $14,945 to $289,342
Current Loan Rate
Weighted Average................................... 10.020%
Range.............................................. 6.990% to 13.990%
Gross Margin
Weighted Average................................... 6.272%
Range.............................................. 3.750% to 10.900%
Lifetime Caps
Weighted Average................................... 16.964%
Range.............................................. 13.000% to 20.990%
Lifetime Floors
Weighted Average................................... 10.002%
Range.............................................. 6.990% to 13.990%
Months to Next Change Date
Weighted Average................................... 28.27 months
Range.............................................. 1 month to 60 months
Remaining Term to Maturity (months)
Weighted Average................................... 358 months
Range.............................................. 168 months to 360 months
Seasoning (months)
Weighted Average................................... 2 months
Range.............................................. 0 months to 22 months
Loan-to-Value Ratio
Weighted Average................................... 77.77%
Range.............................................. 9.84% to 90.04%
As of the Cut-Off Date, all of the Pool 2 Loans had original stated
maturities of not more than 30 years, and no Pool 2 Loan was scheduled to mature
later than June 1, 2029.
As of the Cut-Off Date, all of the Pool 2 Loans were secured by Mortgaged
Properties located in 43 states and the District of Columbia.
The following tables are based on certain statistical characteristics, as of
the Cut-Off Date, with respect to the portion of the Pool 2 Loans that have been
identified. The sum of the dollar amounts and percentages in the following
tables may not equal the totals due to rounding.
<PAGE>
POOL 2 - GEOGRAPHIC DISTRIBUTION
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ----- ------- -------
California................................ 814 $109,822,605 32.06%
Illinois.................................. 307 28,136,842 8.21
Florida................................... 294 25,594,336 7.47
Washington................................ 186 20,161,788 5.89
New York.................................. 158 16,501,447 4.82
New Jersey................................ 147 16,215,798 4.73
Utah...................................... 143 15,380,268 4.49
Michigan.................................. 175 11,505,378 3.36
Ohio...................................... 132 9,446,820 2.76
Oregon.................................... 85 9,291,090 2.71
Arizona................................... 96 8,841,680 2.58
Nevada.................................... 76 8,595,538 2.51
Massachusetts............................. 65 7,810,991 2.28
Colorado.................................. 76 6,945,713 2.03
Indiana................................... 78 5,337,982 1.56
Missouri.................................. 59 4,387,708 1.28
Wisconsin................................. 58 4,313,369 1.26
Pennsylvania.............................. 55 3,531,693 1.03
Idaho..................................... 42 3,177,348 0.93
Connecticut............................... 27 3,111,116 0.91
North Carolina............................ 31 2,770,240 0.81
Georgia................................... 31 2,549,007 0.74
Maine..................................... 22 2,219,041 0.65
Montana................................... 27 1,963,838 0.57
Oklahoma.................................. 26 1,944,769 0.57
Kansas.................................... 22 1,826,655 0.53
New Hampshire............................. 21 1,746,132 0.51
Tennessee................................. 23 1,693,775 0.49
Minnesota................................. 20 1,478,617 0.43
Texas..................................... 12 1,287,544 0.38
Virginia.................................. 10 1,008,399 0.29
Maryland.................................. 5 555,091 0.16
South Carolina............................ 7 554,020 0.16
Arkansas.................................. 4 481,315 0.14
Delaware.................................. 3 474,312 0.14
District of Columbia...................... 4 393,440 0.11
Alaska.................................... 3 314,091 0.09
New Mexico................................ 6 313,646 0.09
Kentucky.................................. 5 233,353 0.07
Hawaii.................................... 1 189,073 0.06
Nebraska.................................. 4 181,657 0.05
Vermont................................... 2 146,766 0.04
Rhode Island.............................. 1 45,292 0.01
Mississippi............................... 1 44,15 0.01
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
<PAGE>
POOL 2 - PRINCIPAL BALANCES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
$ 10,000.01-$ 15,000.00................... 2 $ 29,933 0.01%
$ 15,000.01-$ 20,000.00................... 3 53,397 0.02
$ 20,000.01-$ 30,000.00................... 56 1,481,588 0.43
$ 30,000.01-$ 40,000.00................... 206 7,387,180 2.16
$ 40,000.01-$ 50,000.00................... 294 13,382,724 3.91
$ 50,000.01-$100,000.00................... 1,324 97,978,295 28.60
$100,000.01-$250,000.00................... 1,471 220,058,137 64.25
$250,000.01-$500,000.00................... 8 2,152,479 0.63
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the average Principal Balance of the Pool 2 Loans was
approximately $101,820.
