- -------------------------------------------------------------------------------
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 15, 1999
WMC SECURED ASSETS CORP. (as company under the Pooling and Servicing Agreement,
dated as of September 30, 1999, providing for the issuance of WMC Mortgage
Pass-Through Certificates, Series 1999-A)
WMC Secured Assets Corp.
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
United States 333-59687 95-4683489
- ------------------------- ----------- ----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
6320 Canoga Avenue
Woodland Hills, California 91367
- -------------------------- ---------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (818) 592-2610
----- --------
- -------------------------------------------------------------------------------
<PAGE>
Item 2. Acquisition or Disposition of Assets
------------------------------------
Description of the Certificates
On September 30, 1999 a single series of certificates, entitled WMC
Mortgage Pass-Through Certificates, Series 1999-A (the "Certificates") were
issued pursuant to a pooling and servicing agreement (the "Agreement"), dated as
of September 30, 1999, among WMC Secured Assets Corp., as company (the
"Company"), WMC Mortgage Corp., as seller (the "Seller") and master servicer and
Bank One, National Association, as trustee (the "Trustee").
On October 15, 1999, following the closing of the initial issuance of the
Certificates, pursuant to the Agreement, the Trustee purchased from the Seller
Subsequent Mortgage Loans, as defined in the Agreement, with an aggregate
principal balance equal to $20,010,295.00 with funds on deposit in the
Pre-Funding Account established pursuant to the Agreement at a purchase price
equal to the principal balance thereof, which Subsequent Mortgage Loans were
conveyed to the Trustee pursuant to a Subsequent Transfer Agreement, dated
October 15, 1999 (the "Subsequent Transfer Agreement"), among the Company, the
Seller and the Trustee. Attached to the Subsequent Transfer Agreement is the
Mortgage Loan Schedule listing the related Subsequent Mortgage Loans that are
the subject of such Subsequent Transfer Agreement. Capitalized terms used herein
and not other wise defined shall have the meanings assigned to them in the
Agreement. The tables attached as an exhibit hereto describe certain
characteristics of the Mortgage Pool (including the Subsequent Mortgage Pool) as
of October 1, 1999.
Item 7. Financial Statements and Exhibits
(a) Not applicable
(b) Not applicable
(c) Exhibits
4.2 Subsequent Transfer Agreement, dated as of October 15, 1999, by
and among WMC Secured Assets Corp., as company, WMC Mortgage Corp., as seller
and master servicer and Bank One, National Association, as trustee.
99.1 Characteristics of the Mortgage Pool as of October 1, 1999,
relating to WMC Mortgage Loan Trust 1999-A, WMC Mortgage Pass-Through
Certificates, Series 1999-A.
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned thereunto duly authorized.
WMC SECURED ASSETS CORP.
By: /s/David B. Trzcinski
----------------------------
Name: David B. Trzcinski
Title: Exec. Vice President, Chief Financial
Officer and Treasurer
Dated: October 15, 1999
3
<PAGE>
EXHIBITS TABLE
4.2 Subsequent Transfer Agreement, dated as of October 15, 1999, by
and among WMC Secured Assets Corp., as company, WMC Mortgage Corp., as seller
and master servicer and Bank One National Association, as trustee.
99.1 Characteristics of the Mortgage Pool as of October 1, 1999,
relating to WMC Mortgage Loan Trust 1999-A, WMC Mortgage Pass-Through
Certificates, Series 1999-A.
4
EXHIBIT 4.2
<PAGE>
SUBSEQUENT TRANSFER AGREEMENT
Pursuant to this Subsequent Transfer Agreement (the "Agreement"),
dated October 15, 1999, among WMC Secured Assets Corp., as company (the
"Company") WMC Mortgage Corp., as Seller and Master Servicer (the "Seller"), and
Bank One, National Association, as Trustee of the WMC Mortgage Pass-Through
Certificates, Series 1999-A, as purchaser (the "Trustee"), and pursuant to the
Pooling and Servicing Agreement, dated as of September 30, 1999, by and among
the Company, the Master Servicer and the Trustee (the "Pooling and Servicing
Agreement"), the Company and the Trustee agree to the sale by Seller and the
purchase by the Company and the sale by the Company and the purchase by the
Trustee, on behalf of the Trust Fund, of the Mortgage Loans listed on the
attached Schedule of Mortgage Loans (the "Subsequent Mortgage Loans").
