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 23, 1999
PaineWebber Mortgage Acceptance Corporation IV (as depositor under the Pooling
and Master Servicing Agreement, dated as of September 1, 1999, relating to the
Fremont Home Loan Trust 1999-3, Home Loan Asset Backed Certificates, Series
1999-3)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
DELAWARE 333-79283 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
On September 23, 1999, (the "Closing Date") Fremont Home Loan Trust 1999-3
(the "Trust") issued the Home Loan Asset Backed Certificates, Series 1999-3,
Class A-1, Class A-2 and Class B (the "OFFERED CERTIFICATES"), having an
aggregate original principal balance of $500,507,334. The Offered Certificates
were issued pursuant to a Pooling and Master Servicing Agreement, dated as of
September 1, 1999 (the "POOLING AND SERVICING AGREEMENT"), among PaineWebber
Mortgage Acceptance Corporation IV, as depositor, Fremont Investment & Loan, as
transferor and master servicer, and The Bank of New York, as trustee. The Home
Loan Asset Backed Certificates, Series 1999-3, Class X and Class R (together
with the Offered Certificates, the "CERTIFICATES") were also issued pursuant to
the Pooling and Servicing Agreement. The Certificates represent, in the
aggregate, the entire beneficial ownership interest in a separate trust fund
(the "TRUST FUND"), the property of which is, as of the Closing Date, primarily
comprised of two pools of fixed-rate and adjustable-rate home loans (the
"INITIAL POOL 1 LOANS" and the "INITIAL POOL 2 LOANS", and collectively, the
"Initial 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
September 20, 1999 (the "PROSPECTUS SUPPLEMENT"), concerning the Initial Loans
is based on the characteristics of a portion of such Initial Loans as of August
25, 1999. 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 concerning all of the
Initial Loans as of September 1, 1999 (the "CUT-OFF DATE").
ITEM 7. FINANCIAL STATEMENTS AND EXHIBITS
(c) Exhibits
ITEM 601(A)
OF REGULATION S-K
EXHIBIT NO. DESCRIPTION
- ----------- -----------
(99) Information concerning the
final pools of Initial 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
October 1, 1999
By: /s/ Barbara Dawson
------------------------------
Name: Barbara Dawson
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
PAPER (P) OR
EXHIBIT NO. DESCRIPTION ELECTRONIC
- ----------- ----------- ----------
(99) Information concerning the final pools (E)
of Initial Loans as of the Cut-Off Date
Exhibit 99
Information concerning the Initial Loans as of the Cut-Off Date:
Initial Pool 1 Loan Statistics
As of the Cut-Off Date, the portion of the Initial Pool 1 Loans that have
been identified had the following approximate characteristics:
INITIAL POOL 1 LOANS
Number of Initial Pool 1 Loans.......................... 2,519
Principal Balance
Aggregate............................................. $253,412,047
Average............................................... $100,600
Range................................................. $11,958 to $290,868
Current Loan Rate
Weighted Average...................................... 9.952%
Range................................................. 7.250% to 14.000%
Current Loan Rate (fixed-rate loans)
Weighted Average...................................... 10.028%
Range................................................. 7.750% to 13.900%
Current Loan Rate (adjustable-rate loans)
Weighted Average...................................... 9.946%
Range................................................. 7.250% to 14.000%
Gross Margin (adjustable-rate loans)
Weighted Average...................................... 6.234%
Range................................................. 3.750% to 10.000%
Lifetime Caps (adjustable-rate loans)
Weighted Average...................................... 16.841%
Range................................................. 13.500% to 21.000%
Lifetime Floors (adjustable-rate loans)
Weighted Average...................................... 9.931%
Range................................................. 7.250% to 14.000%
Months to Next Change Date (adjustable-rate loans)
Weighted Average...................................... 28 months
Range................................................. 1 month to 60 months
Remaining Term to Maturity (months)
Weighted Average...................................... 355 months
Range................................................. 118 months to 360
months
Seasoning (months)
Weighted Average...................................... 3 months
Range................................................. 0 months to 17 months
Loan-to-Value Ratio
Weighted Average...................................... 78.53%
Range................................................. 14.370% to 90.000 %
As of the Cut-Off Date, all of the Initial Pool 1 Loans had original stated
maturities of not more than 30 years, and no Initial Pool 1 Loan was scheduled
to mature later than September 1, 2029.
As of the Cut-Off Date, all of the Initial Pool 1 Loans were secured by
mortgaged properties located in 46 states and the District of Columbia.
<PAGE>
The following tables are based on statistical characteristics as of the
Cut-Off Date, with respect to the portion of the Initial Pool 1 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.