POOL 2 - CURRENT LOAN RATES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
6.001%- 7.000%.......................... 1 $ 156,000 0.05%
7.001%- 8.000%.......................... 67 9,319,792 2.72
8.001%- 9.000%.......................... 539 65,244,658 19.05
9.001%-10.000%.......................... 1,132 122,426,309 35.74
10.001%-11.000%.......................... 1,008 93,052,710 27.17
11.001%-12.000%.......................... 455 39,396,151 11.50
12.001%-13.000%.......................... 143 11,532,943 3.37
13.001%-14.000%.......................... 19 1,395,171 0.41
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average Loan Rate of the Pool 2 Loans
was approximately 10.020% per annum.
<PAGE>
POOL 2 - DISTRIBUTION OF GROSS MARGINS
RANGE OF NUMBER AGGREGATE % OF POOL
GROSS OF PRINCIPAL PRINCIPAL
MARGINS LOANS BALANCE BALANCE
------- ----- ------- -------
3.501%-3.750%............................. 1 $ 82,011 0.02%
3.751%-4.000%............................. 3 301,735 0.09
4.001%-4.250%............................. 4 524,031 0.15
4.251%-4.500%............................. 4 263,756 0.08
4.501%-4.750%............................. 6 625,027 0.18
4.751%-5.000%............................. 6 544,397 0.16
5.001%-5.250%............................. 16 1,845,529 0.54
5.251%-5.500%............................. 258 28,852,673 8.42
5.501%-5.750%............................. 134 16,255,147 4.75
5.751%-6.000%............................. 785 88,313,294 25.78
6.001%-6.250%............................. 939 97,315,486 28.41
6.251%-6.500%............................. 228 24,224,170 7.07
6.501%-6.750%............................. 397 36,113,028 10.54
6.751%-7.000%............................. 133 11,201,078 3.27
7.001%-7.250%............................. 181 14,452,578 4.22
7.251%-7.500%............................. 70 5,267,218 1.54
7.501%-7.750%............................. 94 7,606,471 2.22
7.751%-8.000%............................. 54 4,309,889 1.26
8.001%-8.250%............................. 17 1,568,531 0.46
8.251%-8.500%............................. 20 1,831,792 0.53
8.501%-8.750%............................. 4 372,252 0.11
8.751%-9.000%............................. 2 102,546 0.03
9.001%-9.250%............................. 4 205,400 0.06
9.251%-9.500%............................. 3 283,068 0.08
Over 10.000%.............................. 1 62,629 0.02
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average Gross Margin of the Pool 2 Loans
was approximately 6.272% per annum.
<PAGE>
POOL 2 - DISTRIBUTION OF LIFETIME CAPS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LIFETIME CAPS LOANS BALANCE BALANCE
- ------------- ----- ------- -------
12.001%-13.000%........................... 1 $ 137,369 0.04%
13.001%-14.000%........................... 3 279,307 0.08
14.001%-15.000%........................... 82 11,476,677 3.35
15.001%-16.000%........................... 570 68,577,867 20.02
16.001%-17.000%........................... 1,144 122,398,819 35.73
17.001%-18.000%........................... 979 90,405,053 26.39
18.001%-19.000%........................... 434 37,267,795 10.88
19.001%-20.000%........................... 136 10,840,067 3.16
20.001%-21.000%........................... 15 1,140,782 0.33
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average Lifetime Cap on the Pool 2 Loans
was approximately 16.964% per annum.
