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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): December 30, 1999
NEW CENTURY MORTGAGE SECURITIES, INC.
(AS DEPOSITOR UNDER THE POOLING AND SERVICING AGREEMENT,
DATED AS OF DECEMBER 1, 1999, PROVIDING FOR THE ISSUANCE OF
ASSET BACKED PASS-THROUGH CERTIFICATES, SERIES 1999-NCD)
New Century Mortgage Securities, Inc.
-------------------------------------
(Exact name of registrant as specified in its charter)
- --------------------------------------------------------------------------------
Delaware 333-76805 33-0852169
- ---------------------------- ----------- ----------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
18400 Von Karman
Irvine, California 92612
- ---------------------------------------- ----------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (949) 863-7243
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<PAGE>
-2-
Item 2. Acquisition or Disposition of Assets
------------------------------------
On December 21, 1999, a single series of certificates, entitled New
Century Home Equity Loan Trust, Series 1999-NCD (the "Certificates"), were
issued pursuant to a pooling and servicing agreement, dated as of December 1,
1999 (the "Agreement"), among the New Century Mortgage Securities, Inc. as
depositor, New Century Mortgage Corporation as master servicer, Firstar Bank,
N.A. as trustee and U.S. Bank National Association as trust administrator. On
December 30, 1999 following the closing of the initial issuance of the
Certificates, the Trustee purchased from the Depositor certain Subsequent
Mortgage Loans, as defined in the Agreement, with an aggregate principal balance
equal to approximately $52,935,677.42 with funds on deposit in the pre-funding
account (the "Pre-Funding Account") established pursuant to the Agreement at a
purchase price equal to the principal balance thereof, which Subsequent Mortgage
Loans were conveyed to the Trustee pursuant to a Subsequent Transfer Instrument,
dated December 30, 1999, between the Depositor and the Trustee (the
"Instrument"). Attached to the Instrument is the Mortgage Loan Schedule listing
the Subsequent Mortgage Loans that are the subject of such Instrument.
Item 5. Other Events
------------
Description of the Mortgage Pool
The Certificates, issued pursuant to the Agreement, evidence in the
aggregate the entire beneficial ownership interest in a trust fund (the "Trust
Fund"), consisting primarily of a segregated pool (the "Mortgage Pool") of
conventional, one- to four- family, first and second lien adjustable-rate and
fixed rate mortgage loans having original terms to maturity of not greater than
30 years (the "Mortgage Loans"). As of the Closing Date, the Trust Fund
primarily consisted of (i) the Mortgage Pool, which consisted of Mortgage Loans
having an aggregate principal balance of approximately $167,057,046.53 as of
December 1, 1999 and (ii) the Pre-Funding Account, which contained approximately
$52,935,677.42.
As more fully described above, on December 30, 1999, the Depositor
purchased the Subsequent Mortgage Loans with the funds on deposit in the
Pre-Funding Account. The tables attached as an exhibit hereto describe certain
characteristics of the Mortgage Pool as of December 1, 1999, the end of the
"Funding Period" (as defined in the Agreement).
<PAGE>
-3-
Item 7. Financial Statements and Exhibits
---------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibits
Exhibit No. Description
----------- -----------
4.2 Subsequent Transfer Instrument, dated as of December
30, 1999 among New Century Mortgage Securities, Inc. as
seller, Firstar Bank, N.A. as trustee and U.S. Bank
National Association, as trust administrator.
99.1 Characteristics of the Mortgage Pool as of December 1,
1999, relating to New Century Home Equity Loan Trust,
Series 1999-NCD, Asset Backed Pass-Through
Certificates.
<PAGE>
-4-
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
Dated: December 30, 1999
NEW CENTURY MORTGAGE
SECURITIES, INC.