Capitalized terms used and not defined herein have their respective
meanings as set forth in the Pooling and Servicing Agreement.
Section 1. CONVEYANCE OF SUBSEQUENT MORTGAGE LOANS.
(a) The Seller does hereby sell, transfer, assign, set over and
convey to the Company and the Company does hereby sell, transfer, assign, set
over and convey to the Trustee, on behalf of the Trust Fund, without recourse,
all of its right, title and interest in and to the Subsequent Mortgage Loans,
including all interest due and principal received with respect to the Subsequent
Mortgage Loans after the related Subsequent Cut-Off Date, and all items with
respect to the Subsequent Mortgage Loans to be delivered pursuant to Section
2.01 of the Pooling and Servicing Agreement; provided, however that the Seller
reserves and retains all right, title and interest in and to interest due and
principal received (including Prepayments and Curtailments) due on the
Subsequent Mortgage Loans on or prior to the related Subsequent Cut-off Date.
The Seller and the Company, contemporaneously with the delivery of this
Agreement, have delivered or caused to be delivered to the Trustee each item set
forth in Section 2.01 of the Pooling and Servicing Agreement. The transfer to
the Company by the Seller and to the Trustee by the Company of the Subsequent
Mortgage Loans identified on the Mortgage Loan Schedule shall be absolute and is
intended by the Company, the Seller, the Master Servicer, the Trustee and the
Certificateholders to constitute and to be treated as a sale by the Seller to
the Company and the Company to the Trust Fund.
(b) The expenses and costs relating to the delivery of the
Subsequent Mortgage Loans, this Agreement and the Pooling and Servicing
Agreement shall be borne by the Seller.
(c) Additional terms of the sale are set forth on Attachment A
hereto. The Subsequent Cut-off Date for each of the Subsequent Mortgage Loans
being transferred pursuant to this Agreement is set forth on Attachment A
hereto.
<PAGE>
Section 2. REPRESENTATIONS AND WARRANTIES; CONDITIONS PRECEDENT.
(a) The Seller hereby reaffirms the representations and warranties
set forth in Section 3.1(b) of the Mortgage Loan Purchase Agreement with respect
to the Subsequent Mortgage Loans as of the related Subsequent Cut-off Date. The
Seller hereby confirms that each of the conditions set forth in Section 2.1(c)
of the Mortgage Loan Purchase Agreement are satisfied as of the date hereof.
(b) All terms and conditions of the Pooling and Servicing Agreement
and the Mortgage Loan Purchase Agreement are hereby ratified and confirmed;
provided, however, that in the event of any conflict the provisions of this
Agreement shall control over the conflicting provisions of the Pooling and
Servicing Agreement and the Mortgage Loan Purchase Agreement.
Section 3. RECORDATION OF INSTRUMENT.
To the extent permitted by applicable law, this Agreement, or a
memorandum thereof if permitted under applicable law, is subject to recordation
in all appropriate public offices for real property records in all of the
counties or other comparable jurisdictions in which any or all of the properties
subject to the Mortgages are situated, and in any other appropriate public
recording office or elsewhere, such recordation to be effected by the Master
Servicer at the Certificateholders' expense on direction of the
Certificateholders entitled to at least 25% of the Voting Rights, but only when
accompanied by an Opinion of Counsel to the effect that such recordation
materially and beneficially affects the interests of the Certificateholders or
is necessary for the administration or servicing of the Mortgage Loans.
Section 4. GOVERNING LAW.
This Agreement shall be construed in accordance with the laws of the
State of New York and the obligations, rights and remedies of the parties
hereunder shall be determined in accordance with such laws, without giving
effect to principles of conflicts of law.
Section 5. COUNTERPARTS.
This Agreement may be executed in one or more counterparts and by
the different parties hereto on separate counterparts, each of which, when so
executed, shall be deemed to be an original; such counterparts, together, shall
constitute one and the same instrument.
