<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934, as amended
Date of Report (Date of earliest event reported): FEBRUARY 29, 2000
-----------------
CHEC FUNDING, LLC
--------------------------------------------------
(Exact name of Registrant as Specified in Charter)
DELAWARE 333-93255 75-2851805
- -------- --------- ----------
(State or Other (Commission (IRS Employer
(Jurisdiction of Incorporation) File Number) Identification No.)
2728 NORTH HARWOOD STREET, DALLAS, TEXAS 75201
---------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (214) 981-5000
--------------
NOT APPLICABLE
-------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
Item 5. OTHER EVENTS.
FILING OF COMPUTATIONAL MATERIALS.
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended, CHEC
Funding, LLC (the "Depositor") will file a prospectus and prospectus supplement
with the Securities and Exchange Commission relating to its Centex Home Equity
Loan Trust 2000-A, Centex Home Equity Loan Asset-Backed Certificates, Series
2000-A (the "Certificates").
In connection with the offering of the Certificates of the Depositor, Solomon
Smith Barney prepared certain materials (the "Computational Materials") some or
all of which were distributed by Solomon Smith Barney, Prudential Securities and
Lehman Brothers (the "Underwriters") to their potential investors. Although the
Depositor provided the Underwriters with certain information regarding the
characteristics of the Home Equity Loans in the related portfolio, it did not
participate in the preparation of the Computational Materials. The Computational
Materials are attached hereto as Exhibit 99.1. The legends which Prudential
Securities and Lehman Brothers placed on the Computational Materials are
attached hereto as Exhibit 99.2.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(c) Exhibits
EXHIBIT NO.
-----------
99.1 Computational Materials.
99.2 Legend of Prudential Securities and Lehman Brothers.
<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 hereunto duly authorized.
CHEC FUNDING, LLC
By: /s/ JEFFREY B. UPPERMAN
-----------------------------
Name: Jeffrey B. Upperman
Title: Vice President
Date: March 1, 2000
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
SEQUENTIALLY
EXHIBIT NUMBER DESCRIPTION NUMBERED PAGE
- -------------- ----------- -------------
<S> <C> <C>
99.1 Computational Materials.
99.2 Underwriters' Legend for Computational
Materials.
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
COMPUTATIONAL MATERIAL
- --------------------------------------------------------------------------------
[LOGO]
CENTEX
HOME EQUITY
CORPORATION
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
$310,000,000 CERTIFICATES (APPROXIMATE)
CENTEX HOME EQUITY LOAN TRUST 2000-A
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CENTEX HOME EQUITY CORP. (SELLER & 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.
<PAGE>
- --------------------------------------------------------------------------------
CENTEX HOME EQUITY LOAN TRUST 2000-A
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TO 10% CALL
Payment Expected Stated Expected
Approx. WAL Window Final Final Ratings
Class Size (1) Group Type Benchmark (yrs) (mos) Maturity Maturity (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 61,000,000 I Fixed - Seq EDSF 0.96 1 - 20 Nov 2001 May 2018 AAA/Aaa
A-2 19,000,000 I Fixed - Seq Curve 2.01 20 - 28 July 2002 Mar 2022 AAA/Aaa
A-3 33,000,000 I Fixed - Seq Curve 3.00 28 - 46 Jan 2004 Oct 2026 AAA/Aaa
A-4 27,000,000 I Fixed - Seq Curve 5.01 46 - 80 Nov 2006 Mar 2029 AAA/Aaa
A-5 17,500,000 I Fixed - Seq Curve 7.46 80 - 90 Sept 2007 Mar 2031 AAA/Aaa
A-6 17,500,000 I Fixed - NAS Curve 6.22 37 - 90 Sept 2007 Mar 2031 AAA/Aaa
A-7 135,000,000 II ARM - PT 1 mo. LIBOR 2.61 1 - 90 Sept 2007 Mar 2031 AAA/Aaa
</TABLE>
(1) Subject to a permitted variance of plus or minus 5%.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PRICING SPEED
GROUP I 120% 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
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
2
<PAGE>
- --------------------------------------------------------------------------------
CENTEX HOME EQUITY LOAN TRUST 2000-A (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 of February 11,
2000. The actual pool size at closing is
expected to be approximately $310,000,000. 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 NAS) supported
primarily by fixed collateral.
- Group II - pass-through supported primarily by
ARM collateral.
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.
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).
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 total
bond balance falls below 10% 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.
MONTHLY FEES - Servicing fee of 0.50%.
- Insurance premium as stated in the underlying
documents.
EXPECTED TIMING - Pricing Date: March 1, 2000.
- Settlement: March 15, 2000.
- First Payment Date: April 25, 2000.
