<PAGE>
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): October 4, 1999
CONSECO FINANCE SECURITIZATIONS CORP.
as Seller of
Home Equity Loan Trust 1999-F
-----------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-85119-01 41-1859796
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
----------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
Not Applicable
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 1. Changes in Control of Registrant.
Not applicable.
Item 2. Acquisition or Disposition of Assets.
Not applicable.
Item 3. Bankruptcy or Receivership.
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
Not applicable.
Item 5. Other Events.
On October 24, 1999, the Registrant sold approximately $640,124,580 of
Certificates for Home Equity Loans, Series 1999-F (the "Certificates"),
evidencing beneficial ownership interests in Home Equity Loan Trust
1999-F (the "Trust"). The Trust property consists primarily of a pool
which is comprised of closed-end home equity loans (the "Home Equity
Loans"), including the right to receive payments due on the Loans on
and after the applicable Cut-off Date as described in the Pooling and
Servicing Agreement dated as of September 1, 1999.
Item 6. Resignations of Registrant's Directors.
Not applicable.
Item 7. Financial Statements and Exhibits.
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
-2-
<PAGE>
(c) Exhibits.
The following is filed herewith. The exhibit numbers
correspond with Item 601(b) of Regulation S-K.
Exhibit No. Description
----------- -----------
99 On October 4, 1999, the Registrant sold
approximately $640,124,580 of Certificates for
Home Equity Loans, Series 1999-F (the
"Certificates"), evidencing beneficial ownership
interests in Home Equity Loan Trust 1999-F (the
"Trust"). The Trust property consists primarily of
a pool consisting of a pool of closed-end home
equity loans (the "Loans"), including the right to
receive payments due on the Loans on and after the
applicable Cut-off Date as described in the
Pooling and Servicing Agreement dated as of
September 1, 1999. Filed herewith as Exhibit 99
are tables providing information with respect to
the Subsequent Loans and the Loans in the
aggregate, similar to the information provided
with respect to the Initial Contracts in the
Prospectus Supplement dated September 24, 1999.
Capitalized terms used herein and not defined have
the meaning assigned in the Pooling and Servicing
Agreement.
-3-
<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.
CONSECO FINANCE SECURITIZATIONS CORP.
By: /s/ Phyllis A. Knight
-------------------------------------
Phyllis A. Knight
Senior Vice President and Treasurer
-4-
<PAGE>
EXHIBIT 99
$750,000,000 (APPROXIMATE)
CERTIFICATES FOR HOME EQUITY LOANS
SERIES 1999-F
INFORMATION REGARDING CERTAIN SUBSEQUENT LOANS
Set forth below is information regarding home equity loans transferred to the
Trust or identified for inclusion in the Trust on the Closing Date. The
information below relates to both the Loans described in the Prospectus
Supplement dated September 24, 1999 and the Subsequent Loans. Unless otherwise
defined herein, all capitalized terms have the meanings set forth in the
Prospectus Supplement.
1
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES--
GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% OF SUBSEQUENT
GROUP I
% OF SUBSEQUENT FIXED-RATE
GROUP I LOANS BY
FIXED-RATE LOANS AGGREGATE PRINCIPAL OUTSTANDING
NUMBER OF BY NUMBER OF BALANCE PRINCIPAL
LOANS AS OF LOANS AS OUTSTANDING AS OF BALANCE AS OF
STATE CUT-OFF DATE OF CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
- ----- --------------- --------------- ------------------- ---------------
<S> <C> <C> <C> <C>
Alabama ................ 106 2.85% $ 5,349,520.40 2.41%
Arizona ................ 77 2.07 4,030,989.67 1.81
Arkansas ............... 51 1.37 2,524,544.70 1.14
California ............. 319 8.57 24,451,478.10 11.00
Colorado ............... 102 2.74 7,118,481.11 3.20
Connecticut ............ 34 0.91 2,384,837.21 1.07
Delaware ............... 14 0.38 1,239,159.84 0.56
District of Columbia.... 8 0.21 457,100.00 0.21
Florida ................ 231 6.20 14,571,328.55 6.56
Georgia ................ 109 2.93 6,880,088.77 3.10
Idaho .................. 10 0.27 259,912.75 0.12
Illinois ............... 173 4.65 10,888,695.04 4.90
Indiana ................ 94 2.52 4,826,663.70 2.17
Iowa ................... 75 2.01 3,733,086.63 1.68
Kansas ................. 67 1.80 3,841,386.21 1.73
Kentucky ............... 58 1.56 3,151,151.79 1.42
Louisiana .............. 100 2.69 5,348,446.19 2.41
Maine .................. 4 0.11 222,905.64 0.10
Maryland ............... 57 1.53 3,816,288.95 1.72
Massachusetts .......... 28 0.75 2,148,547.66 0.97
Michigan ............... 171 4.59 11,239,613.90 5.06
Minnesota .............. 53 1.42 3,114,046.01 1.40
Mississippi ............ 62 1.67 3,511,900.53 1.58
Missouri ............... 105 2.82 5,626,319.56 2.53
Montana ................ 10 0.27 948,205.69 0.43
Nebraska ............... 52 1.40 3,530,906.07 1.59
Nevada ................. 48 1.29 2,662,431.88 1.20
New Hampshire .......... 3 0.08 198,459.00 0.09
New Jersey ............. 37 0.99 3,145,890.53 1.42
New Mexico ............. 31 0.83 1,740,922.10 0.78
New York ............... 88 2.36 6,347,807.91 2.86
North Carolina ......... 87 2.34 5,416,988.37 2.44
North Dakota ........... 6 0.16 354,024.61 0.16
Ohio ................... 250 6.72 12,222,287.07 5.50
Oklahoma ............... 23 0.62 1,251,809.48 0.56
Oregon ................. 29 0.78 2,338,783.40 1.05
Pennsylvania ........... 120 3.22 6,916,491.63 3.11
Rhode Island ........... 10 0.27 383,948.21 0.17
South Carolina ......... 90 2.42 5,378,647.08 2.42
South Dakota ........... 7 0.19 280,774.09 0.13
Tennessee .............. 82 2.20 5,328,797.58 2.40
Texas .................. 309 8.30 12,081,466.25 5.44
Utah ................... 34 0.91 2,085,409.94 0.94
Vermont ................ 5 0.13 280,050.00 0.13
Virginia ............... 117 3.14 7,290,433.18 3.28
Washington ............. 96 2.58 6,863,030.66 3.09
West Virginia .......... 16 0.43 821,386.76 0.37
Wisconsin .............. 49 1.32 2,520,396.05 1.13
Wyoming ................ 16 0.43 1,100,700.00 0.50
----- ------ --------------- ------
Total .............. 3,723 100.00% $222,226,540.45 100.00%
===== ====== =============== ======
</TABLE>
2
<PAGE>
YEARS OF ORIGINATION--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
Number of % of Subsequent
Group I Group I
Fixed-Rate Fixed-Rate Loans by
Loans Aggregate Principal Outstanding Principal
as of Cut- Balance Outstanding Balance as of
Year of Origination off Date as of Cut-off Date Cut-off Date
- ------------------- ---------- ------------------- ----------------------
<S> <C> <C> <C>
1997............... 1 $ 45,216.01 0.02%
1998............... 35 1,566,519.12 0.70
1999............... 3,687 220,614,805.32 99.27
----- --------------- ------
Total.......... 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
DISTRIBUTION OF ORIGINAL LOAN AMOUNTS--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
Number of % of Subsequent
Group I Group I
Fixed-Rate Fixed-Rate Loans by
Loans Aggregate Principal Outstanding Principal
Original Contract as of Cut- Balance Outstanding Balance as of
Amount (In Dollars) off Date as of Cut-off Date Cut-off Date
------------------- ---------- ------------------- ------------------------
<S> <C> <C> <C>
Less than $10,000.00..................... 10 $ 87,703.85 0.04%
$ 10,000.00 to $ 19,999.99............... 659 9,538,373.84 4.29
$ 20,000.00 to $ 29,999.99............... 564 13,747,066.99 6.19
$ 30,000.00 to $ 39,999.99............... 424 14,594,473.37 6.57
$ 40,000.00 to $ 49,999.99............... 336 14,984,307.73 6.74
$ 50,000.00 to $ 59,999.99............... 305 16,613,858.96 7.48
$ 60,000.00 to $ 69,999.99............... 268 17,263,779.36 7.77
$ 70,000.00 to $ 79,999.99............... 230 17,159,021.90 7.72
$ 80,000.00 to $ 89,999.99............... 178 14,995,050.25 6.75
$ 90,000.00 to $ 99,999.99............... 152 14,399,751.50 6.48
$100,000.00 to $109,999.99............... 127 13,307,032.75 5.99
$110,000.00 to $119,999.99............... 84 9,581,623.93 4.31
$120,000.00 to $129,999.99............... 70 8,746,956.83 3.94
$130,000.00 to $139,999.99............... 74 9,927,842.34 4.47
$140,000.00 to $149,999.99............... 42 6,079,277.64 2.74
$150,000.00 to $159,999.99............... 32 4,952,753.16 2.23
$160,000.00 to $169,999.99............... 24 3,911,875.68 1.76
$170,000.00 to $179,999.99............... 17 2,963,333.03 1.33
$180,000.00 to $189,999.99............... 29 5,348,369.11 2.41
$190,000.00 to $199,999.99............... 17 3,280,839.81 1.48
$200,000.00 to $249,999.99............... 46 10,139,725.93 4.56
$250,000.00 to $299,999.99............... 23 6,301,268.09 2.84
Over $299,999.99...................... 12 4,302,254.40 1.94
----- --------------- ------
Total................................ 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
3
<PAGE>
LOAN RATES--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Fixed-Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Loan Rates Cut-off Date as of Cut-off Date Cut-off Date
- -------------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 7.00%........... 2 $ 200,000.00 0.09%
7.01% to 8.00%........... 5 590,225.00 0.27
8.01% to 9.00%........... 53 6,338,182.26 2.85
9.01% to 10.00%.......... 236 26,294,801.60 11.83
10.01% to 11.00%.......... 506 46,523,483.75 20.94
11.01% to 12.00%.......... 822 63,089,308.69 28.39
12.01% to 13.00%.......... 706 33,306,537.71 14.99
13.01% to 14.00%.......... 756 27,402,378.44 12.33
14.01% to 15.00%.......... 360 11,204,847.07 5.04
15.01% to 16.00%.......... 144 4,371,238.34 1.97
16.01% to 17.00%.......... 66 1,625,302.82 0.73
17.01% to 18.00%.......... 50 1,010,640.54 0.45
18.01% to 19.00%.......... 12 189,594.23 0.09
Over 19.00%............... 5 80,000.00 0.04
----- --------------- ------
Total................. 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
REMAINING MONTHS TO MATURITY--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Fixed-Rate
Loans by
Months Remaining to Number of Aggregate Principal Outstanding Principal
Scheduled Maturity Loans as of Balance Outstanding Balance as of
as of Cut-off Date Cut-off Date as of Cut-off Date Cut-off Date
------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 60........... 25 $ 655,449.21 0.29%
61 to 90............. 30 970,329.92 0.44
91 to 120............. 245 6,937,232.36 3.12
121 to 150............. 22 824,392.54 0.37
151 to 180............. 1,194 61,408,825.77 27.63
181 to 210............. 12 689,959.90 0.31
211 to 240............. 1,405 85,759,709.76 38.59
271 to 300............. 390 26,285,346.36 11.83
301 to 330............. 2 211,300.00 0.10
331 to 360............. 398 38,483,994.63 17.32
----- --------------- ------
Total.............. 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
4
<PAGE>
LIEN POSITION--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Fixed-Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Lien Position Cut-off Date as of Cut-off Date Cut-off Date
- ------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
First................... 2,131 $176,579,390.85 79.46%
Second.................. 1,552 44,944,137.04 20.22
Third................... 40 703,012.56 0.32
----- --------------- ------
Total............... 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
COMBINED LOAN-TO-VALUE RATIO--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Fixed-Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Loan-to-Value Ratio Cut-off Date as of Cut-off Date Cut-off Date
- ------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 10.01%...... 1 $ 10,000.00 *%
10.01% to 20.00%...... 7 145,795.09 0.07
20.01% to 30.00%...... 17 460,044.48 0.21
30.01% to 40.00%...... 30 732,454.86 0.33
40.01% to 50.00%...... 38 1,427,956.99 0.64
50.01% to 60.00%...... 71 3,117,882.01 1.40
60.01% to 70.00%...... 135 5,938,742.63 2.67
70.01% to 80.00%...... 457 24,513,645.88 11.03
80.01% to 90.00%...... 999 62,213,693.16 28.00
Over 90.00%........... 1,968 123,666,325.35 55.65
----- --------------- ------
Total............. 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
- ----------
* indicates an amount greater than zero but less than .005% of the aggregate
balance of the subsequent fixed-rate loans.