POOL 2 - DISTRIBUTION OF LIFETIME FLOORS
RANGE OF NUMBER AGGREGATE % OF POOL
LIFETIME OF PRINCIPAL PRINCIPAL
FLOORS LOANS BALANCE BALANCE
------ ----- ------- -------
6.001%- 7.000%.......................... 1 $ 156,000 0.05%
7.001%- 8.000%.......................... 69 9,443,099 2.76
8.001%- 9.000%.......................... 551 66,801,851 19.50
9.001%-10.000%.......................... 1,140 123,361,539 36.02
10.001%-11.000%.......................... 996 91,654,750 26.76
11.001%-12.000%.......................... 450 38,777,461 11.32
12.001%-13.000%.......................... 140 11,091,012 3.24
13.001%-14.000%.......................... 17 1,238,023 0.36
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average Lifetime Floor of the Pool 2
Loans was approximately 10.002% per annum.
<PAGE>
POOL 2 - MONTH OF NEXT CHANGE DATE
NUMBER AGGREGATE % OF POOL
MONTH OF NEXT CHANGE OF PRINCIPAL PRINCIPAL
DATE LOANS BALANCE BALANCE
- -------------------- ----- ------- -------
July, 1999................................ 4 $ 344,917 0.10%
August, 1999.............................. 10 1,148,181 0.34
September, 1999........................... 21 2,436,185 0.71
October, 1999............................. 51 5,720,233 1.67
November, 1999............................ 41 4,329,994 1.26
December, 1999............................ 31 2,973,785 0.87
January, 2000............................. 15 1,574,868 0.46
April, 2000............................... 1 25,739 0.01
May, 2000................................. 1 52,815 0.02
June, 2000................................ 8 782,388 0.23
July, 2000................................ 12 969,879 0.28
August, 2000.............................. 21 1,423,588 0.42
September, 2000........................... 36 2,836,669 0.83
October, 2000............................. 54 5,139,622 1.50
November, 2000............................ 73 6,922,271 2.02
December, 2000............................ 108 10,385,580 3.03
January, 2001............................. 49 5,091,670 1.49
February, 2001............................ 74 6,775,501 1.98
March, 2001............................... 84 9,124,752 2.66
April, 2001............................... 503 54,005,765 15.77
May, 2001................................. 470 50,296,601 14.68
June, 2001................................ 445 46,051,552 13.44
July, 2001................................ 1 127,432 0.04
August, 2001.............................. 3 139,680 0.04
September, 2001........................... 10 762,713 0.22
October, 2001............................. 17 1,237,703 0.36
November, 2001............................ 19 1,539,417 0.45
December, 2001............................ 8 524,199 0.15
January, 2002............................. 8 964,135 0.28
February, 2002............................ 2 64,968 0.02
March, 2002............................... 32 2,745,098 0.80
April, 2002............................... 281 27,783,243 8.11
May, 2002................................. 274 27,534,829 8.04
June, 2002................................ 212 21,256,747 6.21
February, 2004............................ 2 122,511 0.04
April, 2004............................... 79 8,247,863 2.41
May, 2004................................. 143 13,710,357 4.00
June, 2004................................ 161 17,350,283 5.07
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average month of next Change Date of the
Pool 2 Loans was approximately October 2001.
