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: November 3, 1999
(Date of earliest event reported)
Commission File No.: 333-56213
ACE Securities Corp.
- --------------------------------------------------------------------------------
Delaware 56-2088493
- --------------------------------------------------------------------------------
(State of Incorporation) (I.R.S. Employer Identification No.)
6525 Morrison Boulevard, Suite 318
Charlotte, North Carolina 28211
- --------------------------------------------------------------------------------
Address of principal executive offices (Zip Code)
(704) 365-0569
- --------------------------------------------------------------------------------
Registrant's Telephone Number, including area code
- --------------------------------------------------------------------------------
(Former name, former address and former fiscal year,
if changed since last report)
<PAGE>
ITEM 5. Other Events
Attached as an exhibit are the Collateral Term Sheets (as defined in
the no-action letter dated February 17, 1995 issued by the Securities and
Exchange Commission to the Public Securities Association) which are hereby filed
pursuant to such letter.
<PAGE>
ITEM 7. Financial Statements and Exhibits
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------------- -----------
(99) Collateral Term Sheets prepared
in connection with Mortgage
Lenders Network Home Equity
Loan Trust 1999-2, Asset-Backed
Notes, Series 1999-2
<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.
ACE SECURITIES CORP.
November 3, 1999
By: /s/ Elizabeth Eldridge
------------------------------
Elizabeth Eldridge
Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Collateral Term Sheets E
prepared in connection with
Mortgage Lenders Network
Home Equity Loan Trust
1999-2, Asset-Backed Notes,
Series 1999-2
Exhibit No. 99
DEUTSCHE BANK SECURITIES @
CONFORMING BALANCE; ARMS
130 RECORDS
MORTGAGE LENDERS NETWORK
1999-2-PRELIM NOV 2, 1999
================================================================================
SELECTION CRITERIA: CONFORMING BALANCE; ARMS
TABLE OF CONTENTS
1. Pool Summary
2. Data as of Date
3. Current Balance
4. Original Balance
5. Current Gross Rate
6. Amortization Type
7. Original Term
8. Stated Remaining Term
9. Age
10. Remaining Amort Term
11. Gross Margin
12. Maximum Rate
13. Minimum Rate
14. Lifetime Rate Cap
15. First Periodic Rate Cap
16. Subsequent Periodic Rate Cap
17. Next Rate Adjustment
18. Months to Roll
19. Original LTV
20. Combined LTV
21. State Concentration
22. Occupancy Type
23. Property Type
24. Loan Purpose
25. Documentation Type
26. Product
27. Debt Ratios
28. FICO Score
29. Grade
30. PrePayment Month
1. POOL SUMMARY
Balance: 9,916,511.32
WAC: 10.9049
Count: 130
2. DATA AS OF DATE
DATA AS OF DATE %
--------------- -
1999-10-29 100.0
TOTAL: 100.0
3. CURRENT BALANCE
CURRENT BALANCE # % BALANCE
--------------- - - -------
=< 100,000.00 105 65.226 6,468,175.90
100,000.01 - 200,000.00 23 30.409 3,015,535.49
200,000.01 - 250,000.00 2 4.364 432,799.93
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Avg: 76,280.86
Min: 20,898.35
Max: 220,912.17
4. ORIGINAL BALANCE
ORIGINAL BALANCE # % BALANCE
---------------- - - -------
=< 100,000 105 65.226 6,468,175.90
100,001 - 200,000 23 30.409 3,015,535.49
200,001 - 250,000 2 4.364 432,799.93
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Avg: 76,350
Min: 21,000
Max: 221,000
5. CURRENT GROSS RATE
CURRENT GROSS RATE # % BALANCE
------------------ - - -------
7.501 - 8.000 1 0.580 57,560.56
8.001 - 8.500 1 0.786 77,973.60
8.501 - 9.000 5 4.927 488,559.02
9.001 - 9.500 2 2.773 275,021.81
9.501 - 10.000 17 11.969 1,186,902.69
10.001 - 10.500 21 17.373 1,722,793.25
10.501 - 11.000 27 22.848 2,265,695.58
11.001 - 11.500 12 9.682 960,156.62
11.501 - 12.000 19 13.781 1,366,577.66
12.001 - 12.500 15 9.150 907,349.02
12.501 - 13.000 6 4.157 412,216.05
13.001 - 13.500 1 0.409 40,591.22
13.501 - 14.000 1 0.835 82,784.75
14.501 - 15.000 1 0.395 39,193.71
15.001 - 15.500 1 0.334 33,135.78
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 10.9049
Min: 7.9000
Max: 15.1000
6. AMORTIZATION TYPE
AMORTIZATION TYPE # % BALANCE
----------------- - - -------
Fully Amortizing 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
7. ORIGINAL TERM
ORIGINAL TERM # % BALANCE
------------- - - -------
169 - 180 1 0.782 77,571.35
349 - 360 129 99.218 9,838,939.97
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 358.6