DISTRIBUTED BY CREDIT SCORE--GROUP I FIXED-RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Fixed-Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Credit Score Cut-off Date as of Cut-off Date Cut-off Date
- ------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Unscored............ 4 $ 291,191.44 0.13%
Less than 551....... 621 32,812,769.98 14.77
551-575............. 345 22,048,668.79 9.92
576-600............. 523 32,698,657.03 14.71
601-625............. 609 36,493,953.75 16.42
626-650............. 607 36,574,063.91 16.46
651-675............. 469 29,417,938.77 13.24
676-700............. 283 17,426,588.19 7.84
701-725............. 138 7,305,666.01 3.29
726-750............. 68 3,646,547.65 1.64
Greater than 750.... 56 3,510,494.93 1.58
----- --------------- ------
Total........... 3,723 $222,226,540.45 100.00%
===== =============== ======
</TABLE>
5
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES--
GROUP I ADJUSTABLE RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% OF SUBSEQUENT
% OF SUBSEQUENT GROUP I
GROUP I ADJUSTABLE
ADJUSTABLE RATE LOANS BY
RATE LOANS AGGREGATE PRINCIPAL OUTSTANDING
NUMBER OF BY NUMBER OF BALANCE PRINCIPAL
LOANS AS OF LOANS AS OUTSTANDING AS OF BALANCE AS OF
STATE CUT-OFF DATE OF CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
- ----- --------------- --------------- ------------------- -------------
<S> <C> <C> <C> <C>
Alabama................. 20 5.35% $ 1,984,430.83 4.84%
Arizona................. 12 3.21 1,336,386.62 3.26
California.............. 21 5.61 3,243,678.40 7.91
Colorado................ 11 2.94 1,283,400.00 3.13
Connecticut............. 6 1.60 607,611.59 1.48
District of Columbia.... 1 0.27 85,500.00 0.21
Florida................. 14 3.74 1,689,491.93 4.12
Georgia................. 15 4.01 1,317,166.73 3.21
Idaho................... 3 0.80 243,020.00 0.59
Illinois................ 14 3.74 1,689,323.29 4.12
Indiana................. 8 2.14 519,929.15 1.27
Iowa.................... 3 0.80 311,656.18 0.76
Kansas.................. 8 2.14 977,001.83 2.38
Kentucky................ 5 1.34 355,611.10 0.87
Louisiana............... 2 0.53 141,100.00 0.34
Maine................... 2 0.53 241,965.00 0.59
Maryland................ 14 3.74 1,961,611.53 4.78
Massachusetts........... 10 2.67 1,428,119.35 3.48
Michigan................ 22 5.88 2,125,755.65 5.18
Minnesota............... 6 1.60 822,410.00 2.01
Mississippi............. 6 1.60 643,050.00 1.57
Missouri................ 6 1.60 647,100.00 1.58
Nebraska................ 1 0.27 175,500.00 0.43
Nevada.................. 5 1.34 658,482.00 1.61
New Hampshire........... 1 0.27 55,080.94 0.13
New Jersey.............. 2 0.53 258,100.00 0.63
New Mexico.............. 1 0.27 116,800.00 0.28
New York................ 5 1.34 495,850.00 1.21
North Carolina.......... 16 4.28 1,539,612.76 3.76
Ohio.................... 21 5.61 1,703,614.49 4.16
Oklahoma................ 2 0.53 145,316.59 0.35
Oregon.................. 14 3.74 1,691,092.00 4.12
Pennsylvania............ 5 1.34 519,430.00 1.27
Rhode Island............ 8 2.14 992,917.47 2.42
South Carolina.......... 8 2.14 576,955.71 1.41
Tennessee............... 19 5.08 1,843,357.99 4.50
Texas................... 6 1.60 621,636.23 1.52
Utah.................... 3 0.80 393,900.00 0.96
Virginia................ 14 3.74 1,765,973.73 4.31
Washington.............. 26 6.95 3,147,100.54 7.68
West Virginia........... 3 0.80 199,900.00 0.49
Wisconsin............... 5 1.34 443,920.84 1.08
--- ------ -------------- ------
Total............... 374 100.00% $40,999,860.47 100.00%
=== ====== ============== ======
</TABLE>
6
<PAGE>
YEARS OF ORIGINATION--GROUP I ADJUSTABLE RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Adjustable
Rate Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Year of Origination Cut-off Date as of Cut-off Date Cut-off Date
- ------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
1998............... 1 $ 46,818.87 0.11%
1999............... 373 40,953,041.60 99.89
--- -------------- ------
Total.......... 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
DISTRIBUTION OF ORIGINAL CONTRACT AMOUNTS--
GROUP I ADJUSTABLE RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Adjustable
Rate Loans by
Number of Aggregate Principal Outstanding Principal
Original Contract Loans as of Balance Outstanding Balance as of
Amount (In Dollars) Cut-off Date as of Cut-off Date Cut-off Date
------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than $30,000.00..................... 1 $ 26,550.00 0.06%
$ 30,000.00 to $ 39,999.99............... 10 355,856.19 0.87
$ 40,000.00 to $ 49,999.99............... 13 596,935.87 1.46
$ 50,000.00 to $ 59,999.99............... 31 1,732,224.10 4.22
$ 60,000.00 to $ 69,999.99............... 33 2,154,335.30 5.25
$ 70,000.00 to $ 79,999.99............... 29 2,158,397.28 5.26
$ 80,000.00 to $ 89,999.99............... 35 2,958,835.85 7.22
$ 90,000.00 to $ 99,999.99............... 27 2,594,478.89 6.33
$100,000.00 to $109,999.99............... 31 3,266,129.83 7.97
$110,000.00 to $119,999.99............... 31 3,561,903.64 8.69
$120,000.00 to $129,999.99............... 23 2,852,775.36 6.96
$130,000.00 to $139,999.99............... 20 2,697,522.89 6.58
$140,000.00 to $149,999.99............... 14 2,018,826.54 4.92
$150,000.00 to $159,999.99............... 10 1,544,972.05 3.77
$160,000.00 to $169,999.99............... 17 2,794,627.54 6.82
$170,000.00 to $179,999.99............... 10 1,742,580.00 4.25
$180,000.00 to $189,999.99............... 10 1,848,311.13 4.51
$190,000.00 to $199,999.99............... 10 1,958,600.00 4.78
Over $199,999.99...................... 19 4,135,998.01 10.09
--- -------------- ------
Total................................ 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
7
<PAGE>
LOAN RATES--GROUP I ADJUSTABLE RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Adjustable
Rate Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Loan Rates Cut-off Date as of Cut-off Date Cut-off Date
- -------------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 8.00%........... 1 $ 83,942.48 0.20%
8.01% to 9.00%........... 82 9,837,327.30 23.99
9.01% to 10.00%.......... 174 19,241,747.09 46.93
10.01% to 11.00%.......... 86 8,823,522.71 21.52
11.01% to 12.00%.......... 25 2,503,170.89 6.11
Over 12.00%............... 6 510,150.00 1.24
--- -------------- ------
Total................. 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
REMAINING MONTHS TO MATURITY--GROUP I ADJUSTABLE RATE SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Adjustable
Rate Loans by
