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Exhibit 99.1
COMPUTATIONAL MATERIAL
CENTEX
HOME EQUITY
CORPORATION
$400,000,000 Certificates (approximate)
Centex Home Equity Loan Trust 2000-D
Centex Home Equity Corporation (Sponsor, Originator & Servicer)
CHEC Funding, LLC (Depositor)
Neither the Sponsor nor any of its affiliates make any representations as to the accuracy or completeness of the information herein. The information herein is preliminary, and will be superseded by the applicable Prospectus Supplement and by any other information subsequently filed with the Securities and Exchange Commission. The information herein addresses only certain aspects of the applicable certificates' characteristics and thus does not provide a complete assessment of the certificates. As such, the information may not reflect the impact of all structural characteristics of the certificates. The assumptions underlying the information, including structure and collateral, may be modified from time to time to reflect changed circumstances. The attached term sheet is not intended to be a Prospectus and any investment decision with respect to the certificates should be made by you based solely upon all of the information contained in the final Prospectus and Prospectus Supplement. Under no circumstances shall the information presented constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the certificates in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of such jurisdiction. The certificates may not be sold nor may an offer to buy be accepted prior to the delivery of a final Prospectus and Prospectus Supplement relating to the certificates. All information described herein is preliminary, limited in nature and subject to completion or amendment. No representation is made that the above referenced certificates will actually perform as described in any scenario presented. A final Prospectus and Prospectus Supplement may be obtained by contacting Salomon Smith Barney's Syndicate Desk at (212) 723-6171.
Centex Home Equity Loan Trust 2000-D
To 20% Call Class Approx. Group Type Bmark WAL Principal Pmt Interest Expected Stated Expected Size ($)* (yrs) Payment Delay Accrual Final Final Ratings Window (days) Basis Maturity Maturity (Moody's/ (mos) S&P/Fitch) A-1 108,700,000 I Fixed-Seq EDSF 0.90 1 - 19 24 30/360 Jul 2002 Nov 2015 Aaa/AAA/AAA A-2 50,000,000 I Fixed-Seq Swaps 2.01 19 - 29 24 30/360 May 2003 Aug 2021 Aaa/AAA/AAA A-3 56,100,000 I Fixed-Seq Swaps 3.01 29 - 44 24 30/360 Aug 2004 Feb 2026 Aaa/AAA/AAA A-4 67,500,000 I Fixed-Seq Swaps 5.01 44 - 73 24 30/360 Jan 2007 Aug 2029 Aaa/AAA/AAA A-5 34,500,000 I Fixed-Seq Swaps 6.11 73 - 73 24 30/360 Jan 2007 Jan 2031 Aaa/AAA/AAA A-6 35,200,000 I Fixed-NAS Swaps 5.57 37 - 73 24 30/360 Jan 2007 Jan 2031 Aaa/AAA/AAA A-7 48,000,000 II ARM-PT 1mL 2.47 1 - 73 0 Act/360 Jan 2007 Jan 2031 Aaa/AAA/AAA * Subject to a permitted variance of plus or minus 5%.
Pricing Speed
| Group I | 115% PPC |
| 100% PPC assumes that prepayments start at 4% CPR in month one, increase by approximately 1.455% each month to 20% CPR in month twelve, and remain at 20% CPR thereafter. |
| Group II | 28% CPR |
Centex Home Equity Loan Trust 2000-D (Continued)
Transaction Overview
| Collateral | • | Two loan groups: Group I (fixed) and Group II (ARM). |
| • | Group I comprised of conventional 1st and 2nd lien fixed-rate home equity loans, both balloon and fully amortizing. |
| • | Group II comprised of 1st lien six-month LIBOR indexed conventional and 2/28 hybrid adjustable rate home equity loans. |
| • | The information presented is based upon the Statistical Calculation Date as of the beginning of business on November 13, 2000. The actual pool size at closing is expected to be approximately $400,000,000. The weighted average mortgage loan characteristics presented in the computational materials are not expected to materially change with the addition of the remaining loans. |
| Structure | • | Group I - sequential pay (with a NAS certificate) supported primarily by fixed collateral. |
| • | Group II - pass-through supported primarily by ARM collateral. |
| Originator & Servicer | Centex Home Equity Corporation |
| Sellers | Centex Home Equity Corporation and CHEC Conduit Funding, LLC |
| Depositor | CHEC Funding, LLC |
| Certificate Insurer | Financial Security Assurance Inc. ("FSA"), rated Aaa/AAA/AAA by Moody's, Standard & Poor's and Fitch, respectively. |
| Credit Enhancement | • | 100% FSA wrapped. |
| • | Excess spread will be used to turbo the structure and create overcollateralization. |
| • | If available, excess cash from either pool will cover any shortfalls and build overcollateralization. |