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
3
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
SENSITIVITY ANALYSIS
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
TO 10% CALL
<S> <C> <C> <C> <C> <C> <C> <C>
GROUP I % OF PPC 50.0% 75.0% 100.0% 120.0% 150.0% 200.0% 250.0%
GROUP II CPR 11.0% 16.5% 22.0% 28.0% 33.0% 44.0% 55.0%
CLASS A-1
- ---------
AVG. LIFE (YRS) 1.74 1.31 1.08 0.96 0.84 0.72 0.63
WINDOW (MO) 1 - 43 1 - 30 1 - 24 1 - 20 1 - 17 1 - 14 1 - 12
EXPECTED FINAL MAT. 10/2003 09/2002 03/2002 11/2001 08/2001 05/2001 03/2001
CLASS A-2
- ---------
AVG. LIFE (YRS) 4.33 3.02 2.35 2.01 1.67 1.33 1.13
WINDOW (MO) 43 - 61 30 - 42 24 - 32 20 - 28 17 - 23 14 - 18 12 - 15
EXPECTED FINAL MAT. 04/2005 09/2003 11/2002 07/2002 02/2002 09/2001 06/2001
CLASS A-3
- ---------
AVG. LIFE (YRS) 7.28 4.77 3.59 3.00 2.42 1.84 1.50
WINDOW (MO) 61 -122 42 - 76 32 - 56 28 - 46 23 - 36 18 - 27 15 - 21
EXPECTED FINAL MAT. 05/2010 07/2006 11/2004 01/2004 03/2003 06/2002 12/2001
CLASS A-4
- ---------
AVG. LIFE (YRS) 13.23 9.06 6.35 5.01 3.87 2.76 2.12
WINDOW (MO) 122 - 200 76 - 146 56 - 111 46 - 80 36 - 59 27 - 41 21 - 30
EXPECTED FINAL MAT. 11/2016 05/2012 06/2009 11/2006 02/2005 08/2003 09/2002
CLASS A-5
- ---------
AVG. LIFE (YRS) 16.94 12.19 9.28 7.46 5.81 4.09 3.01
WINDOW (MO) 200 - 203 146 - 146 111 - 111 80 - 90 59 - 72 41 - 52 30 - 39
EXPECTED FINAL MAT. 02/2017 05/2012 06/2009 09/2007 03/2006 07/2004 06/2003
CLASS A-6
- ---------
AVG. LIFE (YRS) 8.29 7.39 6.76 6.22 5.37 4.18 3.27
WINDOW (MO) 37 - 203 37 - 146 37 - 111 37 - 90 37 - 72 37 - 52 37 - 39
EXPECTED FINAL MAT. 02/2017 05/2012 06/2009 09/2007 03/2006 07/2004 06/2003
CLASS A-7
- ---------
AVG. LIFE (YRS) 6.55 4.48 3.34 2.61 2.15 1.52 1.12
WINDOW (MO) 1 - 203 1 - 146 1 - 111 1 - 90 1 - 72 1 - 52 1 - 39
EXPECTED FINAL MAT. 02/2017 05/2012 06/2009 09/2007 03/2006 07/2004 06/2003
TO MATURITY
CLASS A-5
- ---------
AVG. LIFE (YRS) 21.53 16.48 12.88 10.60 7.74 4.60 3.13
WINDOW (MO) 200 - 345 149 - 307 111 - 251 80 - 213 59 - 173 41 - 125 30 - 48
EXPECTED FINAL MAT. 12/2028 10/2025 02/2021 12/2017 08/2014 08/2010 03/2004
CLASS A-6
- ---------
AVG. LIFE (YRS) 8.31 7.43 6.88 6.54 6.17 5.69 4.78
WINDOW (MO) 37 - 343 37 - 304 37 - 248 37 - 211 37 - 170 37 - 123 37 - 95
EXPECTED FINAL MAT. 10/2028 07/2025 11/2020 10/2017 05/2014 06/2010 02/2008
CLASS A-7
- ---------
AVG. LIFE (YRS) 7.04 4.86 3.62 2.79 2.31 1.63 1.19
WINDOW (MO) 1 - 345 1 - 302 1 - 241 1 -188 1 - 156 1 - 109 1 - 80
EXPECTED FINAL MAT. 12/2028 05/2025 04/2020 11/2015 03/2013 04/2009 11/2006
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
4
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------
GROUP II AVAILABLE FUNDS CAP ANALYSIS
- ------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------
ASSUMPTIONS
- LIBOR stressed to infinity - Available funds cap
- No O/C buildup is calculated net of
- Act/360 day count servicing fee, surety
- 0% Losses fee and carve-out
- 28% CPR (after 12 months)
<S> <C> <C> <C>
4/25/00 6.92% 3/25/03 14.91%
5/25/00 10.53% 4/25/03 13.74%
6/25/00 10.19% 5/25/03 14.30%
7/25/00 10.53% 6/25/03 13.84%
8/25/00 10.22% 7/25/03 14.31%
9/25/00 10.27% 8/25/03 14.10%
10/25/00 10.65% 9/25/03 14.44%
11/25/00 10.32% 10/25/03 15.20%
12/25/00 10.67% 11/25/03 14.81%
1/25/01 10.32% 12/25/03 15.30%
2/25/01 10.35% 1/25/04 14.81%
3/25/01 11.52% 2/25/04 15.04%
4/25/01 9.96% 3/25/04 16.38%
5/25/01 10.30% 4/25/04 15.56%
6/25/01 9.97% 5/25/04 16.17%
7/25/01 10.30% 6/25/04 15.64%
8/25/01 10.00% 7/25/04 16.17%
9/25/01 10.05% 8/25/04 15.88%
10/25/01 10.43% 9/25/04 16.16%
11/25/01 10.10% 10/25/04 16.94%
12/25/01 10.44% 11/25/04 16.48%
1/25/02 10.11% 12/25/04 17.03%
2/25/02 10.60% 1/25/05 16.48%
3/25/02 12.42% 2/25/05 16.48%
4/25/02 11.72% 3/25/05 18.25%
5/25/02 12.30% 4/25/05 16.48%
6/25/02 11.91% 5/25/05 17.03%
7/25/02 12.31% 6/25/05 16.48%
8/25/02 12.17% 7/25/05 17.03%
9/25/02 12.50% 8/25/05 16.48%
10/25/02 13.20% 9/25/05 16.48%
11/25/02 12.87% 10/25/05 17.03%
12/25/02 13.30% 11/25/05 16.48%
1/25/03 12.88% 12/25/05 17.03%
2/25/03 13.13%
- ------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
5
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
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)
------------------ ----------------------
<S> <C> <C>
TOTAL NUMBER OF LOANS 2,476