<PAGE>
POOL 2 - LOAN-TO-VALUE RATIOS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
5.001%-10.000%.......................... 1 $ 30,000 0.01%
15.001%-20.000%.......................... 3 92,911 0.03
20.001%-25.000%.......................... 5 288,080 0.08
25.001%-30.000%.......................... 8 543,327 0.16
30.001%-35.000%.......................... 11 532,152 0.16
35.001%-40.000%.......................... 14 885,141 0.26
40.001%-45.000%.......................... 30 2,390,879 0.70
45.001%-50.000%.......................... 48 3,056,448 0.89
50.001%-55.000%.......................... 59 4,953,526 1.45
55.001%-60.000%.......................... 111 8,986,595 2.62
60.001%-65.000%.......................... 188 15,598,819 4.55
65.001%-70.000%.......................... 343 29,345,529 8.57
70.001%-75.000%.......................... 517 52,253,557 15.26
75.001%-80.000%.......................... 1,138 119,528,470 34.90
80.001%-85.000%.......................... 491 54,868,748 16.02
85.001%-90.000%.......................... 396 49,063,361 14.32
90.001%-95.000%.......................... 1 106,192 0.03
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the Pool
2 Loans was approximately 77.77%.
POOL 2 - OCCUPANCY STATUS
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ----- ------- -------
Owner Occupied............................ 2,906 $307,385,234 89.74%
Non-Owner Occupied........................ 458 35,138,501 10.26
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
POOL 2 - MORTGAGED PROPERTY TYPES
NUMBER AGGREGATE % OF POOL
PROPERTY OF PRINCIPAL PRINCIPAL
TYPE LOANS BALANCE BALANCE
- -------- ----- ------- -------
Single Family............................. 2,908 $297,634,247 86.89%
2-4 Family................................ 281 29,747,852 8.68
Condominium............................... 153 13,411,774 3.92
Manufactured Housing...................... 22 1,729,862 0.51
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
<PAGE>
POOL 2 - MONTHS SINCE ORIGINATION
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN AGE (IN OF PRINCIPAL PRINCIPAL
MONTHS) LOANS BALANCE BALANCE
- --------------------- ----- ------- -------
0......................................... 832 $ 86,301,468 25.20%
1......................................... 928 95,873,757 27.99
2......................................... 893 93,663,432 27.35
3......................................... 123 12,599,804 3.68
4......................................... 83 7,533,838 2.20
5......................................... 54 6,000,988 1.75
6......................................... 123 11,347,116 3.31
7......................................... 101 9,577,906 2.80
8 or more................................. 227 19,625,427 5.73
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average number of months since
origination of the Pool 2 Loans was approximately 2 months.
POOL 2 - REMAINING TERMS TO MATURITY
NUMBER AGGREGATE % OF POOL
RANGE OF REMAINING TERMS TO OF PRINCIPAL PRINCIPAL
MATURITY (IN MONTHS) LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
Up to 352................................. 237 $ 20,325,145 5.93%
353....................................... 102 9,717,607 2.84
354....................................... 119 11,059,261 3.23
355....................................... 55 6,046,160 1.77
356....................................... 81 7,264,074 2.12
357....................................... 122 12,669,379 3.70
358....................................... 895 93,869,568 27.41
359....................................... 923 95,342,673 27.84
360....................................... 830 86,229,868 25.17
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Pool 2 Loans was approximately 358 months.
