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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) September 20, 1999
SALOMON BROTHERS MORTGAGE SECURITIES VII, INC. (as depositor under a
Pooling and Servicing Agreement dated as of August 1, 1999 providing
for, inter alia, the issuance of Floating Rate Mortgage
Pass-Through Certificates, Series 1999-NC4)
Salomon Brothers Mortgage Securities VII, Inc.
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(Exact name of registrant as specified in its charter)
Delaware 333-72647 13-3439681
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(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
390 Greenwich Street, 4th Floor
New York, New York 10013
-------------------------- -----
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code, is (212) 723-8604
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<PAGE>
Item 2. Acquisition or Disposition of Assets
------------------------------------
On August 25, 1999 (the "Closing Date"), a single series of
certificates, entitled Salomon Brothers Mortgage Securities VII, Inc., Floating
Rate Mortgage Pass Through Certificates, Series 1999-NC4 (the "Certificates"),
were issued pursuant to the Pooling and Servicing Agreement, dated as of August
1, 1999 (the "Agreement") among Salomon Brothers Mortgage Securities VII, Inc.
(the "Depositor"), New Century Mortgage Corporation, Firstar Bank, N.A.(the
"Trustee") and U.S. Bank National Association (the "Trust Administrator"). On
September 20, 1999 following the closing of the initial issuance of the
Certificates, the Trust Administrator purchased from the Depositor certain
Subsequent Mortgage Loans, as defined in the Agreement, with an aggregate
principal balance equal to approximately $103,845,625.02 with funds on deposit
in the pre-funding account (the "Pre- Funding Account") established pursuant to
the Agreement at a purchase price equal to the principal balance thereof, which
Subsequent Mortgage Loans were conveyed to the Trust Administrator pursuant to a
Subsequent Transfer Instrument, dated September 20, 1999, between the Depositor
and the Trust Administrator (the "Instrument"). Attached to the Instrument is
the Mortgage Loan Schedule listing the Subsequent Mortgage Loans that are the
subject of such Instrument.
Item 5. Other Events
------------
Description of the Mortgage Pool
The Certificates, issued pursuant to the Agreement, evidence in the
aggregate the entire beneficial ownership interest in a trust fund (the "Trust
Fund"), consisting primarily of a segregated pool (the "Mortgage Pool") of
conventional, one- to four- family, first lien adjustable-rate mortgage loans
having original terms to maturity of not greater than 30 years (the "Mortgage
Loans"). As of the Closing Date, the Trust Fund primarily consisted of (i) the
Mortgage Pool, which consisted of Mortgage Loans having an aggregate principal
balance of approximately $446,140,938.08 as of August 1, 1999 and (ii) the
Pre-Funding Account, which contained approximately $103,859,061.92.
As more fully described above, on September 20, 1999, the Depositor
purchased the Subsequent Mortgage Loans with the funds on deposit in the
Pre-Funding Account. The tables attached as an exhibit hereto describe certain
characteristics of the Mortgage Pool as of September, 1999, the end of the
"Funding Period" (as defined in the Agreement).
2
<PAGE>
Item 7. Financial Statements and Exhibits
---------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibits
Exhibit No. Description
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4.2 Subsequent Transfer Instrument, dated as of September
20, 1999 between Salomon Brothers Mortgage Securities
VII, Inc. as seller, and U.S. Bank National
Association, as trust administrator.
99.1 Characteristics of the Mortgage Pool as of September
20, 1999, relating to Salomon Brothers Mortgage
Securities VII, Inc., Floating Rate Mortgage
Pass-Through Certificates, Series 1999-NC4
3
<PAGE>
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.
SALOMON BROTHERS MORTGAGE
SECURITIES VII, INC.
By: /s/Matthew R. Bollo
--------------------------------
Name: Matthew R. Bollo
Title: Assistant Vice President
Dated: September 20, 1999
4
<PAGE>
EXHIBIT INDEX
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Exhibit No. Description Page
- ----------- ----------- ----
4.2 Subsequent Transfer Instrument
99.1 Characteristics of the Mortgage Pool
as of September 20, 1999, relating to
Salomon Brothers Mortgage Securities
VII, Inc., Floating Rate Mortgage Pass-Through Certificates,
Series 1999-NC4
5
Exhibit 4.2
-----------
SUBSEQUENT TRANSFER INSTRUMENT
Pursuant to this Subsequent Transfer Instrument, dated
September 20, 1999 (the "Instrument"), among Salomon Brothers Mortgage
Securities VII, Inc. as seller (the "Depositor"), Firstar Bank, N.A. as trustee
(the "Trustee") of the Salomon Brothers Mortgage Securities VII, Inc. Floating
Rate Mortgage Pass-Through Certificates, Series 1999-NC4 and U.S. Bank National
Association, as trust administrator (the "Trust Administrator"), and pursuant to
the Pooling and Servicing Agreement, dated as of August 1, 1999 (the "Pooling
and Servicing Agreement"), among the Depositor as depositor, New Century
Mortgage Corporation as master servicer, the Trustee as trustee and the Trust
Administrator as trust administrator, the Depositor and the Trustee agree to the
sale by the Depositor and the purchase by the Trustee on behalf of the Trust
Fund, of the Mortgage Loans listed on the attached Schedule of Mortgage Loans
(the "Subsequent Mortgage Loans").