TOTAL OUTSTANDING LOAN BALANCE $140,226,572.06
BALLOON (% OF TOTAL) 6.62%
AVERAGE LOAN PRINCIPAL BALANCE $56,634.32 $9,461.00 to $499,811.76
WA COUPON 11.93% 7.49% to 19.99%
WA ORIGINAL TERM (MONTHS) 310 60 to 360
WA CALCULATED REMAINING TERM (MONTHS) 309 58 to 360
WA CLTV 79.22% 8.21% to 100.00%
WA SECOND MORTGAGE RATIO 1 31.32% 5.15% to 90.86%
LIEN POSITION (1ST/2ND) 93.07%/6.93%
PROPERTY TYPE
SINGLE FAMILY 88.60%
PUD 4.96%
TWO- TO FOUR-FAMILY 2.53%
TOWNHOUSE 1.72%
MANUFACTURED HOUSING 1.68%
CONDOMINIUM 0.51%
OCCUPANCY STATUS
PRIMARY HOME 96.75%
INVESTMENT 2.75%
SECOND HOME 0.51%
Texas: 17.32%
Florida: 9.00%
GEOGRAPHIC DISTRIBUTION(2) Tennessee: 5.36%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------
(1) Applies to 2nd liens only.
(2) Other states account individually for less than 5% of the pool balance.
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
6
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
PRINCIPAL BALANCES
- ----------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5,000.01 - 10,000.00 5 48,713.50 0.03
10,000.01 - 15,000.00 92 1,161,302.02 0.83
15,000.01 - 20,000.00 128 2,305,568.83 1.64
20,000.01 - 25,000.00 179 4,139,550.21 2.95
25,000.01 - 30,000.00 199 5,502,935.47 3.92
30,000.01 - 35,000.00 182 5,962,649.98 4.25
35,000.01 - 40,000.00 198 7,467,346.84 5.33
40,000.01 - 45,000.00 191 8,169,524.64 5.83
45,000.01 - 50,000.00 166 7,927,350.25 5.65
50,000.01 - 55,000.00 166 8,709,292.09 6.21
55,000.01 - 60,000.00 159 9,139,618.86 6.52
60,000.01 - 65,000.00 110 6,908,889.21 4.93
65,000.01 - 70,000.00 113 7,632,601.72 5.44
70,000.01 - 75,000.00 76 5,497,296.26 3.92
75,000.01 - 80,000.00 76 5,903,564.86 4.21
80,000.01 - 85,000.00 47 3,869,742.17 2.76
85,000.01 - 90,000.00 54 4,739,156.58 3.38
90,000.01 - 95,000.00 31 2,888,583.12 2.06
95,000.01 - 100,000.00 42 4,095,454.40 2.92
100,000.01 - 105,000.00 37 3,795,739.11 2.71
105,000.01 - 110,000.00 29 3,111,688.16 2.22
110,000.01 - 115,000.00 19 2,151,678.51 1.53
115,000.01 - 120,000.00 23 2,696,296.47 1.92
120,000.01 - 125,000.00 18 2,222,492.13 1.58
125,000.01 - 130,000.00 17 2,157,146.32 1.54
130,000.01 - 135,000.00 19 2,504,074.07 1.79
135,000.01 - 140,000.00 13 1,775,038.53 1.27
140,000.01 - 145,000.00 6 858,358.76 0.61
145,000.01 - 150,000.00 7 1,035,020.39 0.74
150,000.01 - 200,000.00 52 8,906,049.59 6.35
200,000.01 - 250,000.00 8 1,879,603.33 1.34
250,000.01 - 300,000.00 3 820,945.42 0.59
300,000.01 - 350,000.00 5 1,612,478.66 1.15
350,000.01 - 400,000.00 2 745,800.00 0.53
450,000.01 - 500,000.00 4 1,885,021.60 1.34
TOTAL 2,476 140,226,572.06 100.00
- ----------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
7
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
LOAN RATES
- ----------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
PRINCIPAL BALANCE ($) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001 - 7.500 1 192,712.05 0.14
7.501 - 8.000 3 297,650.04 0.21
8.001 - 8.500 12 1,033,761.97 0.74
8.501 - 9.000 31 2,474,924.26 1.76
9.001 - 9.500 49 4,280,000.36 3.05
9.501 - 10.000 120 9,495,454.44 6.77
10.001 - 10.500 90 6,121,909.12 4.37
10.501 - 11.000 225 17,524,303.30 12.50
11.001 - 11.500 235 15,240,076.84 10.87
11.501 - 12.000 337 20,574,064.57 14.67
12.001 - 12.500 280 16,114,719.11 11.49
12.501 - 13.000 414 21,708,156.65 15.48
13.001 - 13.500 164 6,848,058.49 4.88
13.501 - 14.000 209 7,899,541.25 5.63
14.001 - 14.500 91 3,158,317.99 2.25
14.501 - 15.000 112 3,843,883.27 2.74
15.001 - 15.500 31 1,375,260.17 0.98
15.501 - 16.000 29 1,007,855.11 0.72
16.001 - 16.500 18 511,396.00 0.36
16.501 - 17.000 14 295,560.60 0.21
17.001 - 17.500 4 74,886.54 0.05
17.501 - 18.000 5 107,991.49 0.08
18.001 - 18.500 1 35,354.89 0.03
19.501 - 20.000 1 10,733.55 0.01
TOTAL: 2,476 140,226,572.06 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
8
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
ORIGINAL TERM TO STATED MATURITY
- --------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
ORIGINAL TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 60 32 636,799.61 0.45
61 - 120 186 5,391,421.45 3.84
121 - 180 502 23,247,607.67 16.58
181 - 240 225 10,802,346.16 7.70
241 - 300 13 830,679.01 0.59
301 - 360 1,518 99,317,718.16 70.83
TOTAL: 2,476 140,226,572.06 100.00