| Distribution Date | 25th of each month (or the next business day if such a day is not a business day) commencing in January 2001. |
| Interest Accrual Period | • | Class A-1 through A-6: the calendar month preceding the current distribution date on a 30/360 basis. |
| • | Class A-7: from and including the preceding distribution date (for the first distribution period, the closing date) to but excluding the current distribution date on an actual/360 basis. |
| Principal Distribution | • | Class A-1 through A-6 Certificates are paid down primarily with Group I available principal in the following priority: |
| 1.To the Class A-6 equal to the Class A-6 Principal Distribution Amount. |
| 2.To the Class A-1 through A-6 sequentially until each is reduced to zero. |
| • | Class A-7 Certificates are paid down primarily with Group II available principal. |
| Class A-6 Principal Distribution Amount: |
• | The Class A-6 Certificates will be allocated a percentage of their pro-rata share of principal collections. The percentage allocation follows the schedule below: |
| - January 2001 - December 2003: 0.0% - January 2004 - December 2005: 45.0% - January 2006 - December 2006: 80.0% - January 2007 - December 2007: 100.0% - January 2008 and thereafter: 300.0% |
| Expected Timing | • | Pricing Date: December 5 - 6, 2000. |
| • | Cut-off Date: December 1, 2000. |
| • | Settlement: December 14, 2000. |
| • | First Payment Date: January 25, 2001. |
Centex Home Equity Loan Trust 2000-D (Continued)
Transaction Overview (Continued)
| Available Funds Cap | • | Classes A-5 and A-6 are subject to a net WAC cap (without carry-over). |
| • | Class A-7 is subject to an available funds cap (with carry-over on a subordinated basis). |
| Monthly Fees | • | Servicing fee and trustee fee totaling approximately 0.505%. |
| • | Insurance premium as stated in the underlying documents. |
| Carve-out | • | Class A-7 available funds cap will be reduced by 0.50% after 12 months. |
| Cleanup Call | • | Servicer may terminate the trust if the combined principal balance of the Group I and II Mortgage Loans is less than 20% of its original amount. |
| Step-up Coupon: | • | On or after the Cleanup Call Date, the Class A-5 coupon will increase by 0.50% and the spread over LIBOR will double for the Class A-7 coupon. |
| Auction Termination: | • | If the cleanup call is not exercised on the first date it could have been exercised, then on the next distribution date the Trustee will begin an auction process to sell the trust assets. The Trustee must receive proceeds in an amount equal to or greater than the aggregate unpaid principal balance of the certificates, all accrued and unpaid interest and other amounts as described in the prospectus supplement, other than LIBOR carryover. If the auction is not successful, the Trustee will conduct another auction every 3rd month thereafter. |
| Additional Principal Distribution: |
• | If the cleanup call is not exercised, then starting on the 3rd distribution date following the distribution date upon which the deal becomes eligible for call, all excess available funds will be used to turbo the structure. |
| SMMEA Eligibility | • | The Class A-1 through A-6 certificates are not expected to be SMMEA eligible. |
| • | The Class A-7 certificates are expected to be SMMEA eligible. |
| ERISA Eligibility | All of the offered securities are expected to be ERISA eligible. |
| Taxation | REMIC election. |
| Delinquency Advances | The Servicer: |
| • | Advances unpaid interest to the trust out of its own funds or out of collections that are not required to be distributed on the related distribution date. |
| • | Has rights to reimbursement from the related home equity loan, and if the advance is a non-recoverable advance, from collections on all the home equity loans before making required distributions on the distribution date. The Servicer is also entitled to reimbursement from any amounts remaining from collections on all the home equity loans of the related Group after making required distributions. |
| Servicer Advances | The Servicer: |
| • | Pays all out-of-pocket expenses to service the loans. |
| • | Has rights to reimbursement from liquidation proceeds realized upon the liquidation of the related home equity loan before making required distributions on the distribution date. The Servicer is also entitled to reimbursement from any amount remaining from collections on all the home equity loans of the related Group after making required distributions. |
| Compensating Interest | The Servicer: |
| • | Will be required to remit any interest shortfalls due to the receipt of less than 30 days of accrued interest with a full prepayment up to the amount of the aggregate servicing fee for the related period. |