Capitalized terms used but not otherwise defined herein shall
have the meanings set forth in the Pooling and Servicing Agreement.
Section 1. Conveyance of Subsequent Mortgage Loans.
---------------------------------------
(a) The Depositor does hereby sell, transfer, assign, set over
and convey to the Trustee on behalf of the Trust Fund, without recourse, all of
its right, title and interest in and to the Subsequent Mortgage Loans, and
including all amounts due on the Subsequent Mortgage Loans after the related
Subsequent Cut-off Date, and all items with respect to the Subsequent Mortgage
Loans to be delivered pursuant to Section 2.01 of the Pooling and Servicing
Agreement; provided, however that the Depositor reserves and retains all right,
title and interest in and to amounts due on the Subsequent Mortgage Loans on or
prior to the related Subsequent Cut-off Date. The Depositor, contemporaneously
with the delivery of this Agreement, has delivered or caused to be delivered to
the Trust Administrator each item set forth in Section 2.01 of the Pooling and
Servicing Agreement. The transfer to the Trustee by the Depositor of the
Subsequent Mortgage Loans identified on the Mortgage Loan Schedule shall be
absolute and is intended by the Depositor, the Master Servicer, the Trustee, the
Trust Administrator and the Certificateholders to constitute and to be treated
as a sale by the Depositor to the Trust Fund.
(b) The Depositor, concurrently with the execution and
delivery hereof, does hereby transfer, assign, set over and otherwise convey to
the Trustee without recourse for the benefit of the Certificateholders all the
right, title and interest of the Depositor, in, to and under the Subsequent
Mortgage Loan Purchase Agreement, dated the date hereof, among the Depositor as
purchaser, the Master Servicer as originator and NC Capital Corporation as
seller, to the extent of the Subsequent Mortgage Loans, a copy of which
agreement is annexed hereto as Attachment G.
(c) Additional terms of the sale are set forth on Attachment A
hereto.
<PAGE>
-2-
Section 2. Representations and Warranties; Conditions
Precedent.
------------------------------------------
(a) The Depositor hereby confirms that each of the conditions
precedent and the representations and warranties set forth in Section 2.11 of
the Pooling and Servicing Agreement are satisfied as of the date hereof.
(b) All terms and conditions of the Pooling and Servicing
Agreement are hereby ratified and confirmed; provided, however, that in the
event of any conflict, the provisions of this Instrument shall control over the
conflicting provisions of the Pooling and Servicing Agreement.
Section 3. Recordation of Instrument.
-------------------------
To the extent permitted by applicable law, this Instrument, or
a memorandum thereof if permitted under applicable law, is subject to
recordation in all appropriate public offices for real property records in all
of the counties or other comparable jurisdictions in which any or all of the
properties subject to the Mortgages are situated, and in any other appropriate
public recording office or elsewhere, such recordation to be effected by the
Master Servicer at the Certificateholders' expense on direction of the related
Certificateholders, but only when accompanied by an Opinion of Counsel to the
effect that such recordation materially and beneficially affects the interests
of the Certificateholders or is necessary for the administration or servicing of
the Mortgage Loans.
Section 4. Governing Law.
-------------
This Instrument shall be construed in accordance with the laws
of the State of New York and the obligations, rights and remedies of the parties
hereunder shall be determined in accordance with such laws, without giving
effect to principles of conflicts of law.
Section 5. Counterparts.
------------
This Instrument may be executed in one or more counterparts
and by the different parties hereto on separate counterparts, each of which,
when so executed, shall be deemed to be an original; such counterparts,
together, shall constitute one and the same instrument.
<PAGE>
-3-
Section 6. Successors and Assigns.
----------------------
This Instrument shall inure to the benefit of and be binding upon the
Depositor and the Trustee and their respective successors and assigns.
SALOMON BROTHERS MORTGAGE
SECURITIES VII, INC.
By:
--------------------------------
Name: Matthew R. Bollo
Title: Assistant Vice President
U.S. BANK NATIONAL ASSOCIATION,
as trust administrator
By:
--------------------------------
Name:
Title:
FIRSTAR BANK, N.A.,
as trustee
By:
--------------------------------
Name:
Title:
Attachments
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A. Additional terms of sale.