POOL 1 - GEOGRAPHIC DISTRIBUTION
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ----- ------- -------
California................................ 586 $ 77,904,978 30.74%
Illinois.................................. 198 18,222,721 7.19
Florida................................... 206 17,500,502 6.91
Washington................................ 141 16,444,794 6.49
New York.................................. 113 11,501,535 4.54
New Jersey................................ 104 10,935,046 4.32
Utah...................................... 93 9,556,990 3.77
Michigan.................................. 138 9,330,005 3.68
Ohio...................................... 102 7,139,311 2.82
Arizona................................... 81 7,095,377 2.80
Massachusetts............................. 54 6,861,829 2.71
Oregon.................................... 62 6,735,589 2.66
Colorado.................................. 61 6,310,250 2.49
Nevada.................................... 40 4,549,777 1.80
Missouri.................................. 61 4,289,855 1.69
Indiana................................... 59 4,011,074 1.58
Pennsylvania.............................. 58 3,486,414 1.38
Georgia................................... 35 3,321,273 1.31
North Carolina............................ 32 3,045,901 1.20
Idaho..................................... 34 2,736,703 1.08
Wisconsin................................. 37 2,686,862 1.06
Connecticut............................... 23 2,081,352 0.82
New Hampshire............................. 17 1,681,882 0.66
Kansas.................................... 20 1,678,489 0.66
Minnesota................................. 21 1,643,724 0.65
South Carolina............................ 15 1,406,869 0.56
Texas..................................... 16 1,398,824 0.55
Maryland.................................. 12 1,318,141 0.52
Oklahoma.................................. 17 1,308,312 0.52
New Mexico................................ 12 1,086,854 0.43
Alaska.................................... 9 1,073,203 0.42
Tennessee................................. 11 789,873 0.31
Montana................................... 9 726,244 0.29
Rhode Island.............................. 7 658,177 0.26
Maine..................................... 5 456,988 0.18
Virginia.................................. 4 415,398 0.16
Delaware.................................. 3 357,196 0.14
Kentucky.................................. 5 352,118 0.14
Hawaii.................................... 2 257,354 0.10
Mississippi............................... 2 186,869 0.07
Vermont................................... 2 177,781 0.07
West Virginia............................. 3 164,851 0.07
Arkansas.................................. 2 150,796 0.06
Nebraska.................................. 2 121,093 0.05
Louisiana................................. 3 114,706 0.05
District of Columbia...................... 1 75,789 0.03
Iowa...................................... 1 62,380 0.02
---- ------------- ----
Total.................................. 2,519 $253,412,047 100.00%
===== ============ =======
<PAGE>
POOL 1 - PRINCIPAL BALANCES
NUMBER AGGREGATE % OF POOL
RANGE OF PRINCIPAL OF PRINCIPAL PRINCIPAL
BALANCES LOANS BALANCE BALANCE
- -------- ----- ------- -------
$10,000.01-$15,000.00..................... 2 $ 26,926 0.01%
$15,000.01-$20,000.00..................... 6 119,843 0.05
$20,000.01-$30,000.00..................... 55 1,490,254 0.59
$30,000.01-$40,000.00..................... 150 5,328,842 2.10
$40,000.01-$50,000.00..................... 185 8,446,281 3.34
$50,000.01-$100,000.00.................... 1,031 76,472,605 30.18
$100,000.01-$250,000.00................... 1,087 160,688,043 63.41
$250,000.01-$500,000.00................... 3 819,253 0.32
------ --------------- --------
Total.................................. 2,519 $253,412,047 100.00%
===== ============ ======
As of the Cut-Off Date, the average principal balance of the Initial Pool 1
Loans was approximately $100,600.
POOL 1 - CURRENT LOAN RATES
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN OF PRINCIPAL PRINCIPAL
RATES LOANS BALANCE BALANCE
- ------------- ----- ------- -------
7.001% - 8.000%......................... 49 $ 6,705,483 2.65%
8.001% - 9.000%......................... 440 53,330,261 21.04
9.001% -10.000%......................... 868 92,233,664 36.40
10.001% -11.000%......................... 710 65,034,357 25.66
11.001% -12.000%......................... 324 27,522,791 10.86
12.001% -13.000%......................... 102 7,097,316 2.80
13.001% -14.000%......................... 26 1,488,175 0.59
------ --------- --------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== ======
As of the Cut-Off Date, the weighted average loan interest rate of the
Initial Pool 1 Loans was approximately 9.952% per annum.
POOL 1 - CURRENT LOAN RATES - FIXED-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF LOAN OF PRINCIPAL FIXED-RATE
RATES LOANS BALANCE LOANS
- -------------- ----- ------- -----
7.001% - 8.000%......................... 2 $ 353,875 1.71%
8.001% - 9.000%......................... 45 4,831,091 23.30
9.001% -10.000%......................... 78 7,427,777 35.82
10.001% -11.000%......................... 66 4,796,259 23.13
11.001% -12.000%......................... 31 1,973,056 9.52
12.001% -13.000%......................... 20 877,269 4.23
13.001% -14.000%......................... 11 475,052 2.29
-- ------- ----
Total.................................. 253 $20,734,379 100.00%
=== ========== =======
As of the Cut-Off Date, the weighted average loan interest rate of the
fixed-rate Initial Pool 1 Loans was approximately 10.028% per annum.