Months Remaining to Number of Aggregate Principal Outstanding Principal
Scheduled Maturity Loans as of Balance Outstanding Balance as of
as of Cut-off Date Cut-off Date as of Cut-off Date Cut-off Date
------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
331 to 360............. 374 $40,999,860.47 100.00%
--- -------------- ------
Total.............. 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
8
<PAGE>
COMBINED LOAN-TO-VALUE RATIO--SUBSEQUENT GROUP I ADJUSTABLE RATE LOANS
<TABLE>
<CAPTION>
% of Subsequent
Group I
Adjustable
Rate Loans by
Number of Aggregate Principal Outstanding Principal
Combined Loans as of Balance Outstanding Balance as of
Loan-to-Value Ratio Cut-off Date as of Cut-off Date Cut-off Date
- ------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 70.01%...... 8 $ 821,850.00 2.00%
70.01% to 80.00%...... 79 9,127,324.66 22.26
80.01% to 90.00%...... 202 21,012,383.25 51.25
Over 90.00%........... 85 10,038,302.56 24.48
--- -------------- ------
Total............. 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
9
<PAGE>
Month of Next Rate Adjustment--Subsequent Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Month of Next Rate Adjustment Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ----------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
August 2000................. 1 $ 46,818.87 0.11%
February 2001............... 1 51,057.74 0.12
April 2001.................. 3 356,347.60 0.87
May 2001.................... 4 427,089.98 1.04
June 2001................... 27 2,802,752.42 6.84
July 2001................... 146 16,254,580.81 39.65
August 2001................. 158 17,096,955.98 41.70
September 2001.............. 22 2,622,310.00 6.40
November 2001............... 1 198,000.00 0.48
May 2002.................... 1 38,951.83 0.10
June 2002................... 1 80,720.24 0.20
July 2002................... 2 105,725.00 0.26
August 2002................. 6 736,150.00 1.80
September 2002.............. 1 182,400.00 0.44
--- -------------- ------
Total................... 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
10
<PAGE>
Distribution of Gross Margin--Subsequent Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group I
Number of Aggregate Principal Adjustable Rate Loans
Loans as of Balance Outstanding by Outstanding Principal
Gross Margin Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------ ------------ ------------------- --------------------------
<S> <C> <C> <C>
4.750% to 4.999%........ 1 $ 113,349.05 0.28%
5.000% to 5.249%........ 3 222,942.48 0.54
5.250% to 5.499%........ 7 748,715.00 1.83
5.500% to 5.749%........ 28 3,039,776.17 7.41
5.750% to 5.999%........ 41 4,663,183.88 11.37
6.000% to 6.249%........ 40 3,949,742.36 9.63
6.250% to 6.499%........ 54 6,080,982.47 14.83
6.500% to 6.749%........ 50 5,696,919.87 13.89
6.750% to 6.999%........ 47 5,632,654.43 13.74
7.000% to 7.249%........ 29 3,036,491.89 7.41
7.250% to 7.499%........ 19 2,207,963.40 5.39
7.500% to 7.749%........ 25 2,524,867.26 6.16
7.750% to 7.999%........ 11 1,140,580.42 2.78
8.000% to 8.249%........ 8 867,023.24 2.11
8.250% to 8.499%........ 2 223,020.24 0.54
8.500% to 8.749%........ 4 282,448.31 0.69
8.750% to 8.999%........ 2 323,200.00 0.79
9.250% to 9.499%........ 2 154,800.00 0.38
9.500% to 9.749%........ 1 91,200.00 0.22
--- -------------- ------
Total............... 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
11
<PAGE>
Maximum Loan Rates--Subsequent Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Maximum Loan Rates Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ ------------ ------------------- --------------------------
<S> <C> <C> <C>
10.250% to 10.499%...... 1 $ 131,750.00 0.32%
10.500% to 10.749%...... 1 139,500.00 0.34
10.750% to 10.999%...... 4 480,366.54 1.17
11.000% to 11.249%...... 2 164,800.00 0.40
11.250% to 11.499%...... 8 801,927.48 1.96
11.500% to 11.749%...... 20 2,378,542.90 5.80
11.750% to 11.999%...... 46 5,289,321.31 12.90
12.000% to 12.249%...... 20 2,356,624.96 5.75
12.250% to 12.499%...... 25 3,171,013.13 7.73
12.500% to 12.749%...... 37 4,061,632.21 9.91
12.750% to 12.999%...... 61 6,248,869.01 15.24
13.000% to 13.249%...... 20 2,073,136.77 5.06
13.250% to 13.499%...... 19 2,024,852.69 4.94
13.500% to 13.749%...... 21 1,989,072.66 4.85
13.750% to 13.999%...... 17 1,816,378.29 4.43
14.000% to 14.249%...... 5 564,141.58 1.38
14.250% to 14.499%...... 11 994,654.53 2.43
14.500% to 14.749%...... 5 462,275.00 1.13
14.750% to 14.999%...... 17 1,973,759.74 4.81
15.000% to 15.249%...... 2 210,380.71 0.51
15.250% to 15.499%...... 8 933,986.72 2.28
15.500% to 15.749%...... 6 689,322.00 1.68
15.750% to 15.999%...... 12 1,415,311.70 3.45
16.000% to 16.249%...... 1 198,000.00 0.48
16.250% to 16.499%...... 1 52,700.00 0.13
16.500% to 16.749%...... 1 82,800.00 0.20
Greater than 16.749%.... 3 294,740.54 0.72
--- -------------- ------
Total............... 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
12
<PAGE>
Minimum Loan Rates--Subsequent Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Minimum Loan Rates Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ ------------ ------------------- --------------------------
<S> <C> <C> <C>
5.750% to 5.999%...... 1 $ 116,525.65 0.28%
6.000% to 6.249%...... 1 87,300.00 0.21
6.250% to 6.499%...... 1 201,600.00 0.49
6.750% to 6.999%...... 3 349,650.00 0.85
7.250% to 7.499%...... 1 163,327.00 0.40
7.500% to 7.749%...... 2 358,178.00 0.87
7.750% to 7.999%...... 1 83,942.48 0.20
8.000% to 8.249%...... 3 278,149.05 0.68
8.250% to 8.499%...... 7 750,601.83 1.83
8.500% to 8.749%...... 14 1,725,344.36 4.21
8.750% to 8.999%...... 54 6,535,706.41 15.94
9.000% to 9.249%...... 15 1,865,005.67 4.55
9.250% to 9.499%...... 28 3,497,319.26 8.53
9.500% to 9.749%...... 46 5,044,352.75 12.30
9.750% to 9.999%...... 77 7,835,069.41 19.11
10.000% to 10.249%...... 26 2,775,863.46 6.77
10.250% to 10.499%...... 21 2,145,706.28 5.23
10.500% to 10.749%...... 22 2,049,794.66 5.00
10.750% to 10.999%...... 18 1,925,391.72 4.70
11.000% to 11.249%...... 5 527,265.84 1.29
11.250% to 11.499%...... 10 919,654.53 2.24
11.500% to 11.749%...... 5 462,275.00 1.13
11.750% to 11.999%...... 7 791,687.11 1.93
12.000% to 12.249%...... 1 115,900.00 0.28
12.250% to 12.499%...... 3 233,750.00 0.57
12.500% to 12.749%...... 1 91,200.00 0.22
12.750% to 12.999%...... 1 69,300.00 0.17
--- -------------- ------
Total................. 374 $40,999,860.47 100.00%
=== ============== ======
</TABLE>
13
<PAGE>
The tables below describes additional characteristics of the subsequent group
II adjustable rate loans.