B. Schedule of Subsequent Mortgage Loans.
C. Depositor's Officer's certificate.
D. Opinions of Depositor's counsel (bankruptcy, corporate).
E. Trustee's Certificate.
F. Opinion of Trustee's Counsel.
G. Subsequent Mortgage Loan Purchase Agreement.
<PAGE>
ATTACHMENT A
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ADDITIONAL TERMS OF SALE
A. General
1. Subsequent Cut-off Date: September 1, 1999
2. Subsequent Transfer Date: September 20, 1999
3. Aggregate Principal Balance of the Subsequent Mortgage
Loans as of the Subsequent Cut-off Date: $______________
4. Purchase Price: 100.00%
B. The following representations and warranties with respect to each
Subsequent Mortgage Loan determined as of the Subsequent Cut-off Date is true
and correct: (i) the Subsequent Mortgage Loan may not be 30 or more days
delinquent as of the related Subsequent Cut-off Date (except with respect to
1.00% of the Subsequent Mortgage Loans, by aggregate principal balance as of the
related Subsequent Cut-off Date, which may be 30 or more days delinquent but
less than 60 days delinquent as of the related Subsequent Cut-off Date); (ii)
the stated term to maturity of the Subsequent Mortgage Loan will not be less
than 358 months and will not exceed 360 months; (iii) the Subsequent Mortgage
Loan may not provide for negative amortization; (iv) the Subsequent Mortgage
Loan will not have a Loan-to-Value Ratio greater than 95.00% the Subsequent
Mortgage Loans will have as of the Subsequent Cut-off Date, a weighted average
term since origination not in excess of 2 months; (vi) no Subsequent Mortgage
Loan shall have a Mortgage Rate less than 6.250% or greater than 15.000%; (vii)
the Subsequent Mortgage Loan will have been serviced by the Master Servicer
since origination or purchased by the Depositor; (viii) the Subsequent Mortgage
Loan must have a first Monthly Payment due on or before October 1, 1999; and
(ix) the Subsequent Mortgage Loan will be underwritten in accordance with the
criteria set forth under the section "The Mortgage Pool--Underwriting Standards;
Representations" in the Prospectus Supplement.
C. Following the purchase of the Subsequent Mortgage Loans by the Trust
Fund, the Mortgage Loans (including the Subsequent Mortgage Loans) will, as of
the Subsequent Cut-off Date: (i) have a weighted average original term to stated
maturity of not more than 360 months; (ii) have a weighted average Mortgage Rate
of not less than 6.130% and not more than 15.000%; (iii) have a weighted average
Loan-to-Value Ratio of not more than 79.30%; (iv) have no Mortgage Loan with a
principal balance in excess of $1,000,000 and (v) have a weighted average Gross
Margin of not less than 6.150%, in each case, as applicable, by aggregate
principal balance of the Mortgage Loans as of the Subsequent Cut-off Date.
Notwithstanding the foregoing, any Subsequent Mortgage Loan may be rejected by
either Rating Agency if the inclusion of such Subsequent Mortgage Loan would
adversely affect the ratings on any class of Offered Certificates.
Exhibit 99.1
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THE MORTGAGE POOL
General
The Mortgage Pool will consist of approximately 4,426 conventional,
one- to four-family, adjustable-rate mortgage loans (the "Mortgage Loans")
secured by first liens on residential real properties (the "Mortgaged
Properties") and having an aggregate principal balance as of September 1, 1999
(the "Cut-off Date") of approximately $548,933,395 after application of
scheduled payments due on or before the Cut-off Date whether or not received and
subject to a permitted variance of plus or minus 5%. The Mortgage Loans have
original terms to maturity of not greater than 30 years.
Each Mortgage Loan provides for semi-annual adjustment to the Mortgage
Rate thereon (in the case of approximately 86.50%, 11.62% and approximately
0.01% of the Mortgage Loans by aggregate principal balance as of the Cut-off
Date, after an initial period of approximately two years, three years and five
years respectively, from the date of origination thereof (each such Mortgage
Loan, a "Delayed First Adjustment Mortgage Loan")), and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an "Adjustment Date"). On
each Adjustment Date, the Mortgage Rate on each Mortgage Loan will be adjusted
to equal the sum, rounded to the nearest multiple of 0.125%, of the Index (as
described below) and a fixed percentage amount (the "Gross Margin"); provided,
however, that the Mortgage Rate on each Mortgage Loan, including each Delayed
First Adjustment Mortgage Loan, will generally not increase or decrease by more
than a specified percentage ranging from 1.00% to 2.00% per annum (the "Periodic
Rate Cap"), as provided in the related Mortgage Note, on any related Adjustment
Date and will not exceed a specified maximum Mortgage Rate over the life of such
Mortgage Loan (the "Maximum Mortgage Rate") or be less than a specified minimum
Mortgage Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate").
