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) December 21, 1999
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Pooling
and Master Servicing Agreement, relating to the Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed Certificates, Series 1999-3)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
Delaware 333-61785 06-1204982
(State or other jurisdiction (Commission File (IRS Employer
of incorporation) 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 December 21, 1999 (the "Closing Date"), the Bank of New York (in such
capacity, the "Trustee") completed the purchase of the Subsequent Loans pursuant
to Section 2.06 of the Pooling and Master Servicing Agreement, dated as of
September 1, 1999 (the "Pooling and Servicing Agreement"), among PaineWebber
Mortgage Acceptance Corporation IV, as depositor (the "Depositor"), Fremont
Investment & Loan, as transferor (in such capacity, the "Transferor") and master
servicer, and the Trustee. The Subsequent Loans were transferred to the Trustee
pursuant to the Subsequent Transfer Agreement, dated as of December 21, 1999
(the "Subsequent Transfer Agreement"), among the Transferor, the Depositor and
the Trustee. Attached as Exhibit 99 are certain characteristics of the Initial
Pool 1 Loans and the Pool 1 Subsequent Loans (together, the "Pool 1 Loans"), and
the Initial Pool 2 Loans and the Pool 2 Subsequent Loans (together, the "Pool 2
Loans"), in each case as of December 1, 1999 (with respect to each, the "Cut-Off
Date").
Capitalized terms used herein and not defined herein have the same
meanings ascribed to such terms in the Pooling and Servicing Agreement.
<PAGE>
ITEM 7. Financial Statements and Exhibits
(c) Exhibits
Item 601(a) of Regulation S-K
Exhibit No. Description
- ----------- -----------
99 Description of the Loans
<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
December 30, 1999
By: /s/ Barbara J. Dawson
--------------------------
Barbara J. Dawson
Senior Vice President
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
99 Description of the Loans E
EXHIBIT 99
POOL 1 LOAN STATISTICS
As of the Cut-Off Date, the portion of the Pool 1 Loans that have been
identified had the following approximate characteristics:
POOL 1 LOANS
<TABLE>
<S> <C>
Number of Pool 1 Loans.................................. 3,259
Principal Balance
Aggregate............................................. $325,807,845
Average............................................... $99,972
Range................................................. $11,948 to $290,465
Current Loan Rate
Weighted Average...................................... 10.006%
Range................................................. 7.200% to 14.000%
Current Loan Rate (fixed-rate loans)
Weighted Average...................................... 10.091%
Range................................................. 7.750% to 13.900%
Current Loan Rate (adjustable-rate loans)
Weighted Average...................................... 9.998%
Range................................................. 7.200% to 14.000%
Gross Margin (adjustable-rate loans)
Weighted Average...................................... 6.229%
Range................................................. 3.750% to 10.000%
Lifetime Caps (adjustable-rate loans)
Weighted Average...................................... 16.923%
Range................................................. 13.500% to 21.000%
Lifetime Floors (adjustable-rate loans)
Weighted Average...................................... 9.989%
Range................................................. 7.200% to 14.000%
Months to Next Change Date (adjustable-rate loans)
Weighted Average...................................... 27 months
Range................................................. 0 months to 60 months
Remaining Term to Maturity (months)
Weighted Average...................................... 353 months
Range................................................. 115 months to 360 months
Seasoning (months)
Weighted Average...................................... 5 months
Range................................................. 0 months to 24 months
Loan-to-Value Ratio
Weighted Average...................................... 78.500%
Range................................................. 14.370% to 90.000%
</TABLE>
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 December 1, 2029.
As of the Cut-Off Date, all of the 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. The sum of the dollar amounts and percentages in the following
tables may not equal the totals due to rounding.