Geographical Distribution of Mortgaged Properties--
Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent
Group II
Adjustable Rate Aggregate Principal % of Subsequent Group II
Number of Loans by Number Balance Adjustable Rate Loans by
Loans as of of Loans as Outstanding as of Outstanding Principal
Cut-off Date of Cut-off Date Cut-off Date Balance as of Cut-off Date
------------ --------------- ------------------- --------------------------
<S> <C> <C> <C> <C>
Alabama................. 7 5.47% $ 685,775.13 3.84%
Arizona................. 6 4.69 809,928.00 4.54
California.............. 7 5.47 1,488,647.13 8.34
Colorado................ 6 4.69 1,148,327.92 6.43
District of Columbia.... 1 0.78 268,200.00 1.50
Florida................. 5 3.91 510,571.14 2.86
Georgia................. 6 4.69 468,827.77 2.63
Illinois................ 4 3.13 539,729.62 3.02
Kansas.................. 4 3.13 436,050.00 2.44
Kentucky................ 2 1.56 149,400.00 0.84
Maryland................ 10 7.81 2,018,333.10 11.30
Massachusetts........... 2 1.56 332,498.94 1.86
Michigan................ 1 0.78 102,600.00 0.57
Minnesota............... 2 1.56 340,905.06 1.91
Mississippi............. 3 2.34 360,000.00 2.02
Missouri................ 4 3.13 413,390.75 2.32
Nevada.................. 4 3.13 462,437.66 2.59
New Jersey.............. 1 0.78 94,500.00 0.53
New York................ 4 3.13 757,262.30 4.24
North Carolina.......... 5 3.91 553,390.07 3.10
Ohio.................... 12 9.38 1,024,341.76 5.74
Oregon.................. 5 3.91 734,442.32 4.11
Pennsylvania............ 3 2.34 358,512.16 2.01
South Carolina.......... 2 1.56 166,500.00 0.93
Tennessee............... 4 3.13 551,533.32 3.09
Texas................... 2 1.56 408,800.00 2.29
Utah.................... 4 3.13 831,120.00 4.65
Virginia................ 7 5.47 1,341,299.98 7.51
Washington.............. 4 3.13 428,700.00 2.40
Wisconsin............... 1 0.78 70,470.00 0.39
--- ------ -------------- ------
Total............... 128 100.00% $17,856,494.13 100.00%
=== ====== ============== ======
</TABLE>
14
<PAGE>
Years of Origination--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Year of Origination Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
1998.................... 1 $ 84,762.30 0.47%
1999.................... 127 17,771,731.83 99.53
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
Distribution of Original Loan Amounts--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Aggregate Principal Adjustable Rate Loans by
Original Loan Amount Loans as of Balance Outstanding Outstanding Principal
(in Dollars) Cut-off Date as of Cut-off Date Balance as of Cut-off Date
-------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
$ 30,000 to $ 39,999.... 2 $ 75,840.75 0.42
40,000 to 49,999.... 5 235,344.71 1.32
50,000 to 59,999.... 11 620,062.06 3.47
60,000 to 69,999.... 10 650,102.87 3.64
70,000 to 79,999.... 5 371,477.61 2.08
80,000 to 89,999.... 10 828,678.86 4.64
90,000 to 99,999.... 9 863,839.57 4.84
100,000 to 109,999.... 12 1,260,495.26 7.06
110,000 to 119,999.... 9 1,028,623.20 5.76
120,000 to 129,999.... 4 499,912.66 2.80
130,000 to 139,999.... 8 1,086,705.63 6.09
140,000 to 149,999.... 2 288,983.00 1.62
150,000 to 159,999.... 4 609,945.82 3.42
160,000 to 169,999.... 5 831,608.94 4.66
170,000 to 179,999.... 3 527,800.00 2.96
180,000 to 189,999.... 2 372,505.06 2.09
190,000 to 199,999.... 1 191,400.00 1.07
200,000 to 249,999.... 2 444,300.00 2.49
250,000 to 299,999.... 14 3,765,980.23 21.09
Greater than 299,999... 10 3,302,887.90 18.50
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
15
<PAGE>
Current Loan Rates--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Range of Loan Rates Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
Less than 8.01%......... 3 $ 305,273.37 1.71%
8.01% to 9.00%......... 32 5,681,960.71 31.82
9.01% to 10.00%........ 54 7,005,626.60 39.23
10.01% to 11.00%........ 27 3,769,243.76 21.11
11.01% to 12.00%........ 10 788,598.94 4.42
Over 12.00%............. 2 305,790.75 1.71
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
Remaining Months to Maturity--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Months Remaining to Number of Aggregate Principal Adjustable Rate Loans by
Scheduled Maturity Loans as of Balance Outstanding Outstanding Principal
as of Cut-off Date Cut-off Date as of Cut-off Date Balance as of Cut-off Date
------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
151 to 180.............. 1 $ 51,202.76 0.29%
331 to 360.............. 127 17,805,291.37 99.71
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
Combined Loan-to-Value Ratio--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Combined Loan-to-Value Ratio Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ---------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
60.01% to 70.00%............ 2 $ 155,350.00 0.87
70.01% to 80.00%............ 28 3,449,048.00 19.32
80.01% to 90.00%............ 63 9,146,013.76 51.22
Greater than 90.00%......... 35 5,106,082.37 28.60
--- -------------- ------
Total................... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
16
<PAGE>
Month of Next Rate Adjustment--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Aggregate Principal Adjustable Rate Loans
Loans as of Balance Outstanding by Outstanding Principal
Month of Next Rate Adjustment Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ----------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
July 2000................... 1 $ 84,762.30 0.47%
January 2001................ 1 58,334.30 0.33
March 2001.................. 1 44,916.76 0.25
May 2001.................... 1 106,575.71 0.60
June 2001................... 10 1,692,768.25 9.48
July 2001................... 47 6,372,353.25 35.69
August 2001................. 53 7,448,444.56 41.71
September 2001.............. 10 1,420,239.00 7.95
August 2002................. 3 358,100.00 2.01
August 2029................. 1 270,000.00 1.51
--- -------------- ------
Total................... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
17
<PAGE>
Distribution of Gross Margin--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Aggregate Principal Adjustable Rate Loans
Number of Loans Balance Outstanding by Outstanding Principal
Gross Margin as of Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------ ------------------ ------------------- --------------------------
<S> <C> <C> <C>
5.000% to 5.249%........ 1 $ 99,000.00 0.55
5.250% to 5.499%........ 1 255,550.00 1.43
5.500% to 5.749%........ 8 1,036,820.07 5.81
5.750% to 5.999%........ 13 2,275,586.07 12.74
6.000% to 6.249%........ 17 2,604,041.85 14.58
6.250% to 6.499%........ 23 3,382,174.35 18.94
6.500% to 6.749%........ 12 2,090,820.92 11.71
6.750% to 6.999%........ 10 1,227,965.48 6.88
7.000% to 7.249%........ 14 2,244,450.20 12.57
7.250% to 7.499%........ 12 1,037,693.34 5.81
7.500% to 7.749%........ 7 822,820.00 4.61
7.750% to 7.999%........ 6 492,712.30 2.76
8.000% to 8.249%........ 2 138,850.00 0.78
8.250% to 8.499%........ 1 38,250.00 0.21
8.500% to 8.749%........ 1 109,759.55 0.61
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
18
<PAGE>
Maximum Loan Rates--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Subsequent Group II
Number of Loans Aggregate Principal Adjustable Rate Loans by
as of Cut-off Balance Outstanding Outstanding Principal
Maximum Loan Rates Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ --------------- ------------------- --------------------------
<S> <C> <C> <C>
10.500% to 10.749%...... 2 $ 225,354.25 1.26%
10.750% to 10.999%...... 3 459,882.61 2.58
11.000% to 11.249%...... 1 99,000.00 0.55
11.250% to 11.499%...... 2 481,022.16 2.69
11.500% to 11.749%...... 8 1,513,647.33 8.48
11.750% to 11.999%...... 17 2,526,518.72 14.15
12.000% to 12.249%...... 8 1,455,352.52 8.15
12.250% to 12.499%...... 11 1,872,140.90 10.48
12.500% to 12.749%...... 11 1,561,510.00 8.74
12.750% to 12.999%...... 14 1,435,034.99 8.04
13.000% to 13.249%...... 3 239,882.47 1.34
13.250% to 13.499%...... 5 896,725.00 5.02
13.500% to 13.749%...... 5 525,803.00 2.94
13.750% to 13.999%...... 6 871,864.94 4.88
14.000% to 14.249%...... 4 436,598.94 2.45
14.250% to 14.499%...... 3 207,350.00 1.16
14.750% to 14.999%...... 7 723,650.00 4.05
15.250% to 15.499%...... 4 290,200.00 1.63
15.500% to 15.749%...... 1 86,477.44 0.48
15.750% to 15.999%...... 6 737,690.75 4.13
16.000% to 16.249%...... 1 176,900.00 0.99
16.250% to 16.499%...... 2 163,350.00 0.91
16.500% to 16.749%...... 1 332,477.92 1.86
16.750% to 16.999%...... 1 179,900.00 1.01
17.250% to 17.499%...... 1 89,960.19 0.50
Greater than 17.499%.... 1 268,200.00 1.50
--- -------------- ------
Total............... 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
19
<PAGE>
Minimum Loan Rates--Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
Number of % of Subsequent Group II
Loans Aggregate Principal Adjustable Rate Loans by
as of Cut- Balance Outstanding Outstanding Principal
Minimum Loan Rates off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ ---------- ------------------- --------------------------
<S> <C> <C> <C>
7.500% to 7.749%...... 2 $ 225,354.25 1.26
7.750% to 7.999%...... 1 79,919.12 0.45
8.000% to 8.249%...... 1 99,000.00 0.55
8.250% to 8.499%...... 2 481,022.16 2.69
8.500% to 8.749%...... 7 1,451,927.71 8.13
8.750% to 8.999%...... 21 3,380,158.32 18.93
9.000% to 9.249%...... 6 1,231,102.52 6.89
9.250% to 9.499%...... 13 1,905,840.90 10.67
9.500% to 9.749%...... 13 1,709,707.06 9.57
9.750% to 9.999%...... 21 2,210,618.45 12.38
10.000% to 10.249%...... 7 730,992.66 4.09
10.250% to 10.499%...... 9 1,316,575.00 7.37
10.500% to 10.749%...... 6 858,280.92 4.81
10.750% to 10.999%...... 7 1,081,605.37 6.06
11.000% to 11.249%...... 4 436,598.94 2.45
11.250% to 11.499%...... 3 207,350.00 1.16
11.750% to 11.999%...... 3 144,650.00 0.81
12.000% to 12.249%...... 1 268,200.00 1.50
12.750% to 12.999%...... 1 37,590.75 0.21