Effective with the first monthly payment due on each Mortgage Loan after each
related Adjustment Date, the monthly payment amount will be adjusted to an
amount that will amortize fully the outstanding principal balance of the related
Mortgage Loan over its remaining term and pay interest at the Mortgage Rate as
so adjusted. Due to the application of the Periodic Rate Caps and the Maximum
Mortgage Rates, the Mortgage Rate on each Mortgage Loan, as adjusted on any
related Adjustment Date, may be less than the sum of the Index and Gross Margin,
calculated as described herein. See "--The Index" herein. None of the Mortgage
Loans permits the related mortgagor to convert the adjustable Mortgage Rate
thereon to a fixed Mortgage Rate.
The Mortgage Loans have scheduled monthly payments due generally on
the first day of the month (with respect to each Mortgage Loan, a "Due Date").
Each Mortgage Loan will contain a customary "due-on-sale" clause.
Approximately 81.21% of the Mortgage Loans provide for payment by the
mortgagor of a prepayment charge (a "Prepayment Charge") in limited
circumstances on certain prepayments as provided in the related Mortgage Note.
Such Mortgage Loans provide for payment of a Prepayment Charge on certain
partial prepayments and all prepayments in full made within a specified period
not in excess of five years from the date of origination of such Mortgage Loan,
as provided in the related Mortgage Note. The amount of the Prepayment Charge is
as provided in the related Mortgage Note, but is generally equal to six month's
interest on any amounts prepaid in excess of 20% of the then outstanding
principal balance of the related Mortgage Loan in any 12 month period, as
permitted by law. The holders of the Class P Certificates will be entitled to
all Prepayment Charges received on the Mortgage Loans, and such amounts will not
be available for distribution on the other classes of
<PAGE>
Certificates. Under certain instances, as described in the Agreement, the Master
Servicer may waive the payment of any otherwise applicable Prepayment Charge.
Investors should conduct their own analysis of the effect, if any, that the
Prepayment Charges, and decisions by the Master Servicer with respect to the
waiver thereof, may have on the prepayment performance of the Mortgage Loans.
The Depositor makes no representation as to the effect that the Prepayment
Charges, and decisions by the Master Servicer with respect to the waiver
thereof, may have on the prepayment performance of the Mortgage Loans.
None of the Mortgage Loans are Buydown Mortgage Loans.
The average principal balance of the Mortgage Loans at origination was
approximately $124,133. No Mortgage Loan had a principal balance at origination
greater than approximately $1,000,000 or less than approximately $17,925. The
average principal balance of the Mortgage Loans as of the Cut-off Date was
approximately $124,025. No Mortgage Loan had a principal balance as of the
Cut-off Date greater than approximately $998,845 or less than approximately
$17,918.
The Mortgage Loans had Mortgage Rates as of the Cut-off Date ranging
from approximately 6.130% per annum to approximately 15.000% per annum, and the
weighted average Mortgage Rate was approximately 9.665% per annum. As of the
Cut-off Date, the Mortgage Loans had Gross Margins ranging from approximately
4.500% to approximately 10.990%, Minimum Mortgage Rates ranging from
approximately 6.130% per annum to approximately 15.000% per annum and Maximum
Mortgage Rates ranging from approximately 12.750% per annum to approximately
22.000% per annum. As of the Cut- off Date, the weighted average Gross Margin
was approximately 6.181%, the weighted average Minimum Mortgage Rate was
approximately 9.665% per annum and the weighted average Maximum Mortgage Rate
was approximately 16.651% per annum. The latest first Adjustment Date following
the Cut-off Date on any Mortgage Loan occurs in September 2004 and the weighted
average next Adjustment Date for all of the Mortgage Loans following the Cut-off
Date is August 2001.
The weighted average loan-to-value ratio of the Mortgage Loans at
origination was approximately 78.99%. At origination no Mortgage Loan will have
a loan-to-value ratio greater than approximately 95.00% or less than
approximately 13.81%.
The weighted average remaining term to stated maturity of the Mortgage
Loans will be approximately 29 years and 10 months as of the Cut-off Date. None
of the Mortgage Loans will have a first Due Date prior to February 1998 or after
October 1999, or will have a remaining term to stated maturity of less than 14
years and 2 months or greater than 30 years as of the Cut-off Date. The latest
maturity date of any Mortgage Loan is September 2029.