CALCULATED REMAINING TERM TO STATED MATURITY
- --------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
REMAINING TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------
0 - 60 32 636,799.61 0.45
61 - 120 186 5,391,421.45 3.84
121 - 180 502 23,247,607.67 16.58
181 - 240 225 10,802,346.16 7.70
241 - 300 13 830,679.01 0.59
301 - 360 1,518 99,317,718.16 70.83
TOTAL: 2,476 140,226,572.06 100.00
SEASONING
- --------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
SEASONING (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------
0 961 51,555,981.66 36.77
1 1,109 64,187,995.89 45.77
2 400 23,966,375.32 17.09
3 5 488,541.15 0.35
11 1 27,678.04 0.02
TOTAL: 2,476 140,226,572.06 100.00
- --------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of
these materials. If you do not receive such a disclaimer please contact your
Salomon Smith Barney Financial Advisor immediately.
9
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
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
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
CLTV (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 10.00 1 10,256.54 0.01
10.01 - 15.00 1 15,000.00 0.01
15.01 - 20.00 10 234,327.97 0.17
20.01 - 25.00 7 237,208.19 0.17
25.01 - 30.00 12 311,640.56 0.22
30.01 - 35.00 14 675,809.89 0.48
35.01 - 40.00 25 783,853.99 0.56
40.01 - 45.00 38 941,468.21 0.67
45.01 - 50.00 41 1,228,689.44 0.88
50.01 - 55.00 54 1,787,899.64 1.28
55.01 - 60.00 78 3,537,130.06 2.52
60.01 - 65.00 106 4,311,350.49 3.07
65.01 - 70.00 181 8,193,989.46 5.84
70.01 - 75.00 277 16,055,640.80 11.45
75.01 - 80.00 648 37,494,748.43 26.74
80.01 - 85.00 433 26,002,663.07 18.54
85.01 - 90.00 415 29,523,633.34 21.05
90.01 - 95.00 90 6,136,236.25 4.38
95.01 - 100.00 45 2,745,025.73 1.96
TOTAL: 2,476 140,226,572.06 100.00
SECOND MORTGAGE RATIO
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
2ND MORTGAGE RATIO (%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
less than or equal to 10.00 11 133,083.65 0.09
10.01 - 15.00 43 790,299.51 0.56
15.01 - 20.00 54 1,070,167.67 0.76
20.01 - 25.00 64 1,631,087.74 1.16
25.01 - 30.00 52 1,672,871.10 1.19
30.01 - 35.00 44 1,628,702.65 1.16
35.01 - 40.00 21 823,360.78 0.59
40.01 - 45.00 13 462,890.43 0.33
45.01 - 50.00 5 224,051.11 0.16
50.01 - 55.00 8 363,039.48 0.26
55.01 - 60.00 7 327,200.45 0.23
60.01 - 65.00 2 255,976.42 0.18
65.01 - 70.00 3 130,215.08 0.09
70.01 - 75.00 2 85,994.95 0.06
75.01 - 80.00 1 20,963.28 0.01
80.01 - 85.00 2 78,395.00 0.06
90.01 - 95.00 1 17,500.00 0.01
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 333 9,715,799.30 6.93
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 10
these materials. If you did not receive such a disclaimer please contact
your Salomon Smith Barney Financial Advisor immediately.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
LIEN POSITION
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
POSITION LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1ST LIEN 2,143 130,510,772.76 93.07
2ND LIEN 333 9,715,799.30 6.93
TOTAL: 2,476 140,226,572.06 100.00
OCCUPANCY TYPE
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
PRIMARY HOME 2,356 135,665,327.68 96.75
INVESTMENT PROPERTY 106 3,851,200.95 2.75
SECOND HOME 14 710,043.43 0.51
TOTAL: 2,476 140,226,572.06 100.00
PROPERTY TYPE
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
TYPE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
SINGLE FAMILY 2,245 124,237,920.27 88.60
PUD 73 6,959,100.61 4.96
TWO- TO FOUR-FAMILY 57 3,550,261.26 2.53
TOWNHOUSE 41 2,404,930.13 1.72
MANUFACTURED HOUSING 42 2,358,283.93 1.68
CONDOMINIUM 18 716,075.86 0.51
TOTAL: 2,476 140,226,572.06 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 11
these materials. If you did not receive such a disclaimer please contact
your Salomon Smith Barney Financial Advisor immediately.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
STATES
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
STATE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ARIZONA 36 1,881,697.00 1.34
ARKANSAS 36 1,948,373.26 1.39
CALIFORNIA 18 923,457.69 0.66
COLORADO 37 2,963,312.06 2.11
CONNECTICUT 19 1,430,420.44 1.02
DELAWARE 8 467,620.49 0.33
FLORIDA 182 12,622,123.29 9.00
GEORGIA 56 4,571,423.87 3.26
IDAHO 6 296,236.95 0.21
ILLINOIS 83 5,014,473.63 3.58