--- -------------- ------
Total................. 128 $17,856,494.13 100.00%
=== ============== ======
</TABLE>
20
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES--COMBINED
GROUP I FIXED-RATE INITIAL AND SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% OF
AGGREGATE
% OF AGGREGATE LOANS BY
LOANS AGGREGATE PRINCIPAL OUTSTANDING
NUMBER OF BY NUMBER OF BALANCE PRINCIPAL
LOANS AS OF LOANS AS OUTSTANDING AS OF BALANCE AS OF
STATE CUT-OFF DATE OF CUT-OFF DATE CUT-OFF DATE CUT-OFF DATE
----- --------------- --------------- ------------------- -------------
<S> <C> <C> <C> <C>
Alabama................. 198 2.94% $ 9,976,336.33 2.47%
Arizona................. 126 1.87 6,100,323.69 1.51
Arkansas................ 93 1.38 4,779,543.05 1.18
California.............. 545 8.10 42,857,811.90 10.61
Colorado................ 174 2.58 12,045,930.24 2.98
Connecticut............. 85 1.26 5,639,356.27 1.40
Delaware................ 28 0.42 2,455,559.84 0.61
District of Columbia.... 10 0.15 479,499.94 0.12
Florida................. 366 5.44 23,072,843.90 5.71
Georgia................. 192 2.85 12,143,786.47 3.01
Idaho................... 27 0.40 952,190.47 0.24
Illinois................ 298 4.43 19,229,211.80 4.76
Indiana................. 194 2.88 9,865,107.07 2.44
Iowa.................... 127 1.89 6,472,120.11 1.60
Kansas.................. 109 1.62 6,227,651.61 1.54
Kentucky................ 99 1.47 5,508,160.88 1.36
Louisiana............... 176 2.61 9,507,803.60 2.35
Maine................... 10 0.15 651,559.17 0.16
Maryland................ 113 1.68 7,573,808.86 1.87
Massachusetts........... 75 1.11 5,057,384.81 1.25
Michigan................ 371 5.51 24,130,029.13 5.97
Minnesota............... 102 1.52 6,097,716.52 1.51
Mississippi............. 99 1.47 5,597,115.21 1.39
Missouri................ 214 3.18 11,466,446.97 2.84
Montana................. 18 0.27 1,358,251.10 0.34
Nebraska................ 87 1.29 5,954,261.12 1.47
Nevada.................. 72 1.07 3,521,097.82 0.87
New Hampshire........... 16 0.24 1,147,281.51 0.28
New Jersey.............. 77 1.14 5,829,503.81 1.44
New Mexico.............. 40 0.59 2,321,578.74 0.57
New York................ 221 3.28 13,843,263.16 3.43
North Carolina.......... 175 2.60 11,442,856.15 2.83
North Dakota............ 8 0.12 485,924.61 0.12
Ohio.................... 385 5.72 20,147,622.41 4.99
Oklahoma................ 41 0.61 2,044,091.48 0.51
Oregon.................. 50 0.74 3,506,303.00 0.87
Pennsylvania............ 244 3.62 13,764,157.18 3.41
Rhode Island............ 18 0.27 780,948.21 0.19
South Carolina.......... 168 2.50 10,794,792.63 2.67
South Dakota............ 17 0.25 885,492.41 0.22
Tennessee............... 153 2.27 9,627,286.07 2.38
Texas................... 526 7.81 21,387,929.65 5.29
Utah.................... 57 0.85 3,514,274.02 0.87
Vermont................. 7 0.10 350,850.00 0.09
Virginia................ 206 3.06 12,319,869.34 3.05
Washington.............. 160 2.38 12,925,541.08 3.20
West Virginia........... 34 0.51 1,740,367.79 0.43
Wisconsin............... 94 1.40 4,794,783.60 1.19
Wyoming................. 27 0.40 1,742,756.75 0.43
----- ------ --------------- ------
Total............... 6,732 100.00% $404,118,381.48 100.00%
===== ====== =============== ======
</TABLE>
21
<PAGE>
YEARS OF ORIGINATION--GROUP I FIXED RATE INITIAL AND SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Aggregate
Number of Loans by
Loans Aggregate Principal Outstanding Principal
as of Cut- Balance Outstanding Balance as of
Year of Origination off Date as of Cut-off Date Cut-off Date
- ------------------- ---------- ------------------- ------------------------
<S> <C> <C> <C>
1996............... 1 $ 14,752.84 * %
1997............... 4 191,817.34 0.05
1998............... 150 10,390,062.01 2.57
1999............... 6,577 393,521,749.29 97.38
----- --------------- ------
Total............... 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
- ----------------
* [ADD FOOTNOTE]
DISTRIBUTION OF ORIGINAL CONTRACT AMOUNTS--GROUP I FIXED
RATE INITIAL AND SUBSEQUENT LOANS
<TABLE>
<CAPTION>
% of Aggregate
Number of Loans by
Loans Aggregate Principal Outstanding Principal
Original Contract as of Cut- Balance Outstanding Balance as of
Amount (In Dollars) off Date as of Cut-off Date Cut-off Date
------------------- ---------- ------------------- ------------------------
<S> <C> <C> <C>
Less than $10,000.00..................... 14 $ 122,392.73 0.03
$ 10,000.00 to $ 19,999.99............... 1,185 17,132,088.88 4.24
20,000.00 to 29,999.99............... 987 23,961,142.20 5.93
30,000.00 to 39,999.99............... 697 23,989,207.46 5.94
40,000.00 to 49,999.99............... 625 27,813,941.35 6.88
50,000.00 to 59,999.99............... 576 31,501,171.92 7.80
60,000.00 to 69,999.99............... 532 34,234,506.05 8.47
70,000.00 to 79,999.99............... 434 32,268,489.07 7.98
80,000.00 to 89,999.99............... 326 27,341,587.11 6.77
90,000.00 to 99,999.99............... 279 26,333,682.12 6.52
100,000.00 to 109,999.99............... 214 22,324,346.39 5.52
110,000.00 to 119,999.99............... 168 19,153,066.38 4.74
120,000.00 to 129,999.99............... 129 16,062,890.97 3.97
130,000.00 to 139,999.99............... 120 16,087,006.01 3.98
140,000.00 to 149,999.99............... 84 12,131,390.15 3.00
150,000.00 to 159,999.99............... 66 10,108,822.22 2.50
160,000.00 to 169,999.99............... 40 6,554,132.72 1.62
170,000.00 to 179,999.99............... 38 6,627,638.38 1.64
180,000.00 to 189,999.99............... 46 8,475,153.83 2.10
190,000.00 to 199,999.99............... 30 5,814,391.69 1.44
200,000.00 to 249,999.99............... 83 18,485,509.92 4.57
250,000.00 to 299,999.99............... 37 10,079,102.30 2.49
Over 299,999.99...................... 22 7,516,721.63 1.86
----- --------------- ------
Total................................ 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
22
<PAGE>
Loan Rates--Combined Initial and Subsequent Group I Fixed-Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Fixed-Rate Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Range of Loan Rates Cut-off Date as of Cut-off Date Cut-off Date
------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
Less than 7.01%............ 3 $ 425,800.00 0.11%
7.01% to 8.00%............. 12 1,711,793.90 0.42
8.01% to 9.00%............. 107 13,583,541.48 3.36
9.01% to 10.00%............. 496 53,209,043.90 13.17
10.01% to 11.00%............ 993 88,094,578.29 21.80
11.01% to 12.00%............ 1,509 113,255,319.30 28.03
12.01% to 13.00%............ 1,146 52,555,023.70 13.00
13.01% to 14.00%............ 1,335 48,983,654.48 12.12
14.01% to 15.00%............ 643 20,093,850.18 4.97
15.01% to 16.00%............ 250 7,394,371.82 1.83
16.01% to 17.00%............ 121 2,666,086.17 0.66
17.01% to 18.00%............ 88 1,665,937.28 0.41
18.01% to 19.00%............ 20 338,780.98 0.08
19.01% to 20.00%............ 9 140,600.00 0.03
----- --------------- ------
Total................... 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
Remaining Months to Maturity--Combined Initial and Subsequent
Group I Fixed-Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Fixed-Rate Loans by
Months Remaining to Number of Aggregate Principal Outstanding Principal
Scheduled Maturity Loans as of Balance Outstanding Balance as of
as of Cut-off Date Cut-off Date as of Cut-off Date Cut-off Date
------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
31 to 60.................. 65 $ 1,424,821.91 0.35%
61 to 90.................. 59 1,661,521.50 0.41
91 to 120................. 474 13,452,632.54 3.33
121 to 150................ 45 1,816,053.91 0.45
151 to 180................ 2,080 111,577,767.49 27.61
181 to 210................ 18 925,013.78 0.23
211 to 240................ 2,534 151,634,879.43 37.52
241 to 270................ 1 58,200.00 0.01
271 to 300................ 744 49,594,975.75 12.27
301 to 330................ 5 746,822.93 0.18
331 to 360................ 707 71,225,692.24 17.62
----- --------------- ------
Total................... 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
Lien Position--Combined Initial and Subsequent Group I Fixed-Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Fixed-Rate Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Position Cut-off Date as of Cut-off Date Cut-off Date
-------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
First..................... 3,954 $325,543,113.35 80.56%
Second.................... 2,704 77,239,097.19 19.11
Third..................... 74 1,336,170.94 0.33
----- --------------- ------
Total................... 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
23
<PAGE>
Combined Loan-to-Value Ratio--Initial and Subsequent Group I Fixed-Rate Loans
<TABLE>
<CAPTION>
% of Initial
Group I Fixed-Rate
Loans
Number of Aggregate Principal by Outstanding
Loans as of Balance Outstanding Principal Balance
Combined Loan-to-Value Ratio Cut-off Date as of Cut-off Date as of Cut-off Date
- ---------------------------- ------------ ------------------- ------------------
<S> <C> <C> <C>
Less than 10.00%........... 2 $ 21,700.00 0.01%
10.01% to 20.00%............ 15 353,229.29 0.09
20.01% to 30.00%............ 34 932,128.14 0.23
30.01% to 40.00%............ 41 1,318,671.18 0.33
40.01% to 50.00%............ 72 2,378,894.39 0.59
50.01% to 60.00%............ 125 4,951,854.96 1.23
60.01% to 70.00%............ 246 11,573,878.94 2.86
70.01% to 80.00%............ 860 47,038,679.97 11.64
80.01% to 90.00%............ 1,806 110,579,782.16 27.36
90.01% to 100.00%............ 3,386 212,733,216.96 52.64
100.01% to 110.00%............ 140 11,921,488.20 2.95
Greater than 110.00%.......... 5 314,857.29 0.08
----- --------------- ------
Total................... 6,732 $404,118,381.48 100.00%
===== =============== ======
</TABLE>
24
<PAGE>
The tables below describes additional characteristics of the initial group I
adjustable rate loans.