POOL 2 - TRANSFEROR ASSIGNED RISK CATEGORIES
NUMBER AGGREGATE % OF POOL
TRANSFEROR ASSIGNED RISK OF PRINCIPAL PRINCIPAL
CATEGORIES LOANS BALANCE BALANCE
Loan Class A.............................. 449 $ 47,558,861 13.88%
Loan Class A-............................. 1,049 120,133,324 35.07
Loan Class B.............................. 930 95,244,831 27.81
Loan Class C.............................. 684 59,124,723 17.26
Loan Class C-............................. 166 13,644,958 3.98
Loan Class D.............................. 86 6,817,039 1.99
----- ------------ ------
Total.................................. 3,364 $342,523,735 100.00%
===== ============ ======
<PAGE>
Pool 3 Loan Statistics
As of the Cut-Off Date, the portion of the Pool 3 Loans that have been
identified as of the date of this Prospectus Supplement had the following
approximate characteristics:
POOL 3 LOANS
------------
Number of Loans...................................... 245
Principal Balance
Aggregate.......................................... $73,145,197
Average............................................ $298,552
Range.............................................. $240,300 to $499,392
Current Loan Rate
Weighted Average................................... 9.515%
Range.............................................. 7.250% to 12.990%
Gross Margin
Weighted Average................................... 6.174%
Range.............................................. 3.838% to 9.500%
Lifetime Caps
Weighted Average................................... 16.416
Range.............................................. 14.250% to 19.990%
Lifetime Floors
Weighted Average................................... 9.475%
Range.............................................. 7.250% to 12.990%
Months to Next Change Date
Weighted Average................................... 28.55 months
Range.............................................. 2 months to 60 months
Remaining Term to Maturity (months)
Weighted Average................................... 358 months
Range.............................................. 347 months to 360 months
Seasoning (months)
Weighted Average................................... 2 months
Range.............................................. 0 months to 22 months
Loan-to-Value Ratio
Weighted Average................................... 79.07%
Range.............................................. 49.42% to 90.00%
As of the Cut-Off Date, all of the Pool 3 Loans had original stated
maturities of not more than 30 years, and no Pool 3 Loan was scheduled to mature
later than June 1, 2029.
As of the Cut-Off Date, all of the Pool 3 Loans were secured by Mortgaged
Properties located in 24 states.
The following tables are based on certain statistical characteristics, as of
the Cut-Off Date, with respect to the portion of the Pool 3 Loans that have been
identified. The sum of the dollar amounts and percentages in the following
tables may not equal the totals due to rounding.
<PAGE>
POOL 3 - GEOGRAPHIC DISTRIBUTION
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ----- ------- -------
California................................ 149 $44,864,736 61.34%
Florida................................... 16 4,737,121 6.48
New Jersey................................ 13 3,802,281 5.20
Illinois.................................. 10 3,297,811 4.51
Washington................................ 10 2,824,513 3.86
New York.................................. 9 2,741,513 3.75
Colorado.................................. 5 1,530,310 2.09
Utah...................................... 5 1,417,698 1.94
Michigan.................................. 4 1,317,104 1.80
Ohio...................................... 5 1,305,615 1.78
Arizona................................... 2 643,423 0.88
Massachusetts............................. 2 587,465 0.80
Maryland.................................. 2 580,059 0.79
Indiana................................... 2 567,206 0.78
New Mexico................................ 2 508,206 0.69
Maine..................................... 1 299,923 0.41
Connecticut............................... 1 296,010 0.40
Wisconsin................................. 1 284,750 0.39
Oregon.................................... 1 274,780 0.38
Montana................................... 1 256,360 0.35
Minnesota................................. 1 255,048 0.35
Wyoming................................... 1 251,905 0.34
Vermont................................... 1 251,905 0.34
New Hampshire............................. 1 249,456 0.34
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
POOL 3 - PRINCIPAL BALANCES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
$100,000.01-$250,000.00................... 33 $ 8,097,414 11.07%
$250,000.01-$500,000.00................... 212 65,047,783 88.93
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the average Principal Balance of the Pool 3 Loans was
approximately $298,552.
<PAGE>
POOL 3 - CURRENT LOAN RATES
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
7.001%- 8.000%........................... 9 $ 2,568,066 3.51%
8.001%- 9.000%........................... 90 27,440,220 37.51
9.001%-10.000%........................... 86 25,527,769 34.90
10.001%-11.000%........................... 44 12,996,310 17.77
11.001%-12.000%........................... 10 2,892,754 3.95
12.001%-13.000%........................... 6 1,720,079 2.35
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Loan Rate of the Pool 3 Loans
was approximately 9.515% per annum.