The Mortgage Loans are expected to have the following characteristics
as of the Cut-off Date (the sum in any column may not equal the total indicated
due to rounding):
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AT ORIGINATION
% OF
NUMBER AGGREGATE ORIGINAL AGGREGATE ORIGINAL
RANGE ($) OF LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------- ------ ----------------- -------------------
<S> <C> <C> <C>
0.01 - 50,000.00 . . . . . . 549 $ 21,321,321.00 3.88%
50,000.01 - 100,000.00 . . . . . . 1,678 125,765,459.00 22.89
100,000.01 - 150,000.00 . . . . . . 1,096 134,612,251.00 24.50
150,000.01 - 200,000.00 . . . . . . 493 85,341,463.00 15.53
200,000.01 - 250,000.00 . . . . . . 245 54,843,770.00 9.98
250,000.01 - 300,000.00 . . . . . . 157 43,096,342.00 7.84
300,000.01 - 350,000.00 . . . . . . 84 27,180,497.00 4.95
350,000.01 - 400,000.00 . . . . . . 52 19,481,271.00 3.55
400,000.01 - 450,000.00 . . . . . . 25 10,782,275.00 1.96
450,000.01 - 500,000.00 . . . . . . 22 10,582,549.00 1.93
500,000.01 - 550,000.00 . . . . . . 6 3,137,500.00 0.57
550,000.01 - 600,000.00 . . . . . . 8 4,615,050.00 0.84
600,000.01 - 650,000.00 . . . . . . 1 630,700.00 0.11
650,000.01 - 700,000.00 . . . . . . 2 1,311,835.00 0.24
700,000.01 - 750,000.00 . . . . . . 3 2,227,634.00 0.41
750,000.01 - 800,000.00 . . . . . . 1 755,574.00 0.14
850,000.01 - 900,000.00 . . . . . . 1 857,500.00 0.16
900,000.01 - 950,000.00 . . . . . . 1 910,000.00 0.17
950,000.01 - 1,000,000.00 . . . . . . 2 1,960,000.00 0.36
----- ------------ ----
Total................................ 4,426 $549,412,991.00 100.00%
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RANGE ($) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------- -------- ------------------- -----------------
<S> <C> <C> <C>
0.01 - 50,000.00 .............. 549 $ 21,295,358.51 3.88%
50,000.01 - 100,000.00 .............. 1,679 125,757,692.62 22.91
100,000.01 - 150,000.00 .............. 1,095 134,398,612.13 24.48
150,000.01 - 200,000.00 .............. 493 85,264,236.99 15.53
200,000.01 - 250,000.00 .............. 245 54,798,786.33 9.98
250,000.01 - 300,000.00 .............. 157 43,056,029.30 7.84
300,000.01 - 350,000.00 .............. 84 27,158,999.15 4.95
350,000.01 - 400,000.00 .............. 52 19,465,198.49 3.55
400,000.01 - 450,000.00 .............. 25 10,771,869.88 1.96
450,000.01 - 500,000.00 .............. 22 10,572,866.00 1.93
500,000.01 - 550,000.00 .............. 6 3,135,105.70 0.57
550,000.01 - 600,000.00 .............. 8 4,612,419.68 0.84
600,000.01 - 650,000.00 .............. 1 630,329.55 0.11
650,000.01 - 700,000.00 .............. 2 1,310,668.25 0.24
700,000.01 - 750,000.00 .............. 3 2,226,809.86 0.41
750,000.01 - 800,000.00 .............. 1 754,664.68 0.14
850,000.01 - 900,000.00 .............. 1 856,338.89 0.16
900,000.01 - 950,000.00 .............. 1 909,618.39 0.17
950,000.01 - 1,000,000.00 .............. 2 1,957,790.22 0.36
----- -------------- -------
Total .................................. 4,426 $548,933,394.62 100.00%
===== ============== ======
</TABLE>
<PAGE>
MORTGAGE RATES OF THE MORTGAGE LOANS AT ORIGINATION
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
6.000 - 6.499.............. 3 $ 464,415.61 0.08%
6.500 - 6.999.............. 22 2,871,600.12 0.52
7.000 - 7.499.............. 43 5,220,599.90 0.95
7.500 - 7.999.............. 249 38,561,261.19 7.02
8.000 - 8.499.............. 210 33,880,985.22 6.17
8.500 - 8.999.............. 686 109,899,440.94 20.02
9.000 - 9.499.............. 469 59,776,807.79 10.89
9.500 - 9.999.............. 900 117,040,778.40 21.32
10.000 - 10.499............. 462 49,994,668.66 9.11
10.500 - 10.999............. 619 68,344,523.79 12.45
11.000 - 11.499............. 245 22,768,706.71 4.15
11.500 - 11.999............. 228 18,546,873.16 3.38
12.000 - 12.499............. 79 6,322,108.23 1.15
12.500 - 12.999............. 122 9,157,939.30 1.67
13.000 - 13.499............. 34 2,203,677.54 0.40
13.500 - 13.999............. 39 2,646,065.38 0.48
14.000 - 14.499............. 11 901,716.53 0.16
14.500 - 14.999............. 3 191,750.30 0.03
15.000 - 15.499............. 2 139,475.85 0.03
--- ------------- -----
Total.................. 4,426 $548,933,394.62 100.00%
===== ============== ======
MORTGAGE RATES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
6.000 - 6.499................ 3 $ 464,415.61 0.08%
6.500 - 6.999................ 22 2,871,600.12 0.52
7.000 - 7.499................ 43 5,220,599.90 0.95
7.500 - 7.999................ 249 38,561,261.19 7.02
8.000 - 8.499................ 210 33,880,985.22 6.17
8.500 - 8.999................ 686 109,899,440.94 20.02
9.000 - 9.499................ 469 59,776,807.79 10.89