Geographical Distribution of Mortgaged Properties--Combined
Initial and Subsequent Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate % of Aggregate
Group I Group I
Adjustable Rate Aggregate Principal Adjustable Rate Loans
Loans by Number Balance by Outstanding Principal
Number of Loans of Loans as Outstanding as of Balance as of
as of Cut-off Date of Cut-off Date Cut-off Date Cut-off Date
------------------ --------------- ------------------- ------------------------
<S> <C> <C> <C> <C>
Alabama................. 63 3.77% $ 5,554,911.09 3.17%
Arizona................. 41 2.45 4,057,857.99 2.32
Arkansas................ 1 0.06 93,416.46 0.05
California.............. 106 6.34 15,615,922.13 8.92
Colorado................ 78 4.67 9,098,789.73 5.20
Connecticut............. 13 0.78 1,398,548.95 0.80
Delaware................ 1 0.06 216,122.07 0.12
District Of Columbia.... 6 0.36 793,516.28 0.45
Florida................. 73 4.37 7,313,630.77 4.18
Georgia................. 47 2.81 4,519,006.28 2.58
Idaho................... 11 0.66 952,910.20 0.54
Illinois................ 63 3.77 6,954,134.73 3.97
Indiana................. 80 4.79 6,603,207.08 3.77
Iowa.................... 9 0.54 930,233.48 0.53
Kansas.................. 21 1.26 2,468,854.96 1.41
Kentucky................ 28 1.68 2,332,287.84 1.33
Louisiana............... 19 1.14 2,276,338.40 1.30
Maine................... 5 0.30 462,925.64 0.26
Maryland................ 64 3.83 8,698,593.58 4.97
Massachusetts........... 24 1.44 3,000,427.87 1.71
Michigan................ 89 5.33 7,672,563.43 4.38
Minnesota............... 24 1.44 2,535,283.93 1.45
Mississippi............. 18 1.08 1,537,280.13 0.88
Missouri................ 39 2.33 3,157,983.91 1.80
Montana................. 2 0.12 178,996.52 0.10
Nebraska................ 2 0.12 230,710.34 0.13
Nevada.................. 29 1.74 3,456,792.09 1.98
New Jersey.............. 8 0.48 842,677.12 0.48
New Hampshire........... 1 0.06 55,080.94 0.03
New Mexico.............. 5 0.30 530,198.51 0.30
New York................ 20 1.20 1,929,645.93 1.10
North Carolina.......... 73 4.37 6,569,807.38 3.75
Ohio.................... 128 7.66 11,032,193.37 6.30
Oklahoma................ 8 0.48 813,484.24 0.46
Oregon.................. 60 3.59 6,897,334.08 3.94
Pennsylvania............ 39 2.33 3,841,678.45 2.20
Rhode Island............ 13 0.78 1,625,406.27 0.93
South Carolina.......... 44 2.63 3,502,189.92 2.00
Tennessee............... 46 2.75 4,733,992.24 2.71
Texas................... 59 3.53 5,584,593.58 3.19
Utah.................... 40 2.39 4,846,612.59 2.77
Virginia................ 42 2.51 4,818,365.91 2.75
Washington.............. 102 6.10 12,866,360.95 7.35
West Virginia........... 9 0.54 651,161.09 0.37
Wisconsin............... 15 0.90 1,356,532.84 0.78
Wyoming................. 3 0.18 391,280.73 0.22
----- ------ --------------- ------
Total............... 1,671 100.00% $174,999,842.02 100.00%
===== ====== =============== ======
</TABLE>
25
<PAGE>
Years of Origination--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Adjustable Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Loans as of Balance Outstanding Balance as of
Year of Origination Cut-off Date as of Cut-off Date Cut-off Date
- ------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
1997.................... 4 $ 409,300.54 0.23%
1998.................... 130 10,821,776.79 6.18
1999.................... 1,537 163,768,764.69 93.58
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
Distribution of Original Loan Amounts--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Adjustable Rate
Loans by
Number of Aggregate Principal Outstanding Principal
Original Loan Amount Loans as of Balance Outstanding Balance as of
(in Dollars) Cut-off Date as of Cut-off Date Cut-off Date
-------------------- ------------ ------------------- ---------------------
<S> <C> <C> <C>
$ 20,000 to $ 29,999.... 7 $ 186,075.91 0.11%
30,000 to 39,999.... 48 1,686,685.61 0.96
40,000 to 49,999.... 88 3,962,882.99 2.26
50,000 to 59,999.... 143 7,868,609.54 4.50
60,000 to 69,999.... 152 9,887,658.04 5.65
70,000 to 79,999.... 156 11,709,783.69 6.69
80,000 to 89,999.... 162 13,701,506.55 7.83
90,000 to 99,999.... 130 12,407,216.24 7.09
100,000 to 109,999.... 120 12,595,303.55 7.20
110,000 to 119,999.... 131 14,904,080.62 8.52
120,000 to 129,999.... 104 12,923,715.29 7.38
130,000 to 139,999.... 71 9,520,143.42 5.44
140,000 to 149,999.... 63 9,127,960.56 5.22
150,000 to 159,999.... 53 8,145,615.28 4.65
160,000 to 169,999.... 53 8,693,935.75 4.97
170,000 to 179,999.... 43 7,503,971.27 4.29
180,000 to 189,999.... 37 6,835,457.45 3.91
190,000 to 199,999.... 31 6,034,988.45 3.45
200,000 to 249,999.... 79 17,304,251.81 9.89
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
26
<PAGE>
Current Loan Rates--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Range of Loan Rates Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
Less than 7.01%......... 1 $ 231,617.79 0.13%
7.01% to 8.00%......... 44 5,448,816.91 3.11
8.01% to 9.00%......... 361 40,723,978.94 23.27
9.00% to 10.00%........ 756 81,625,430.23 46.64
10.01% to 11.00%........ 378 36,142,325.43 20.65
11.01% to 12.00%........ 109 9,448,166.88 5.40
12.01% to 13.00%........ 18 1,101,920.76 0.63
13.01% to 14.00%........ 3 246,140.95 0.14
15.01% to 16.00%........ 1 31,444.13 0.02
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
Remaining Months to Maturity--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Months Remaining to Number of Aggregate Principal Adjustable Rate Loans by
Scheduled Maturity Loans as of Balance Outstanding Outstanding Principal
as of Cut-off Date Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
151 to 180.............. 2 $ 214,013.12 0.12%
331 to 360.............. 1,669 174,785,828.90 99.88
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
Combined Loan-to-Value Ratio--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Combined Loan-to-Value Ratio Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ---------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
10.01% to 20.00%............ 1 $ 49,983.84 0.03%
30.01% to 40.00%............ 8 367,725.24 0.21
40.01% to 50.00%............ 9 616,652.30 0.35
50.01% to 60.00%............ 14 1,024,272.58 0.59
60.01% to 70.00%............ 61 4,522,479.74 2.58
70.01% to 80.00%............ 483 48,576,213.24 27.76
80.01% to 90.00%............ 790 83,016,044.65 47.44
90.01% to 100.00%........... 304 36,701,710.24 20.97
Greater than 100.00%........ 1 124,760.19 0.07
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
27
<PAGE>
Month of Next Rate Adjustment--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Month of Next Rate Adjustment Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ----------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
November 1999............... 5 $ 526,876.16 0.30%
December 1999............... 1 46,723.32 0.03
January 2000................ 1 113,514.49 0.06
February 2000............... 1 87,644.69 0.05
March 2000.................. 4 304,134.41 0.17
April 2000.................. 4 429,384.84 0.25
May 2000.................... 14 1,362,078.29 0.78
June 2000................... 24 1,997,038.20 1.14
July 2000................... 37 2,648,939.86 1.51
August 2000................. 18 1,438,579.64 0.82
September 2000.............. 5 663,822.31 0.38
October 2000................ 4 227,665.77 0.13
November 2000............... 5 341,558.99 0.20
January 2001................ 7 668,320.05 0.38
February 2001............... 6 812,833.56 0.46
March 2001.................. 21 2,221,933.89 1.27
April 2001.................. 54 5,693,984.86 3.25
May 2001.................... 214 21,966,132.25 12.55
June 2001................... 541 59,006,662.81 33.72
July 2001................... 441 46,725,394.68 26.70
August 2001................. 187 19,843,686.79 11.34
September 2001.............. 24 2,800,960.00 1.60
November 2001............... 1 198,000.00 0.11
December 2001............... 1 79,749.41 0.05
February 2002............... 2 128,461.12 0.07
March 2002.................. 1 88,486.39 0.05
April 2002.................. 1 97,603.51 0.06
May 2002.................... 8 668,948.86 0.38
June 2002................... 20 1,954,128.31 1.12
July 2002................... 10 807,950.55 0.46
August 2002................. 6 736,150.00 0.42
September 2002.............. 1 182,400.00 0.10
April 2004.................. 1 50,894.01 0.03
July 2021................... 1 79,200.00 0.05
----- --------------- ------
Total................... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
28
<PAGE>
Distribution of Gross Margin--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Number of Aggregate Principal Adjustable Rate Loans
Loans as of Balance Outstanding by Outstanding Principal
Gross Margin Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------ ------------ ------------------- --------------------------
<S> <C> <C> <C>
3.750% to 3.999%........ 1 $ 58,044.77 0.03%
4.000% to 4.249%........ 1 42,456.39 0.02
4.250% to 4.499%........ 1 61,170.88 0.03
4.500% to 4.749%........ 2 169,163.42 0.10
4.750% to 4.999%........ 8 960,558.15 0.55
5.000% to 5.249%........ 20 2,134,051.05 1.22
5.250% to 5.499%........ 31 3,384,938.93 1.93
5.500% to 5.749%........ 83 9,154,208.79 5.23