POOL 1 - GEOGRAPHIC DISTRIBUTION
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ------ ------------ ---------
California................................ 737 $ 97,577,555 29.95%
Florida................................... 302 25,133,720 7.71
Illinois.................................. 256 23,507,203 7.22
Washington................................ 195 22,565,464 6.93
New York.................................. 145 14,929,251 4.58
New Jersey................................ 121 13,037,066 4.00
Michigan.................................. 179 11,964,220 3.67
Utah...................................... 111 11,780,086 3.62
Ohio...................................... 142 9,968,487 3.06
Oregon.................................... 86 8,996,719 2.76
Arizona................................... 96 8,546,215 2.62
Colorado.................................. 78 8,464,933 2.60
Massachusetts............................. 64 8,364,048 2.57
Nevada.................................... 50 5,603,746 1.72
Missouri.................................. 85 5,593,709 1.72
Indiana................................... 72 4,939,164 1.52
Pennsylvania.............................. 69 4,231,397 1.30
Idaho..................................... 48 4,007,793 1.23
North Carolina............................ 43 3,989,930 1.22
Georgia................................... 40 3,564,673 1.09
Wisconsin................................. 50 3,471,399 1.07
Kansas.................................... 31 2,458,391 0.75
Texas..................................... 27 2,368,990 0.73
Connecticut............................... 26 2,285,109 0.70
Minnesota................................. 27 2,196,626 0.67
Oklahoma.................................. 21 1,766,103 0.54
South Carolina............................ 19 1,751,641 0.54
New Mexico................................ 19 1,729,226 0.53
New Hampshire............................. 16 1,667,285 0.51
Maryland.................................. 14 1,561,859 0.48
Tennessee................................. 18 1,465,321 0.45
Montana................................... 14 1,134,024 0.35
Alaska.................................... 9 1,070,838 0.33
Rhode Island.............................. 9 823,939 0.25
Maine..................................... 6 576,432 0.18
Kentucky.................................. 7 492,762 0.15
Virginia.................................. 5 479,513 0.15
Delaware.................................. 3 356,656 0.11
Hawaii.................................... 2 256,908 0.08
Mississippi............................... 2 186,620 0.06
Arkansas.................................. 3 181,890 0.06
Vermont................................... 2 177,624 0.05
District of Columbia...................... 2 173,418 0.05
West Virginia............................. 3 164,469 0.05
Louisiana................................. 3 114,508 0.04
Nebraska.................................. 1 68,607 0.02
Iowa...................................... 1 62,306 0.02
----- ------------ -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
<PAGE>
POOL 1 - PRINCIPAL BALANCES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- ---------------------------- ------ ----------- ---------
$10,000.01-$15,000.00..................... 2 $ 26,907 0.01%
$15,000.01-$20,000.00..................... 8 159,525 0.05
$20,000.01-$30,000.00..................... 73 1,986,709 0.61
$30,000.01-$40,000.00..................... 193 6,838,323 2.10
$40,000.01-$50,000.00..................... 251 11,486,131 3.53
$50,000.01-$100,000.00.................... 1,322 97,395,891 29.89
$100,000.01-$250,000.00................... 1,404 206,269,060 63.31
$250,000.01-$500,000.00................... 6 1,645,299 0.50
----- ----------- -------
Total.................................. 3,259 $325,807,845 100.00%
====== ============ =======
As of the Cut-Off Date, the average principal balance of the Pool 1 Loans
was approximately $99,972.
POOL 1 - CURRENT LOAN RATES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ------ ----------- ---------
7.001% - 8.000%......................... 55 $ 7,482,634 2.30%
8.001% - 9.000%......................... 532 64,113,628 19.68
9.001% -10.000%......................... 1,125 117,824,597 36.16
10.001% -11.000%......................... 944 87,627,274 26.90
11.001% -12.000%......................... 433 37,049,496 11.37
12.001% -13.000%......................... 139 9,896,497 3.04
13.001% -14.000%......................... 31 1,813,718 0.56
----- --------- ------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average loan interest rate of the
Pool 1 Loans was approximately 10.006% per annum.
<PAGE>
POOL 1 - CURRENT LOAN RATES - FIXED-RATE LOANS
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL FIXED-RATE
RANGE OF LOAN RATES LOANS BALANCE LOANS
- ------------------- ------ ----------- -----------
7.001% -.8.000%......................... 2 $ 353,131 1.21%
8.001% -.9.000%......................... 53 5,672,289 19.40
9.001% -10.000%......................... 125 11,598,216 39.67
10.001% -11.000%......................... 88 6,473,681 22.14
11.001% -12.000%......................... 52 3,271,409 11.19
12.001% -13.000%......................... 29 1,330,781 4.55
13.001% -14.000%......................... 13 535,491 1.83
---- ---------- -------
Total.................................. 362 $29,234,997 100.00%
==== ============ =======
As of the Cut-Off Date, the weighted average loan interest rate of the
fixed-rate Pool 1 Loans was approximately 10.091% per annum.
POOL 1 - CURRENT LOAN RATES - ADJUSTABLE-RATE LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
RANGE OF LOAN RATES LOANS BALANCE LOANS
- ------------------- ------ --------- ---------------
<S> <C> <C> <C>
7.001% -.8.000%......................... 53 $ 7,129,502 2.40%
8.001% -.9.000%......................... 479 58,441,339 19.71
9.001% -10.000%......................... 1,000 106,226,381 35.82
10.001% -11.000%......................... 856 81,153,593 27.36
11.001% -12.000%......................... 381 33,778,087 11.39
12.001% -13.000%......................... 110 8,565,716 2.89
13.001% -14.000%......................... 18 1,278,227 0.43
----- ------------ -------
Total.................................. 2,897 $296,572,847 100.00%
===== ============ =======
</TABLE>
As of the Cut-Off Date, the weighted average loan interest rate of the
adjustable-rate Pool 1 Loans was approximately 9.998% per annum.