Min: 180
Max: 360
8. STATED REMAINING TERM
STATED REMAINING TERM # % BALANCE
--------------------- - - -------
121 - 180 1 0.782 77,571.35
301 - 360 129 99.218 9,838,939.97
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 357.2
Min: 180.0
Max: 360.0
9. AGE
AGE # % BALANCE
--- - - -------
0 41 30.13 2,987,914
1 49 40.05 3,971,727
2 15 11.07 1,098,076
3 12 9.07 899,451
4 4 2.71 268,746
5 4 3.60 357,159
6 3 1.85 183,808
7 1 0.79 77,974
12 1 0.72 71,657
--- ------- ---------
TOTAL: 130 100.00 9,916,511
Wgt Avg: 1.4
10. REMAINING AMORT TERM
REMAINING AMORT TERM # % BALANCE
-------------------- - - -------
121 - 180 1 0.782 77,571.35
301 - 360 129 99.218 9,838,939.97
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 357.2
Min: 180.0
Max: 360.0
11. GROSS MARGIN
GROSS MARGIN # % BALANCE
------------ - - -------
4.501 - 4.750 1 0.580 57,560.56
5.001 - 5.250 1 0.786 77,973.60
5.251 - 5.500 3 2.255 223,586.16
5.501 - 5.750 1 2.137 211,887.76
6.001 - 6.250 3 2.195 217,652.84
6.251 - 6.500 11 7.962 789,562.33
6.501 - 6.750 10 8.535 846,401.34
6.751 - 7.000 8 4.957 491,608.27
7.001 - 7.250 11 8.356 828,653.73
7.251 - 7.500 10 7.967 790,094.80
7.501 - 7.750 15 12.605 1,249,968.42
7.751 - 8.000 13 12.402 1,229,837.47
8.001 - 8.250 6 4.353 431,645.18
8.251 - 8.500 7 6.954 689,638.76
8.501 - 8.750 13 7.583 751,940.66
8.751 - 9.000 5 3.011 298,610.40
9.001 - 9.250 5 3.180 315,316.46
9.251 - 9.500 2 1.519 150,632.91
9.501 - 9.750 2 1.523 151,018.96
9.751 - 10.000 1 0.409 40,591.22
10.001 >= 2 0.729 72,329.49
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 7.5565
Min: 4.650
Max: 10.500
12. MAXIMUM RATE
MAXIMUM RATE # % BALANCE
------------ - - -------
14.501 - 15.000 1 0.580 57,560.56
15.001 - 15.500 1 0.786 77,973.60
15.501 - 16.000 5 4.927 488,559.02
16.001 - 16.500 2 2.773 275,021.81
16.501 - 17.000 17 11.969 1,186,902.69
17.001 - 17.500 21 17.373 1,722,793.25
17.501 - 18.000 27 22.848 2,265,695.58
18.001 - 18.500 12 9.682 960,156.62
18.501 - 19.000 19 13.781 1,366,577.66
19.001 - 19.500 15 9.150 907,349.02
19.501 - 20.000 6 4.157 412,216.05
20.001 >= 4 1.974 195,705.46
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 17.9049
Min: 14.9000
Max: 22.1000
13. MINIMUM RATE
MINIMUM RATE # % BALANCE
------------ - - -------
7.501 - 8.000 1 0.580 57,560.56
8.001 - 8.500 1 0.786 77,973.60
8.501 - 9.000 5 4.927 488,559.02
9.001 - 9.500 2 2.773 275,021.81
9.501 - 10.000 17 11.969 1,186,902.69
10.001 - 10.500 21 17.373 1,722,793.25
10.501 - 11.000 27 22.848 2,265,695.58
11.001 - 11.500 12 9.682 960,156.62
11.501 - 12.000 19 13.781 1,366,577.66
12.001 - 12.500 15 9.150 907,349.02
12.501 - 13.000 6 4.157 412,216.05
13.001 - 13.500 1 0.409 40,591.22
13.501 - 14.000 1 0.835 82,784.75
14.501 - 15.000 1 0.395 39,193.71
15.001 - 15.500 1 0.334 33,135.78
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 10.9049
Min: 7.9000
Max: 15.1000
14. LIFETIME RATE CAP
LIFETIME RATE CAP # % BALANCE
----------------- - - -------
6.751 - 7.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 7.0000
15. FIRST PERIODIC RATE CAP
FIRST PERIODIC RATE CAP # % BALANCE
----------------------- - - -------
3.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 3.0000
16. SUBSEQUENT PERIODIC RATE CAP
SUBSEQUENT PERIODIC RATE CAP # % BALANCE
---------------------------- - - -------
1.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 1.0000
17. NEXT RATE ADJUSTMENT
NEXT RATE ADJUSTMENT # % BALANCE
-------------------- - - -------
2000-11-19 1 0.723 71,657.18
2001-04-03 1 0.786 77,973.60
2001-05-12 2 1.360 134,894.83
2001-05-27 1 0.493 48,912.99
2001-06-01 3 2.225 220,679.20
2001-06-12 1 1.376 136,479.49
2001-07-01 3 2.009 199,223.40
2001-07-30 1 0.701 69,522.63
2001-08-01 8 6.120 606,905.18
2001-08-06 1 1.016 100,705.58
2001-08-14 1 0.847 83,994.43
2001-08-28 2 1.088 107,845.81
2001-09-01 7 4.667 462,763.53
2001-09-03 1 0.480 47,564.86
2001-09-09 1 0.608 60,254.78
2001-09-10 1 1.020 101,186.37
2001-09-12 1 0.571 56,667.32
2001-09-19 1 0.846 83,926.15
2001-09-24 1 1.173 116,350.86
2001-09-30 2 1.708 169,362.63
2001-10-01 27 22.890 2,269,857.00
2001-10-02 1 0.661 65,577.61
2001-10-03 1 0.360 35,738.94
2001-10-07 3 2.190 217,172.66
2001-10-08 1 0.623 61,814.50
2001-10-09 3 2.137 211,956.99
2001-10-10 1 1.043 103,469.38
2001-10-14 3 3.786 375,430.96
2001-10-15 5 3.323 329,535.85
2001-10-23 1 0.989 98,056.60
2001-10-24 1 0.476 47,182.03
2001-10-28 1 0.847 83,963.62
2001-10-29 1 0.726 71,970.76
2001-10-30 1 0.715 70,946.18