| • | Has rights to reimbursement from any amounts remaining from collections on all the home equity loans of the related Group after making required distributions on the distribution date. |
Sensitivity Analysis
To 20% Call
Group I % of PPC 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Group II CPR 12.0% 18.0% 24.0% 28.0% 36.0% 50.0% 60.0%
Class A-1
Avg. Life (yrs) 1.59 1.20 0.99 0.90 0.77 0.65 0.57
Window (mo) 1- 38 1- 27 1- 21 1- 19 1- 15 1- 12 1- 11
Expected Final Mat. 02/2004 03/2003 09/2002 07/2002 03/2002 12/2001 11/2001
Class A-2
Avg. Life (yrs) 4.17 2.90 2.26 2.01 1.60 1.27 1.07
Window (mo) 38- 62 27- 43 21- 33 19- 29 15- 23 12- 17 11- 14
Expected Final Mat. 02/2006 07/2004 09/2003 05/2003 11/2002 05/2002 02/2002
Class A-3
Avg. Life (yrs) 6.93 4.58 3.45 3.01 2.33 1.78 1.45
Window (mo) 62-111 43- 69 33- 51 29- 44 23- 33 17- 25 14- 20
Expected Final Mat. 03/2010 09/2006 03/2005 08/2004 09/2003 01/2003 08/2002
Class A-4
Avg. Life (yrs) 12.03 8.07 5.83 5.01 3.74 2.68 2.08
Window (mo) 111-157 69-111 51- 84 44- 73 33- 56 25- 40 20- 30
Expected Final Mat. 01/2014 03/2010 12/2007 01/2007 08/2005 04/2004 06/2003
Class A-5
Avg. Life (yrs) 13.11 9.28 7.03 6.11 4.70 3.36 2.61
Window (mo) 157-157 111-111 84- 84 73- 73 56- 56 40- 40 30- 31
Expected Final Mat. 01/2014 03/2010 12/2007 01/2007 08/2005 04/2004 07/2003
Class A-6
Avg. Life (yrs) 8.22 7.16 6.18 5.57 4.50 3.35 2.61
Window (mo) 37-157 37-111 37- 84 37- 73 37- 56 37- 40 31- 31
Expected Final Mat. 01/2014 03/2010 12/2007 01/2007 08/2005 04/2004 07/2003
Class A-7
Avg. Life (yrs) 5.71 3.88 2.89 2.47 1.86 1.25 0.96
Window (mo) 1-157 1-111 1- 84 1- 73 1- 56 1- 40 1- 31
Expected Final Mat. 01/2014 03/2010 12/2007 01/2007 08/2005 04/2004 07/2003
To Maturity
Class A-4
Avg. Life (yrs) 12.61 8.57 6.09 5.10 3.76 2.69 2.08
Window (mo) 111-185 69-141 51-108 44- 86 33- 60 25- 42 20- 30
Expected Final Mat. 05/2016 09/2012 12/2009 02/2008 12/2005 06/2004 06/2003
Class A-5
Avg. Life (yrs) 17.85 13.74 10.88 9.52 6.79 4.32 3.11
Window (mo) 185-245 141-188 108-156 86-140 60-113 42- 72 30- 46
Expected Final Mat. 05/2021 08/2016 12/2013 08/2012 05/2010 12/2006 10/2004
Class A-6
Avg. Life (yrs) 8.31 7.38 6.74 6.45 5.91 5.19 4.23
Window (mo) 37-243 37-179 37-154 37-138 37-110 37- 85 37- 65
Expected Final Mat. 03/2021 11/2015 10/2013 06/2012 02/2010 01/2008 05/2006
Class A-7
Avg. Life (yrs) 6.12 4.19 3.13 2.67 2.01 1.33 0.98
Window (mo) 1-230 1-174 1-138 1-122 1- 97 1- 71 1- 42
Expected Final Mat. 02/2020 06/2015 06/2012 02/2011 01/2009 11/2006 06/2004
Group II Available Funds Cap Analysis
Assumptions
o LIBOR stressed to infinity o Available funds cap is
o No O/C buildup calculated net of servicing
o Act/360 day count fee, trustee fee, surety
o 0% Losses fee and carve-out (after 12
o 28% CPR months)
1/25/01 7.21% 1/25/04 13.30%
2/25/01 9.84% 2/25/04 13.55%
3/25/01 10.91% 3/25/04 14.53%
4/25/01 9.84% 4/25/04 13.58%
5/25/01 10.17% 5/25/04 14.06%
6/25/01 9.90% 6/25/04 13.84%
7/25/01 10.32% 7/25/04 14.75%
8/25/01 10.01% 8/25/04 14.50%
9/25/01 10.01% 9/25/04 14.50%
10/25/01 10.35% 10/25/04 15.04%
11/25/01 10.01% 11/25/04 14.53%
12/25/01 10.42% 12/25/04 15.25%
1/25/02 9.64% 1/25/05 15.09%
2/25/02 9.67% 2/25/05 15.30%
3/25/02 10.78% 3/25/05 17.02%
4/25/02 9.67% 4/25/05 15.33%
5/25/02 10.02% 5/25/05 15.87%
6/25/02 9.74% 6/25/05 15.51%
7/25/02 10.15% 7/25/05 16.41%
8/25/02 9.84% 8/25/05 16.07%
9/25/02 9.84% 9/25/05 16.07%
10/25/02 10.26% 10/25/05 16.63%
11/25/02 9.91% 11/25/05 16.07%
12/25/02 10.75% 12/25/05 16.63%
1/25/03 11.15% 1/25/06 16.07%
2/25/03 11.61% 2/25/06 16.07%
3/25/03 12.93% 3/25/06 17.86%
4/25/03 11.64% 4/25/06 16.07%
5/25/03 12.06% 5/25/06 16.63%
6/25/03 11.91% 6/25/06 16.07%
7/25/03 12.76% 7/25/06 16.63%
8/25/03 12.58% 8/25/06 16.07%
9/25/03 12.58% 9/25/06 16.07%
10/25/03 13.06% 10/25/06 16.63%
11/25/03 12.61% 11/25/06 16.07%
12/25/03 13.33% 12/25/06 16.63%
Group I Collateral Summary
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Summary Statistics Range (if appropriate)
Total Number of Loans 5,222
Total Outstanding Loan Balance $341,475,967.62 $2,900.00 - $499,843.68
Balloon (% of Total) 12.32%
Average Loan Principal Balance $65,391.80
WA Coupon 11.51% 7.00% - 19.50%
WA Original Term (months) 304.66 60.00 - 360.00
WA Calculated Remaining Term (months) 303.49 55.00 - 360.00
WA CLTV 80.18% 8.00% - 100.00%
WA Second Mortgage Ratio 1 30.12%
Lien Position (1st / 2nd) 93.22% / 6.78%
Property Type
Single Family 88.40%
PUD 6.36%
Two- to Four-Family 2.08%
Townhouse 0.83%
Manufactured Housing 1.09%
Condominium 1.18%
Occupancy Status
Primary Home 97.37%
Investment 2.24%
Second Home 0.39%
Geographic Distribution 2 Texas: 15.68% 5.35%
Ohio: 5.27%
Florida:
1 Applies to 2nd liens only.
2 Other states account individually for less than 5% of the pool balance.
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Principal Balances
Principal Balance ($) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
0.00 - 5,000.00 4 16,193.00 0.00
5,000.01 - 10,000.00 28 253,419.38 0.07
10,000.01 - 15,000.00 194 2,489,582.15 0.73
15,000.01 - 20,000.00 251 4,487,613.92 1.31
20,000.01 - 25,000.00 297 6,837,404.89 2.00
25,000.01 - 30,000.00 359 9,987,353.79 2.92
30,000.01 - 35,000.00 352 11,514,171.63 3.37
35,000.01 - 40,000.00 349 13,183,263.23 3.86
40,000.01 - 45,000.00 293 12,477,173.11 3.65
45,000.01 - 50,000.00 311 14,824,089.29 4.34
50,000.01 - 55,000.00 295 15,533,127.97 4.55
55,000.01 - 60,000.00 293 16,906,650.09 4.95
60,000.01 - 65,000.00 255 16,009,323.88 4.69
65,000.01 - 70,000.00 211 14,242,698.07 4.17
70,000.01 - 75,000.00 208 15,067,641.75 4.41
75,000.01 - 80,000.00 162 12,571,982.61 3.68
80,000.01 - 85,000.00 138 11,393,266.02 3.34
85,000.01 - 90,000.00 118 10,327,776.71 3.02
90,000.01 - 95,000.00 106 9,829,802.93 2.88
95,000.01 - 100,000.00 102 9,957,421.82 2.92
100,000.01 - 105,000.00 96 9,848,433.73 2.88
105,000.01 - 110,000.00 89 9,568,853.34 2.80
110,000.01 - 115,000.00 58 6,537,241.68 1.91
115,000.01 - 120,000.00 72 8,488,483.17 2.49
120,000.01 - 125,000.00 53 6,504,068.51 1.90
125,000.01 - 130,000.00 63 8,029,269.53 2.35
130,000.01 - 135,000.00 57 7,544,251.43 2.21
135,000.01 - 140,000.00 35 4,824,446.58 1.41
140,000.01 - 145,000.00 41 5,840,232.73 1.71
145,000.01 - 150,000.00 35 5,187,259.81 1.52
150,000.01 - 200,000.00 181 31,148,854.56 9.12
200,000.01 - 250,000.00 73 16,352,639.87 4.79
250,000.01 - 300,000.00 26 7,049,458.71 2.06
300,000.01 - 350,000.00 6 1,971,881.84 0.58
350,000.01 - 400,000.00 5 1,868,057.65 0.55
400,000.01 - 450,000.00 2 844,794.66 0.25
450,000.01 - 500,000.00 4 1,957,783.58 0.57
Total 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Loan Rates
Loan Rate (%) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
6.501 - 7.000 2 152,269.39 0.04
7.001 - 7.500 4 358,616.13 0.11
7.501 - 8.000 21 1,930,807.94 0.57
8.001 - 8.500 61 5,695,732.13 1.67
8.501 - 9.000 160 16,624,184.63 4.87
9.001 - 9.500 160 15,181,203.28 4.45
9.501 - 10.000 428 37,693,194.84 11.04
10.001 - 10.500 250 20,382,278.56 5.97
10.501 - 11.000 593 46,757,660.23 13.69
11.001 - 11.500 419 31,587,644.81 9.25
11.501 - 12.000 695 45,439,109.01 13.31
12.001 - 12.500 424 26,156,823.10 7.66
12.501 - 13.000 703 40,188,694.84 11.77
13.001 - 13.500 370 17,144,903.96 5.02
13.501 - 14.000 373 17,118,042.29 5.01
14.001 - 14.500 215 7,829,011.05 2.29
14.501 - 15.000 205 7,310,515.56 2.14
15.001 - 15.500 53 1,472,044.12 0.43
15.501 - 16.000 41 1,389,380.34 0.41
16.001 - 16.500 19 510,414.97 0.15
16.501 - 17.000 14 359,567.58 0.11
17.001 - 17.500 7 116,653.52 0.03
17.501 - 18.000 4 54,237.07 0.02
19.001 - 19.500 1 22,978.27 0.01
Total: 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Original Term to Stated Maturity
Original Term (months) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
0 - 60 50 944,797.15 0.28
61 - 120 315 8,916,293.74 2.61
121 - 180 1,419 74,424,284.50 21.79
181 - 240 483 24,025,403.85 7.04
241 - 300 40 2,250,576.78 0.66
301 - 360 2,915 230,914,611.60 67.62
Total: 5,222 341,475,967.62 100.00
Calculated Remaining Term to Stated Maturity
Remaining Term (months) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
0 - 60 50 944,797.15 0.28
61 - 120 315 8,916,293.74 2.61
121 - 180 1,419 74,424,284.50 21.79
181 - 240 483 24,025,403.85 7.04
241 - 300 40 2,250,576.78 0.66
301 - 360 2,915 230,914,611.60 67.62
Total: 5,222 341,475,967.62 100.00
Seasoning
Seasoning (months) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
0 1,395 93,713,367.79 27.44
1 1,842 118,549,826.28 34.72
2 1,833 118,158,532.39 34.60
3 79 6,224,679.59 1.82
4 - 6 61 4,170,208.80 1.22
7 - 9 8 500,449.30 0.15
10 - 12 2 86,590.58 0.03
13 - 15 1 58,711.94 0.02
28 1 13,600.95 0.00
Total: 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Combined Loan-to-Value Ratio
CLTV (%) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
<= 10.00 2 22,899.35 0.01
10.01 - 15.00 6 150,723.41 0.04
15.01 - 20.00 19 367,019.55 0.11
20.01 - 25.00 27 728,530.47 0.21
25.01 - 30.00 24 624,326.55 0.18
30.01 - 35.00 33 839,759.66 0.25
35.01 - 40.00 54 1,592,169.61 0.47