<PAGE>
POOL 1 - DISTRIBUTION OF GROSS MARGINS - ADJUSTABLE RATE LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
RANGE OF GROSS MARGINS LOANS BALANCE LOANS
- ---------------------- ------ --------- ---------------
<S> <C> <C> <C>
3.501% -.3.750%.......................... 1 $ 48,335 0.02%
3.751% -.4.000%.......................... 1 55,428 0.02
4.251% -.4.500%.......................... 3 336,736 0.11
4.501% -.4.750%.......................... 6 603,849 0.20
4.751% -.5.000%.......................... 17 1,984,058 0.67
5.001% -.5.250%.......................... 29 2,876,861 0.97
5.251% -.5.500%.......................... 217 24,656,789 8.31
5.501% -.5.750%.......................... 139 15,174,259 5.12
5.751% -.6.000%.......................... 802 85,713,828 28.90
6.001% -.6.250%.......................... 708 72,747,903 24.53
6.251% -.6.500%.......................... 220 23,421,209 7.90
6.501% -.6.750%.......................... 338 33,832,535 11.41
6.751% -.7.000%.......................... 89 8,197,378 2.76
7.001% -.7.250%.......................... 154 12,977,203 4.38
7.251% -.7.500%.......................... 53 4,266,755 1.44
7.501% -.7.750%.......................... 50 3,956,997 1.33
7.751% -.8.000%.......................... 33 2,845,091 0.96
8.001% -.8.250%.......................... 13 1,314,396 0.44
8.251% -.8.500%.......................... 11 535,374 0.18
8.501% -.8.750%.......................... 6 506,486 0.17
8.751% -.9.000%.......................... 3 246,629 0.08
9.001% -.9.250%.......................... 2 196,801 0.07
9.251% -.9.500%.......................... 1 42,192 0.01
9.751% -10.000%.......................... 1 35,756 0.01
----- --------- -------
Total.................................. 2,897 $296,572,847 100.00%
===== ============ =======
</TABLE>
As of the Cut-Off Date, the weighted average Gross Margin of the
adjustable-rate Pool 1 Loans was approximately 6.229% per annum.
<PAGE>
POOL 1 - DISTRIBUTION OF LIFETIME CAPS - ADJUSTABLE RATE LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
RANGE OF LIFETIME CAPS LOANS BALANCE LOANS
- ---------------------- ------ --------- ---------------
<S> <C> <C> <C>
13.001%-14.000%........................... 8 $ 955,875 0.32%
14.001%-15.000%........................... 79 10,520,543 3.55
15.001%-16.000%........................... 512 61,231,893 20.65
16.001%-17.000%........................... 1,002 105,178,263 35.46
17.001%-18.000%........................... 807 76,603,510 25.83
18.001%-19.000%........................... 368 32,744,859 11.04
19.001%-20.000%........................... 106 8,231,826 2.78
20.001%-21.000%........................... 15 1,106,078 0.37
----- --------- -------
Total.................................. 2,897 $296,572,847 100.00%
===== ============ =======
</TABLE>
As of the Cut-Off Date, the weighted average Lifetime Cap on the
adjustable-rate Pool 1 Loans was approximately 16.923% per annum.
POOL 1 - DISTRIBUTION OF LIFETIME FLOORS - ADJUSTABLE-RATE LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
RANGE OF LIFETIME FLOORS LOANS BALANCE LOANS
- ------------------------ ------ --------- ---------------
<S> <C> <C> <C>
7.001%-.8.000%.......................... 55 $7,302,967 2.46%
8.001%-.9.000%.......................... 486 59,435,147 20.04
9.001%-10.000%.......................... 1,000 106,070,758 35.77
10.001%-11.000%.......................... 850 80,277,837 27.07
11.001%-12.000%.......................... 379 33,707,459 11.37
12.001%-13.000%.......................... 109 8,500,451 2.87
13.001%-14.000%.......................... 18 1,278,227 0.43
----- --------- ----
Total.................................. 2,897 $296,572,847 100.00%
===== ============ =======
</TABLE>
As of the Cut-Off Date, the weighted average Lifetime Floor of the
adjustable-rate Pool 1 Loans was approximately 9.989% per annum.