By: /s/John Kontoulis
-------------------------------------
Name: John Kontoulis
Title: Senior Vice President
<PAGE>
Index to Exhibits
-----------------
Sequentially
Exhibit No. Description Numbered Page
----------- ----------- -------------
4.2 Subsequent Transfer Instrument
99.1 Characteristics of the Mortgage Pool as of
December 1, 1999, relating to New Century
Home Equity Loan Trust, Series 1999-NCD,
Asset Backed Pass-Through Certificates
SUBSEQUENT TRANSFER INSTRUMENT
Pursuant to this Subsequent Transfer Instrument, dated December 30,
1999 (the "Instrument"), among New Century Mortgage Securities, Inc. as seller
(the "Depositor"), Firstar Bank, N.A. as trustee (the "Trustee") of the New
Century Home Equity Loan Trust, Series 1999- NCD and U.S. Bank National
Association, as purchaser on behalf of the Trustee (the "Trust Administrator"),
and pursuant to the Pooling and Servicing Agreement, dated as of December 1,
1999 (the "Pooling and Servicing Agreement"), among the Depositor as depositor,
New Century Mortgage Corporation as master servicer, the Trustee as trustee and
the Trust Administrator as trust administrator, the Depositor and the Trust
Administrator agree to the sale by the Depositor and the purchase by the Trust
Administrator for the Trustee on behalf of the Trust Fund, of the Mortgage Loans
listed on the attached Schedule of Mortgage Loans (the "Subsequent Mortgage
Loans").
Capitalized terms used but not otherwise defined herein shall have the
meanings set forth in the Pooling and Servicing Agreement.
Section 1. CONVEYANCE OF SUBSEQUENT MORTGAGE LOANS.
(a) The Depositor does hereby sell, transfer, assign, set over and
convey to the Trust Administrator for the Trustee on behalf of the Trust Fund,
without recourse, all of its right, title and interest in and to the Subsequent
Mortgage Loans, and including all amounts due on the Subsequent Mortgage Loans
after the related Subsequent Cut-off Date, and all items with respect to the
Subsequent Mortgage Loans to be delivered pursuant to Section 2.04 of the
Pooling and Servicing Agreement; provided, however that the Depositor reserves
and retains all right, title and interest in and to amounts due on the
Subsequent Mortgage Loans on or prior to the related Subsequent Cut-off Date.
The Depositor, contemporaneously with the delivery of this Agreement, has
delivered or caused to be delivered to the Trust Administrator each item set
forth in Section 2.04 of the Pooling and Servicing Agreement. The transfer to
the Trust Administrator by the Depositor of the Subsequent Mortgage Loans
identified on the Mortgage Loan Schedule shall be absolute and is intended by
the Depositor, the Master Servicer, the Trustee, the Trust Administrator and the
Certificateholders to constitute and to be treated as a sale by the Depositor to
the Trust Fund.
(b) The Depositor, concurrently with the execution and delivery
hereof, does hereby transfer, assign, set over and otherwise convey to the Trust
Administrator without recourse for the benefit of the Certificateholders all the
right, title and interest of the Depositor, in, to and under the Subsequent
Mortgage Loan Purchase Agreement, dated the date hereof, among the Depositor as
purchaser, the Master Servicer as originator and NC Capital Corporation as
seller, to the extent of the Subsequent Mortgage Loans.
(c) Additional terms of the sale are set forth on Attachment A hereto.
<PAGE>
Section 2. REPRESENTATIONS AND WARRANTIES; CONDITIONS PRECEDENT.
(a) The Depositor hereby confirms that each of the conditions
precedent and the representations and warranties set forth in Section 2.11 of
the Pooling and Servicing Agreement are satisfied as of the date hereof.
(b) All terms and conditions of the Pooling and Servicing Agreement
are hereby ratified and confirmed; provided, however, that in the event of any
conflict, the provisions of this Instrument shall control over the conflicting
provisions of the Pooling and Servicing Agreement.
Section 3. RECORDATION OF INSTRUMENT.
To the extent permitted by applicable law, this Instrument, or a
memorandum thereof if permitted under applicable law, is subject to recordation
in all appropriate public offices for real property records in all of the
counties or other comparable jurisdictions in which any or all of the properties
subject to the Mortgages are situated, and in any other appropriate public
recording office or elsewhere, such recordation to be effected by the Master
Servicer at the Certificateholders' expense on direction of the related
Certificateholders, but only when accompanied by an Opinion of Counsel to the
effect that such recordation materially and beneficially affects the interests
of the Certificateholders or is necessary for the administration or servicing of
the Mortgage Loans.
Section 4. GOVERNING LAW.
This Instrument shall be construed in accordance with the laws of the
State of New York and the obligations, rights and remedies of the parties
hereunder shall be determined in accordance with such laws, without giving
effect to principles of conflicts of law.
Section 5. COUNTERPARTS.