2001-11-01 32 23.610 2,341,269.48
2001-11-04 1 0.889 88,168.47
2001-11-06 1 0.371 36,800.00
2001-11-07 1 0.452 44,800.00
2001-11-08 3 1.949 193,250.00
2001-11-15 2 2.145 212,679.47
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 2001-09-23
18. MONTHS TO ROLL
MONTHS TO ROLL # % BALANCE
-------------- - - -------
12 1 0.723 71,657.18
17 1 0.786 77,973.60
18 3 1.854 183,807.82
19 4 3.602 357,158.69
20 4 2.710 268,746.03
21 12 9.070 899,451.00
22 15 11.073 1,098,076.50
23 50 40.767 4,042,673.08
24 40 29.415 2,916,967.42
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 22.6
19. ORIGINAL LTV
ORIGINAL LTV # % BALANCE
------------ - - -------
=< 60.000 3 2.037 202,011.80
60.001 - 70.000 19 11.290 1,119,563.56
70.001 - 80.000 78 59.787 5,928,755.85
80.001 - 85.000 18 15.755 1,562,297.44
85.001 - 90.000 12 11.132 1,103,882.67
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 78.97
Min: 34.78
Max: 90.00
20. COMBINED LTV
COMBINED LTV # % BALANCE
------------ - - -------
=< 60.000 3 2.037 202,011.80
60.001 - 70.000 19 11.290 1,119,563.56
70.001 - 80.000 78 59.787 5,928,755.85
80.001 - 85.000 18 15.755 1,562,297.44
85.001 - 90.000 12 11.132 1,103,882.67
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 78.97
Max: 90.00
Min: 34.78
21. STATE CONCENTRATION
STATE CONCENTRATION # % BALANCE
------------------- - - -------
OH 23 13.951 1,383,465.34
CO 7 8.742 866,926.47
IL 8 5.832 578,331.86
VA 6 5.665 561,806.75
MO 8 5.303 525,828.42
OK 7 5.157 511,427.43
PA 7 4.802 476,155.84
CT 4 4.738 469,844.56
IN 8 4.662 462,314.74
NC 6 4.184 414,945.64
Other 46 36.963 3,665,464.27
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
#: 29
22. OCCUPANCY TYPE
OCCUPANCY TYPE # % BALANCE
-------------- - - -------
Primary 123 97.051 9,624,058.49
Investor 7 2.949 292,452.83
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
23. PROPERTY TYPE
PROPERTY TYPE # % BALANCE
------------- - - -------
Single Family 116 89.906 8,915,582.83
2-4 Family 6 5.462 541,625.18
PUD 1 0.862 85,437.38
Condo 2 0.535 53,063.16
Manufactured Housing 5 3.235 320,802.77
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
24. LOAN PURPOSE
LOAN PURPOSE # % BALANCE
------------ - - -------
Purchase 32 30.649 3,039,286.14
Rate/Term Refi 3 2.945 292,024.06
Cash Out Refi 95 66.406 6,585,201.12
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
25. DOCUMENTATION TYPE
DOCUMENTATION TYPE # % BALANCE
------------------ - - -------
Full Documentation 102 78.341 7,768,696.01
LIMITED 7 7.260 719,897.35
STATED 21 14.399 1,427,917.96
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
26. PRODUCT
PRODUCT # % BALANCE
------- - - -------
2/28 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
27. DEBT RATIOS
DEBT RATIOS # % BALANCE
----------- - - -------
=< 28.00 26 19.234 1,907,349.02
28.01 - 32.00 11 10.184 1,009,869.51
32.01 - 36.00 16 10.464 1,037,635.86
36.01 - 42.00 21 14.175 1,405,658.25
42.01 - 46.00 18 17.346 1,720,130.35
46.01 >= 38 28.597 2,835,868.33
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt. Avg: 37.923
28. FICO SCORE
FICO SCORE # % BALANCE
---------- - - -------
=<540.000 40 28.016 2,778,190.42
540.001 - 560.000 25 16.102 1,596,724.56
560.001 - 580.000 17 11.953 1,185,366.42
580.001 - 600.000 16 15.165 1,503,844.99
600.001 - 620.000 13 11.516 1,141,956.65
620.001 - 640.000 11 11.067 1,097,412.30
640.001 - 660.000 5 3.243 321,610.89
660.001 - 680.000 2 2.019 200,257.03
680.001 >= 1 0.919 91,148.06
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt. Avg: 574.230
Max: 703.000
Min: 0.000
29. GRADE
GRADE # % BALANCE
----- - - -------
A 31 26.532 2,631,090.80
A+ 9 8.843 876,944.47
B 24 16.760 1,661,997.40
B+ 13 10.682 1,059,276.28
C 22 13.258 1,314,702.66
C- 14 9.247 917,027.47
C+ 13 11.737 1,163,878.51
D 4 2.940 291,593.73
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
30. PREPAYMENT MONTH
PREPAYMENT MONTH # % BALANCE
---------------- - - -------
000 15 11.670 1,157,273.03
111 1 0.395 39,193.71
200 1 0.959 95,062.89
221 2 1.563 155,027.53
222 4 3.419 339,002.04
300 1 1.330 131,896.87
320 5 4.133 409,822.56
321 69 49.267 4,885,527.89
3322 1 1.096 108,690.84
3322 2 13 8.799 872,516.70
3332 2 1 0.554 54,963.89
500 1 0.857 84,968.00
550 16 15.959 1,582,565.37
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax ,
financial and/or accounting advisors for the purpose of evaluating such
information. Prospective investors are advised to read carefully, and rely
solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement, if applicable, and Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decisions, a prospective investor shall receive and fully
review the final Prospectus . NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF ANY OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
<PAGE>
DEUTSCHE BANK SECURITIES @
CONFORMING BALANCE; FIXED RATE
2,077 RECORDS
MORTGAGE LENDERS NETWORK
1999-2-PRELIM NOV 2, 1999
================================================================================
SELECTION CRITERIA: CONFORMING BALANCE; FIXED RATE
TABLE OF CONTENTS
1. Pool Summary
2. Data as of Date
3. Current Balance
4. Original Balance
5. Current Gross Rate
6. Amortization Type
7. Original Term
8. Stated Remaining Term
9. Age
10. Remaining Amortization Term
11. Original LTV
12. State Concentration
13. Occupancy Type
14. Property Type
15. Loan Purpose
16. Documentation Type
17. Product
18. Debt Ratios
19. FICO Score
20. Grade
21. PrePayment Month
1. POOL SUMMARY
Balance: 131,492,629.15
WAC: 10.8255
Count: 2,077
2. DATA AS OF DATE
DATA AS OF DATE %
--------------- -
1999-10-29 100.0
TOTAL: 100.0
3. CURRENT BALANCE
CURRENT BALANCE # % BALANCE
--------------- - - -------
=< 100,000.00 1,840 75.529 99,315,139.58
100,000.01 - 200,000.00 222 21.906 28,804,689.36
200,000.01 - 250,000.00 15 2.565 3,372,800.21
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Avg: 63,308.92
Max: 239,756.94
4. ORIGINAL BALANCE
ORIGINAL BALANCE # % BALANCE
---------------- - - -------
=< 100,000 1,840 75.529 99,315,139.58
100,001 - 200,000 222 21.906 28,804,689.36
200,001 - 250,000 15 2.565 3,372,800.21
----- ------- ------------
TOTAL: 2,077 100.000 131,492,629.15
Max: 240,000
5. CURRENT GROSS RATE
CURRENT GROSS RATE # % BALANCE
------------------ - - -------
7.001 - 7.500 1 0.178 234,287.15
7.501 - 8.000 11 0.732 962,098.13
8.001 - 8.500 41 2.224 2,924,140.27
8.501 - 9.000 140 7.278 9,570,335.24
9.001 - 9.500 119 6.073 7,986,003.98
9.501 - 10.000 232 11.284 14,837,963.78
10.001 - 10.500 248 13.208 17,367,640.01
10.501 - 11.000 360 18.627 24,493,184.81
11.001 - 11.500 259 12.012 15,795,540.70
11.501 - 12.000 260 11.298 14,855,766.26
12.001 - 12.500 176 7.914 10,406,574.90
12.501 - 13.000 116 4.674 6,145,737.43
13.001 - 13.500 43 1.963 2,581,760.83
13.501 - 14.000 43 1.651 2,170,347.39
14.001 - 14.500 18 0.453 595,367.20
14.501 - 15.000 9 0.277 364,205.52
15.501 - 16.000 1 0.153 201,675.55
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 10.8255
Min: 7.4500
Max: 15.7500
6. AMORTIZATION TYPE
AMORTIZATION TYPE # % BALANCE
----------------- - - -------
Fully Amortizing 1,161 52.595 69,158,730.47
Balloon 916 47.405 62,333,898.68
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
7. ORIGINAL TERM
ORIGINAL TERM # % BALANCE
------------- - - -------
49 - 60 3 0.043 57,100.27
73 - 84 2 0.079 103,500.00
85 - 96 1 0.017 22,080.73
109 - 120 39 0.872 1,146,116.18
145 - 156 1 0.023 30,453.21
169 - 180 1,188 56.178 73,870,258.13
229 - 240 206 8.426 11,079,909.22
289 - 300 47 2.303 3,027,675.56
349 - 360 590 32.059 42,155,535.85
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 244.9
8. STATED REMAINING TERM
STATED REMAINING TERM # % BALANCE
--------------------- - - -------
1 - 60 3 0.043 57,100.27
61 - 120 42 0.967 1,271,696.91
121 - 180 1,189 56.201 73,900,711.34
181 - 240 206 8.426 11,079,909.22
241 - 300 47 2.303 3,027,675.56
301 - 360 590 32.059 42,155,535.85
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 243.4
Min: 57.0
Max: 360.0
9. AGE
AGE # % BALANCE
--- - - -------
0 819 38.553 50,694,388.59
1 492 24.172 31,784,131.74
2 310 15.573 20,476,854.69
3 163 7.556 9,935,316.76
4 141 6.777 8,911,481.19
5 96 4.453 5,855,059.25
6 39 2.116 2,782,914.37
7 16 0.782 1,028,593.78
13 1 0.018 23,888.78
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 1.5
10. REMAINING AMORTIZATION TERM
REMAINING AMORTIZATION TERM # % BALANCE
--------------------------- - - -------
1 - 60 3 0.043 57,100.27
61 - 120 42 0.967 1,271,696.91
121 - 180 273 8.797 11,566,812.66
181 - 240 206 8.426 11,079,909.22
241 - 300 47 2.303 3,027,675.56
301 - 360 1,506 79.464 104,489,434.53
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 328.7
Min: 57.0
Max: 360.0
11. ORIGINAL LTV
ORIGINAL LTV # % BALANCE
------------ - - -------
=< 60.000 352 10.041 13,202,540.66
60.001 - 70.000 254 10.638 13,988,689.99
70.001 - 80.000 1,089 56.021 73,663,165.54
80.001 - 85.000 265 15.826 20,810,342.76
85.001 - 90.000 113 7.208 9,477,756.99