<PAGE>
POOL 1 - MONTH OF NEXT CHANGE DATE - ADJUSTABLE-RATE LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
MONTH OF NEXT CHANGE DATE LOANS BALANCE LOANS
- ------------------------- ------ --------- ---------------
<S> <C> <C> <C>
December, 1999............................ 7 $ 513,465 0.17%
January, 2000............................. 17 1,493,939 0.50
February, 2000............................ 9 935,828 0.32
March, 2000............................... 2 428,218 0.14
April, 2000............................... 8 691,886 0.23
May, 2000................................. 9 937,386 0.32
June, 2000................................ 4 386,134 0.13
July, 2000................................ 7 350,983 0.12
August, 2000.............................. 10 728,381 0.25
September, 2000........................... 18 1,953,071 0.66
October, 2000............................. 73 7,391,560 2.49
November, 2000............................ 122 12,495,519 4.21
December, 2000............................ 52 5,240,813 1.77
January, 2001............................. 20 2,028,897 0.68
February, 2001............................ 50 5,170,917 1.74
March, 2001............................... 44 4,349,424 1.47
April, 2001............................... 27 2,727,723 0.92
May, 2001................................. 24 2,324,963 0.78
June, 2001................................ 63 6,755,445 2.28
July, 2001................................ 342 36,988,371 12.47
August, 2001.............................. 305 31,591,434 10.65
September, 2001........................... 79 7,819,126 2.64
October, 2001............................. 68 6,941,158 2.34
November, 2001............................ 169 16,823,722 5.67
December, 2001............................ 77 7,723,362 2.60
January, 2002............................. 4 461,801 0.16
February, 2002............................ 5 330,415 0.11
March, 2002............................... 16 1,573,756 0.53
April, 2002............................... 21 2,541,668 0.86
May, 2002................................. 80 8,215,209 2.77
June, 2002................................ 30 2,949,761 0.99
July, 2002................................ 237 23,962,360 8.08
August, 2002.............................. 206 20,280,980 6.84
September, 2002........................... 63 6,401,624 2.16
October, 2002............................. 66 7,141,799 2.41
November, 2002............................ 184 19,890,024 6.71
December, 2002............................ 75 6,993,486 2.36
June, 2003................................ 1 63,393 0.02
December, 2003............................ 1 138,681 0.05
May, 2004................................. 1 179,458 0.06
June, 2004................................ 12 1,190,459 0.40
July, 2004................................ 131 13,503,647 4.55
August, 2004.............................. 93 10,179,630 3.43
September, 2004........................... 25 2,123,322 0.72
October, 2004............................. 9 711,824 0.24
November, 2004............................ 19 1,980,526 0.67
December, 2004............................ 12 967,300 0.33
----- ------------ ------
Total.................................. 2,897 $296,572,847 100.00%
===== ============ =======
</TABLE>
As of the Cut-Off Date, the weighted average month of next interest rate
change date of the adjustable-rate Pool 1 Loans was approximately February 1,
2002.
<PAGE>
POOL 1 - LOAN-TO-VALUE RATIOS
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ---------------------------- ------ ----------- ---------
10.001%-15.000%........................... 1 $ 24,941 0.01%
15.001%-20.000%........................... 3 114,547 0.04
20.001%-25.000%........................... 7 325,696 0.10
25.001%-30.000%........................... 8 487,209 0.15
30.001%-35.000%........................... 12 659,397 0.20
35.001%-40.000%........................... 16 690,063 0.21
40.001%-45.000%........................... 19 1,117,314 0.34
45.001%-50.000%........................... 43 2,895,015 0.89
50.001%-55.000%........................... 38 2,673,360 0.82
55.001%-60.000%........................... 107 8,209,188 2.52
60.001%-65.000%........................... 168 13,912,086 4.27
65.001%-70.000%........................... 326 29,040,632 8.91
70.001%-75.000%........................... 485 49,361,360 15.15
75.001%-80.000%........................... 1,079 106,090,487 32.56
80.001%-85.000%........................... 426 47,926,625 14.71
85.001%-90.000%........................... 521 62,279,924 19.12
------ ------------ -------
Total.................................. 3,259 $325,807,845 100.00%
====== ============ =======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the
Pool 1 Loans was approximately 78.50%.
POOL 1 - OCCUPANCY STATUS
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ------ --------- ---------
Owner Occupied............................ 2,935 $302,139,812 92.74%
Non-Owner Occupied........................ 324 23,668,032 7.26
----- ------------ -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
POOL 1 - MORTGAGED PROPERTY TYPES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
PROPERTY TYPE LOANS BALANCE BALANCE
- ------------- ------ --------- ---------
Single Family............................. 2,876 $289,180,642 88.76%
Two Family................................ 181 17,738,231 5.44
Condominium............................... 112 9,373,947 2.88
Four Family............................... 28 3,470,165 1.07
Three Family.............................. 24 3,297,938 1.01
Manufactured Housing...................... 38 2,746,921 0.84
----- ------------ -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
<PAGE>
POOL 1 - MONTHS SINCE ORIGINATION
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN AGE (IN MONTHS) LOANS BALANCE BALANCE
- ----------------------------- ------ --------- ---------
0......................................... 179 $ 16,992,093 5.22%
1......................................... 409 41,271,975 12.67
2......................................... 154 15,636,886 4.80
3......................................... 194 17,957,379 5.51
4......................................... 709 71,104,938 21.82
5......................................... 830 84,548,372 25.95
6......................................... 113 11,400,868 3.50
7......................................... 106 10,851,117 3.33
8 or more................................. 565 56,044,216 17.20
----- ---------- -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average number of months since
origination of the Pool 1 Loans was approximately 5 months.
POOL 1 - REMAINING TERMS TO MATURITY
% OF
NUMBER AGGREGATE AGGREGATE
RANGE OF REMAINING TERMS TO OF PRINCIPAL PRINCIPAL
MATURITY (IN MONTHS) LOANS BALANCE BALANCE
- -------------------- ----- --------- ---------
Up to 352................................. 614 $ 59,261,187 18.19%
353....................................... 101 10,423,824 3.20
354....................................... 113 11,400,868 3.50
355....................................... 816 83,635,914 25.67
356....................................... 698 70,371,939 21.60
357....................................... 191 17,791,618 5.46
358....................................... 149 15,324,529 4.70
359....................................... 401 40,823,371 12.53
360....................................... 176 16,774,593 5.15
- ------------------------------------------ ----- ------------ -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average remaining term to maturity of
the Pool 1 Loans was approximately 353 months.