<PAGE>
POOL 1 - CURRENT LOAN RATES - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF LOAN OF PRINCIPAL ADJUSTABLE-RATE
RATES LOANS BALANCE LOANS
- ------------- ----- ------- -----
7.001% - 8.000%...................... 47 $ 6,351,607 2.73%
8.001% - 9.000%...................... 395 48,499,170 20.84
9.001% -10.000%...................... 790 84,805,887 36.45
10.001% -11.000%...................... 644 60,238,098 25.89
11.001% -12.000%...................... 293 25,549,735 10.98
12.001% -13.000%...................... 82 6,220,047 2.67
13.001% -14.000%...................... 15 1,013,123 0.44
------ -------------- -------
Total............................... 2,266 $232,677,667 100.00%
===== -=========== =======
As of the Cut-Off Date, the weighted average loan interest rate of the
adjustable-rate Initial Pool 1 Loans was approximately 9.946% per annum.
POOL 1 - DISTRIBUTION OF GROSS MARGINS - ADJUSTABLE RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF OF PRINCIPAL ADJUSTABLE-RATE
GROSS MARGINS LOANS BALANCE LOANS
- ------------- ----- ------- -----
3.501% - 3.750%........................ 1 $ 48,464 0.02%
3.751% - 4.000%........................ 1 55,528 0.02
4.251% - 4.500%........................ 3 337,467 0.15
4.501% - 4.750%........................ 7 718,742 0.31
4.751% - 5.000%........................ 17 1,987,862 0.85
5.001% - 5.250%........................ 31 3,044,055 1.31
5.251% - 5.500%........................ 170 19,963,977 8.58
5.501% - 5.750%........................ 120 13,264,208 5.70
5.751% - 6.000%........................ 550 59,142,660 25.42
6.001% - 6.250%........................ 562 57,792,065 24.84
6.251% - 6.500%........................ 194 20,389,649 8.76
6.501% - 6.750%........................ 270 27,290,979 11.73
6.751% - 7.000%........................ 78 7,305,374 3.14
7.001% - 7.250%........................ 120 9,920,015 4.26
7.251% - 7.500%........................ 50 4,028,885 1.73
7.501% - 7.750%........................ 39 3,024,785 1.30
7.751% - 8.000%........................ 23 1,979,171 0.85
8.001% - 8.250%........................ 9 892,044 0.38
8.251% - 8.500%........................ 10 668,340 0.29
8.501% - 8.750%........................ 5 409,253 0.18
8.751% - 9.000%........................ 3 246,852 0.11
9.001% - 9.250%........................ 1 88,942 0.04
9.251% - 9.500%........................ 1 42,549 0.02
9.751% -10.000%........................ 1 35,801 0.02
------- ------------- --------
Total................................ 2,266 $232,677,667 100.00%
===== -=========== ======
As of the Cut-Off Date, the weighted average Gross Margin of the
adjustable-rate Initial Pool 1 Loans was approximately 6.234% per annum.
<PAGE>
POOL 1 - DISTRIBUTION OF LIFETIME CAPS - ADJUSTABLE RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF OF PRINCIPAL ADJUSTABLE-RATE
LIFETIME CAPS LOANS BALANCE LOANS
- ------------- ----- ------- -----
13.001%-14.000%........................ 8 $ 958,000 0.41%
14.001%-15.000%........................ 76 10,335,628 4.44
15.001%-16.000%........................ 430 51,527,800 22.15
16.001%-17.000%........................ 788 83,367,034 35.83
17.001%-18.000%........................ 596 55,523,760 23.86
18.001%-19.000%........................ 278 24,239,327 10.42
19.001%-20.000%........................ 78 5,885,345 2.53
20.001%-21.000%........................ 12 840,774 0.36
----- ------------ ------
Total............................... 2,266 $232,677,667 100.00%
===== =========== =======
As of the Cut-Off Date, the weighted average Lifetime Cap on the
adjustable-rate Initial Pool 1 Loans was approximately 16.841% per annum.
POOL 1 - DISTRIBUTION OF LIFETIME FLOORS - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
AGGREGATE BALANCE OF
RANGE OF NUMBER PRINCIPAL ADJUSTABLE-RATE
LIFETIME FLOORS OF LOANS BALANCE LOANS
- --------------- -------- ------- --------------
7.001%- 8.000%........................ 49 $ 6,525,366 2.80%
8.001%- 9.000%........................ 405 50,080,519 21.52
9.001%-10.000%........................ 788 84,202,917 36.19
10.001%-11.000%........................ 637 59,367,485 25.51
11.001%-12.000%........................ 291 25,333,540 10.89
12.001%-13.000%........................ 81 6,154,718 2.65
13.001%-14.000%........................ 15 1,013,123 0.44
-- ------------- ----
Total................................ 2,266 $232,677,667 100.00%
===== =========== =======
As of the Cut-Off Date, the weighted average Lifetime Floor of the
adjustable-rate Initial Pool 1 Loans was approximately 9.931% per annum.