2
<PAGE>
Section 6. SUCCESSORS AND ASSIGNS.
This Agreement shall inure to the benefit of and be binding upon the
Seller, the Company and the Trustee and their respective successors and assigns.
WMC SECURED ASSETS CORP.
as Company
By: /s/David B. Trzcinski
----------------------------------
Name: David B. Trzcinski
Title: Executive Vice President, Chief
Financial Officer and Treasurer
WMC MORTGAGE CORP.
as Seller
By: /s/Joe Smith
----------------------------------
Name: Joe Smith
Title: Senior Vice President
BANK ONE, NATIONAL ASSOCIATION
as Trustee
By: /s/Steven M. Wagner
----------------------------------
Name: Steven M. Wagner
Title: First Vice President
Attachments
- -----------
A. Additional terms of the sale.
B. Schedule of Subsequent Mortgage Loans.
3
<PAGE>
WMC MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-A
ATTACHMENT A TO SUBSEQUENT TRANSFER AGREEMENT
Series 1999-A
October 15, 1999
A.
1. Subsequent Cut-off Date: October 1, 1999
2. Subsequent Transfer Date: October 15, 1999
3. Aggregate Principal Balance of the Subsequent
Mortgage Loans as of the Subsequent Cut-off Date: $ 20,010,295.00
4. Purchase Price: 100.00%
B.
Following the purchase of the Subsequent Mortgage Loans by the Trust Fund,
the Mortgage Loans (including the Subsequent Mortgage Loans) will as of the
Subsequent Cut-off Date have the following approximate characteristics:
1. Weighted average gross margin: 6.893%
2. Weighted average LTV: 79.61%
3. Highest LTV: 100.00%
4. % of 2/28 Loans: 5.42%
5. % of 3/27 Loans: 69.97%
6. % of Fixed Rate Mortgage Loans: 24.23%
7. Non-owner occupied Mortgaged Properties: 5.71%
8. % located in California: 30.71%
4
EXHIBIT 99.1
<PAGE>
DESCRIPTION OF THE MORTGAGE POOL
GENERAL
The statistical information presented herein reflects the mortgage loans
included in the pool of mortgage loans (the "Mortgage Loans") as of October 15,
1999, which includes the initial mortgage loans, the additional mortgage loans
and the subsequent mortgage loans. As of October 1, 1999, the aggregate
principal balance of the Mortgage Loans, assuming no prepayments and after
deduction of scheduled principal payments due on or before that date, will be
approximately $249,998,973 (the "Statistical Pool Principal Balance").
The Mortgage Loans will have the characteristics set forth below. The
loan-to-value ratios shown below were calculated based upon the lowest of (1)
the appraised values of the mortgaged properties at the time of origination,
taken together with a review appraisal performed prior to origination and (2)
the purchase price of the mortgaged property.
MORTGAGE LOANS
No Mortgage Loan has a scheduled maturity date later than October 2029.
Approximately $60,583,103 or approximately 24.23% of the Mortgage Loans by
Statistical Pool Principal Balance are mortgage loans that bear interest at a
fixed rate (the "Fixed Rate Mortgage Loans").
Approximately $950,348 or approximately 0.38% of the Mortgage Loans by
Statistical Pool Principal Balance are mortgage loans that bear interest at a
rate that adjusts, along with the related monthly payment, semiannually based on
six-month LIBOR (the "Six-Month LIBOR Loans"). The Six-Month LIBOR Loans have a
periodic reset cap of 1.00%.
Approximately $13,553,175 or approximately 5.42% of the Mortgage Loans by
Statistical Pool Principal Balance are mortgage loans that bear interest at a
fixed rate for two years after origination and thereafter at a rate that
adjusts, along with the related monthly payment, semiannually based on six-month
LIBOR (the "2/28 Loans"). On the first adjustment date, approximately 98.41% of
the 2/28 Loans will have a periodic reset cap of 1.50% and approximately 1.59%
of the 2/28 Loans will have a periodic reset cap of 3.00%. After the first
adjustment, the 2/28 Loans will have a periodic reset cap of 1.00%.