POOL 1 - TRANSFEROR ASSIGNED RISK CATEGORIES
% OF
NUMBER AGGREGATE AGGREGATE
TRANSFEROR ASSIGNED RISK OF PRINCIPAL PRINCIPAL
CATEGORIES LOANS BALANCE BALANCE
- ---------- ----- --------- ---------
Loan Class A.............................. 454 $ 46,615,873 14.31%
Loan Class A-............................. 1,130 127,353,662 39.09
Loan Class B.............................. 899 86,816,515 26.65
Loan Class C.............................. 621 53,168,331 16.32
Loan Class C-............................. 94 7,148,868 2.19
Loan Class D.............................. 61 4,704,596 1.44
----- --------- -------
Total.................................. 3,259 $325,807,845 100.00%
===== ============ =======
<PAGE>
POOL 2 LOAN STATISTICS
As of the Cut-Off Date, the portion of the Pool 2 Loans that have been
identified had the following approximate characteristics:
POOL 2 LOANS
Number of Pool 2 Loans................................ 1,201
Principal Balance
Aggregate........................................... $160,202,572
Average............................................. $133,391
Range............................................... $19,224 to $499,104
Current Loan Rate
Weighted Average.................................... 9.894%
Range............................................... 7.500% to 14.240%
Current Loan Rate (fixed-rate loans)
Weighted Average.................................... 10.244%
Range............................................... 7.990% to 14.240%
Current Loan Rate (adjustable-rate loans)
Weighted Average.................................... 9.867%
Range............................................... 7.500% to 13.400%
Gross Margin (adjustable-rate loans)
Weighted Average.................................... 6.201%
Range............................................... 4.250% to 9.000%
Lifetime Caps (adjustable-rate loans)
Weighted Average.................................... 16.800%
Range............................................... 13.900% to 20.250%
Lifetime Floors (adjustable-rate loans)
Weighted Average.................................... 9.856%
Range............................................... 7.500% to 13.400%
Months to Next Change Date (adjustable-rate loans)
Weighted Average.................................... 26 months
Range............................................... 0 months to 60 months
Remaining Term to Maturity (months)
Weighted Average.................................... 354 months
Range............................................... 167 months to 360 months
Seasoning (months)
Weighted Average.................................... 5 months
Range............................................... 0 months to 19 months
Loan-to-Value Ratio
Weighted Average.................................... 78.69%
Range............................................... 23.13% to 90.00%
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 December 1, 2029.
As of the Cut-Off Date, all of the 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 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
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
JURISDICTION LOANS BALANCE BALANCE
- ------------ ------ --------- ---------
California................................ 331 $62,832,871 39.22%
Illinois.................................. 113 13,526,904 8.44
Florida................................... 99 9,592,590 5.99
Washington................................ 70 9,349,517 5.84
New Jersey................................ 57 8,712,710 5.44
Utah...................................... 43 6,110,805 3.81
Michigan.................................. 58 5,376,680 3.36
New York.................................. 47 4,984,407 3.11
Arizona................................... 30 3,523,162 2.20
Oregon.................................... 30 3,449,023 2.15
Massachusetts............................. 26 3,043,596 1.90
Ohio...................................... 41 3,013,822 1.88
Nevada.................................... 21 2,871,695 1.79
Colorado.................................. 29 2,755,109 1.72
Connecticut............................... 15 2,111,336 1.32
Georgia................................... 9 1,979,571 1.24
North Carolina............................ 14 1,418,100 0.89
Minnesota................................. 10 1,366,256 0.85
Kansas.................................... 10 1,350,143 0.84
Pennsylvania.............................. 20 1,319,270 0.82
Indiana................................... 16 1,306,985 0.82
Idaho..................................... 17 1,304,820 0.81
Missouri.................................. 21 1,295,560 0.81
Hawaii.................................... 7 1,181,784 0.74
Wisconsin................................. 11 1,112,361 0.69
Maryland.................................. 6 875,852 0.55
Montana................................... 5 655,427 0.41
New Mexico................................ 6 612,294 0.38
New Hampshire............................. 6 468,389 0.29
Texas..................................... 8 445,923 0.28
Virginia.................................. 2 433,453 0.27
Oklahoma.................................. 3 344,680 0.22
South Carolina............................ 4 327,893 0.20
Alaska.................................... 2 215,599 0.13
Kentucky.................................. 4 214,383 0.13
Vermont................................... 2 170,730 0.11
Arkansas.................................. 2 128,430 0.08
Louisiana................................. 1 113,770 0.07
Tennessee................................. 2 107,779 0.07
Delaware.................................. 1 93,795 0.06
Rhode Island.............................. 1 65,250 0.04
Maine..................................... 1 39,848 0.02
------ ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
====== ============ =======
POOL 2 - PRINCIPAL BALANCES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF PRINCIPAL BALANCES LOANS BALANCE BALANCE
- --------------------------- ------ ------------ ---------
$ 15,000.01 - $ 20,000.00.............. 3 $ 58,918 0.04%
$ 20,000.01 - $ 30,000.00.............. 18 494,853 0.31
$ 30,000.01 - $ 40,000.00.............. 58 2,038,406 1.27
$ 40,000.01 - $ 50,000.00.............. 70 3,170,861 1.98
$ 50,000.01 - $100,000.00.............. 420 31,205,538 19.48
$ 100,000.01 - $250,000.00.............. 479 74,854,761 46.73
$ 250,000.01 - $500,000.00.............. 153 48,379,236 30.20
----- ------------ -------
Total............................... 1,201 $160,202,572 100.00%
===== ============ =======
As of the Cut-Off Date, the average principal balance of the Pool 2 Loans
was approximately $133,391.