<PAGE>
POOL 1 - MONTH OF NEXT CHANGE DATE - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
MONTH OF NEXT CHANGE OF PRINCIPAL ADJUSTABLE
DATE LOANS BALANCE RATE LOANS
- -------------------- ----- ------- ----------
October, 1999............................. 6 $ 865,067 0.37%
November, 1999............................ 9 939,406 0.40
December, 1999............................ 7 514,813 0.22
January, 2000............................. 18 1,605,749 0.69
February, 2000............................ 8 854,536 0.37
March, 2000............................... 3 648,720 0.28
April, 2000............................... 6 559,013 0.24
June, 2000................................ 4 386,826 0.17
July, 2000................................ 9 462,370 0.20
August, 2000.............................. 11 867,213 0.37
September, 2000........................... 18 1,983,006 0.85
October, 2000............................. 71 7,265,550 3.12
November, 2000............................ 125 12,673,491 5.45
December, 2000............................ 50 5,121,934 2.20
January, 2001............................. 22 2,320,293 1.00
February, 2001............................ 53 5,448,428 2.34
March, 2001............................... 47 4,792,794 2.06
April, 2001............................... 28 2,693,573 1.16
May, 2001................................. 25 2,452,378 1.05
June, 2001................................ 67 7,234,887 3.11
July, 2001................................ 350 38,149,508 16.40
August, 2001.............................. 307 31,370,172 13.48
September, 2001........................... 65 6,293,610 2.70
October, 2001............................. 11 947,603 0.41
November, 2001............................ 17 1,559,703 0.67
December, 2001............................ 8 605,159 0.26
January, 2002............................. 4 463,565 0.20
February, 2002............................ 5 330,887 0.14
March, 2002............................... 16 1,576,020 0.68
April, 2002............................... 22 2,727,682 1.17
May, 2002................................. 82 8,567,168 3.68
June, 2002................................ 28 2,841,969 1.22
July, 2002................................ 238 24,152,215 10.38
August, 2002.............................. 207 20,452,418 8.79
September, 2002........................... 52 5,273,040 2.27
June, 2003................................ 1 63,466 0.03
December, 2003............................ 1 138,893 0.06
May, 2004................................. 1 179,694 0.08
June, 2004................................ 13 1,306,601 0.56
July, 2004................................ 131 13,525,610 5.81
August, 2004.............................. 94 10,260,106 4.41
September, 2004........................... 26 2,202,530 0.95
------- ----------- -------
Total.................................. 2,266 $232,677,667 100.00%
====== =========== =======
As of the Cut-Off Date, the weighted average month of next interest rate
change date of the adjustable-rate Initial Pool 1 Loans was approximately
January 1, 2002.
<PAGE>
POOL 1 - LOAN-TO-VALUE RATIOS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
10.001%-15.000%........................... 1 $ 24,977 0.01%
15.001%-20.000%........................... 2 59,792 0.02
20.001%-25.000%........................... 5 232,327 0.09
25.001%-30.000%........................... 7 522,831 0.21
30.001%-35.000%........................... 10 573,380 0.23
35.001%-40.000%........................... 11 486,140 0.19
40.001%-45.000%........................... 17 968,061 0.38
45.001%-50.000%........................... 35 2,443,040 0.96
50.001%-55.000%........................... 27 1,960,563 0.77
55.001%-60.000%........................... 74 5,392,423 2.13
60.001%-65.000%........................... 129 10,453,389 4.13
65.001%-70.000%........................... 245 21,689,049 8.56
70.001%-75.000%........................... 380 39,244,755 15.49
75.001%-80.000%........................... 834 82,956,451 32.74
80.001%-85.000%........................... 362 40,742,281 16.08
85.001%-90.000%........................... 380 45,662,588 18.02
------ -------------- -------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== =======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the
Initial Pool 1 Loans was approximately 78.53%.
POOL 1 - OCCUPANCY STATUS
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ----- ------- -------
Owner Occupied............................ 2,272 $235,330,872 92.86%
Non-Owner Occupied........................ 247 18,081,175 7.14
------ ---------- ------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== ======
<PAGE>
POOL 1 - MORTGAGED PROPERTY TYPES
NUMBER AGGREGATE % OF POOL
PROPERTY OF PRINCIPAL PRINCIPAL
TYPE LOANS BALANCE BALANCE
- -------- ----- ------- -------
Single Family............................. 2,201 $223,580,821 88.23%
2 Family.................................. 147 14,230,434 5.62
Condominium............................... 101 8,630,893 3.41
4 Family.................................. 22 2,638,322 1.04
Manufactured Housing...................... 32 2,399,961 0.95
3 Family.................................. 16 1,931,615 0.76
----- ------------- --------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== =======
POOL 1 - MONTHS SINCE ORIGINATION
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN AGE (IN OF PRINCIPAL PRINCIPAL
MONTHS) LOANS BALANCE BALANCE
- --------------------- ----- ------- -------
0......................................... 166 $ 15,132,743 5.97%
1......................................... 715 71,296,184 28.13
2......................................... 846 86,619,695 34.18
3......................................... 120 12,356,871 4.88
4......................................... 108 11,048,459 4.36
5......................................... 59 6,415,438 2.53
6......................................... 55 5,383,246 2.12
7......................................... 60 6,161,058 2.43
8 or more................................. 390 38,998,353 15.39
------ ------------- -------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== ======
As of the Cut-Off Date, the weighted average number of months since
origination of the Initial Pool 1 Loans was approximately 3 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
- --------------------------- ----- ------- -------
Up to 352................................. 429 $ 41,804,685 16.50%
353....................................... 56 5,825,167 2.30
354....................................... 55 5,383,246 2.12
355....................................... 59 6,415,438 2.53
356....................................... 103 10,618,351 4.19
357....................................... 120 12,356,871 4.88
358....................................... 831 85,635,586 33.79
359....................................... 704 70,501,109 27.82
360....................................... 162 14,871,593 5.87
--- ---------- ------
Total.................................. 2,519 $253,412,047 100.00%
===== ============ ======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Initial Pool 1 Loans was approximately 355 months.