90.001 - 95.000 4 0.266 350,133.21
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt Avg: 75.11
Max: 95.00
12. STATE CONCENTRATION
STATE CONCENTRATION # % BALANCE
------------------- - - -------
SC 183 8.627 11,343,741.57
OH 175 8.199 10,781,576.16
TN 157 6.783 8,919,753.55
IL 123 6.275 8,251,609.76
NY 93 6.052 7,957,960.51
MD 127 6.032 7,931,692.28
PA 127 5.833 7,669,996.68
NC 113 5.591 7,351,659.99
FL 126 5.455 7,173,314.75
GA 86 4.514 5,935,755.60
Other 767 36.637 48,175,568.30
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
#: 46
13. OCCUPANCY TYPE
OCCUPANCY TYPE # % BALANCE
-------------- - - -------
Primary 1,882 91.885 120,821,398.18
Secondary 5 0.269 354,016.48
Investor 190 7.846 10,317,214.49
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
14. PROPERTY TYPE
PROPERTY TYPE # % BALANCE
------------- - - -------
Single Family 1,521 73.071 96,082,438.42
2-4 Family 132 6.803 8,945,356.97
PUD 14 0.877 1,153,625.84
Condo 39 1.713 2,252,814.19
Manufactured Housing 371 17.536 23,058,393.73
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
15. LOAN PURPOSE
LOAN PURPOSE # % BALANCE
------------ - - -------
Purchase 337 18.115 23,820,161.10
Rate/Term Refi 32 1.645 2,163,364.01
Cash Out Refi 1,708 80.240 105,509,104.04
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
16. DOCUMENTATION TYPE
DOCUMENTATION TYPE # % BALANCE
------------------ - - -------
Full Documentation 1,765 83.719 110,084,934.11
LIMITED 105 6.339 8,335,683.92
STATED 207 9.941 13,072,011.12
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
17. PRODUCT
PRODUCT # % BALANCE
------- - - -------
30 Year Fixed Rate 843 42.788 56,263,120.63
15 Year Fixed Rate 1,234 57.212 75,229,508.52
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
18. DEBT RATIOS
DEBT RATIOS # % BALANCE
----------- - - -------
=< 28.00 379 15.839 20,827,115.34
28.01 - 32.00 204 9.155 12,038,111.47
32.01 - 36.00 237 10.689 14,054,840.08
36.01 - 42.00 384 18.524 24,357,171.29
42.01 - 46.00 342 16.944 22,280,130.36
46.01 >= 531 28.850 37,935,260.61
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt. Avg: 38.665
19. FICO SCORE
FICO SCORE # % BALANCE
---------- - - -------
=<540.000 460 22.130 29,099,810.11
540.001 - 560.000 257 12.596 16,563,324.42
560.001 - 580.000 278 12.708 16,710,497.33
580.001 - 600.000 253 13.205 17,364,218.16
600.001 - 620.000 243 11.893 15,638,327.71
620.001 - 640.000 206 9.512 12,507,343.05
640.001 - 660.000 146 7.021 9,232,223.68
660.001 - 680.000 92 4.092 5,380,497.25
680.001 >= 142 6.842 8,996,387.44
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
Wgt. Avg: 590.502
Max: 838.000
Min: 0.000
20. GRADE
GRADE # % BALANCE
----- - - -------
A 477 24.243 31,877,571.79
AA 5 0.428 563,244.66
A+ 356 16.691 21,946,991.01
B 275 13.227 17,392,768.75
B+ 283 14.632 19,239,577.49
C 391 17.330 22,787,352.52
C- 121 5.510 7,244,977.10
C+ 121 5.886 7,739,071.16
D 48 2.054 2,701,074.67
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
21. PREPAYMENT MONTH
PREPAYMENT MONTH # % BALANCE
---------------- - - -------
000 836 38.283 50,339,858.89
100 4 0.255 334,822.07
111 69 3.215 4,227,466.30
1111 1 0.032 41,961.46
1111 1 3 0.155 203,457.09
200 3 0.076 100,131.98
210 1 0.070 92,599.15
211 1 0.141 185,099.51
221 4 0.265 347,940.22
222 30 1.093 1,437,628.13
2221 1 1 0.025 33,071.80
2222 2 8 0.586 770,846.56
300 17 0.781 1,026,387.05
320 3 0.155 204,116.77
321 668 32.332 42,514,280.49
3211 1 1 0.027 35,678.05
3222 2 0.097 127,027.57
3222 2 1 0.047 61,558.21
3322 37 1.548 2,034,946.03
3322 1 6 0.332 436,901.15
3322 2 308 15.551 20,448,383.66
333 6 0.349 458,857.36
3332 2 1 0.056 74,212.20
400 1 0.080 105,482.21
500 62 4.360 5,733,604.35
521 1 0.027 35,707.68
5322 2 1 0.030 39,418.00
5555 5 1 0.031 41,185.21
----- ------- --------------
TOTAL: 2,077 100.000 131,492,629.15
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax ,
financial and/or accounting advisors for the purpose of evaluating such
information. Prospective investors are advised to read carefully, and rely
solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement, if applicable, and Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decisions, a prospective investor shall receive and fully
review the final Prospectus . NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF ANY OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
<PAGE>
DEUTSCHE BANK SECURITIES @
CONFORMING BALANCE
2,207 RECORDS
MORTGAGE LENDERS NETWORK
1999-2-PRELIM NOV 2, 1999