<PAGE>
POOL 2 - CURRENT LOAN RATES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN RATES LOANS BALANCE BALANCE
- ------------------- ------ --------- ---------
7.001%-.8.000%.......................... 23 $ 3,524,917 2.20%
8.001%-.9.000%.......................... 180 31,078,638 19.40
9.001%-10.000%.......................... 465 67,978,892 42.43
10.001%-11.000%.......................... 345 40,507,305 25.29
11.001%-12.000%.......................... 133 12,679,475 7.91
12.001%-13.000%.......................... 46 3,603,965 2.25
13.001%-14.000%.......................... 8 724,545 0.45
14.001%-15.000%.......................... 1 104,835 0.07
----- ------------ ------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average loan interest rate of the
Pool 2 Loans was approximately 9.894% per annum.
POOL 2 - CURRENT LOAN RATES - FIXED-RATE LOANS
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE
OF PRINCIPAL OF FIXED-RATE
RANGE OF LOAN RATES LOANS BALANCE LOANS
- ------------------- ------ --------- -------------
7.001%-.8.000%.......................... 1 $ 92,419 0.81%
8.001%-.9.000%.......................... 15 1,868,300 16.34
9.001%-10.000%.......................... 38 3,851,347 33.67
10.001%-11.000%.......................... 29 3,106,715 27.16
11.001%-12.000%.......................... 17 1,612,428 14.10
12.001%-13.000%.......................... 10 505,304 4.42
13.001%-14.000%.......................... 5 296,023 2.59
14.001%-15.000%.......................... 1 104,835 0.92
--- ----------- -------
Total.................................. 116 $11,437,371 100.00%
=== ============ =======
As of the Cut-Off Date, the weighted average loan interest rate of the
fixed-rate Pool 2 Loans was approximately 10.244% per annum.
POOL 2 - CURRENT LOAN RATES - ADJUSTABLE-RATE LOANS
% OF
AGGREGATE
PRINCIPAL
NUMBER BALANCE OF
OF AGGREGATE ADJUSTABLE-RATE
RANGE OF LOAN RATES LOANS PRINCIPAL LOANS
- ------------------- ----- ------------ ---------------
7.001%-.8.000%.......................... 22 $ 3,432,497 2.31%
8.001%-.9.000%.......................... 165 29,210,338 19.64
9.001%-10.000%.......................... 427 64,127,546 43.11
10.001%-11.000%.......................... 316 37,400,589 25.14
11.001%-12.000%.......................... 116 11,067,048 7.44
12.001%-13.000%.......................... 36 3,098,661 2.08
13.001%-14.000%.......................... 3 428,522 0.29
---- ------- -------
Total.................................. 1,085 $148,765,201 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average loan interest rate of the
adjustable-rate Pool 2 Loans was approximately 9.867% per annum.
<PAGE>
POOL 2 - DISTRIBUTION OF GROSS MARGINS - ADJUSTABLE-RATE LOANS
% OF
AGGREGATE
PRINCIPAL
NUMBER AGGREGATE BALANCE OF
OF PRINCIPAL ADJUSTABLE-RATE
RANGE OF GROSS MARGINS LOANS BALANCE LOANS
- ---------------------- ----- ------------- ---------------
4.001 - 4.250%........................ 2 $ 98,958 0.07%
4.501 - 4.750%........................ 2 449,234 0.30
4.751 - 5.000%........................ 7 1,250,032 0.84
5.001 - 5.250%........................ 9 1,402,325 0.94
5.251 - 5.500%........................ 80 11,766,065 7.91
5.501 - 5.750%........................ 49 9,101,421 6.12
5.751 - 6.000%........................ 305 43,694,766 29.37
6.001 - 6.250%........................ 268 34,929,157 23.48
6.251 - 6.500%........................ 93 13,814,136 9.29
6.501 - 6.750%........................ 139 17,366,276 11.67
6.751 - 7.000%........................ 26 4,661,893 3.13
7.001 - 7.250%........................ 55 5,236,883 3.52
7.251 - 7.500%........................ 12 1,103,383 0.74
7.501 - 7.750%........................ 23 2,189,280 1.47
7.751 - 8.000%........................ 6 685,378 0.46
8.001 - 8.250%........................ 5 726,568 0.49
8.251 - 8.500%........................ 1 27,922 0.02
8.501 - 8.750%........................ 2 228,326 0.15
8.751 - 9.000%........................ 1 33,200 0.02
----- ------------- -------
Total............................1,085 $ 148,765,201 100.00%
===== ============= =======
As of the Cut-Off Date, the weighted average Gross Margin of the
adjustable-rate Pool 2 Loans was approximately 6.201% per annum.