<PAGE>
POOL 1 - TRANSFEROR ASSIGNED RISK CATEGORIES
NUMBER AGGREGATE % OF POOL
TRANSFEROR ASSIGNED RISK OF PRINCIPAL PRINCIPAL
CATEGORIES LOANS BALANCE BALANCE
- ------------------------- ----- ------- -------
Loan Class A.............................. 371 $ 38,302,746 15.11%
Loan Class A-............................. 813 94,362,900 37.24
Loan Class B.............................. 693 67,940,289 26.81
Loan Class C.............................. 496 41,734,176 16.47
Loan Class C-............................. 98 7,502,857 2.96
Loan Class D.............................. 48 3,569,078 1.41
----- ------------ ------
Total.................................. 2,519 $253,412,047 100.00%
===== =========== ======
<PAGE>
Initial Pool 2 Loan Statistics
As of the Cut-Off Date, the portion of the Initial Pool 2 Loans that have
been identified as of the date of this prospectus supplement had the following
approximate characteristics:
INITIAL POOL 2 LOANS
Number of Initial Pool 2 Loans.......................... 884
Principal Balance
Aggregate............................................. $125,648,916
Average............................................... $142,137
Range................................................. $19,257 to $499,779
Current Loan Rate
Weighted Average...................................... 9.820%
Range................................................. 7.500% to 14.000%
Current Loan Rate (fixed-rate loans)
Weighted Average...................................... 10.146%
Range................................................. 7.990% to 14.000%
Current Loan Rate (adjustable-rate loans)
Weighted Average...................................... 9.797%
Range................................................. 7.5000% to 13.400%
Gross Margin (adjustable-rate loans)
Weighted Average...................................... 6.221%
Range................................................. 4.250% to 8.750%
Lifetime Caps (adjustable-rate loans)
Weighted Average...................................... 16.700%
Range................................................. 12.990% to 20.250%
Lifetime Floors (adjustable-rate loans)
Weighted Average...................................... 9.778%
Range................................................. 6.990% to 13.400%
Months to Next Change Date (adjustable-rate loans)
Weighted Average...................................... 27 months
Range................................................. 1 month to 60 months
Remaining Term to Maturity (months)
Weighted Average...................................... 356 months
Range................................................. 173 months to 360
months
Seasoning (months)
Weighted Average...................................... 3 months
Range................................................. 0 months to 16 months
Loan-to-Value Ratio
Weighted Average...................................... 78.53%
Range................................................. 23.130% to 90.000%
<PAGE>
As of the Cut-Off Date, all of the Initial Pool 2 Loans had original stated
maturities of not more than 30 years, and no Initial Pool 2 Loan was scheduled
to mature later than September 1, 2029.
As of the Cut-Off Date, all of the Initial Pool 2 Loans were secured by
mortgaged properties located in 42 states.
The following tables are based on statistical characteristics, as of the
Cut-Off Date, with respect to the portion of the Initial 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.