40.01 - 45.00 64 2,578,686.34 0.76
45.01 - 50.00 85 3,679,393.17 1.08
50.01 - 55.00 90 3,652,441.05 1.07
55.01 - 60.00 138 5,357,724.03 1.57
60.01 - 65.00 206 10,274,500.60 3.01
65.01 - 70.00 307 17,637,201.96 5.16
70.01 - 75.00 507 31,058,490.52 9.10
75.01 - 80.00 1,341 91,594,439.63 26.82
80.01 - 85.00 955 68,973,497.11 20.20
85.01 - 90.00 919 77,732,805.57 22.76
90.01 - 95.00 197 15,402,407.87 4.51
95.01 - 100.00 248 9,208,951.17 2.70
Total: 5,222 341,475,967.62 100.00
Second Mortgage Ratio
2nd Mortgage Ratio (%) Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
<= 5.00 1 23,405.00 0.10
5.01 - 10.00 25 374,129.10 1.62
10.01 - 15.00 86 1,670,893.91 7.22
15.01 - 20.00 270 6,135,235.63 26.52
20.01 - 25.00 94 2,815,382.98 12.17
25.01 - 30.00 92 3,104,129.20 13.42
30.01 - 35.00 62 1,957,056.67 8.46
35.01 - 40.00 54 2,251,117.27 9.73
40.01 - 45.00 34 1,463,455.28 6.33
45.01 - 50.00 21 903,557.99 3.91
50.01 - 55.00 14 572,638.57 2.48
55.01 - 60.00 15 656,614.55 2.84
60.01 - 65.00 5 237,499.39 1.03
65.01 - 70.00 6 270,802.69 1.17
70.01 - 75.00 5 149,475.83 0.65
75.01 - 80.00 2 236,805.28 1.02
80.01 - 85.00 5 221,815.26 0.96
90.01 - 95.00 2 64,114.88 0.28
95.01 - 100.00 1 28,479.57 0.12
Total: 794 23,136,609.05 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Lien Position
Position Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
1st lien 4,428 318,339,358.57 93.22
2nd lien 794 23,136,609.05 6.78
Total: 5,222 341,475,967.62 100.00
Occupancy Type
Type Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
Primary Home 5,025 332,501,522.50 97.37
Investment Property 177 7,648,193.85 2.24
Second Home 20 1,326,251.27 0.39
Total: 5,222 341,475,967.62 100.00
Property Type
Type Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
Single Family 4,748 301,862,274.96 88.40
PUD 195 21,705,813.71 6.36
Two- to Four-Family 108 7,109,584.66 2.08
Manufactured Housing 65 3,718,095.99 1.09
Condominium 58 4,034,540.10 1.18
Townhouse 43 2,823,029.28 0.83
Other 5 222,628.92 0.07
Total: 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
States
% of Stat.
Mortgage Stat. Calc. Date Calc. Date
State Loans Principal Balance ($) Principal Balance
Arizona 146 12,502,471.80 3.66
Arkansas 89 4,417,155.95 1.29
California 69 6,741,734.21 1.97
Colorado 87 7,531,392.96 2.21
Connecticut 62 5,110,761.35 1.50
Delaware 14 1,229,496.52 0.36
District of Columbia 1 127,269.81 0.04
Florida 236 17,992,936.02 5.27
Georgia 174 13,473,215.65 3.95
Idaho 21 1,308,741.93 0.38
Illinois 155 8,823,448.21 2.58
Indiana 120 6,896,034.41 2.02
Iowa 103 4,470,166.71 1.31
Kansas 91 4,273,968.74 1.25
Kentucky 100 5,759,441.13 1.69
Louisiana 209 11,127,942.81 3.26
Maine 37 2,822,133.47 0.83
Maryland 27 2,391,934.27 0.70
Massachusetts 52 5,021,649.68 1.47
Michigan 164 10,813,915.79 3.17
Minnesota 83 5,865,058.67 1.72
Mississippi 152 8,680,188.80 2.54
Missouri 235 13,498,606.49 3.95
Montana 9 721,001.45 0.21
Nebraska 72 4,242,114.39 1.24
Nevada 26 2,347,695.87 0.69
New Hampshire 27 2,455,102.62 0.72
New Jersey 65 5,833,115.07 1.71
New Mexico 56 3,701,228.43 1.08
New York 144 10,119,075.77 2.96
North Carolina 194 11,992,918.51 3.51
Ohio 259 18,274,646.57 5.35
Oklahoma 108 5,134,375.46 1.50
Oregon 35 2,185,570.54 0.64
Pennsylvania 263 13,990,853.43 4.10
Rhode Island 9 551,745.85 0.16
South Carolina 97 6,615,388.16 1.94
South Dakota 2 85,524.08 0.03
Tennessee 217 15,082,428.92 4.42
Texas 891 53,556,119.96 15.68
Utah 23 1,808,949.00 0.53
Vermont 4 416,292.81 0.12
Virginia 71 4,971,633.12 1.46
Washington 83 7,519,758.20 2.20
West Virginia 18 1,060,870.95 0.31
Wisconsin 113 7,562,704.64 2.21
Wyoming 9 367,188.44 0.11
Total: 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Documentation Type
Type Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
Full Documentation 4,728 300,835,909.36 88.10
Stated Income 337 25,744,854.24 7.54
Limited Documentation 157 14,895,204.02 4.36
Total: 5,222 341,475,967.62 100.00
Credit Grade
Grade Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
A+ 343 20,979,049.86 6.14
A-1 1,363 102,660,286.40 30.06
A-2 1,577 107,406,480.90 31.45
B 902 56,760,722.15 16.62
C-1 685 35,062,790.65 10.27
C-2 222 11,782,793.76 3.45
D 130 6,823,843.90 2.00
Total: 5,222 341,475,967.62 100.00
Group I Collateral Summary (Continued)
Statistics for the fixed rate home equity loans are listed below as of the Statistical Calculation Date.