POOL 2 - DISTRIBUTION OF LIFETIME CAPS - ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL
NUMBER BALANCE OF
OF AGGREGATE ADJUSTABLE-RATE
RANGE OF LIFETIME CAPS LOANS PRINCIPAL BALANCE LOANS
- ---------------------- ----- ------------------ ---------------
13.001% - 14.000%..................... 3 $ 490,828 0.33%
14.001% - 15.000%..................... 32 5,322,091 3.58
15.001% - 16.000%..................... 175 30,322,087 20.38
16.001% - 17.000%..................... 421 63,274,638 42.53
17.001% - 18.000%..................... 303 35,119,782 23.61
18.001% - 19.000%..................... 112 10,708,592 7.20
19.001% - 20.000%..................... 37 3,248,467 2.18
20.001% - 21.000%..................... 2 278,716 0.19
----- ------------ -------
Total............................1,085 $148,765,201 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average Lifetime Cap on the
adjustable-rate Pool 2 Loans was approximately 16.800% per annum.
<PAGE>
POOL 2 - DISTRIBUTION OF LIFETIME FLOORS - ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL
NUMBER BALANCE OF
OF AGGREGATE ADJUSTABLE-RATE
RANGE OF LIFETIME FLOORS LOANS PRINCIPAL BALANCE LOANS
- ------------------------ ------ ----------------- ---------------
7.001%-.8.000%...................... 23 $ 3,780,003 2.54%
8.001%-.9.000%...................... 166 29,037,312 19.52
9.001%-10.000%...................... 429 64,849,509 43.59
10.001%-11.000%...................... 313 36,610,373 24.61
11.001%-12.000%...................... 115 10,960,822 7.37
12.001%-13.000%...................... 36 3,098,661 2.08
13.001%-14.000%...................... 3 428,522 0.29
----- ------------ -------
Total..............................1,085 $148,765,201 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average Lifetime Floor of the
adjustable-rate Pool 2 Loans was approximately 9.856% per annum.
<PAGE>
POOL 2 - MONTH OF NEXT CHANGE DATE - ADJUSTABLE-RATE LOANS
% OF AGGREGATE
PRINCIPAL
NUMBER BALANCE OF
OF AGGREGATE ADJUSTABLE-RATE
MONTH OF NEXT CHANGE DATE LOANS PRINCIPAL BALANCE LOANS
- ------------------------- ------ ----------------- ---------------
December, 1999........................ 2 $ 209,380 0.14%
January, 2000......................... 6 876,908 0.59
February, 2000........................ 3 329,173 0.22
April, 2000........................... 3 548,800 0.37
May, 2000............................. 5 853,739 0.57
June, 2000............................ 3 615,125 0.41
July, 2000............................ 2 417,673 0.28
August, 2000.......................... 3 518,795 0.35
September, 2000....................... 6 1,392,303 0.94
October, 2000......................... 23 3,234,505 2.17
November, 2000........................ 32 5,522,089 3.71
December, 2000........................ 10 936,485 0.63
January, 2001......................... 5 514,290 0.35
February, 2001........................ 21 2,632,928 1.77
March, 2001........................... 20 2,713,136 1.82
April, 2001........................... 12 1,694,259 1.14
May, 2001............................. 11 1,681,286 1.13
June, 2001............................ 29 4,183,029 2.81
July, 2001............................ 135 20,269,607 13.63
August, 2001.......................... 123 17,257,255 11.60
September, 2001....................... 23 2,574,207 1.73
October, 2001......................... 31 4,290,444 2.88
November, 2001........................ 71 9,054,110 6.09
December, 2001........................ 32 3,609,263 2.43
January, 2002......................... 4 449,235 0.30
February, 2002........................ 2 329,328 0.22
March, 2002........................... 5 1,326,505 0.89
April, 2002........................... 6 776,562 0.52
May, 2002............................. 18 2,632,742 1.77
June, 2002............................ 12 1,409,322 0.95
July, 2002............................ 86 13,008,083 8.74
August, 2002.......................... 79 10,681,857 7.18
September, 2002....................... 21 4,427,623 2.98
October, 2002......................... 38 4,906,497 3.30
November, 2002........................ 61 6,713,528 4.51
December, 2002........................ 39 4,462,860 3.00
May, 2003............................. 1 79,892 0.05
June, 2004............................ 5 335,902 0.23
July, 2004............................ 29 3,665,455 2.46
August, 2004.......................... 37 3,866,647 2.60
September, 2004....................... 9 1,363,277 0.92
October, 2004......................... 4 532,131 0.36
November, 2004........................ 15 1,659,217 1.12
December, 2004........................ 3 209,750 0.14
----- ------------ -------
Total..............................1,085 $148,765,201 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average month of next interest rate
change date of the adjustable-rate Pool 2 Loans was approximately January 1,
2002.