POOL 2 - GEOGRAPHIC DISTRIBUTION
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ----- ------- -------
California................................ 257 $ 52,493,097 41.78%
Illinois.................................. 85 9,758,043 7.77
Washington................................ 54 7,603,167 6.05
New Jersey................................ 46 7,303,480 5.81
Florida................................... 67 6,869,523 5.47
New York.................................. 39 4,568,849 3.64
Michigan.................................. 40 4,341,514 3.46
Utah...................................... 26 3,924,073 3.12
Arizona................................... 24 3,125,494 2.49
Massachusetts............................. 23 2,801,697 2.23
Nevada.................................... 16 2,243,410 1.79
Ohio...................................... 31 2,081,238 1.66
Georgia................................... 9 1,868,661 1.49
Oregon.................................... 14 1,815,244 1.44
Colorado.................................. 18 1,513,167 1.20
Connecticut............................... 11 1,479,080 1.18
Pennsylvania.............................. 17 1,172,660 0.93
Missouri.................................. 14 924,334 0.74
Wisconsin................................. 8 881,033 0.70
Minnesota................................. 6 832,117 0.66
North Carolina............................ 6 822,353 0.65
Maryland.................................. 4 756,474 0.60
Kansas.................................... 6 726,597 0.58
Idaho..................................... 9 656,968 0.52
Hawaii.................................... 3 644,624 0.51
Montana................................... 4 559,224 0.45
New Mexico................................ 5 558,196 0.44
Indiana................................... 8 474,219 0.38
Virginia.................................. 2 433,918 0.35
New Hampshire............................. 5 389,942 0.31
Oklahoma.................................. 3 345,242 0.27
South Carolina............................ 4 328,460 0.26
Texas..................................... 5 269,499 0.21
Alaska.................................... 2 215,988 0.17
Kentucky.................................. 4 214,665 0.17
Vermont................................... 2 171,086 0.14
Arkansas.................................. 2 128,594 0.10
Louisiana................................. 1 113,909 0.09
Delaware.................................. 1 93,899 0.07
Tennessee................................. 1 69,676 0.06
Maine..................................... 1 39,902 0.03
Iowa...................................... 1 35,600 0.03
----- ------ ------
Total.................................. 884 $125,648,916 100.00
=== ============ ======
POOL 2 - PRINCIPAL BALANCES
NUMBER AGGREGATE % OF POOL
RANGE OF PRINCIPAL OF PRINCIPAL PRINCIPAL
BALANCES LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
$15,000.01 -.......$ 20,000.00 3 $ 59,224 0.05%
$20,000.01 -.......$ 30,000.00 13 365,160 0.29
$30,000.01 -.......$ 40,000.00 42 1,475,899 1.17
$40,000.01 -.......$ 50,000.00 48 2,172,883 1.73
$50,000.01 -.......$ 100,000.00 290 21,560,599 17.16
$100,000.01-.......$ 250,000.00 340 53,681,500 42.72
$250,000.01-.......$ 500,000.00 148 46,333,652 36.88
--- ---------- -----
Total.............................. 884 $125,648,916 100.00%
=== =========== =======
As of the Cut-Off Date, the average principal balance of the Initial Pool 2
Loans was approximately $142,137.
POOL 2 - CURRENT LOAN RATES
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN OF PRINCIPAL PRINCIPAL
RATES LOANS BALANCE BALANCE
- ------------ ----- ------- -------
7.001%- 8.000%.......................... 22 $ 3,504,467 2.79%
8.001%- 9.000%.......................... 147 27,395,732 21.80
9.001%-10.000%.......................... 341 52,118,844 41.48
10.001%-11.000%.......................... 246 30,555,816 24.32
11.001%-12.000%.......................... 96 9,270,663 7.38
12.001%-13.000%.......................... 24 2,078,368 1.65
13.001%-14.000%.......................... 8 725,025 0.58
----- -------------- -------
Total.................................. 884 $125,648,916 100.00%
=== =========== ======
As of the Cut-Off Date, the weighted average loan interest rate of the
Initial Pool 2 Loans was approximately 9.820% per annum.
POOL 2 - CURRENT LOAN RATES - FIXED-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF LOAN OF PRINCIPAL FIXED-RATE
RATES LOANS BALANCE LOANS
- ----- ----- ------- -----
7.001%- 8.000%.......................... 1 $ 92,612 1.15%
8.001%- 9.000%.......................... 11 1,456,227 18.04
9.001%-10.000%.......................... 25 2,574,839 31.91
10.001%-11.000%.......................... 21 2,506,372 31.06
11.001%-12.000%.......................... 9 959,484 11.89
12.001%-13.000%.......................... 3 184,265 2.28
13.001%-14.000%.......................... 5 296,208 3.67
--- ----------- -------
Total.................................. 75 $8,070,006 100.00%
=== ========== =======
As of the Cut-Off Date, the weighted average loan interest rate of the
fixed-rate Initial Pool 2 Loans was approximately 10.146% per annum.
<PAGE>
POOL 2 - CURRENT LOAN RATES - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
RANGE OF LOAN OF PRINCIPAL ADJUSTABLE-RATE
RATES LOANS BALANCE LOANS
- ------------- ----- ------- -----
7.001%- 8.000%....................... 21 $ 3,411,856 2.90%
8.001%- 9.000%....................... 136 25,939,505 22.06
9.001%-10.000%....................... 316 49,544,005 42.14
10.001%-11.000%....................... 225 28,049,444 23.86
11.001%-12.000%....................... 87 8,311,179 7.07
12.001%-13.000%....................... 21 1,894,103 1.61
13.001%-14.000%....................... 3 428,817 0.36
---- --------------- -------
Total............................... 809 $117,578,910 100.00%
=== ============== ======
As of the Cut-Off Date, the weighted average loan interest rate of the
adjustable-rate Initial Pool 2 Loans was approximately 9.797% per annum.