Approximately $174,912,348 or approximately 69.97% of the Mortgage Loans by
Statistical Pool Principal Balance are mortgage loans that bear interest at a
fixed rate for three years after origination and thereafter at a rate that
adjusts, along with the related monthly payment, semiannually based on six-month
LIBOR (the "3/27 Loans"). On the first adjustment date the 3/27 Loans will have
a periodic reset cap of 3.00%. After the first adjustment, the 3/27 Loans will
have a periodic reset cap of 1.00%.
The Six-Month LIBOR Loans, the 2/28 Loans and the 3/27 Loans are
collectively referred to herein as the "Adjustable Rate Mortgage Loans". The
Fixed Rate Mortgage Loans and the Adjustable Rate Mortgage Loans are
collectively referred to herein as the "Mortgage Loans".
<PAGE>
Although none of the Mortgage Loans will be more than 30 days contractually
past due as of October 1, 1999, approximately 95.31% of the Mortgage Loans (by
Statistical Pool Principle Balance) did not have a first payment date prior to
September 1, 1999 and thus could not be more than 30 days past due as of October
1, 1999. No Mortgage Loan will have a first payment date prior to May 1999.
THE FOLLOWING INFORMATION SETS FORTH IN TABULAR FORMAT CERTAIN
CHARACTERISTICS OF THE MORTGAGE LOANS AS OF OCTOBER 1, 1999. DUE TO ROUNDING,
PERCENTAGES IN THE COLUMNS ENTITLED "% OF STATISTICAL POOL PRINCIPAL BALANCE"
MAY NOT TOTAL 100.00%.
PROPERTY TYPE
% of
Statistical
Number of Pool
Mortgage Principal
Property Type Loans Principal Balance Balance
- ------------- --------- ----------------- -----------
Single Family Detached....... 1,781 $200,456,211.16 80.18%
Condo........................ 66 6,640,066.58 2.66
Duplex....................... 80 8,515,375.49 3.41
Triplex...................... 19 2,603,895.21 1.04
PUD.......................... 152 24,817,449.91 9.93
PUD Project.................. 27 3,287,403.30 1.31
Single Family 4-unit......... 17 2,498,648.92 1.00
Manufactured Housing......... 17 1,179,922.62 0.47
-- ------------ ----
Totals:............... 2,159 $249,998,973.19 100.00%
===== =============== ======
OCCUPANCY TYPE (1)
% of
Statistical
Number of Pool
Mortgage Principal
Occupancy Type Loans Principal Balance Balance
- -------------- --------- ----------------- -----------
Owner......................... 1,968 $235,720,807.60 94.29%
Investor...................... 172 12,423,394.41 4.97
Second Home................... 19 1,854,771.18 0.74
----- --------------- ------
Totals:................ 2,159 $249,998,973.19 100.00%
===== =============== ======
- ----------------
(1) Based upon representations made by the related mortgagors at the time of
origination of such mortgage loans.
<PAGE>
LOAN-TO-VALUE RATIOS(1)
% of
Statistical
Number of Pool
Mortgage Principal
Loan-to-Value Ratio Loans Principal Balance Balance
- ------------------- --------- ----------------- -----------
Less than or equal to 25.00%.... 9 $ 367,794.46 0.15%
25.01% - 30.00%................. 3 166,983.50 0.07
30.01% - 35.00%................. 7 359,556.76 0.14
35.01% - 40.00%................. 18 873,135.47 0.35
40.01% - 45.00%................. 18 1,003,227.19 0.40
45.01% - 50.00%................. 15 994,173.82 0.40
50.01% - 55.00%................. 23 2,367,219.59 0.95
55.01% - 60.00%................. 66 4,807,367.75 1.92
60.01% - 65.00%................. 164 15,441,669.67 6.18
65.01% - 70.00%................. 155 16,474,578.39 6.59
70.01% - 75.00%................. 323 35,321,328.41 14.13
75.01% - 80.00%................. 493 58,544,631.95 23.42
80.01% - 85.00%................. 463 54,941,890.65 21.98
85.01% - 90.00%................. 382 56,024,685.49 22.41
90.01% - 95.00%................. 8 880,736.45 0.35
95.01% - 100.00%................ 12 1,429,993.64 0.57
----- --------------- ------
Totals:.................. 2,159 $249,998,973.19 100.00%
===== ============== ======
- -------------------
(1) The loan-to-value ratios ("LTVS") shown above are equal, with respect to
each mortgage loan, to (i) the original principal balance of such mortgage
loan at the date of origination divided by (ii) the lowest of (a) the value
of the related mortgaged property, based upon the appraisal made at the
time of origination of such mortgage loan, taken together with a review
appraisal performed prior to origination and (b) the purchase price of such
mortgaged property.