<PAGE>
POOL 2 - LOAN-TO-VALUE RATIOS
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN-TO-VALUE RATIO LOANS BALANCE BALANCE
- ---------------------------- ------ --------- ---------
20.001%-25.000%........................... 2 $ 56,936 0.04%
25.001%-30.000%........................... 7 283,141 0.18
30.001%-35.000%........................... 3 166,636 0.10
35.001%-40.000%........................... 5 227,231 0.14
40.001%-45.000%........................... 12 731,687 0.46
45.001%-50.000%........................... 12 824,091 0.51
50.001%-55.000%........................... 18 2,554,225 1.59
55.001%-60.000%........................... 43 5,174,779 3.23
60.001%-65.000%........................... 47 5,422,822 3.38
65.001%-70.000%........................... 96 10,602,334 6.62
70.001%-75.000%........................... 190 24,760,893 15.46
75.001%-80.000%........................... 394 54,316,679 33.90
80.001%-85.000%........................... 182 25,790,308 16.10
85.001%-90.000%........................... 190 29,290,810 18.28
----- ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average Loan-to-Value Ratio of the
Pool 2 Loans was approximately 78.69%.
POOL 2 - OCCUPANCY STATUS
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
OCCUPANCY LOANS BALANCE BALANCE
- --------- ------ --------- ---------
Owner Occupied............................ 1,092 $149,871,482 93.55%
Non-Owner Occupied........................ 109 10,331,090 6.45
----- ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
POOL 2 - MORTGAGED PROPERTY TYPES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
PROPERTY TYPE LOANS BALANCE BALANCE
- ------------- ----- --------- ---------
Single Family............................. 1,059 $143,257,699 89.42%
Two Family................................ 62 6,991,293 4.36
Condominium............................... 48 5,924,215 3.70
Three Family.............................. 13 2,123,245 1.33
Manufactured Housing...................... 14 1,206,889 0.75
Four Family............................... 5 699,232 0.44
----- ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
POOL 2 - MONTHS SINCE ORIGINATION
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
RANGE OF LOAN AGE (IN MONTHS) LOANS BALANCE BALANCE
- ----------------------------- ------ --------- ---------
0......................................... 80 $ 9,048,272 5.65%
1......................................... 163 18,530,229 11.57
2......................................... 77 8,910,028 5.56
3......................................... 60 9,094,302 5.68
4......................................... 273 35,441,773 22.12
5......................................... 283 41,161,553 25.69
6......................................... 56 6,888,244 4.30
7......................................... 29 4,112,819 2.57
8 or more................................. 180 27,015,351 16.86
----- ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average number of months since
origination of the Pool 2 Loans was approximately 5 months.
<PAGE>
POOL 2 - REMAINING TERMS TO MATURITY
% OF
NUMBER AGGREGATE AGGREGATE
RANGE OF REMAINING TERMS TO MATURITY OF PRINCIPAL PRINCIPAL
(IN MONTHS) LOANS BALANCE BALANCE
- ------------------------------------ ------ --------- ---------
Up to 352................................. 186 $ 27,658,022 17.26%
353....................................... 29 4,112,819 2.57
354....................................... 56 6,888,244 4.30
355....................................... 283 41,161,553 25.69
356....................................... 270 35,009,209 21.85
357....................................... 61 9,148,261 5.71
358....................................... 78 9,412,904 5.88
359....................................... 158 17,763,289 11.09
360....................................... 80 9,048,272 5.65
----- ------------ -------
Total.................................. 1,201 $160,202,572 100.00%
===== ============ =======
As of the Cut-Off Date, the weighted average remaining term to maturity
of the Pool 2 Loans was approximately 354 months.
POOL 2 - TRANSFEROR ASSIGNED RISK CATEGORIES
% OF
NUMBER AGGREGATE AGGREGATE
OF PRINCIPAL PRINCIPAL
TRANSFEROR ASSIGNED RISK CATEGORIES LOANS BALANCE BALANCE
- ----------------------------------- ------ --------- ---------
Loan Class A.............................. 175 $ 25,591,515 15.97%
Loan Class A-............................. 441 64,802,133 40.45
Loan Class B.............................. 328 41,287,133 25.77
Loan Class C.............................. 204 23,307,800 14.55
Loan Class C-............................. 28 2,922,839 1.82
Loan Class D.............................. 25 2,291,153 1.43
----- ------------ -------
Total..................................... 1,201 $160,202,572 100.00%
===== ============ =======