POOL 3 - DISTRIBUTION OF GROSS MARGINS
RANGE OF NUMBER AGGREGATE % OF POOL
GROSS OF PRINCIPAL PRINCIPAL
MARGINS LOANS BALANCE BALANCE
------- ----- ------- -------
3.751%-4.000%............................. 1 $ 277,862 0.38%
4.501%-4.750%............................. 2 618,230 0.85
5.251%-5.500%............................. 26 7,788,088 10.65
5.501%-5.750%............................. 20 6,704,071 9.17
5.751%-6.000%............................. 74 22,050,857 30.15
6.001%-6.250%............................. 51 14,599,266 19.96
6.251%-6.500%............................. 18 5,290,723 7.23
6.501%-6.750%............................. 29 8,991,173 12.29
6.751%-7.000%............................. 11 3,142,587 4.30
7.001%-7.250%............................. 6 1,774,866 2.43
7.501%-7.750%............................. 1 244,934 0.33
8.001%-8.250%............................. 4 1,112,101 1.52
8.751%-9.000%............................. 1 258,343 0.35
9.251%-9.500%............................. 1 292,097 0.40
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Gross Margin of the Pool 3 Loans
was approximately 6.174% per annum.
<PAGE>
POOL 3 - DISTRIBUTION OF LIFETIME CAPS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LIFETIME CAPS LOANS BALANCE BALANCE
- ------------- ----- ------- -------
14.001%-15.000%........................... 12 $ 3,602,971 4.93%
15.001%-16.000%........................... 94 28,532,134 39.01
16.001%-17.000%........................... 88 26,067,905 35.64
17.001%-18.000%........................... 39 11,552,304 15.79
18.001%-19.000%........................... 7 1,959,972 2.68
19.001%-20.000%........................... 5 1,429,911 1.95
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Lifetime Cap on the Pool 3 Loans
was approximately 16.416% per annum.
POOL 3 - DISTRIBUTION OF LIFETIME FLOORS
RANGE OF NUMBER AGGREGATE % OF POOL
LIFETIME OF PRINCIPAL PRINCIPAL
FLOORS LOANS BALANCE BALANCE
------ ----- ------- -------
7.001%- 8.000%.......................... 9 $ 2,568,066 3.51%
8.001%- 9.000%.......................... 91 27,797,260 38.00
9.001%-10.000%.......................... 89 26,275,358 35.92
10.001%-11.000%.......................... 44 13,114,631 17.93
11.001%-12.000%.......................... 6 1,669,803 2.28
12.001%-13.000%.......................... 6 1,720,079 2.35
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Lifetime Floor of the Pool 3
Loans was approximately 9.475% per annum.
<PAGE>
POOL 3 - MONTH OF NEXT CHANGE DATE
NUMBER AGGREGATE % OF POOL
MONTH OF NEXT CHANGE OF PRINCIPAL PRINCIPAL
DATE LOANS BALANCE BALANCE
- -------------------- ----- ------- -------
August, 1999.............................. 1 $ 295,615 0.40%
September, 1999........................... 2 630,959 0.86
October, 1999............................. 7 2,085,836 2.85
November, 1999............................ 4 1,221,985 1.67
January, 2000............................. 4 1,113,654 1.52
July, 2000................................ 1 297,131 0.41
August, 2000.............................. 1 327,777 0.45
September, 2000........................... 3 916,588 1.25
October, 2000............................. 2 609,333 0.83
November, 2000............................ 3 1,108,804 1.52
December, 2000............................ 8 2,475,233 3.38
January, 2001............................. 3 894,489 1.22
February, 2001............................ 7 2,209,453 3.02
March, 2001............................... 7 2,021,042 2.76
April, 2001............................... 44 13,110,085 17.92
May, 2001................................. 31 9,294,992 12.71
June, 2001................................ 23 7,041,800 9.63
September, 2001........................... 1 294,299 0.40
October, 2001............................. 1 275,206 0.38
November, 2001............................ 1 358,749 0.49
March, 2002............................... 1 261,994 0.36
April, 2002............................... 20 5,850,641 8.00
May, 2002................................. 20 5,708,855 7.80
June, 2002................................ 16 4,875,010 6.66
April, 2004............................... 8 2,177,801 2.98
May, 2004................................. 12 3,498,368 4.78
June, 2004................................ 14 4,189,500 5.73
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average month of next Change Date of the
Pool 3 Loans was approximately October 2001.