9.500 - 9.999................ 900 117,040,778.40 21.32
10.000 - 10.499............... 462 49,994,668.66 9.11
10.500 - 10.999............... 619 68,344,523.79 12.45
11.000 - 11.499............... 245 22,768,706.71 4.15
11.500 - 11.999............... 228 18,546,873.16 3.38
12.000 - 12.499............... 79 6,322,108.23 1.15
12.500 - 12.999............... 122 9,157,939.30 1.67
13.000 - 13.499............... 34 2,203,677.54 0.40
13.500 - 13.999............... 39 2,646,065.38 0.48
14.000 - 14.499............... 11 901,716.53 0.16
14.500 - 14.999............... 3 191,750.30 0.03
15.000 - 15.499............... 2 139,475.85 0.03
----- --------------- ------
Total.................... 4,426 $548,933,394.62 100.00%
===== ============== ======
<PAGE>
MAXIMUM MORTGAGE RATES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
MAXIMUM NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
12.500 - 12.999.............. 1 $ 86,925.09 0.02%
13.000 - 13.499.............. 5 646,373.55 0.12
13.500 - 13.999.............. 25 3,607,180.02 0.66
14.000 - 14.499.............. 45 5,574,418.66 1.02
14.500 - 14.999.............. 251 38,206,336.85 6.96
15.000 - 15.499.............. 213 34,551,397.26 6.29
15.500 - 15.999.............. 689 110,858,587.28 20.20
16.000 - 16.499.............. 472 59,611,215.54 10.86
16.500 - 16.999.............. 898 116,406,818.64 21.21
17.000 - 17.499.............. 454 49,198,513.75 8.96
17.500 - 17.999.............. 616 67,851,806.20 12.36
18.000 - 18.499.............. 244 22,858,232.30 4.16
18.500 - 18.999.............. 228 18,587,059.02 3.39
19.000 - 19.499.............. 78 6,049,647.18 1.10
19.500 - 19.999.............. 119 8,863,046.85 1.61
20.000 - 20.499.............. 33 2,096,828.37 0.38
20.500 - 20.999.............. 39 2,646,065.38 0.48
21.000 - 21.499.............. 11 901,716.53 0.16
21.500 - 21.999.............. 3 191,750.30 0.03
22.000 - 22.499.............. 2 139,475.85 0.03
----- --- ---------- ------
Total................... 4,426 $548,933,394.62 100.00%
===== ============== ======
MINIMUM MORTGAGE RATES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
MINIMUM NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
6.000 - 6.499............... 3 $ 464,415.61 0.08%
6.500 - 6.999............... 22 2,871,600.12 0.52
7.000 - 7.499............... 43 5,220,599.90 0.95
7.500 - 7.999............... 249 38,561,261.19 7.02
8.000 - 8.499............... 210 33,880,985.22 6.17
8.500 - 8.999............... 686 109,899,440.94 20.02
9.000 - 9.499............... 469 59,776,807.79 10.89
9.500 - 9.999............... 900 117,040,778.40 21.32
10.000 - 10.499.............. 462 49,994,668.66 9.11
10.500 - 10.999.............. 619 68,344,523.79 12.45
11.000 - 11.499.............. 245 22,768,706.71 4.15
11.500 - 11.999.............. 228 18,546,873.16 3.38
12.000 - 12.499.............. 79 6,322,108.23 1.15
12.500 - 12.999.............. 122 9,157,939.30 1.67
13.000 - 13.499.............. 34 2,203,677.54 0.40
13.500 - 13.999.............. 39 2,646,065.38 0.48
14.000 - 14.499.............. 11 901,716.53 0.16
14.500 - 14.999.............. 3 191,750.30 0.03
15.000 - 15.499.............. 2 139,475.85 0.03
----- -------------- ------
Total................... 4,426 $548,933,394.62 100.00%
===== ============== ======
<PAGE>
GROSS MARGINS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN(%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- --------------- -------- ----------------- -----------------
4.500 - 4.749................ 19 $ 2,172,069.62 0.40%
4.750 - 4.999................ 16 1,989,274.71 0.36
5.000 - 5.249................ 5 567,284.32 0.10
5.250 - 5.499................ 3 419,588.70 0.08
5.500 - 5.749................ 12 2,358,071.80 0.43
5.750 - 5.999................ 1,398 197,542,353.73 35.99
6.000 - 6.249................ 1,057 133,991,754.18 24.41
6.250 - 6.499................ 146 20,332,654.90 3.70
6.500 - 6.749................ 938 110,042,848.66 20.05
6.750 - 6.999................ 759 71,976,627.47 13.11
7.000 - 7.249................ 43 4,479,926.25 0.82
7.250 - 7.499................ 9 1,031,251.18 0.19
7.500 - 7.749................ 8 778,874.50 0.14
7.750 - 7.999................ 3 258,883.40 0.05
8.000 - 8.249................ 2 150,707.67 0.03
8.250 - 8.499................ 2 400,724.36 0.07
8.500 - 8.749................ 1 27,901.35 0.01
9.250 - 9.499................ 1 159,897.97 0.03
9.750 - 9.999................ 3 189,075.38 0.03
10.750 -10.999............... 1 63,624.47 0.01
- --------- ----
Total................... 4,426 $548,933,394.62 100.00%
===== ============== ======
<TABLE>
<CAPTION>
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN-TO-VALUE RATIO(%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ---------------------- -------- ----------------- ----------------