This Instrument may be executed in one or more counterparts and by the
different parties hereto on separate counterparts, each of which, when so
executed, shall be deemed to be an original; such counterparts, together, shall
constitute one and the same instrument.
<PAGE>
Section 6. SUCCESSORS AND ASSIGNS.
This Instrument shall inure to the benefit of and be binding upon the
Depositor and the Trustee and their respective successors and assigns.
NEW CENTURY MORTGAGE SECURITIES,
INC.
By: /s/ John Kontoulis
------------------------------
Name: John Kontoulis
Title: Senior Vice President
U.S. BANK NATIONAL ASSOCIATION,
as trust administrator
By: /s/ Harry H. Hall
------------------------------
Name: Harry H. Hall
Title: Vice President
FIRSTAR BANK, N.A.,
as trustee
By: /s/ Charles F. Pedersen
------------------------------
Name: Charles F. Pedersen
Title: Vice President
ATTACHMENTS
A. Additional terms of sale.
B. Schedule of Subsequent Mortgage Loans.
<PAGE>
ATTACHMENT A
------------
ADDITIONAL TERMS OF SALE
A. General
1. Subsequent Cut-off Date: December 1, 1999
2. Subsequent Transfer Date: December 30, 1999
3. Aggregate Principal Balance of the Subsequent Mortgage Loans
as of the Subsequent Cut-off Date: $52,935,677.42
4. Purchase Price: 100.00%
B. The following representations and warranties with respect to each
Subsequent Mortgage Loan determined as of the Subsequent Cut-off Date is true
and correct: (i) the Subsequent Mortgage Loan may not be 30 or more days
delinquent as of the related Subsequent Cut-off Date (except with respect to
1.00% of the Subsequent Mortgage Loans, by aggregate principal balance as of the
related Subsequent Cut-off Date, which may be 30 or more days delinquent but
less than 60 days delinquent as of the related Subsequent Cut-off Date); (ii)
the stated term to maturity of the Subsequent Mortgage Loan will not be less
than 180 months and will not exceed 360 months; (iii) the Subsequent Mortgage
Loan may not provide for negative amortization; (iv) such Subsequent Mortgage
Loan will not have a combined loan-to-value ratio greater than 95.00%; (v) such
Subsequent Mortgage Loans will have, as of the Subsequent Cut-off Date, a
weighted average term since origination not in excess of one month; (vi) such
Subsequent Mortgage Loan shall have a Mortgage Rate that is not less than
7.000%; (vii) such Subsequent Mortgage Loan shall have been serviced by the
Master Servicer since originated or purchased by the Depositor; (viii) such
Subsequent Mortgage Loan must have a first payment date occurring on or before
February 1, 2000 and (xii) such Subsequent Mortgage Loan shall have been
underwritten in accordance with the criteria set forth under "Underwriting
Standards of the Originator and Representations Concerning the Mortgage Loans"
in the Prospectus Supplement.
C. Following the purchase of the Subsequent Mortgage Loans by the Trust
Fund, the Mortgage Loans (including such Subsequent Mortgage Loans) will as of
the Subsequent Cut-off Date: (i) have a weighted average original term to stated
maturity of not more than 360 months; (ii) have a weighted average Mortgage Rate
of not less than 10.040%; (iii) have a weighted average loan-to-value ratio of
not more than 74.00% and (iv) have no Mortgage Loan with a principal balance in
excess of $875,000. Notwithstanding the foregoing, any Subsequent Mortgage Loan
may be rejected by either Rating Agency if the inclusion of such Subsequent
Mortgage Loan would adversely affect the ratings on any class of Offered
Certificates.
<PAGE>
ATTACHMENT B
------------
Filed by paper.
Exhibit 99.1
------------
<PAGE>
References in this Form 8-K to percentages of the mortgage loans mean
percentages based on the aggregate of the cut-off date loan balances of the
mortgage loans.