Prepayment Penalties
Penalty Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
No 2,007 106,854,645.90 31.29
Yes 3,215 234,621,321.72 68.71
Total: 5,222 341,475,967.62 100.00
Prepayment Penalty Term
Penalty Term Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date (months) Principal Balance ($) Principal Balance 0 2,007 106,854,645.90 31.29 12 172 13,746,301.96 4.03 24 67 7,371,004.47 2.16 30 82 4,867,416.99 1.43 36 476 38,227,162.97 11.19 42 7 491,809.12 0.14 48 3 342,005.31 0.10 60 2,408 169,575,620.90 49.66 Total: 5,222 341,475,967.62 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Summary Range
Statistics (if appropriate)
-------------- ----------------
Total Number of Loans 403
Total Outstanding Loan Balance 45,378,409.01 $9,997.70 - $517,835.59
Average Loan Principal Balance $112,601.51
WA Coupon 10.87% 7.80% - 14.90%
ARM Characteristics
WA Margin 5.52% 2.00% - 9.19%
WA First Periodic Cap 1.85% 1.00% - 2.00%
WA Subsequent Periodic Cap 1.00% 1.00% - 1.00%
WA Lifetime Cap 17.82% 14.80% - 21.90%
WA Lifetime Floor 10.87% 7.80% - 14.90%
WA Original Term (months) 359.86 180.00 - 360.00
WA Calculated Remaining Term (months) 358.69 179.00 - 360.00
WA CLTV 82.98% 25.00% - 99.19%
Lien Position (1st / 2nd) 100.00% / 0.00%
Loan Type
ARM 15.16%
2/28 ARM 84.84%
Property Type
Single Family 85.36%
PUD 10.64%
Two- to Four-Family 1.81%
Townhouse 0.54%
Manufactured Housing 0.95%
Condominium 0.70%
Occupancy Status
Primary Home 97.46%
Second Home 1.45%
Investment 1.09%
Geographic Distribution 1 California: 26.54%
Georgia: 9.23%
Florida: 6.57%
Washington: 5.64%
Ohio: 5.55%
Tennessee: 5.19%
North Carolina: 5.00%
1 Other states account individually for less than 5% of the pool balance.
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Principal Balances
Mortgage Stat. Calc. % of Stat.
Principal Balance ($) Loans Date Calc. Date
Principal Principal
Balance ($) Balance
0.00 - 10,000.00 1 9,997.70 0.02
10,000.01 - 15,000.00 2 29,995.15 0.07
20,000.01 - 25,000.00 4 98,350.17 0.22
25,000.01 - 30,000.00 4 105,668.08 0.23
30,000.01 - 35,000.00 11 360,383.97 0.79
35,000.01 - 40,000.00 8 303,832.44 0.67
40,000.01 - 45,000.00 5 218,983.64 0.48
45,000.01 - 50,000.00 15 717,888.34 1.58
50,000.01 - 55,000.00 13 680,954.61 1.50
55,000.01 - 60,000.00 22 1,259,826.33 2.78
60,000.01 - 65,000.00 14 878,266.70 1.94
65,000.01 - 70,000.00 10 683,047.19 1.51
70,000.01 - 75,000.00 19 1,384,243.69 3.05
75,000.01 - 80,000.00 20 1,553,333.26 3.42
80,000.01 - 85,000.00 11 912,115.80 2.01
85,000.01 - 90,000.00 13 1,147,545.61 2.53
90,000.01 - 95,000.00 16 1,486,535.04 3.28
95,000.01 - 100,000.00 18 1,760,172.44 3.88
100,000.01 - 105,000.00 17 1,733,103.15 3.82
105,000.01 - 110,000.00 17 1,827,207.58 4.03
110,000.01 - 115,000.00 7 788,065.05 1.74
115,000.01 - 120,000.00 9 1,055,458.55 2.33
120,000.01 - 125,000.00 9 1,105,448.69 2.44
125,000.01 - 130,000.00 16 2,037,037.43 4.49
130,000.01 - 135,000.00 10 1,331,713.18 2.93
135,000.01 - 140,000.00 6 823,334.63 1.81
140,000.01 - 145,000.00 7 1,002,419.79 2.21
145,000.01 - 150,000.00 9 1,331,010.91 2.93
150,000.01 - 200,000.00 52 8,929,583.25 19.68
200,000.01 - 250,000.00 28 6,160,209.44 13.58
250,000.01 - 300,000.00 3 837,333.43 1.85
300,000.01 - 350,000.00 2 637,914.99 1.41
350,000.01 - 400,000.00 2 733,593.19 1.62
400,000.01 - 450,000.00 1 436,000.00 0.96
450,000.01 - 500,000.00 1 500,000.00 1.10
500,000.01 - 550,000.00 1 517,835.59 1.14
Total 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Loan Rates
% of Stat.