POOL 2 - DISTRIBUTION OF GROSS MARGINS - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
RANGE OF NUMBER AGGREGATE BALANCE OF
GROSS OF PRINCIPAL ADJUSTABLE-RATE
MARGINS LOANS BALANCE LOANS
------- ----- ------- -----
4.001 - 4.250%......................... 2 $ 99,103 0.08%
4.501 - 4.750%......................... 3 531,578 0.45
4.751 - 5.000%......................... 7 1,252,072 1.06
5.001 - 5.250%......................... 9 1,663,469 1.41
5.251 - 5.500%......................... 59 8,887,485 7.56
5.501 - 5.750%......................... 34 6,785,694 5.77
5.751 - 6.000%......................... 202 31,517,522 26.81
6.001 - 6.250%......................... 197 26,254,391 22.33
6.251 - 6.500%......................... 81 12,618,934 10.73
6.501 - 6.750%......................... 107 14,851,767 12.63
6.751 - 7.000%......................... 21 4,227,428 3.60
7.001 - 7.250%......................... 47 4,484,730 3.81
7.251 - 7.500%......................... 13 1,556,463 1.32
7.501 - 7.750%......................... 14 1,212,692 1.03
7.751 - 8.000%......................... 5 651,822 0.55
8.001 - 8.250%......................... 5 727,324 0.62
8.251 - 8.500%......................... 1 27,943 0.02
8.501 - 8.750%......................... 2 228,492 0.19
----- ----------- ------
Total............................... 809 $117,578,910 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average Gross Margin of the
adjustable-rate Initial Pool 2 Loans was approximately 6.221% per annum.
POOL 2 - DISTRIBUTION OF LIFETIME CAPS - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
AGGREGATE BALANCE OF
RANGE OF NUMBER PRINCIPAL ADJUSTABLE-RATE
LIFETIME CAPS LOANS BALANCE LOANS
- ------------- ----- ------- -----
12.001% - 13.000%...................... 1 $ 303,015 0.26%
13.001% - 14.000%...................... 4 752,065 0.64
14.001% - 15.000%...................... 30 5,044,936 4.29
15.001% - 16.000%...................... 147 27,003,822 22.97
16.001% - 17.000%...................... 308 48,434,830 41.19
17.001% - 18.000%...................... 213 25,854,989 21.99
18.001% - 19.000%...................... 82 7,862,333 6.69
19.001% - 20.000%...................... 22 2,044,008 1.74
20.001% - 21.000%...................... 2 278,912 0.24
---- ----------- -------
Total............................... 809 $117,578,910 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average Lifetime Cap on the
adjustable-rate Initial Pool 2 Loans was approximately 16.700% per annum.
POOL 2 - DISTRIBUTION OF LIFETIME FLOORS - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
RANGE OF NUMBER AGGREGATE BALANCE OF
LIFETIME OF PRINCIPAL ADJUSTABLE-RATE
FLOORS LOANS BALANCE LOANS
6.001%- 7.000%....................... 1 $ 303,015 0.26%
7.001%- 8.000%....................... 22 3,759,949 3.20
8.001%- 9.000%....................... 136 25,463,148 21.66
9.001%-10.000%....................... 318 50,266,854 42.75
10.001%-11.000%....................... 222 27,258,182 23.18
11.001%-12.000%....................... 86 8,204,842 6.98
12.001%-13.000%....................... 21 1,894,103 1.61
13.001%-14.000%....................... 3 428,817 0.36
----- ------------ ---------
Total............................... 809 $117,578,910 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average Lifetime Floor of the
adjustable-rate Initial Pool 2 Loans was approximately 9.778% per annum.
<PAGE>
POOL 2 - MONTH OF NEXT CHANGE DATE - ADJUSTABLE-RATE LOANS
% OF POOL
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
MONTH OF NEXT CHANGE OF PRINCIPAL ADJUSTABLE-RATE
DATE LOANS BALANCE LOANS
- -------------------- ----- ------- ---------------
October, 1999........................... 2 $ 410,930 0.35%
November, 1999.......................... 5 855,242 0.73
December, 1999.......................... 2 209,666 0.18
January, 2000........................... 8 1,209,886 1.03
February, 2000.......................... 4 632,570 0.54
April, 2000............................. 1 138,457 0.12
June, 2000.............................. 3 616,384 0.52
July, 2000.............................. 2 418,329 0.36
August, 2000............................ 3 519,598 0.44
September, 2000......................... 6 1,489,435 1.27
October, 2000........................... 27 3,755,078 3.19
November, 2000.......................... 35 6,253,650 5.32
December, 2000.......................... 11 1,282,585 1.09
January, 2001........................... 5 515,168 0.44
February, 2001.......................... 21 2,536,293 2.16
March, 2001............................. 20 2,717,180 2.31
April, 2001............................. 13 1,769,815 1.51
May, 2001............................... 12 1,865,371 1.59
June, 2001.............................. 29 4,200,843 3.57
July, 2001.............................. 135 20,244,573 17.22
August, 2001............................ 122 17,586,727 14.96
September, 2001......................... 19 2,188,250 1.86
October, 2001........................... 4 1,001,807 0.85
November, 2001.......................... 4 618,565 0.53
December, 2001.......................... 3 362,347 0.31
January, 2002........................... 4 449,897 0.38
February, 2002.......................... 2 329,904 0.28
March, 2002............................. 5 1,328,576 1.13
April, 2002............................. 6 778,063 0.66
May, 2002............................... 20 3,256,601 2.77
June, 2002.............................. 12 1,411,753 1.20
July, 2002.............................. 88 13,483,910 11.47
August, 2002............................ 81 10,957,830 9.32
September, 2002......................... 16 3,380,435 2.88
May, 2003............................... 1 80,032 0.07
June, 2004.............................. 5 336,469 0.29
July, 2004.............................. 29 3,670,959 3.12
August, 2004............................ 38 3,933,678 3.35
September, 2004......................... 6 782,050 0.67
Total................................ 809 $117,578,910 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average month of next interest rate
change date of the adjustable-rate Initial Pool 2 Loans was approximately
December 1, 2001.