The weighted average LTV of the Mortgage Loans is approximately 79.61%.
<PAGE>
PRINCIPAL BALANCES
% of
Statistical
Number of Pool
Mortgage Principal
Principal Balances Loans Principal Balance Balance
- ------------------ --------- ----------------- -----------
$0.01 - $50,000.00....... 408 $ 15,214,400.86 6.09%
50,000.01 - 100,000.00....... 799 58,672,525.53 23.47
100,000.01 - 150,000.00....... 424 52,095,006.32 20.84
150,000.01 - 200,000.00....... 242 41,818,138.61 16.73
200,000.01 - 250,000.00....... 114 25,663,169.71 10.27
250,000.01 - 300,000.00....... 76 20,859,231.22 8.34
300,000.01 - 350,000.00....... 44 14,296,881.21 5.72
350,000.01 - 400,000.00....... 28 10,689,732.09 4.28
400,000.01 - 450,000.00....... 16 6,774,876.15 2.71
450,000.01 - 500,000.00....... 8 3,915,011.49 1.57
----- ------------- -----
Totals:..................... 2,159 $249,998,973.19 100.00%
===== =============== ======
The principal balances of the Mortgage Loans at origination ranged from
$17,250 to $500,000. The principal balances of the Mortgage Loans ranged from
$17,243 to $499,589 as of October 1, 1999.
<PAGE>
GEOGRAPHIC DISTRIBUTION(1)
% of
Statistical
Number of Pool
Mortgage Principal
Georgraphic Area Loans Principal Balance Balance
- ---------------- --------- ----------------- -----------
Alabama................ 39 $ 2,823,239.83 1.13%
Alaska................. 4 568,485.89 0.23
Arizona................ 187 20,591,341.75 8.24
Arkansas............... 11 709,254.19 0.28
California............. 394 76,774,923.66 30.71
Colorado............... 80 10,688,493.48 4.28
Connecticut............ 37 4,944,957.88 1.98
District of Columbia... 10 941,338.32 0.38
Florida................ 77 6,905,942.95 2.76
Georgia................ 45 4,105,586.07 1.64
Idaho.................. 3 191,728.67 0.08
Illinois............... 86 8,267,368.90 3.31
Indiana................ 41 2,816,235.47 1.13
Iowa................... 15 936,759.59 0.37
Kansas................. 18 1,639,783.64 0.66
Kentucky............... 7 535,718.46 0.21
Louisiana.............. 26 1,610,859.97 0.64
Maine.................. 25 2,620,782.98 1.05
Maryland............... 34 3,552,483.27 1.42
Massachusetts.......... 39 4,948,126.95 1.98
Michigan............... 72 6,123,848.90 2.45
Minnesota.............. 27 2,976,408.05 1.19
Mississippi............ 31 1,886,172.84 0.75
Missouri............... 63 4,155,915.00 1.66
Montana................ 6 389,051.61 0.16
Nebraska............... 24 1,400,019.56 0.56
Nevada................. 45 5,812,014.47 2.32
New Hampshire.......... 10 1,436,287.32 0.57
New Jersey............. 54 8,375,002.52 3.35
New Mexico............. 26 2,695,656.91 1.08
New York............... 87 10,615,243.41 4.25
North Carolina......... 51 4,490,397.69 1.80
North Dakota........... 1 43,500.00 0.02
Ohio................... 101 7,317,473.31 2.93
Oklahoma............... 23 1,261,123.68 0.50
Oregon................. 18 2,003,274.89 0.80
Pennsylvania........... 53 3,446,158.50 1.38
Rhode Island........... 3 303,017.56 0.12
South Carolina......... 25 1,751,911.86 0.70
Tennessee.............. 26 1,504,509.61 0.60
Texas.................. 54 4,146,383.23 1.66
Utah................... 43 4,660,957.79 1.86
Vermont................ 4 278,405.35 0.11
Virginia............... 39 4,090,936.95 1.64
Washington............. 78 11,372,397.97 4.55
West Virginia.......... 10 589,804.04 0.24
Wisconsin.............. 5 549,430.54 0.22
Wyoming................ 2 150,257.71 0.06
----- --------------- ------
Totals:........... 2,159 $249,998,973.19 100.00%
===== =============== ======
- ------------------
(1) Determined by property address designated in the related Mortgage.