INDIANA 63 3,212,754.30 2.29
IOWA 45 1,798,998.25 1.28
KANSAS 71 3,235,681.09 2.31
KENTUCKY 35 1,958,674.36 1.40
LOUISIANA 53 2,592,669.06 1.85
MAINE 24 2,047,005.95 1.46
MARYLAND 19 1,464,682.69 1.04
MASSACHUSETTS 13 1,590,989.48 1.13
MICHIGAN 73 4,009,924.88 2.86
MINNESOTA 44 2,668,576.87 1.90
MISSISSIPPI 74 3,827,762.14 2.73
MISSOURI 133 5,701,851.92 4.07
MONTANA 1 31,488.45 0.02
NEBRASKA 38 2,072,156.93 1.48
NEVADA 6 452,131.82 0.32
NEW HAMPSHIRE 3 239,253.81 0.17
NEW JERSEY 30 1,625,356.02 1.16
NEW MEXICO 40 2,592,675.19 1.85
NEW YORK 68 3,550,567.61 2.53
NORTH CAROLINA 86 5,246,450.14 3.74
NORTH DAKOTA 2 59,033.87 0.04
OHIO 66 4,094,851.50 2.92
OKLAHOMA 67 2,393,290.26 1.71
OREGON 11 772,685.13 0.55
PENNSYLVANIA 103 4,774,198.04 3.40
RHODE ISLAND 2 85,212.94 0.06
SOUTH CAROLINA 62 4,055,993.86 2.89
SOUTH DAKOTA 1 21,243.64 0.02
TENNESSEE 124 7,517,852.77 5.36
TEXAS 485 24,282,849.27 17.32
UTAH 12 1,015,170.97 0.72
VERMONT 3 158,819.52 0.11
VIRGINIA 44 3,181,352.64 2.27
WASHINGTON 51 3,622,948.08 2.58
WEST VIRGINIA 13 550,108.09 0.39
WISCONSIN 26 1,405,000.74 1.00
WYOMING 4 197,171.10 0.14
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,476 140,226,572.06 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 12
these materials. If you did not receive such a disclaimer please contact
your Salomon Smith Barney Financial Advisor immediately.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
Statistics for the FIXED 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 ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FULL DOCUMENTATION 2,179 120,791,914.49 86.14
STATED INCOME 204 12,148,663.37 8.66
LIMITED DOCUMENTATION 93 7,285,994.20 5.20
TOTAL: 2,476 140,226,572.06 100.00
CREDIT GRADE
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
GRADE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
A+ 133 $9,305,086.28 6.64
A1 518 $32,416,442.75 23.12
A2 880 $51,498,638.86 36.73
B 398 $20,921,929.56 14.92
C 1 $14,743.54 0.01
C1 309 $14,717,603.20 10.50
C2 135 $6,595,608.59 4.70
D 102 $4,756,519.28 3.39
TOTAL: 2,476 140,226,572.06 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 13
these materials. If you did not receive such a disclaimer please contact
your Salomon Smith Barney Financial Advisor immediately.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
Statistics for the FIXED RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
PREPAYMENT PENALTIES
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
PENALTY LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NO 1,154 56,627,910.19 40.38
YES 1,322 83,598,661.87 59.62
TOTAL: 2,476 140,226,572.06 100.00
PREPAYMENT PENALTY TERM
- ---------------------------------------------------------------------------------------------------------------------
MORTGAGE STAT. CALC. DATE % OF STAT. CALC. DATE
PENALTY TERM (MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
0 1,154 56,627,910.19 40.38
12 65 4,095,336.47 2.92
24 27 1,996,372.49 1.42
36 208 14,837,607.93 10.58
42 6 559,085.05 0.40
48 1 157,108.83 0.11
60 1,015 61,953,151.10 44.18
TOTAL: 2,476 140,226,572.06 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 14
these materials. If you did not receive such a disclaimer please contact
your Salomon Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
SUMMARY STATISTICS RANGE (IF APPROPRIATE)
------------------ ----------------------
<S> <C> <C>
TOTAL NUMBER OF LOANS 1,135
TOTAL OUTSTANDING LOAN BALANCE $108,736,090.87
AVERAGE LOAN PRINCIPAL BALANCE $95,802.72 $13,013.66 to
$396,000.00
WA COUPON 11.22% 7.99% to 15.30%
ARM CHARACTERISTICS
WA MARGIN 6.37% 2.84% to 10.85%
WA FIRST PERIODIC CAP 1.86% 1.00% to 2.00%
WA SUBSEQUENT PERIODIC CAP 1.00% 1.00% to 1.00%
WA LIFETIME CAP 18.22% 14.99% to 22.30%
WA LIFETIME FLOOR 11.22% 7.99% to 15.30%
WA ORIGINAL TERM (MONTHS) 359 60 to 360
WA CALCULATED REMAINING TERM (MONTHS) 358 59 to 360
WA CLTV 83.37% 17.97% to 99.96%
LIEN POSITION (1ST/2ND) 100.00%/0.00%
LOAN TYPE
ARM 13.68%
2/28 ARM 86.32%
PROPERTY TYPE
SINGLE FAMILY 82.07%
PUD 8.89%
TWO- TO FOUR-FAMILY 5.06%
TOWNHOUSE 1.81%
MANUFACTURED HOUSING 1.43%
CONDOMINIUM 0.68%
OTHER 0.06%
OCCUPANCY STATUS
PRIMARY HOME 97.59%
INVESTMENT 2.31%
SECOND HOME 0.10%
GEOGRAPHIC DISTRIBUTION 1 Texas: 7.64%
N. Carolina: 7.02%
Ohio: 6.58%