================================================================================
SELECTION CRITERIA: CONFORMING BALANCE
TABLE OF CONTENTS
1. Pool Summary
2. Data as of Date
3. Current Balance
4. Original Balance
5. Current Gross Rate
6. Amortization Type
7. Original Term
8. Stated Remaining Term
9. Age
10. Remaining Amort Term
11. Gross Margin
12. Maximum Rate
13. Minimum Rate
14. Lifetime Rate Cap
15. First Periodic Rate Cap
16. Subsequent Periodic Rate Cap
17. Next Rate Adjustment
18. Months to Roll
19. Original LTV
20. Combined LTV
21. State Concentration
22. Occupancy Type
23. Property Type
24. Loan Purpose
25. Documentation Type
26. Product
27. Debt Ratios
28. FICO Score
29. Grade
30. PrePayment Month
1. POOL SUMMARY
Balance: 141,409,140.47
WAC: 10.8310
Count: 2,207
2. DATA AS OF DATE
DATA AS OF DATE %
--------------- -
1999-10-29 100.0
TOTAL: 100.0
3. CURRENT BALANCE
CURRENT BALANCE # % BALANCE
--------------- - - -------
=< 100,000.00 1,945 74.807 105,783,315.48
100,000.01 - 200,000.00 245 22.502 31,820,224.85
200,000.01 - 250,000.00 17 2.691 3,805,600.14
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Avg: 64,073.01
Min: 9,600.27
Max: 239,756.94
4. ORIGINAL BALANCE
ORIGINAL BALANCE # % BALANCE
---------------- - - -------
=< 100,000 1,945 74.807 105,783,315.48
100,001 - 200,000 245 22.502 31,820,224.85
200,001 - 250,000 17 2.691 3,805,600.14
----- ------- --------------
TOTAL 2,207 100.000 141,409,140.47
Avg: 64,158
Min: 10,000
Max: 240,000
5. CURRENT GROSS RATE
CURRENT GROSS RATE # % BALANCE
------------------ - - -------
7.001 - 7.500 1 0.166 234,287.15
7.501 - 8.000 12 0.721 1,019,658.69
8.001 - 8.500 42 2.123 3,002,113.87
8.501 - 9.000 145 7.113 10,058,894.26
9.001 - 9.500 121 5.842 8,261,025.79
9.501 - 10.000 249 11.332 16,024,866.47
10.001 - 10.500 269 13.500 19,090,433.26
10.501 - 11.000 387 18.923 26,758,880.39
11.001 - 11.500 271 11.849 16,755,697.32
11.501 - 12.000 279 11.472 16,222,343.92
12.001 - 12.500 191 8.001 11,313,923.92
12.501 - 13.000 122 4.638 6,557,953.48
13.001 - 13.500 44 1.854 2,622,352.05
13.501 - 14.000 44 1.593 2,253,132.14
14.001 - 14.500 18 0.421 595,367.20
14.501 - 15.000 10 0.285 403,399.23
15.001 - 15.500 1 0.023 33,135.78
15.501 - 16.000 1 0.143 201,675.55
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 10.8310
Min: 7.4500
Max: 15.7500
6. AMORTIZATION TYPE
AMORTIZATION TYPE # % BALANCE
----------------- - -
Fully Amortizing 1,291 55.919 79,075,241.79
Balloon 916 44.081 62,333,898.68
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
7. ORIGINAL TERM
ORIGINAL TERM # % BALANCE
------------- - - -------
49 - 60 3 0.040 57,100.27
73 - 84 2 0.073 103,500.00
85 - 96 1 0.016 22,080.73
109 - 120 39 0.810 1,146,116.18
145 - 156 1 0.022 30,453.21
169 - 180 1,189 52.294 73,947,829.48
229 - 240 206 7.835 11,079,909.22
289 - 300 47 2.141 3,027,675.56
349 - 360 719 36.769 51,994,475.82
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 252.8
Min: 60
Max: 360
8. STATED REMAINING TERM
STATED REMAINING TERM # % BALANCE
---------------------
1 - 60 3 0.040 57,100.27
61 - 120 42 0.899 1,271,696.91
121 - 180 1,190 52.315 73,978,282.69
181 - 240 206 7.835 11,079,909.22
241 - 300 47 2.141 3,027,675.56
301 - 360 719 36.769 51,994,475.82
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 251.4
Min: 57.0
Max: 360.0
9. Age
AGE # % BALANCE
--- - - -------
0 860 37.96 53,682,302
1 541 25.29 35,755,859
2 325 15.26 21,574,931
3 175 7.66 10,834,768
4 145 6.49 9,180,227
5 100 4.39 6,212,218
6 42 2.10 2,966,722
7 17 0.78 1,106,567
12 1 0.05 71,657
13 1 0.02 23,889
----- ------ -----------
TOTAL: 2,207 100.00 141,409,140
Wgt Avg: 1.5
10. REMAINING AMORT TERM
REMAINING AMORT TERM # % BALANCE
-------------------- - - -------
1 - 60 3 0.040 57,100.27
61 - 120 42 0.899 1,271,696.91
121 - 180 274 8.235 11,644,384.01
181 - 240 206 7.835 11,079,909.22
241 - 300 47 2.141 3,027,675.56
301 - 360 1,635 80.849 114,328,374.50
----- ------- ------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 330.7
Min: 57.0
Max: 360.0
11. GROSS MARGIN
GROSS MARGIN # % BALANCE
------------ - - -------
4.501 - 4.750 1 0.580 57,560.56
5.001 - 5.250 1 0.786 77,973.60
5.251 - 5.500 3 2.255 223,586.16
5.501 - 5.750 1 2.137 211,887.76
6.001 - 6.250 3 2.195 217,652.84
6.251 - 6.500 11 7.962 789,562.33
6.501 - 6.750 10 8.535 846,401.34
6.751 - 7.000 8 4.957 491,608.27
7.001 - 7.250 11 8.356 828,653.73
7.251 - 7.500 10 7.967 790,094.80
7.501 - 7.750 15 12.605 1,249,968.42