Mortgage Stat. Calc. Date Calc. Date
Loan Rate (%) Loans Principal Balance ($) Principal Balance
7.501 - 8.000 3 434,039.60 0.96
8.001 - 8.500 5 1,285,733.95 2.83
8.501 - 9.000 18 2,519,918.22 5.55
9.001 - 9.500 22 3,544,327.71 7.81
9.501 - 10.000 45 6,414,607.64 14.14
10.001 - 10.500 38 4,211,030.78 9.28
10.501 - 11.000 65 7,959,898.22 17.54
11.001 - 11.500 42 5,011,808.59 11.04
11.501 - 12.000 73 6,664,108.20 14.69
12.001 - 12.500 44 3,999,862.53 8.81
12.501 - 13.000 28 1,883,964.85 4.15
13.001 - 13.500 8 563,438.48 1.24
13.501 - 14.000 8 535,645.32 1.18
14.001 - 14.500 2 106,883.75 0.24
14.501 - 15.000 2 243,141.17 0.54
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Margin
Mortgage Stat. Calc. Date % of Stat. Calc. Date
Margin (%) Loans Principal Balance ($) Principal Balance
1.501 - 2.000 1 122,295.60 0.27
2.001 - 2.500 1 99,744.00 0.22
2.501 - 3.000 4 527,278.16 1.16
3.001 - 3.500 11 1,527,706.90 3.37
3.501 - 4.000 24 4,089,713.02 9.01
4.001 - 4.500 31 4,110,660.77 9.06
4.501 - 5.000 42 5,080,603.29 11.20
5.001 - 5.500 58 7,478,921.80 16.48
5.501 - 6.000 52 6,279,866.02 13.84
6.001 - 6.500 61 5,720,151.49 12.61
6.501 - 7.000 55 5,357,358.61 11.81
7.001 - 7.500 28 2,212,029.50 4.87
7.501 - 8.000 18 1,524,059.41 3.36
8.001 - 8.500 11 747,496.33 1.65
8.501 - 9.000 3 149,462.94 0.33
9.001 - 9.500 3 351,061.17 0.77
Total: 403 45,378,409.01 100.00
Next Rate Adjustment Date
Date Mortgage Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
December 2000 2 320,832.21 0.71
March 2001 20 2,634,910.35 5.81
April 2001 27 3,071,738.30 6.77
May 2001 13 1,535,883.18 3.38
May 2002 2 218,234.92 0.48
July 2002 4 363,022.00 0.80
August 2002 11 1,076,295.57 2.37
September 2002 97 9,670,851.88 21.31
October 2002 145 16,378,468.09 36.09
November 2002 82 10,108,172.51 22.28
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Lifetime Cap
Mortgage
Lifetime Cap (%) Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
14.501 - 15.000 3 434,039.60 0.96
15.001 - 15.500 6 1,435,333.95 3.16
15.501 - 16.000 20 2,901,705.79 6.39
16.001 - 16.500 24 3,709,314.39 8.17
16.501 - 17.000 45 6,332,234.64 13.95
17.001 - 17.500 36 4,009,936.82 8.84
17.501 - 18.000 67 8,155,339.88 17.97
18.001 - 18.500 41 4,898,315.87 10.79
18.501 - 19.000 72 6,453,173.61 14.22
19.001 - 19.500 44 3,999,862.53 8.81
19.501 - 20.000 25 1,600,043.21 3.53
20.001 - 20.500 8 563,438.48 1.24
20.501 - 21.000 8 535,645.32 1.18
21.001 - 21.500 2 106,883.75 0.24
21.501 - 22.000 2 243,141.17 0.54
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Original Term to Stated Maturity
Mortgage
Original Term Loans Stat. Calc. Date % of Stat. Calc. Date
(months) Principal Balance ($) Principal Balance
121 - 180 1 25,613.53 0.06
181 - 240 1 15,000.00 0.03
301 - 360 401 45,337,795.48 99.91
Total: 403 45,378,409.01 100.00
Calculated Remaining Term to Stated Maturity
Remaining Term Mortgage Stat. Calc. Date % of Stat. Calc. Date (months) Loans Principal Balance ($) Principal Balance 121 - 180 1 25,613.53 0.06 181 - 240 1 15,000.00 0.03 301 - 360 401 45,337,795.48 99.91 Total: 403 45,378,409.01 100.00
Seasoning
Seasoning Mortgage Stat. Calc. Date % of Stat. Calc. Date (months) Loans Principal Balance ($) Principal Balance 0 95 11,644,055.69 25.66 1 170 19,277,733.78 42.48 2 120 12,517,612.29 27.58 3 10 1,020,839.98 2.25 4 - 6 7 846,908.47 1.87 19 1 71,258.80 0.16 Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Combined Loan-to-Value Ratio
Mortgage
CLTV (%) Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
<= 25.00 1 9,997.70 0.02
25.01 - 30.00 2 39,857.07 0.09