<S> <C> <C> <C>
Less than or equal to 25.00....... 6 $ 212,630.26 0.04%
25.01 - 30.00..................... 10 680,946.40 0.12
30.01 - 35.00..................... 11 677,491.44 0.12
35.01 - 40.00..................... 18 996,844.67 0.18
40.01 - 45.00..................... 32 3,555,725.16 0.65
45.01 - 50.00..................... 48 3,869,072.86 0.70
50.01 - 55.00..................... 66 5,593,385.52 1.02
55.01 - 60.00..................... 107 11,169,061.27 2.03
60.01 - 65.00..................... 237 25,396,029.72 4.63
65.01 - 70.00..................... 393 41,678,590.02 7.59
70.01 - 75.00..................... 663 77,981,430.91 14.21
75.01 - 80.00..................... 1,192 147,804,197.55 26.93
80.01 - 85.00..................... 987 133,619,999.09 24.34
85.01 - 90.00..................... 639 93,599,870.96 17.05
90.01 - 95.00..................... 17 2,098,118.79 0.38
-- ------------ ----
Total........................ 4,426 $548,933,394.62 100.00%
===== ============== ======
</TABLE>
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- -------- -------- ----------------- -----------------
Alabama...................... 1 $49,466.41 0.01%
Arizona...................... 89 10,229,976.46 1.86
Arkansas..................... 8 528,749.95 0.10
California................... 894 169,764,849.19 30.93
Colorado..................... 195 24,608,982.00 4.48
Connecticut.................. 22 2,634,606.15 0.48
Delaware..................... 4 481,368.66 0.09
District of Columbia......... 5 485,604.59 0.09
Florida...................... 283 28,458,581.17 5.18
Georgia...................... 101 12,446,902.88 2.27
Hawaii....................... 9 1,588,516.37 0.29
Idaho........................ 38 3,857,120.86 0.70
Illinois..................... 408 47,881,665.21 8.72
Indiana...................... 67 4,561,036.09 0.83
Iowa......................... 26 2,288,381.05 0.42
Kansas....................... 42 3,180,566.29 0.58
Kentucky..................... 7 638,687.82 0.12
Louisiana.................... 16 1,486,264.91 0.27
Maine........................ 20 1,865,704.54 0.34
Maryland..................... 29 5,436,582.21 0.99
Massachusetts................ 183 26,501,210.08 4.83
Michigan..................... 185 16,173,580.65 2.95
Minnesota.................... 234 25,481,096.38 4.64
Mississippi.................. 12 848,046.52 0.15
Missouri..................... 67 5,393,649.70 0.98
Montana...................... 26 2,192,175.05 0.40
Nebraska..................... 4 295,329.16 0.05
Nevada....................... 97 14,047,322.38 2.56
New Hampshire................ 27 3,328,864.91 0.61
New Jersey................... 13 1,845,497.51 0.34
New Mexico................... 81 8,276,447.66 1.51
North Carolina............... 60 5,262,819.38 0.96
North Dakota................. 4 325,850.82 0.06
Ohio......................... 233 19,323,466.30 3.52
Oklahoma..................... 42 2,936,584.83 0.54
Oregon....................... 114 14,685,449.85 2.68
Pennsylvania................. 157 12,647,788.44 2.30
Rhode Island................. 16 1,581,598.76 0.29
South Carolina............... 25 2,485,614.01 0.45
Tennessee.................... 45 3,981,366.68 0.73
Texas........................ 200 17,142,071.44 3.12
Utah......................... 64 7,818,611.70 1.42
Vermont...................... 2 378,308.84 0.07
Virginia..................... 40 4,758,090.53 0.87
Washington................... 179 23,749,872.28 4.33
West Virginia................ 5 357,426.34 0.07
Wisconsin.................... 37 3,852,939.82 0.70
Wyoming...................... 10 788,701.79 0.14
-- ---------- ----
Total................... 4,426 $548,933,394.62 100.00%
===== ============== ======
<PAGE>
MORTGAGED PROPERTY TYPES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------- -------- ----------------- -----------------
Single Family.............. 3,669 $447,246,136.74 81.48%
Two- to Four-Family........ 275 35,056,116.31 6.39
Condominium................ 208 25,344,999.60 4.62
Planned Unit Development... 223 37,434,067.16 6.82
Manufactured Housing....... 51 3,852,074.81 0.70
-- ------------ ----
Total................. 4,426 $548,933,394.62 100.00%
===== ============== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ---------------- -------- ----------------- -----------------
Owner-Occupied.............. 3,981 $509,926,193.08 92.89%
Secondary................... 20 2,522,642.06 0.46
Non Owner Occupied.......... 425 36,484,559.48 6.65
--- ------------- ----
Total............... 4,426 $548,933,394.62 100.00%
===== ============== ======
The occupancy status of a Mortgaged Property is as represented by the
mortgagor in its loan application.