7.751 - 8.000 13 12.402 1,229,837.47
8.001 - 8.250 6 4.353 431,645.18
8.251 - 8.500 7 6.954 689,638.76
8.501 - 8.750 13 7.583 751,940.66
8.751 - 9.000 5 3.011 298,610.40
9.001 - 9.250 5 3.180 315,316.46
9.251 - 9.500 2 1.519 150,632.91
9.501 - 9.750 2 1.523 151,018.96
9.751 - 10.000 1 0.409 40,591.22
10.001 >= 2 0.729 72,329.49
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 7.5565
Min: 4.650
Max: 10.500
12. MAXIMUM RATE
MAXIMUM RATE # % BALANCE
------------ - - -------
14.501 - 15.000 1 0.580 57,560.56
15.001 - 15.500 1 0.786 77,973.60
15.501 - 16.000 5 4.927 488,559.02
16.001 - 16.500 2 2.773 275,021.81
16.501 - 17.000 17 11.969 1,186,902.69
17.001 - 17.500 21 17.373 1,722,793.25
17.501 - 18.000 27 22.848 2,265,695.58
18.001 - 18.500 12 9.682 960,156.62
18.501 - 19.000 19 13.781 1,366,577.66
19.001 - 19.500 15 9.150 907,349.02
19.501 - 20.000 6 4.157 412,216.05
20.001 >= 4 1.974 195,705.46
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 17.9049
Min: 14.9000
Max: 22.1000
13. MINIMUM RATE
MINIMUM RATE # % BALANCE
------------ - - -------
7.501 - 8.000 1 0.580 57,560.56
8.001 - 8.500 1 0.786 77,973.60
8.501 - 9.000 5 4.927 488,559.02
9.001 - 9.500 2 2.773 275,021.81
9.501 - 10.000 17 11.969 1,186,902.69
10.001 - 10.500 21 17.373 1,722,793.25
10.501 - 11.000 27 22.848 2,265,695.58
11.001 - 11.500 12 9.682 960,156.62
11.501 - 12.000 19 13.781 1,366,577.66
12.001 - 12.500 15 9.150 907,349.02
12.501 - 13.000 6 4.157 412,216.05
13.001 - 13.500 1 0.409 40,591.22
13.501 - 14.000 1 0.835 82,784.75
14.501 - 15.000 1 0.395 39,193.71
15.001 - 15.500 1 0.334 33,135.78
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 10.9049
Min: 7.9000
Max: 15.1000
14. LIFETIME RATE CAP
LIFETIME RATE CAP # % BALANCE
----------------- - - -------
6.751 - 7.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 7.0000
15. FIRST PERIODIC RATE CAP
FIRST PERIODIC RATE CAP # % BALANCE
----------------------- - - -------
3.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 3.0000
16. SUBSEQUENT PERIODIC RATE CAP
SUBSEQUENT PERIODIC RATE CAP # % BALANCE
---------------------------- - - -------
1.000 130 100.000 9,916,511.32
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 1.0000
17. NEXT RATE ADJUSTMENT
NEXT RATE ADJUSTMENT # % BALANCE
-------------------- - - -------
2000-11-19 1 0.723 71,657.18
2001-04-03 1 0.786 77,973.60
2001-05-12 2 1.360 134,894.83
2001-05-27 1 0.493 48,912.99
2001-06-01 3 2.225 220,679.20
2001-06-12 1 1.376 136,479.49
2001-07-01 3 2.009 199,223.40
2001-07-30 1 0.701 69,522.63
2001-08-01 8 6.120 606,905.18
2001-08-06 1 1.016 100,705.58
2001-08-14 1 0.847 83,994.43
2001-08-28 2 1.088 107,845.81
2001-09-01 7 4.667 462,763.53
2001-09-03 1 0.480 47,564.86
2001-09-09 1 0.608 60,254.78
2001-09-10 1 1.020 101,186.37
2001-09-12 1 0.571 56,667.32
2001-09-19 1 0.846 83,926.15
2001-09-24 1 1.173 116,350.86
2001-09-30 2 1.708 169,362.63
2001-10-01 27 22.890 2,269,857.00
2001-10-02 1 0.661 65,577.61
2001-10-03 1 0.360 35,738.94
2001-10-07 3 2.190 217,172.66
2001-10-08 1 0.623 61,814.50
2001-10-09 3 2.137 211,956.99
2001-10-10 1 1.043 103,469.38
2001-10-14 3 3.786 375,430.96
2001-10-15 5 3.323 329,535.85
2001-10-23 1 0.989 98,056.60
2001-10-24 1 0.476 47,182.03
2001-10-28 1 0.847 83,963.62
2001-10-29 1 0.726 71,970.76
2001-10-30 1 0.715 70,946.18
2001-11-01 32 23.610 2,341,269.48
2001-11-04 1 0.889 88,168.47
2001-11-06 1 0.371 36,800.00
2001-11-07 1 0.452 44,800.00
2001-11-08 3 1.949 193,250.00
2001-11-15 2 2.145 212,679.47
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 2001-09-23
18. MONTHS TO ROLL
MONTHS TO ROLL # % BALANCE
-------------- - - -------
12 1 0.723 71,657.18
17 1 0.786 77,973.60
18 3 1.854 183,807.82
19 4 3.602 357,158.69
20 4 2.710 268,746.03
21 12 9.070 899,451.00
22 15 11.073 1,098,076.50
23 50 40.767 4,042,673.08
24 40 29.415 2,916,967.42
--- ------- ------------
TOTAL: 130 100.000 9,916,511.32
Wgt Avg: 22.6
19. ORIGINAL LTV
ORIGINAL LTV # % BALANCE
------------ - - -------
=< 60.000 355 9.479 13,404,552.46
60.001 - 70.000 273 10.684 15,108,253.55
70.001 - 80.000 1,167 56.285 79,591,921.39
80.001 - 85.000 283 15.821 22,372,640.20
85.001 - 90.000 125 7.483 10,581,639.66
90.001 - 95.000 4 0.248 350,133.21
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 75.38
Min: 5.21
Max: 95.00
20. COMBINED LTV
COMBINED LTV # % BALANCE
------------ - - -------
=< 60.000 181 5.470 7,735,416.39
60.001 - 70.000 304 11.607 16,413,331.54
70.001 - 80.000 1,238 57.877 81,843,776.05