Washington: 5.94%
New York: 5.85%
California: 5.19%
</TABLE>
- --------------------------------------------------------------------------------
- ------------------------------
1 Other states account individually for less than 5% of the pool balance.
This page must be accompanied by the disclaimer included on the cover of 15
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
PRINCIPAL BALANCES
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10,000.01 - 15,000.00 2 28,006.95 0.03
15,000.01 - 20,000.00 2 33,909.71 0.03
20,000.01 - 25,000.00 8 184,767.97 0.17
25,000.01 - 30,000.00 17 479,635.93 0.44
30,000.01 - 35,000.00 29 938,814.89 0.86
35,000.01 - 40,000.00 45 1,687,065.90 1.55
40,000.01 - 45,000.00 43 1,843,785.31 1.70
45,000.01 - 50,000.00 49 2,342,411.68 2.15
50,000.01 - 55,000.00 55 2,896,257.78 2.66
55,000.01 - 60,000.00 71 4,096,321.99 3.77
60,000.01 - 65,000.00 56 3,513,802.05 3.23
65,000.01 - 70,000.00 58 3,935,711.86 3.62
70,000.01 - 75,000.00 71 5,138,611.76 4.73
75,000.01 - 80,000.00 77 5,970,626.48 5.49
80,000.01 - 85,000.00 39 3,227,839.17 2.97
85,000.01 - 90,000.00 27 2,377,402.49 2.19
90,000.01 - 95,000.00 38 3,514,902.17 3.23
95,000.01 - 100,000.00 39 3,800,741.28 3.50
100,000.01 - 105,000.00 39 4,016,647.75 3.69
105,000.01 - 110,000.00 40 4,304,467.10 3.96
110,000.01 - 115,000.00 30 3,383,519.31 3.11
115,000.01 - 120,000.00 24 2,808,897.69 2.58
120,000.01 - 125,000.00 22 2,703,018.66 2.49
125,000.01 - 130,000.00 14 1,784,540.33 1.64
130,000.01 - 135,000.00 28 3,717,060.66 3.42
135,000.01 - 140,000.00 24 3,298,423.70 3.03
140,000.01 - 145,000.00 12 1,712,941.45 1.58
145,000.01 - 150,000.00 16 2,358,316.13 2.17
150,000.01 - 200,000.00 97 16,666,784.54 15.33
200,000.01 - 250,000.00 32 7,074,207.69 6.51
250,000.01 - 300,000.00 21 5,663,412.44 5.21
300,000.01 - 350,000.00 9 2,837,238.05 2.61
350,000.01 - 400,000.00 1 396,000.00 0.36
TOTAL 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 16
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LOAN RATES
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
LOAN RATE (%) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.501 - 8.000 2 367,851.64 0.34
8.001 - 8.500 4 474,283.94 0.44
8.501 - 9.000 20 2,017,249.96 1.86
9.001 - 9.500 38 3,333,186.29 3.07
9.501 - 10.000 116 11,801,462.56 10.85
10.001 - 10.500 105 10,488,032.52 9.65
10.501 - 11.000 216 22,804,786.11 20.97
11.001 - 11.500 163 16,624,886.92 15.29
11.501 - 12.000 224 21,136,928.66 19.44
12.001 - 12.500 105 8,748,764.69 8.05
12.501 - 13.000 80 6,438,603.87 5.92
13.001 - 13.500 28 1,901,604.45 1.75
13.501 - 14.000 20 1,617,450.42 1.49
14.001 - 14.500 7 653,292.04 0.60
14.501 - 15.000 6 278,963.37 0.26
15.001 - 15.500 1 48,743.43 0.04
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 17
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
MARGIN
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
MARGIN (%) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.501 - 3.000 2 367,851.64 0.34
3.001 - 3.500 1 72,401.50 0.07
3.501 - 4.000 10 1,056,114.91 0.97
4.001 - 4.500 31 2,701,314.15 2.48
4.501 - 5.000 80 7,545,058.37 6.94
5.001 - 5.500 93 8,828,373.23 8.12
5.501 - 6.000 207 22,495,955.63 20.69
6.001 - 6.500 175 16,806,664.16 15.46
6.501 - 7.000 250 24,713,625.44 22.73
7.001 - 7.500 114 10,056,471.23 9.25
7.501 - 8.000 90 7,243,443.19 6.66
8.001 - 8.500 30 2,710,897.75 2.49
8.501 - 9.000 28 2,438,216.34 2.24
9.001 - 9.500 13 1,161,976.37 1.07
9.501 - 10.000 7 402,729.55 0.37
10.001 - 11.000 4 134,997.41 0.12
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
NEXT RATE ADJUSTMENT DATE
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
DATE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
JUNE 2000 37 3,370,425.80 3.10
JULY 2000 70 6,855,888.22 6.31
AUGUST 2000 53 4,646,821.03 4.27
NOVEMBER 2001 4 301,343.02 0.28
DECEMBER 2001 290 28,993,296.85 26.66
JANUARY 2002 364 35,209,160.41 32.38
FEBRUARY 2002 317 29,359,155.54 27.00
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 18
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
LIFETIME CAP
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
LIFETIME CAP (%) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
14.501 - 15.000 2 367,851.64 0.34
15.001 - 15.500 4 474,283.94 0.44
15.501 - 16.000 20 2,017,249.96 1.86