5.750% to 5.999%........ 111 12,482,754.59 7.13
6.000% to 6.249%........ 136 14,106,749.18 8.06
6.250% to 6.499%........ 223 24,639,069.63 14.08
6.500% to 6.749%........ 216 23,743,903.83 13.57
6.750% to 6.999%........ 270 28,743,033.51 16.42
7.000% to 7.249%........ 157 15,697,861.84 8.97
7.250% to 7.499%........ 131 13,599,234.66 7.77
7.500% to 7.749%........ 99 9,466,420.01 5.41
7.750% to 7.999%........ 62 5,792,669.29 3.31
8.000% to 8.249%........ 42 3,832,968.06 2.19
8.250% to 8.499%........ 23 1,984,278.40 1.13
8.500% to 8.749%........ 17 1,649,715.75 0.94
8.750% to 8.999%........ 12 1,066,349.32 0.61
9.000% to 9.249%........ 5 467,646.79 0.27
9.250% to 9.499%........ 7 686,601.27 0.39
9.500% to 9.749%........ 4 306,752.01 0.18
9.750% to 9.999%........ 3 171,323.54 0.10
10.250% to 10.499%...... 2 237,911.81 0.14
10.500% to 10.749%...... 1 97,475.06 0.06
10.750% to 10.999%...... 3 262,531.09 0.15
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
29
<PAGE>
Maximum Loan Rates--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group I
Number of Loans Aggregate Principal Adjustable Rate Loans by
as of Cut-off Balance Outstanding Outstanding Principal
Maximum Loan Rates Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ --------------- ------------------- --------------------------
<S> <C> <C> <C>
10.250% to 10.499%...... 1 $ 131,750.00 0.08%
10.500% to 10.749%...... 1 139,500.00 0.08
10.750% to 10.999%...... 5 613,152.19 0.35
11.000% to 11.249%...... 2 164,800.00 0.09
11.250% to 11.499%...... 8 801,927.48 0.46
11.500% to 11.749%...... 20 2,378,542.90 1.36
11.750% to 11.999%...... 46 5,289,321.31 3.02
12.000% to 12.249%...... 20 2,356,624.96 1.35
12.250% to 12.499%...... 26 3,365,810.17 1.92
12.500% to 12.749%...... 37 4,061,632.21 2.32
12.750% to 12.999%...... 62 6,480,486.80 3.70
13.000% to 13.249%...... 21 2,126,634.50 1.22
13.250% to 13.499%...... 20 2,068,942.56 1.18
13.500% to 13.749%...... 21 1,989,072.66 1.14
13.750% to 13.999%...... 46 5,269,919.84 3.01
14.000% to 14.249%...... 13 1,746,674.18 1.00
14.250% to 14.499%...... 33 3,358,372.35 1.92
14.500% to 14.749%...... 59 6,772,239.05 3.87
14.750% to 14.999%...... 174 18,775,081.56 10.73
15.000% to 15.249%...... 40 4,268,849.16 2.44
15.250% to 15.499%...... 133 14,281,380.26 8.16
15.500% to 15.749%...... 134 14,493,869.69 8.28
15.750% to 15.999%...... 220 24,021,583.60 13.73
16.000% to 16.249%...... 63 7,084,422.20 4.05
16.250% to 16.499%...... 103 10,845,364.86 6.20
16.500% to 16.749%...... 78 7,590,250.46 4.34
16.750% to 16.999%...... 101 9,426,361.81 5.39
17.000% to 17.249%...... 26 2,445,622.02 1.40
17.250% to 17.499%...... 48 4,354,758.50 2.49
17.500% to 17.749%...... 36 2,843,324.63 1.62
17.750% to 17.999%...... 29 2,427,689.36 1.39
18.000% to 18.249%...... 7 582,446.04 0.33
18.250% to 18.499%...... 8 515,820.14 0.29
18.500% to 18.749%...... 11 856,916.26 0.49
18.750% to 18.999%...... 2 145,258.24 0.08
19.000% to 19.249%...... 2 142,146.74 0.08
19.250% to 19.499%...... 4 167,293.56 0.10
19.500% to 19.749%...... 4 204,871.31 0.12
19.750% to 19.999%...... 1 40,675.86 0.02
Greater than 19.999%.... 6 370,452.60 0.21
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
30
<PAGE>
Minimum Loan Rates--Combined Initial and Subsequent
Group I Adjustable Rate Loans
<TABLE>
<CAPTION>
Number of % of Aggregate Group I
Loans Aggregate Principal Adjustable Rate Loans by
as of Cut- Balance Outstanding Outstanding Principal
Minimum Loan Rates off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ ---------- ------------------- --------------------------
<S> <C> <C> <C>
5.500% to 5.749%...... 1 $ 91,866.72 0.05%
5.750% to 5.999%...... 2 183,555.09 0.10
6.000% to 6.249%...... 1 87,300.00 0.05
6.250% to 6.499%...... 1 201,600.00 0.12
6.500% to 6.749%...... 2 149,456.32 0.09
6.750% to 6.999%...... 7 908,038.99 0.52
7.000% to 7.249%...... 2 163,625.55 0.09
7.250% to 7.499%...... 2 276,841.49 0.16
7.500% to 7.749%...... 7 828,731.17 0.47
7.750% to 7.999%...... 39 4,708,927.63 2.69
8.000% to 8.249%...... 11 1,460,681.65 0.83
8.250% to 8.499%...... 33 3,507,084.57 2.00
8.500% to 8.749%...... 76 8,855,851.08 5.06
8.750% to 8.999%...... 230 25,738,052.00 14.71
9.000% to 9.249%...... 62 7,026,489.01 4.02
9.250% to 9.499%...... 182 20,036,408.84 11.45
9.500% to 9.749%...... 188 20,472,869.80 11.70
9.750% to 9.999%...... 307 32,076,470.38 18.33
10.000% to 10.249%...... 88 9,025,470.75 5.16
10.250% to 10.499%...... 121 12,187,297.13 6.96
10.500% to 10.749%...... 87 8,040,820.61 4.59
10.750% to 10.999%...... 83 7,337,104.75 4.19
11.000% to 11.249%...... 24 2,253,775.30 1.29
11.250% to 11.499%...... 38 3,085,683.84 1.76
11.500% to 11.749%...... 34 2,829,051.11 1.62
11.750% to 11.999%...... 19 1,816,619.29 1.04
12.000% to 12.249%...... 4 445,046.74 0.25
12.250% to 12.499%...... 7 401,043.56 0.23
12.500% to 12.749%...... 6 363,069.29 0.21
12.750% to 12.999%...... 2 109,975.86 0.06
13.000% to 13.249%...... 2 90,034.56 0.05
13.250% to 13.499%...... 2 209,554.81 0.12
15.500% to 15.749%...... 1 31,444.13 0.02
----- --------------- ------
Total............... 1,671 $174,999,842.02 100.00%
===== =============== ======
</TABLE>
31
<PAGE>
The tables below describes additional characteristics of the initial group II
adjustable rate loans.
Geographical Distribution of Mortgaged Properties--Combined
Initial and Subsequent Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial
Group II
Adjustable Rate Aggregate Principal % of Initial Group II
Loans by Number Balance Adjustable Rate Loans by
Number of Loans of Loans as Outstanding as of Outstanding Principal
as of Cut-off Date of Cut-off Date Cut-off Date Balance as of Cut-off Date
------------------ --------------- ------------------- --------------------------
<S> <C> <C> <C> <C>
Alabama................. 12 2.23% $ 978,903.83 1.31%
Arizona................. 16 2.98 2,091,843.13 2.79
California.............. 42 7.82 8,885,124.34 11.85
Colorado................ 27 5.03 4,214,741.84 5.62
Connecticut............. 2 0.37 225,900.28 0.30
Delaware................ 1 0.19 403,650.00 0.54
District of Columbia.... 1 0.19 268,200.00 0.36
Florida................. 19 3.54 1,918,434.64 2.56
Georgia................. 11 2.05 1,319,703.60 1.76
Idaho................... 4 0.74 411,853.45 0.55
Illinois................ 16 2.98 2,270,288.55 3.03
Indiana................. 19 3.54 1,656,204.51 2.21
Iowa.................... 2 0.37 99,199.05 0.13
Kansas.................. 5 0.93 536,163.41 0.71
Kentucky................ 10 1.86 838,182.64 1.12
Louisiana............... 6 1.12 474,438.59 0.63
Maryland................ 37 6.89 8,097,151.90 10.80
Massachusetts........... 9 1.68 1,539,336.36 2.05
Michigan................ 27 5.03 2,679,790.00 3.57
Minnesota............... 11 2.05 1,466,548.81 1.96
Mississippi............. 8 1.49 842,818.61 1.12
Missouri................ 13 2.42 1,265,084.69 1.69
Montana................. 2 0.37 357,019.69 0.48
Nebraska................ 1 0.19 101,136.05 0.13
Nevada.................. 11 2.05 2,072,543.06 2.76
New Hampshire........... 1 0.19 60,215.79 0.08
New Jersey.............. 4 0.74 800,694.57 1.07
New York................ 11 2.05 1,922,754.87 2.56
North Carolina.......... 25 4.66 2,733,008.53 3.64
Ohio.................... 44 8.19 4,024,943.08 5.37
Oklahoma................ 2 0.37 56,950.96 0.08
Oregon.................. 22 4.10 3,388,369.53 4.52
Pennsylvania............ 9 1.68 771,965.71 1.03
Rhode Island............ 1 0.19 46,723.87 0.06
South Carolina.......... 7 1.30 529,124.91 0.71
Tennessee............... 12 2.23 1,415,659.61 1.89
Texas................... 14 2.61 1,947,108.50 2.60
Utah.................... 14 2.61 2,028,276.90 2.70
Vermont................. 1 0.19 86,657.35 0.12
Virginia................ 27 5.03 5,712,398.78 7.62
Washington.............. 24 4.47 3,751,985.54 5.00
West Virginia........... 3 0.56 383,950.92 0.51
Wisconsin............... 4 0.74 324,863.21 0.43
--- ------ -------------- ------
Total............... 537 100.00% $74,999,913.66 100.00%
=== ====== ============== ======
</TABLE>
32
<PAGE>
Years of Origination--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Year of Origination Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
1998.................... 48 $ 5,000,376.60 6.67%
1999.................... 489 69,999,537.06 93.33
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
Distribution of Original Loan Amounts--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group II
Number of Aggregate Principal Adjustable Rate Loans by
Original Loan Amount Loans as of Balance Outstanding Outstanding Principal
(in Dollars) Cut-off Date as of Cut-off Date Balance as of Cut-off Date
-------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
$ 20,000 to $ 29,999.... 5 $ 122,387.45 0.16%
$ 30,000 to $ 39,999.... 23 796,449.54 1.06
$ 40,000 to $ 49,999.... 21 958,930.67 1.28
$ 50,000 to $ 59,999.... 32 1,801,250.22 2.40
$ 60,000 to $ 69,999.... 47 3,064,628.31 4.09
$ 70,000 to $ 79,999.... 31 2,299,642.96 3.07
$ 80,000 to $ 89,999.... 36 3,012,929.97 4.02
$ 90,000 to $ 99,999.... 32 3,034,940.88 4.05
$100,000 to $109,999.... 34 3,547,688.30 4.73
$110,000 to $119,999.... 30 3,436,850.88 4.58
$120,000 to $129,999.... 20 2,502,711.30 3.34
$130,000 to $139,999.... 27 3,672,775.38 4.90