80.001 - 85.000 309 16.500 23,332,581.86
85.001 - 90.000 137 7.721 10,918,023.71
90.001 - 95.000 8 0.297 419,304.87
95.001 >= 30 0.528 746,706.05
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt Avg: 77.67
Max: 100.00
Min: 12.67
21. STATE CONCENTRATION
STATE CONCENTRATION # % BALANCE
------------------- - - -------
OH 198 8.603 12,165,041.50
SC 188 8.170 11,552,970.93
TN 160 6.477 9,158,953.62
IL 131 6.244 8,829,941.62
PA 134 5.761 8,146,152.52
MD 130 5.750 8,131,092.75
NY 93 5.628 7,957,960.51
NC 119 5.492 7,766,605.63
FL 129 5.272 7,455,138.65
GA 89 4.435 6,271,831.81
Other 836 38.168 53,973,450.93
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
#: 46
22. OCCUPANCY TYPE
OCCUPANCY TYPE # % BALANCE
-------------- - - -------
Primary 2,005 92.247 130,445,456.67
Secondary 5 0.250 354,016.48
Investor 197 7.503 10,609,667.32
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
23. PROPERTY TYPE
PROPERTY TYPE # % BALANCE
------------- - - -------
Single Family 1,637 74.251 104,998,021.25
2-4 Family 138 6.709 9,486,982.15
PUD 15 0.876 1,239,063.22
Condo 41 1.631 2,305,877.35
Manufactured Housing 376 16.533 23,379,196.50
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
24. LOAN PURPOSE
LOAN PURPOSE # % BALANCE
------------ - - -------
Purchase 369 18.994 26,859,447.24
Rate/Term Refi 35 1.736 2,455,388.07
Cash Out Refi 1,803 79.269 112,094,305.16
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
25. DOCUMENTATION TYPE
DOCUMENTATION TYPE # % BALANCE
------------------ - - -------
Full Documentation 1,867 83.342 117,853,630.12
LIMITED 112 6.404 9,055,581.27
STATED 228 10.254 14,499,929.08
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
26. PRODUCT
PRODUCT # % BALANCE
------- - - -------
30 Year Fixed Rate 843 39.787 56,263,120.63
15 Year Fixed Rate 1,234 53.200 75,229,508.52
2/28 130 7.013 9,916,511.32
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
27. DEBT RATIOS
DEBT RATIOS # % BALANCE
----------- - - -------
=< 28.00 405 16.077 22,734,464.36
28.01 - 32.00 215 9.227 13,047,980.98
32.01 - 36.00 253 10.673 15,092,475.94
36.01 - 42.00 405 18.219 25,762,829.54
42.01 - 46.00 360 16.972 24,000,260.71
46.01 >= 569 28.832 40,771,128.94
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt. Avg: 38.613
28. FICO SCORE
FICO SCORE # % BALANCE
---------- - - -------
=<540.000 500 22.543 31,878,000.53
540.001 - 560.000 282 12.842 18,160,048.98
560.001 - 580.000 295 12.655 17,895,863.75
580.001 - 600.000 269 13.343 18,868,063.15
600.001 - 620.000 256 11.866 16,780,284.36
620.001 - 640.000 217 9.621 13,604,755.35
640.001 - 660.000 151 6.756 9,553,834.57
660.001 - 680.000 94 3.947 5,580,754.28
680.001 >= 143 6.426 9,087,535.50
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
Wgt. Avg: 589.372
Max: 838.000
Min: 0.000
29. GRADE
GRADE # % BALANCE
----- - - -------
A 508 24.403 34,508,662.59
AA 5 0.398 563,244.66
A+ 365 16.140 22,823,935.48
B 299 13.475 19,054,766.15
B+ 296 14.355 20,298,853.77
C 413 17.044 24,102,055.18
C- 135 5.772 8,162,004.57
C+ 134 6.296 8,902,949.67
D 52 2.116 2,992,668.40
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
30. PrePayment Month
PREPAYMENT MONTH # % BALANCE
---------------- - - -------
000 851 36.417 51,497,131.92
100 4 0.237 334,822.07
111 70 3.017 4,266,660.01
1111 1 0.030 41,961.46
1111 1 3 0.144 203,457.09
200 4 0.138 195,194.87
210 1 0.065 92,599.15
211 1 0.131 185,099.51
221 6 0.356 502,967.75
222 34 1.256 1,776,630.17
2221 1 1 0.023 33,071.80
2222 2 8 0.545 770,846.56
300 18 0.819 1,158,283.92
320 8 0.434 613,939.33
321 737 33.520 47,399,808.38
3211 1 1 0.025 35,678.05
3222 2 0.090 127,027.57
3222 2 1 0.044 61,558.21
3322 38 1.516 2,143,636.87
3322 1 6 0.309 436,901.15
3322 2 321 15.077 21,320,900.36
333 6 0.324 458,857.36
3332 2 2 0.091 129,176.09
400 1 0.075 105,482.21
500 63 4.115 5,818,572.35
521 1 0.025 35,707.68
5322 2 1 0.028 39,418.00
550 16 1.119 1,582,565.37
5555 5 1 0.029 41,185.21
----- ------- --------------
TOTAL: 2,207 100.000 141,409,140.47
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purpose of evaluating such
information. Prospective investors are advised to read carefully, and rely
solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement, if applicable, and Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decisions, a prospective investor shall receive and fully
review the final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF ANY OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