<PAGE>
MORTGAGE RATES OF THE
ADJUSTABLE RATE MORTGAGE LOANS
Number of % of
Adjustable Statistical
Rate Pool
Mortgage Principal
Mortgage Rates Loans Principal Balance Balance
- -------------- --------- ----------------- -----------
7.000% - 7.499%.......... 7 $ 1,371,522.15 0.72%
7.500% - 7.999%.......... 35 5,255,391.80 2.77
8.000% - 8.499%.......... 46 7,914,191.89 4.18
8.500% - 8.999%.......... 163 27,663,230.05 14.60
9.000% - 9.499%.......... 106 15,552,350.50 8.21
9.500% - 9.999%.......... 359 48,682,953.97 25.70
10.000% - 10.499%......... 184 20,271,837.72 10.70
10.500% - 10.999%......... 364 38,538,105.51 20.35
11.000% - 11.499%......... 126 11,498,448.52 6.07
11.500% - 11.999%......... 112 8,929,855.80 4.71
12.000% - 12.499%......... 15 1,136,354.07 0.60
12.500% - 12.999%......... 5 436,352.43 0.23
13.000% - 13.499%......... 7 310,765.22 0.16
13.500% - 13.999%......... 24 1,564,394.81 0.83
14.000% - 14.499%......... 2 290,115.98 0.15
----- --------------- -------
Totals:............ 1,555 $189,415,870.42 100.00%
===== =============== ======
The mortgage rates of the Adjustable Rate Mortgage Loans range from
approximately 7.000% to approximately 14.375% and the weighted average mortgage
rate is approximately 9.946%.
<PAGE>
MORTGAGE RATES OF THE
FIXED RATE MORTGAGE LOANS
% of
Number of Statistical
Fixed Rate Pool
Mortgage Principal
Mortgage Rates Loans Principal Balance Balance
- -------------- --------- ----------------- -----------
7.000% - 7.499%............. 6 $ 832,508.24 1.37%
7.500% - 7.999%............. 19 2,339,121.96 3.86
8.000% - 8.499%............. 34 4,476,749.59 7.39
8.500% - 8.999%............. 122 17,107,347.74 28.24
9.000% - 9.499%............. 36 4,046,612.87 6.68
9.500% - 9.999%............. 107 11,025,754.97 18.20
10.000% - 10.499%............ 57 4,234,030.85 6.99
10.500% - 10.999%............ 87 7,193,856.51 11.87
11.000% - 11.499%............ 54 3,743,368.40 6.18
11.500% - 11.999%............ 46 3,320,700.95 5.48
12.000% - 12.499%............ 20 1,528,207.94 2.52
12.500% - 12.999%............ 3 150,184.82 0.25
13.000% - 13.499%............ 5 267,461.87 0.44
13.500% - 13.999%............ 7 271,379.17 0.45
14.000% - 14.499%............ 1 45,816.89 0.08
--- ------------- -----
Totals:................ 604 $60,583,102.77 100.00%
=== ============== ======
The mortgage rates of the Fixed Rate Mortgage Loans range from
approximately 7.000% to approximately 14.125% and the weighted average mortgage
rate is approximately 9.668%.