$140,000 to $149,999.... 15 2,171,256.47 2.90
$150,000 to $159,999.... 14 2,158,242.20 2.88
$160,000 to $169,999.... 18 2,979,735.57 3.97
$170,000 to $179,999.... 9 1,564,754.38 2.09
$180,000 to $189,999.... 9 1,661,159.05 2.21
$190,000 to $199,999.... 11 2,135,796.73 2.85
$200,000 to $249,999.... 30 6,898,185.96 9.20
$250,000 to $299,999.... 58 15,684,974.74 20.91
Greater than $299,999... 35 11,494,622.70 15.33
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
33
<PAGE>
Current Loan Rates--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Range of Loan Rates Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
Less than 7.01%......... 1 $ 167,862.01 0.22%
7.01% to 8.00%......... 15 2,563,882.23 3.42
8.01% to 9.00%......... 135 24,013,458.06 32.02
9.01% to 10.00%........ 243 32,833,276.20 43.78
10.01% to 11.00%........ 107 12,278,649.29 16.37
11.01% to 12.00%........ 28 2,491,853.83 3.32
12.01% to 13.00%........ 4 474,333.16 0.63
13.01% to 14.00%........ 4 176,598.88 0.24
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
Remaining Months to Maturity--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial Group II
Months Remaining to Number of Aggregate Principal Adjustable Rate Loans by
Scheduled Maturity Loans as of Balance Outstanding Outstanding Principal
as of Cut-off Date Cut-off Date as of Cut-off Date Balance as of Cut-off Date
------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
151 to 180.............. 1 $ 51,202.76 0.07%
331 to 360.............. 536 74,948,710.90 99.93%
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
Combined Loan-to-Value Ratio--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial Group II
Number of Aggregate Principal Adjustable Rate Loans by
Loans as of Balance Outstanding Outstanding Principal
Combined Loan-to-Value Ratio Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ---------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
30.01% to 40.00%............ 3 $ 178,477.14 0.24%
40.01% to 50.00%............ 1 65,442.30 0.09
50.01% to 60.00%............ 5 318,038.28 0.42
60.01% to 70.00%............ 23 1,921,828.67 2.56
70.01% to 80.00%............ 138 16,593,591.41 22.12
80.01% to 90.00%............ 252 37,390,381.20 49.85
Greater than 90.00%......... 115 18,532,154.66 24.71
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
34
<PAGE>
Month of Next Rate Adjustment--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Aggregate Group II
Number of Aggregate Principal Adjustable Rate Loans
Loans as of Balance Outstanding by Outstanding Principal
Month of Next Rate Adjustment Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ----------------------------- ------------ ------------------- --------------------------
<S> <C> <C> <C>
December 1999............... 1 $ 93,144.49 0.12%
March 2000.................. 2 168,971.70 0.23
April 2000.................. 1 257,600.59 0.34
May 2000.................... 5 506,398.19 0.68
June 2000................... 14 1,142,197.12 1.52
July 2000................... 13 1,091,390.78 1.46
August 2000................. 3 504,815.75 0.67
September 2000.............. 2 88,707.80 0.12
October 2000................ 1 136,206.85 0.18
November 2000............... 3 334,694.13 0.45
December 2000............... 1 287,061.20 0.38
January 2001................ 1 58,334.30 0.08
February 2001............... 2 98,899.47 0.13
March 2001.................. 4 492,334.40 0.66
April 2001.................. 12 2,092,073.53 2.79
May 2001.................... 77 10,537,957.35 14.05
June 2001................... 181 27,780,520.25 37.04
July 2001................... 130 17,942,747.24 23.92
August 2001................. 60 8,357,352.66 11.14
September 2001.............. 10 1,420,239.00 1.89
May 2002.................... 4 519,917.20 0.69
June 2002................... 6 460,249.66 0.61
August 2002................. 3 358,100.00 0.48
August 2029................. 1 270,000.00 0.36
--- -------------- ------
Total................... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
35
<PAGE>
Distribution of Gross Margin--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial Group II
Aggregate Principal Adjustable Rate Loans
Number of Loans Balance Outstanding by Outstanding Principal
Gross Margin as of Cut-off Date as of Cut-off Date Balance as of Cut-off Date
- ------------ ------------------ ------------------- --------------------------
<S> <C> <C> <C>
4.250% to 4.499%........ 1 $ 247,843.26 0.33%
4.500% to 4.749%........ 1 167,862.01 0.22
4.750% to 4.999%........ 2 392,681.13 0.52
5.000% to 5.249%........ 8 1,017,990.46 1.36
5.250% to 5.499%........ 8 1,561,073.66 2.08
5.500% to 5.749%........ 21 2,795,924.83 3.73
5.750% to 5.999%........ 52 9,206,825.20 12.28
6.000% to 6.249%........ 60 10,207,943.56 13.61
6.250% to 6.499%........ 80 12,402,687.92 16.54
6.500% to 6.749%........ 59 8,031,326.76 10.71
6.750% to 6.999%........ 70 10,575,596.98 14.10
7.000% to 7.249%........ 45 5,743,482.23 7.66
7.250% to 7.499%........ 40 3,448,332.97 4.60
7.500% to 7.749%........ 37 4,314,969.83 5.75
7.750% to 7.999%........ 20 1,835,379.23 2.45
8.000% to 8.249%........ 12 1,152,405.21 1.54
8.250% to 8.499%........ 6 583,754.41 0.78
8.500% to 8.749%........ 4 508,739.93 0.68
8.750% to 8.999%........ 1 23,717.44 0.03
9.000% to 9.249%........ 1 74,390.24 0.10
9.250% to 9.499%........ 2 183,839.18 0.25
9.750% to 9.999%........ 2 131,950.51 0.18
10.000% to 10.249%...... 1 130,852.80 0.17
10.250% to 10.499%...... 1 74,873.49 0.10
11.000% to 11.249%...... 2 148,916.69 0.20
11.500% to 11.749%...... 1 36,553.73 0.05
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
36
<PAGE>
Maximum Loan Rates--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
% of Initial Group II
Number of Loans Aggregate Principal Adjustable Rate Loans by
as of Cut-off Balance Outstanding Outstanding Principal
Maximum Loan Rates Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ --------------- ------------------- --------------------------
<S> <C> <C> <C>
8.500% to 8.749%...... 1 $ 63,846.42 0.09%
10.000% to 10.249%...... 1 301,339.55 0.40
10.500% to 10.749%...... 2 225,354.25 0.30
10.750% to 10.999%...... 4 594,292.18 0.79
11.000% to 11.249%...... 1 99,000.00 0.13
11.250% to 11.499%...... 2 481,022.16 0.64
11.500% to 11.749%...... 8 1,513,647.33 2.02
11.750% to 11.999%...... 17 2,526,518.72 3.37
12.000% to 12.249%...... 8 1,455,352.52 1.94
12.250% to 12.499%...... 11 1,872,140.90 2.50
12.500% to 12.749%...... 11 1,561,510.00 2.08
12.750% to 12.999%...... 14 1,435,034.99 1.91
13.000% to 13.249%...... 3 239,882.47 0.32
13.250% to 13.499%...... 5 896,725.00 1.20
13.500% to 13.749%...... 6 594,053.00 0.79
13.750% to 13.999%...... 16 2,834,851.72 3.78
14.000% to 14.249%...... 7 945,316.39 1.26
14.250% to 14.499%...... 10 1,641,681.82 2.19
14.500% to 14.749%...... 17 2,938,824.87 3.92
14.750% to 14.999%...... 55 8,709,581.28 11.61
15.000% to 15.249%...... 13 1,911,045.03 2.55
15.250% to 15.499%...... 54 7,310,152.68 9.75
15.500% to 15.749%...... 34 5,043,386.16 6.72
15.750% to 15.999%...... 93 13,785,399.01 18.38
16.000% to 16.249%...... 14 1,726,984.89 2.30
16.250% to 16.499%...... 29 3,479,498.69 4.64
16.500% to 16.749%...... 26 3,156,490.45 4.21
16.750% to 16.999%...... 27 3,392,993.07 4.52
17.000% to 17.249%...... 14 1,583,202.57 2.11
17.250% to 17.499%...... 11 840,156.89 1.12
17.500% to 17.749%...... 4 333,261.95 0.44
17.750% to 17.999%...... 4 256,118.20 0.34
18.000% to 18.249%...... 6 595,116.52 0.79
18.250% to 18.499%...... 1 108,800.00 0.15
18.500% to 18.749%...... 1 114,715.22 0.15
18.750% to 18.999%...... 2 130,217.88 0.17
19.000% to 19.249%...... 2 148,470.46 0.20
Greater than 19.999%.... 3 153,928.42 0.21
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
37
<PAGE>
Minimum Loan Rates--Combined Initial and Subsequent
Group II Adjustable Rate Loans
<TABLE>
<CAPTION>
Number of % of Initial Group II
Loans Aggregate Principal Adjustable Rate Loans by
as of Cut- Balance Outstanding Outstanding Principal
Minimum Loan Rates off Date as of Cut-off Date Balance as of Cut-off Date
- ------------------ ---------- ------------------- --------------------------
<S> <C> <C> <C>
6.750% to 6.999%...... 2 $ 496,696.72 0.66%
7.500% to 7.749%...... 4 357,450.67 0.48
7.750% to 7.999%...... 13 2,406,484.83 3.21
8.000% to 8.249%...... 6 989,828.85 1.32
8.250% to 8.499%...... 11 2,361,033.56 3.15
8.500% to 8.749%...... 26 4,787,535.11 6.38
8.750% to 8.999%...... 87 14,849,955.46 19.80
9.000% to 9.249%...... 19 3,362,719.07 4.48
9.250% to 9.499%...... 68 9,538,655.50 12.72
9.500% to 9.749%...... 50 7,052,875.63 9.40
9.750% to 9.999%...... 103 13,113,037.71 17.48
10.000% to 10.249%...... 28 2,547,852.85 3.40
10.250% to 10.499%...... 33 3,799,330.83 5.07
10.500% to 10.749%...... 28 3,356,899.99 4.48
10.750% to 10.999%...... 22 2,737,906.32 3.65
11.000% to 11.249%...... 12 1,419,134.43 1.89
11.250% to 11.499%...... 8 518,696.75 0.69
11.500% to 11.749%...... 2 181,250.77 0.24
11.750% to 11.999%...... 6 345,836.57 0.46
12.000% to 12.249%...... 4 562,542.41 0.75
12.750% to 12.999%...... 1 37,590.75 0.05
13.000% to 13.249%...... 1 22,670.46 0.03
13.250% to 13.499%...... 3 153,928.42 0.21
--- -------------- ------
Total............... 537 $74,999,913.66 100.00%
=== ============== ======
</TABLE>
38