<PAGE>
POOL 3 - LOAN-TO-VALUE RATIOS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
45.001%-50.000%........................... 1 $ 255,000 0.35%
50.001%-55.000%........................... 1 349,688 0.48
55.001%-60.000%........................... 10 3,007,198 4.11
60.001%-65.000%........................... 9 2,688,413 3.68
65.001%-70.000%........................... 18 5,200,918 7.11
70.001%-75.000%........................... 30 8,964,232 12.26
75.001%-80.000%........................... 89 26,840,272 36.69
80.001%-85.000%........................... 48 14,336,673 19.60
85.001%-90.000%........................... 39 11,502,802 15.73
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the Pool
3 Loans was approximately 79.07%.
POOL 3 - OCCUPANCY STATUS
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ----- ------- -------
Owner Occupied............................ 238 $71,081,454 97.18%
Non-Owner Occupied........................ 7 2,063,743 2.82
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
POOL 3 - MORTGAGED PROPERTY TYPES
NUMBER AGGREGATE % OF POOL
PROPERTY OF PRINCIPAL PRINCIPAL
TYPE LOANS BALANCE BALANCE
- -------- ----- ------- -------
Single Family............................. 238 $71,018,669 97.09%
Condominium............................... 6 1,776,840 2.43
2-4 Family................................ 1 349,688 0.48
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
<PAGE>
POOL 3 - MONTHS SINCE ORIGINATION
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN AGE (IN OF PRINCIPAL PRINCIPAL
MONTHS) LOANS BALANCE BALANCE
- --------------------- ----- ------- -------
0......................................... 53 $16,106,310 22.02%
1......................................... 64 18,787,042 25.68
2......................................... 76 22,381,776 30.60
3......................................... 9 2,538,084 3.47
4......................................... 8 2,529,459 3.46
5......................................... 2 574,482 0.79
6......................................... 8 2,475,233 3.38
7......................................... 5 1,714,021 2.34
8 or more................................. 20 6,038,790 8.26
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average number of months since
origination of the Pool 3 Loans was approximately 2 months.
POOL 3 - REMAINING TERMS TO MATURITY
NUMBER AGGREGATE % OF POOL
RANGE OF REMAINING TERMS TO OF PRINCIPAL PRINCIPAL
MATURITY (IN MONTHS) LOANS BALANCE BALANCE
- --------------------------- ----- ------- -------
Up to 352................................. 19 $ 5,743,175 7.85%
353....................................... 5 1,714,021 2.34
354....................................... 9 2,770,848 3.79
355....................................... 3 894,489 1.22
356....................................... 7 2,209,453 3.02
357....................................... 8 2,283,036 3.12
358....................................... 76 22,381,776 30.60
359....................................... 65 19,042,089 26.03
360....................................... 53 16,106,310 22.02
---- ----------- ------
Total.................................. 245 $73,145,197 100.00%
==== =========== ======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Pool 3 Loans was approximately 358 months.
POOL 3 - TRANSFEROR ASSIGNED RISK CATEGORIES
NUMBER AGGREGATE % OF POOL
TRANSFEROR ASSIGNED RISK OF PRINCIPAL PRINCIPAL
CATEGORIES LOANS BALANCE BALANCE
- ------------------------ ----- ------- -------
Loan Class A.............................. 46 $14,249,556 19.48%
Loan Class A-............................. 107 32,009,765 43.76
Loan Class B.............................. 66 19,518,418 26.68
Loan Class C.............................. 17 4,780,431 6.54
Loan Class C-............................. 6 1,700,358 2.32
Loan Class D.............................. 3 886,669 1.21
---- ----------- ------
Total..................................... 245 $73,145,197 100.00%
==== =========== ======