<PAGE>
GROSS MARGINS OF THE ADJUSTABLE RATE MORTGAGE LOANS
Number of % of
Adjustable Statistical
Rate Pool
Mortgage Principal
Gross Margins Loans Principal Balance Balance
- -------------- --------- ----------------- -----------
5.000% - 5.249%......... 1 $315,808.56 0.17%
5.250% - 5.499%......... 2 106,411.54 0.06
5.500% - 5.749%......... 9 1,326,944.38 0.70
5.750% - 5.999%......... 53 7,965,955.59 4.21
6.000% - 6.249%......... 50 7,103,328.25 3.75
6.250% - 6.499%......... 116 16,058,569.47 8.48
6.500% - 6.749%......... 199 23,126,939.05 12.21
6.750% - 6.999%......... 337 34,362,839.72 18.14
7.000% - 7.249%......... 256 32,803,298.43 17.32
7.250% - 7.499%......... 300 39,753,985.05 20.99
7.500% - 7.749%......... 101 12,382,785.02 6.54
7.750% - 7.999%......... 128 13,902,423.75 7.34
8.000% - 8.249%......... 1 138,000.00 0.07
8.250% - 8.499%......... 2 68,581.61 0.04
----- --------------- ------
Totals:................. 1,555 $189,415,870.42 100.00%
===== =============== ======
The gross margins for the Adjustable Rate Mortgage Loans range from
approximately 5.000% to approximately 8.250% and the weighted average gross
margin is approximately 6.893%.
<PAGE>
MAXIMUM MORTGAGE RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS
Number of % of
Adjustable Statistical
Rate Pool
Mortgage Principal
Maximum Mortgage Rates Loans Principal Balance Balance
- ---------------------- --------- ----------------- -----------
13.500% - 13.999%............. 6 $ 944,022.15 0.50%
14.000% - 14.499%............. 36 5,682,891.80 3.00
14.500% - 14.999%............. 45 7,839,346.31 4.14
15.000% - 15.499%............. 163 27,684,338.54 14.62
15.500% - 15.999%............. 106 15,443,062.53 8.15
16.000% - 16.499%............. 359 48,782,257.30 25.75
16.500% - 16.999%............. 184 20,097,072.00 10.61
17.000% - 17.499%............. 363 38,606,297.23 20.38
17.500% - 17.999%............. 127 11,605,022.52 6.13
18.000% - 18.499%............. 112 8,929,855.80 4.71
18.500% - 18.999%............. 15 1,136,354.07 0.60
19.000% - 19.499%............. 5 436,352.43 0.23
19.500% - 19.999%............. 8 366,654.13 0.19
20.000% - 20.499%............. 23 1,508,505.90 0.80
20.500% - 20.999%............. 2 290,115.98 0.15
21.000% - 21.499%............. 1 63,721.73 0.03
----- -------------- ------
Total..................... 1,555 $189,415,870.42 100.00%
===== =============== ======
The maximum mortgage rates of the Adjustable Rate Mortgage Loans range from
approximately 13.500% to approximately 21.000% and the weighted average maximum
mortgage rate is approximately 16.450%.
<PAGE>
MINIMUM MORTGAGE RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS
Number of % of
Adjustable Statistical
Rate Pool
Mortgage Principal
Minimum Mortgage Rates Loans Principal Balance Balance
- ---------------------- --------- ----------------- -----------
7.000% - 7.499%............. 7 $ 1,371,522.15 0.72%
7.500% - 7.999%............. 35 5,255,391.80 2.77
8.000% - 8.499%............. 46 7,914,191.89 4.18
8.500% - 8.999%............. 163 27,663,230.05 14.60
9.000% - 9.499%............. 106 15,552,350.50 8.21
9.500% - 9.999%............. 360 48,809,231.44 25.77
10.000% - 10.499%............ 184 20,271,837.72 10.70
10.500% - 10.999%............ 363 38,411,828.04 20.28
11.000% - 11.499%............ 126 11,498,448.52 6.07
11.500% - 11.999%............ 112 8,929,855.80 4.71
12.000% - 12.499%............ 15 1,136,354.07 0.60
12.500% - 12.999%............ 5 436,352.43 0.23
13.000% - 13.499%............ 7 310,765.22 0.16
13.500% - 13.999%............ 24 1,564,394.81 0.83
14.000% - 14.499%............ 2 290,115.98 0.15
----- ------------- ------
Totals:................ 1,555 $189,415,870.42 100.00%
===== =============== ======
The minimum mortgage rates of the Adjustable Rate Mortgage Loans range from
approximately 7.000% to approximately 14.375% and the weighted average minimum
rate is approximately 9.945%.