PURPOSE OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------ -------- ----------------- -----------------
Purchase..................... 1,162 $142,045,280.01 25.88%
Equity-out Refinance......... 2,485 314,278,811.90 57.25
Rate-term Refinance.......... 779 92,609,302.71 16.87
--- ------------- -----
Total................ 4,426 $548,933,394.62 100.00%
===== ============== ======
<PAGE>
<TABLE>
<CAPTION>
LOAN PROGRAMS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PROGRAM OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------ -------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation Program............. 2,974 $357,478,907.12 65.12%
Stated Income Documentation Program.... 1,452 191,454,487.50 34.88
----- -------------- ------
Total.......................... 4,426 $548,933,394.62 100.00%
===== ============== ======
</TABLE>
RISK CATEGORIES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORIES OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- --------------- -------- ----------------- -----------------
A+.......................... 1,491 $213,203,985.66 38.84%
A+MO*....................... 3 261,643.93 0.05
A-.......................... 1,283 165,447,049.25 30.14
A-MO*....................... 66 6,052,697.76 1.10
B........................... 785 90,523,723.54 16.49
C........................... 543 51,058,462.07 9.30
C-.......................... 123 11,205,139.06 2.04
C-HS**...................... 132 11,180,693.35 2.04
--- ------------- ----
Total................... 4,426 $548,933,394.62 100.00%
===== ============== ======
___________________
* Underwritten pursuant to the Mortgage Credit Only program.
** Underwritten pursuant to the Home Saver program.
<TABLE>
<CAPTION>
NEXT ADJUSTMENT DATES FOR THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MONTH OF NEXT ADJUSTMENT DATE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------------------- -------- ----------------- -----------------
<S> <C> <C> <C>
October 1999................. 1 $ 237,687.46 0.04%
December 1999................ 1 215,678.72 0.04
January 2000................. 24 3,707,571.43 0.68
February 2000................ 36 4,802,049.04 0.87
March 2000................... 9 1,361,600.00 0.25
June 2000.................... 2 290,209.37 0.05
July 2000.................... 2 357,693.62 0.07
September 2000............... 1 63,477.97 0.01
October 2000................. 1 101,135.03 0.02
November 2000................ 1 27,901.35 0.01
January 2001................. 2 179,672.81 0.03
February 2001................ 3 435,562.01 0.08
March 2001................... 14 1,544,219.62 0.28
</TABLE>
<PAGE>
April 2001................... 109 13,068,756.47 2.38
May 2001..................... 43 5,898,286.20 1.07
June 2001.................... 133 15,323,462.51 2.79
July 2001.................... 1,612 200,910,633.10 36.60
August 2001.................. 1,645 200,760,966.87 36.57
September 2001............... 276 35,817,468.87 6.52
November 2001................ 1 172,667.43 0.03
February 2002................ 2 182,041.65 0.03
March 2002................... 2 237,131.63 0.04
April 2002................... 12 1,482,129.17 0.27
May 2002..................... 4 967,089.47 0.18
June 2002.................... 21 2,330,594.97 0.42
July 2002.................... 172 22,127,287.74 4.03
August 2002.................. 246 30,620,943.11 5.58
September 2002............... 50 5,664,477.00 1.03
September 2004............... 1 45,000.00 0.01
----- --------------- ------
Total..................... 4,426 $548,933,394.62 100.00%
===== ============== ======
PERIODIC RATE CAPS ON THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
PERIODIC RATE CAP OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
1.00................... 83 $ 10,063,767.70 1.83%
1.50................... 4,342 538,816,989.07 98.16
2.00................... 1 52,637.85 0.01
----- --------------- ------
Total............. 4,426 $548,933,394.62 100.00%
===== =============== ======