16.001 - 16.500 38 3,333,186.29 3.07
16.501 - 17.000 116 11,801,462.56 10.85
17.001 - 17.500 105 10,488,032.52 9.65
17.501 - 18.000 216 22,804,786.11 20.97
18.001 - 18.500 163 16,624,886.92 15.29
18.501 - 19.000 224 21,136,928.66 19.44
19.001 - 19.500 105 8,748,764.69 8.05
19.501 - 20.000 80 6,438,603.87 5.92
20.001 - 20.500 28 1,901,604.45 1.75
20.501 - 21.000 20 1,617,450.42 1.49
21.001 - 21.500 7 653,292.04 0.60
21.501 - 22.000 6 278,963.37 0.26
22.001 - 22.500 1 48,743.43 0.04
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 19
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
ORIGINAL TERM TO STATED MATURITY
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
ORIGINAL TERM (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 60 2 59,079.07 0.05
61 - 120 1 50,499.70 0.05
121 - 180 4 207,309.68 0.19
181 - 240 3 156,571.81 0.14
241 - 300 1 67,200.00 0.06
301 - 360 1,124 108,195,430.61 99.50
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
CALCULATED REMAINING TERM TO STATED MATURITY
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
REMAINING TERM (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
0 - 60 2 59,079.07 0.05
61 - 120 1 50,499.70 0.05
121 - 180 4 207,309.68 0.19
181 - 240 3 156,571.81 0.14
241 - 300 1 67,200.00 0.06
301 - 360 1,124 108,195,430.61 99.50
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
SEASONING
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
SEASONING (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
0 506 46,751,920.12 43.00
1 467 45,251,055.48 41.62
2 161 16,628,373.70 15.29
3 1 104,741.57 0.10
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 20
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIO
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
CLTV (%) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 20.00 1 30,000.00 0.03
20.01 - 25.00 1 33,542.36 0.03
25.01 - 30.00 1 40,000.00 0.04
30.01 - 35.00 1 51,000.00 0.05
35.01 - 40.00 5 231,802.64 0.21
40.01 - 45.00 7 363,975.37 0.33
45.01 - 50.00 8 473,593.19 0.44
50.01 - 55.00 8 546,251.37 0.50
55.01 - 60.00 16 1,118,603.21 1.03
60.01 - 65.00 21 1,425,335.75 1.31
65.01 - 70.00 40 3,163,725.23 2.91
70.01 - 75.00 91 7,559,532.15 6.95
75.01 - 80.00 251 23,106,705.42 21.25
80.01 - 85.00 249 22,759,295.55 20.93
85.01 - 90.00 353 40,523,624.06 37.27
90.01 - 95.00 57 5,526,373.14 5.08
95.01 - 100.00 25 1,782,731.43 1.64
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
OCCUPANCY TYPE
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
TYPE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
PRIMARY HOME 1,095 106,118,546.34 97.59
INVESTMENT PROPERTY 39 2,509,544.53 2.31
SECOND HOME 1 108,000.00 0.10
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
PROPERTY TYPE
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
TYPE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
SINGLE FAMILY 961 89,244,580.56 82.07
PUD 66 9,663,108.95 8.89
TWO- TO FOUR-FAMILY 51 5,505,808.54 5.06
TOWNHOUSE 26 1,971,627.40 1.81
MANUFACTURED HOUSING 22 1,554,427.99 1.43
CONDOMINIUM 8 735,359.26 0.68
OTHER 1 61,178.17 0.06
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 21
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
STATES
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ARIZONA 42 3,659,829.08 3.37
ARKANSAS 6 393,257.82 0.36
CALIFORNIA 36 5,638,156.03 5.19
COLORADO 19 2,258,874.09 2.08
CONNECTICUT 26 2,861,110.01 2.63
DELAWARE 9 930,481.90 0.86
FLORIDA 53 4,734,039.25 4.35
GEORGIA 44 4,736,867.00 4.36
IDAHO 6 485,389.16 0.45
ILLINOIS 38 3,865,574.78 3.56
INDIANA 25 2,211,465.83 2.03
IOWA 10 553,141.99 0.51
KANSAS 14 827,910.45 0.76
KENTUCKY 9 627,480.82 0.58
LOUISIANA 4 456,527.02 0.42
MAINE 13 1,249,649.52 1.15
MARYLAND 15 1,592,454.48 1.46
MASSACHUSETTS 22 2,537,507.23 2.33
MICHIGAN 48 4,053,134.59 3.73
MINNESOTA 10 644,868.44 0.59
MISSISSIPPI 13 780,537.58 0.72
MISSOURI 26 1,807,601.03 1.66
MONTANA 1 103,469.72 0.10
NEBRASKA 2 171,484.53 0.16
NEVADA 13 1,824,050.90 1.68
NEW HAMPSHIRE 4 449,398.72 0.41
NEW JERSEY 24 3,252,235.76 2.99
NEW MEXICO 3 309,229.02 0.28
NEW YORK 66 6,362,857.61 5.85
NORTH CAROLINA 97 7,629,215.65 7.02
OHIO 78 7,153,301.80 6.58
OKLAHOMA 15 917,837.48 0.84
OREGON 15 1,771,937.15 1.63
PENNSYLVANIA 75 5,302,554.86 4.88
RHODE ISLAND 4 471,723.22 0.43