<PAGE>
POOL 2 - LOAN-TO-VALUE RATIOS
NUMBER AGGREGATE % OF POOL
RANGE OF OF PRINCIPAL PRINCIPAL
LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ------------------- ----- ------- -------
20.001%-25.000%........................... 2 $ 56,984 0.05%
25.001%-30.000%........................... 5 205,159 0.16
30.001%-35.000%........................... 4 348,549 0.28
35.001%-40.000%........................... 4 194,359 0.15
40.001%-45.000%........................... 10 588,796 0.47
45.001%-50.000%........................... 7 386,165 0.31
50.001%-55.000%........................... 15 2,253,134 1.79
55.001%-60.000%........................... 27 3,919,300 3.12
60.001%-65.000%........................... 33 4,278,247 3.40
65.001%-70.000%........................... 64 8,019,601 6.38
70.001%-75.000%........................... 141 19,289,396 15.35
75.001%-80.000%........................... 303 43,753,422 34.82
80.001%-85.000%........................... 137 20,431,729 16.26
85.001%-90.000%........................... 132 21,924,075 17.45
Total.................................. 884 $125,648,916 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the
Initial Pool 2 Loans was approximately 78.53%.
POOL 2 - OCCUPANCY STATUS
NUMBER AGGREGATE % OF POOL
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ----- ------- -------
Owner Occupied............................ 805 $116,937,630 93.07%
Non-Owner Occupied........................ 79 8,711,286 6.93
Total.................................. 884 $125,648,916 100.00%
=== ============ =======
POOL 2 - MORTGAGED PROPERTY TYPES
NUMBER AGGREGATE % OF POOL
PROPERTY OF PRINCIPAL PRINCIPAL
TYPE LOANS BALANCE BALANCE
- ---- ----- ------- -------
Single Family............................. 772 $111,844,265 89.01%
2 Family.................................. 54 6,178,633 4.92
Condominium............................... 35 4,542,528 3.62
3 Family.................................. 11 1,886,459 1.50
Manufactured Housing...................... 10 954,172 0.76
4 Family.................................. 2 242,859 0.19
Total.................................. 884 $125,648,916 100.00%
=== ============ =======
<PAGE>
POOL 2 - MONTHS SINCE ORIGINATION
NUMBER AGGREGATE % OF POOL
RANGE OF LOAN AGE (IN OF PRINCIPAL PRINCIPAL
MONTHS) LOANS BALANCE BALANCE
- --------------------- ----- ------- -------
0......................................... 46 $ 6,692,135 5.33%
1......................................... 276 36,326,182 28.91
2......................................... 287 41,956,535 33.39
3......................................... 57 7,064,828 5.62
4......................................... 33 5,112,922 4.07
5......................................... 17 2,192,668 1.75
6......................................... 25 4,137,425 3.29
7......................................... 22 2,951,600 2.35
8 or more................................. 121 19,214,621 15.29
Total.................................. 884 $125,648,916 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average number of months since
origination of the Initial Pool 2 Loans was approximately 3 months.
POOL 2 - REMAINING TERMS TO MATURITY
AGGREGATE % OF POOL
RANGE OF REMAINING TERMS TO NUMBER PRINCIPAL PRINCIPAL
MATURITY (IN MONTHS) OF LOANS BALANCE BALANCE
- --------------------------- -------- ------- -------
Up to 352............................. 125 $ 19,744,600 15.71%
353................................... 21 2,858,123 2.27
354................................... 25 4,137,425 3.29
355................................... 17 2,192,668 1.75
356................................... 33 5,112,922 4.07
357................................... 57 7,064,828 5.62
358................................... 287 41,956,535 33.39
359................................... 273 35,889,679 28.56
360................................... 46 6,692,135 5.33
Total.............................. 884 $125,648,916 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Initial Pool 2 Loans was approximately 356 months.
POOL 2 - TRANSFEROR ASSIGNED RISK CATEGORIES
AGGREGATE % OF POOL
TRANSFEROR ASSIGNED RISK NUMBER PRINCIPAL PRINCIPAL
CATEGORIES OF LOANS BALANCE BALANCE
Loan Class A.............................. 141 $ 23,060,340 18.35%
Loan Class A-............................. 300 46,991,228 37.40
Loan Class B.............................. 244 32,571,241 25.92
Loan Class C.............................. 155 18,697,975 14.88
Loan Class C-............................. 29 2,999,639 2.39
Loan Class D.............................. 15 1,328,492 1.06
Total..................................... 884 $125,648,916 100.00%
=== ============ =======