The mortgage loans are expected to consist of 2,506 mortgage loans secured
by mortgages on mortgaged properties located in 46 states. Approximately 96.81%
of the mortgage loans are secured by first liens on the related mortgaged
properties, and the remainder are secured by second liens on the related
mortgaged properties. The aggregate cut-off date loan balances of the mortgage
loans totaled approximately $219,992,724. The mortgage loans bear interest at
fixed mortgage rates ranging from approximately 7.000% to approximately 19.870%
per annum. The weighted average mortgage rate for the mortgage loans was
approximately 10.140% per annum. The lowest cut-off date loan balance of any
mortgage loan was approximately $9,296 and the highest was approximately
$874,136. The average cut-off date loan balance of the mortgage loans was
approximately $87,786. The weighted average original term to stated maturity of
the mortgage loans was approximately 329 months. The weighted average remaining
term to stated maturity of the mortgage loans was approximately 329 months. As
of the cut-off date, the weighted average number of months that have elapsed
since origination of the mortgage loans was approximately one month. The lowest
and highest combined original loan-to-value ratios of the mortgage loans were
approximately 11.58% and 94.92%, respectively. The weighted average combined
original loan-to-value ratio of the mortgage loans was approximately 74.66%. The
weighted average combined original loan-to-value ratio of the mortgage loans
that represent second liens on the related mortgaged properties was
approximately 77.50%.
Approximately 76.11% of the mortgage loans provide for payment by the
mortgagor of a prepayment premium in limited circumstances on some prepayments.
There are three mortgage loans, representing approximately 0.10% of the
cut-off date loan balance, that are balloon payment mortgage loans. The monthly
payment for the balloon loans amortize over 360 months, but final payments are
due on the 180th month.
Approximately 8.15% of the mortgage loans are secured by non-owner-occupied
mortgaged properties including second homes and investor properties. This
percentage was based solely upon statements made by the related mortgagors at
the time of origination of the related mortgage loans.
Approximately 0.01%, 1.56%, 11.75%, 4.05%, 1.33% and 81.29% of the mortgage
loans have original stated maturities of approximately 8 years, 10 years, 15
years, 20 years, 25 years and 30 years, respectively. No mortgage loan is
scheduled to mature later than January 2030.
Approximately 0.12% of the mortgage loans failed to make their payment due
on November 1, 1999 as of November 30, 1999.
The mortgage loans are expected to have the following characteristics as of
the cut-off date. The sum in any column may not equal the indicated total due to
rounding.
<PAGE>
COMBINED ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
Range of Combined Original of Cut-off Date Balance of all
Loan-to-Value Ratios (%) Mortgage Loans Loan Balance Mortgage Loans
- -------------------------- -------------- -------------- --------------------
11.58 - 15.00............ 4 $ 221,449.75 0.10%
15.01 - 20.00............ 16 542,364.31 0.25
20.01 - 25.00............ 11 468,181.60 0.21
25.01 - 30.00............ 19 739,118.60 0.34
30.01 - 35.00............ 24 1,394,845.90 0.63
35.01 - 40.00............ 46 3,107,684.59 1.41
40.01 - 45.00............ 44 2,510,540.02 1.14
45.01 - 50.00............ 75 5,238,568.46 2.38
50.01 - 55.00............ 79 5,495,600.35 2.50
55.01 - 60.00............ 110 7,794,071.03 3.54
60.01 - 65.00............ 207 17,263,171.83 7.85
65.01 - 70.00............ 259 21,575,469.59 9.81
70.01 - 75.00............ 367 33,310,552.86 15.14
75.01 - 80.00............ 601 54,281,106.56 24.67
80.01 - 85.00............ 329 34,698,586.66 15.77
85.01 - 90.00............ 310 31,001,279.17 14.09
90.01 - 94.92............ 5 350,132.67 0.16
----- -------------- ------
Total..................... 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the weighted average combined original loan-to-
value ratio of the mortgage loans was approximately 74.66%.