SOUTH CAROLINA 25 2,133,370.19 1.96
TENNESSEE 35 3,279,873.01 3.02
TEXAS 80 8,303,270.95 7.64
UTAH 7 786,599.88 0.72
VERMONT 1 199,916.12 0.18
VIRGINIA 23 2,303,708.62 2.12
WASHINGTON 43 6,459,651.01 5.94
WEST VIRGINIA 3 169,354.25 0.16
WISCONSIN 31 2,332,802.38 2.15
WYOMING 2 142,389.94 0.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,135 108,736,090.87 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
This page must be accompanied by the disclaimer included on the cover of 22
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP II COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
DOCUMENTATION TYPE
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
TYPE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FULL DOCUMENTATION 1,014 96,493,494.18 88.74
STATED INCOME 81 7,652,610.80 7.04
LIMITED DOCUMENTATION 40 4,589,985.89 4.22
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
CREDIT GRADE
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
GRADE MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
A+ 12 1,094,752.88 1.01
A1 156 15,902,067.45 14.62
A2 519 54,993,754.02 50.58
B 241 20,761,710.28 19.09
C1 127 10,113,914.48 9.30
C2 77 5,650,581.86 5.20
D 3 219,309.90 0.20
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 23
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
- --------------------------------------------------------------------------------
GROUP I COLLATERAL SUMMARY (CONTINUED)
Statistics for the ADJUSTABLE RATE HOME EQUITY LOANS are listed below as of the
STATISTICAL CALCULATION DATE.
<TABLE>
<CAPTION>
PREPAYMENT PENALTIES
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
PENALTY MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NO 253 23,760,560.10 21.85
YES 882 84,975,530.77 78.15
TOTAL: 1,135 108,736,090.87 100.00
<CAPTION>
PREPAYMENT PENALTY TERM
- ---------------------------------------------------------------------------------------------------------------------
STAT. CALC. DATE % OF STAT. CALC. DATE
PENALTY TERM (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
0 253 23,760,560.10 21.85
12 27 3,261,115.36 3.00
24 141 17,074,766.29 15.70
36 101 10,734,846.51 9.87
48 2 176,400.00 0.16
60 611 53,728,402.61 49.41
TOTAL: 1,135 108,736,090.87 100.00
</TABLE>
- --------------------------------------------------------------------------------
This page must be accompanied by the disclaimer included on the cover of 24
these materials. If you did not receive such a disclaimer please contact your
Smith Barney Financial Advisor immediately.
<PAGE>
EXHIBIT 99.2
UNDERWRITERS' LEGENDS
LEHMAN BROTHERS ASSET-BACKED SECURITIES
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc. and its affiliates make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Prudential Securities Legend
- --------------------------------------------------------------------------------
The information provided herein has been provided to Prudential Securities
Incorporated ("PSI") by Salomon Smith Barney as an underwriter for the Centex
Home Equity Loan Trust 2000-A transaction. The analysis in this report is
accurate to the best of PSI's knowledge and is based on information provided by
Centex and Salomon Smith Barney. PSI makes no representations as to the accuracy
of such information provided to it, and PSI has not independently verified such
information. All assumptions and information in this report are as of this date
and are subject to change. All analyses are based on certain assumptions noted
herein and different assumptions could yield substantially different results.
You are cautioned that there is no universally accepted method for analyzing
financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PSI (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to herein,
and may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, PSI may make a market in the securities
referred to herein. Neither the information nor the assumptions reflected herein
shall be construed to be, or constitute, an offer to sell or buy or a
solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consummated without the purchaser first
having received prospectus and a prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
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