30.01 - 35.00 1 24,894.59 0.05
35.01 - 40.00 2 229,183.50 0.51
45.01 - 50.00 2 161,715.90 0.36
55.01 - 60.00 5 260,496.97 0.57
60.01 - 65.00 9 796,139.61 1.75
65.01 - 70.00 20 1,601,929.95 3.53
70.01 - 75.00 25 1,767,958.85 3.90
75.01 - 80.00 103 12,818,121.83 28.25
80.01 - 85.00 108 11,875,453.15 26.17
85.01 - 90.00 103 13,615,496.27 30.00
90.01 - 95.00 18 1,865,491.55 4.11
95.01 - 100.00 4 311,672.07 0.69
Total: 403 45,378,409.01 100.00
Occupancy Type
Mortgage
Type Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
Primary Home 396 44,227,607.15 97.46
Second Home 4 655,856.01 1.45
Investment Property 3 494,945.85 1.09
Total: 403 45,378,409.01 100.00
Property Type
Mortgage
Type Loans Stat. Calc. Date % of Stat. Calc. Date
Principal Balance ($) Principal Balance
Single Family 358 38,735,917.40 85.36
PUD 26 4,828,107.11 10.64
Two- to Four-Family 9 821,029.14 1.81
Manufactured Housing 5 429,585.27 0.95
Condominium 3 319,790.92 0.70
Townhouse 2 243,979.17 0.54
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
States
Mortgage Stat. Calc. Date % of Stat. Calc. Date
State Loans Principal Balance ($) Principal Balance
Arizona 20 2,075,319.68 4.57
Arkansas 1 44,989.59 0.10
California 69 12,043,313.39 26.54
Colorado 4 546,972.11 1.21
Florida 31 2,981,483.40 6.57
Georgia 38 4,190,660.14 9.23
Idaho 1 92,668.70 0.20
Illinois 6 898,695.35 1.98
Indiana 5 392,976.74 0.87
Iowa 1 59,954.76 0.13
Kansas 1 51,000.00 0.11
Kentucky 7 606,617.02 1.34
Louisiana 1 55,200.74 0.12
Maine 1 147,883.08 0.33
Massachusetts 1 50,870.17 0.11
Michigan 13 1,287,458.26 2.84
Minnesota 1 117,900.00 0.26
Mississippi 5 263,264.99 0.58
Missouri 5 384,982.15 0.85
Nebraska 2 244,831.83 0.54
New Jersey 8 1,104,727.27 2.43
New Mexico 1 73,934.55 0.16
New York 4 525,319.66 1.16
North Carolina 24 2,267,120.55 5.00
Ohio 32 2,516,722.68 5.55
Oklahoma 3 162,010.75 0.36
Oregon 1 170,482.22 0.38
Pennsylvania 18 992,575.78 2.19
South Carolina 7 839,597.66 1.85
Tennessee 27 2,354,749.89 5.19
Texas 5 457,212.97 1.01
Utah 11 1,824,269.80 4.02
Virginia 4 650,482.71 1.43
Washington 18 2,559,174.08 5.64
West Virginia 3 190,595.35 0.42
Wisconsin 23 2,063,616.46 4.55
Wyoming 1 88,774.53 0.20
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Documentation Type
Mortgage Stat. Calc. Date % of Stat. Calc. Date
Type Loans Principal Balance ($) Principal Balance
Full Documentation 362 39,511,975.45 87.07
Stated Income 24 3,349,924.65 7.38
Limited Documentation 17 2,516,508.91 5.55
Total: 403 45,378,409.01 100.00
Credit Grade
Mortgage Stat. Calc. Date % of Stat. Calc. Date
Grade Loans Principal Balance ($) Principal Balance
A+ 14 2,153,902.59 4.75
A-1 70 9,807,180.93 21.61
A-2 148 18,223,390.38 40.16
B 100 9,089,302.31 20.03
C-1 50 4,850,820.85 10.69
C-2 20 1,204,189.95 2.65
D 1 49,622.00 0.11
Total: 403 45,378,409.01 100.00
Group II Collateral Summary
Statistics for the adjustable rate home equity loans are listed below as of the Statistical Calculation Date.
Prepayment Penalties
Mortgage Stat. Calc. Date % of Stat. Calc. Date
Penalty Loans Principal Balance ($) Principal Balance
No 55 5,824,951.38 12.84
Yes 348 39,553,457.63 87.16
Total: 403 45,378,409.01 100.00
Prepayment Penalty Term
Penalty Term Mortgage Stat. Calc. Date % of Stat. Calc. Date (months) Loans Principal Balance ($) Principal Balance 0 55 5,824,951.38 12.84 12 9 1,025,397.74 2.26 24 54 6,788,124.33 14.96 30 21 1,904,409.02 4.20 36 19 2,008,244.39 4.43 48 1 99,744.00 0.22 60 244 27,727,538.15 61.10 Total: 403 45,378,409.01 100.00
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