<PAGE>
MONTH OF NEXT RATE ADJUSTMENT
FOR THE ADJUSTABLE RATE MORTGAGE LOANS
Number of % of
Adjustable Statistical
Rate Pool
Mortgage Principal
Month Loans Principal Balance Balance
- ----- --------- ----------------- -----------
November 1999................. 1 $ 53,737.09 0.03%
January 2000.................. 2 92,325.63 0.05
March 2000.................... 4 497,007.49 0.26
April 2000.................... 3 307,277.47 0.16
April 2001.................... 1 54,860.07 0.03
May 2001...................... 2 197,253.92 0.10
June 2001..................... 5 740,370.91 0.39
July 2001..................... 6 612,611.95 0.32
August 2001................... 5 427,753.55 0.23
September 2001................ 70 6,781,885.12 3.58
October 2001.................. 51 4,738,439.00 2.50
April 2002.................... 1 83,815.52 0.04
May 2002...................... 2 309,903.87 0.16
June 2002..................... 16 1,909,668.80 1.01
July 2002..................... 33 4,536,303.24 2.39
August 2002................... 81 10,113,076.40 5.34
September 2002................ 762 93,075,990.39 49.14
October 2002.................. 510 64,883,590.00 34.25
--- --------------- ------
Totals:................ 1,555 $189,415,870.42 100.00%
===== =============== ======
<PAGE>
DOCUMENTATION TYPE
% of
Statistical
Number of Pool
Mortgage Principal
Documentation Type Loans Principal Balance Balance
- ------------------ --------- ----------------- -----------
Full Documentation.............. 1,516 $166,314,607.71 66.53%
Lite Documentation.............. 60 8,848,722.42 3.54
Stated Documentation............ 372 46,073,406.70 18.43
Full Alternative Documentation.. 111 18,226,339.21 7.29
Simple 65 Documentation......... 64 3,688,672.72 1.48
No Ratio Documentation.......... 36 6,847,224.43 2.74
---- ---------------- ------
Totals:.................. 2,159 $249,998,973.19 100.00%
===== =============== ======
LOAN PURPOSE
% of
Statistical
Number of Pool
Mortgage Principal
Loan Type Loans Principal Balance Balance
- --------- --------- ----------------- -----------
Purchase................... 752 $ 92,432,961.27 36.97%
Rate-term Refinance........ 463 50,379,438.22 20.15
Cash-out Refinance......... 944 107,186,573.70 42.87
----- --------------- ------
Totals:............. 2,159 $249,998,973.19 100.00%
===== =============== ======
<PAGE>
CREDIT GRADE
% of
Statistical
Number of Pool
Mortgage Principal
Risk Category Loans Principal Balance Balance
- ------------- --------- ----------------- -----------
Alt A........................ 200 $ 28,979,897.12 11.59%
A-........................... 1,094 140,995,670.92 56.40
B............................ 642 64,003,711.14 25.60
C............................ 180 13,329,989.73 5.33
D............................ 43 2,689,704.28 1.08
----- ------------ ------
Totals:............... 2,159 $249,988,973.19 100.00%
===== =============== ======
INITIAL PERIODIC RESET CAP OF THE ADJUSTABLE RATE MORTGAGE LOANS
% of
Statistical
Number of Pool
Mortgage Principal
Rate (%) Loans Principal Balance Balance
- -------- --------- ----------------- -----------
1.000......................... 10 $ 950,347.68 0.50%
1.500......................... 138 13,338,302.38 7.04
3.000......................... 1,407 175,127,220.36 92.46
----- -------------- ------
Totals:................ 1,555 $189,415,870.42 100.00%
===== =============== ======