<PAGE>
MORTGAGE RATES OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
Range of Mortgage of Cut-off Date Balance of all
Rates (%) Mortgage Loans Loan Balance Mortgage Loans
- ------------------------- -------------- ---------------- --------------------
7.000 - 7.000......... 1 $ 82,263.76 0.04%
7.001 - 7.500......... 10 1,442,601.40 0.66
7.501 - 8.000......... 116 15,650,691.49 7.11
8.001 - 8.500......... 72 8,593,192.51 3.91
8.501 - 9.000......... 213 26,944,131.77 12.25
9.001 - 9.500......... 216 23,915,062.83 10.87
9.501 - 10.000......... 461 45,100,390.18 20.50
10.001 - 10.500......... 296 25,130,096.81 11.42
10.501 - 11.000......... 362 25,626,752.73 11.65
11.001 - 11.500......... 176 13,167,313.01 5.99
11.501 - 12.000......... 199 14,224,845.08 6.47
12.001 - 12.500......... 113 6,624,683.88 3.01
12.501 - 13.000......... 119 6,527,172.32 2.97
13.001 - 13.500......... 43 1,746,895.13 0.79
13.501 - 14.000......... 56 2,859,339.87 1.30
14.001 - 14.500......... 30 1,341,853.92 0.61
14.501 - 15.000......... 10 506,408.00 0.23
15.001 - 15.500......... 4 128,345.43 0.06
15.501 - 16.000......... 2 95,105.54 0.04
16.001 - 16.500......... 3 183,564.23 0.08
17.501 - 18.000......... 1 11,878.85 0.01
>18.000................. 3 90,135.21 0.04
----- --------------- ------
Total................... 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the weighted average mortgage rate of the
mortgage loans was approximately 10.140% per annum.
<PAGE>
ORIGINAL TERMS TO STATED MATURITY OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
Original Terms to of Cut-off Date Balance of all
Stated Maturity (months) Mortgage Loans Loan Balance Mortgage Loans
- ------------------------ -------------- --------------- --------------------
96 1 $ 29,580.52 0.01%
120 81 3,428,807.36 1.56
180 476 25,855,470.54 11.75
240 130 8,914,202.30 4.05
300 33 2,934,031.35 1.33
360 1,785 178,830,631.88 81.29
Total................... 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the weighted average original term to stated
maturity of the mortgage loans was approximately 329 months.
REMAINING TERMS TO STATED MATURITY OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
Range of Remaining Terms to of Cut-off Date Balance of all
Stated Maturity (months) Mortgage Loans Loan Balance Mortgage Loans
- --------------------------- -------------- ---------------- -------------------
94 - 96 ................. 1 $ 29,580.52 0.01%
109 - 120 ................. 81 3,428,807.36 1.56
169 - 180.................. 476 25,855,470.54 11.75
229 - 240.................. 130 8,914,202.30 4.05
289 - 300.................. 33 2,934,031.35 1.33
349 - 360.................. 1,785 178,830,631.88 81.29
----- -------------- ------
Total...................... 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the weighted average remaining term to stated
maturity of the mortgage loans was approximately 329 months.
<PAGE>
CUT-OFF DATE LOAN BALANCES OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
Range of Cut-off Date of Cut-off Date Balance of all
Loan Balances($) Mortgage Loans Loan Balance Mortgage Loans
- --------------------------- -------------- ---------------- --------------------
9,296.01 - 10,000.00.... 2 $ 19,287.33 0.01%
10,000.01 - 25,000.00.... 149 3,025,407.60 1.38
25,000.01 - 50,000.00.... 675 26,188,820.33 11.90
50,000.01 - 75,000.00.... 609 37,306,933.85 16.96
75,000.01 - 100,000.00.... 357 31,253,447.60 14.21
100,000.01 - 125,000.00.... 223 24,982,818.71 11.36
125,000.01 - 150,000.00.... 163 22,393,447.99 10.18
150,000.01 - 175,000.00.... 92 14,818,929.55 6.74
175,000.01 - 200,000.00.... 74 13,918,219.87 6.33
200,000.01 - 225,000.00.... 40 8,432,390.23 3.83
225,000.01 - 250,000.00.... 27 6,351,611.25 2.89
250,000.01 - 275,000.00.... 33 8,588,009.18 3.90
275,000.01 - 300,000.00.... 21 6,043,691.93 2.75
300,000.01 - 325,000.00.... 10 3,144,384.25 1.43
325,000.01 - 350,000.00.... 3 988,632.97 0.45
350,000.01 - 375,000.00.... 8 2,938,716.74 1.34
375,000.01 - 400,000.00.... 6 2,336,420.52 1.06
400,000.01 - 425,000.00.... 4 1,618,500.00 0.74
425,000.01 - 450,000.00.... 2 880,363.84 0.40
450,000.01 - 475,000.00.... 1 472,500.00 0.21
475,000.01 - 500,000.00.... 3 1,459,524.93 0.66
550,000.01 - 575,000.00.... 1 564,628.87 0.26
650,000.01 - 675,000.00.... 1 654,227.79 0.30
725,000.01 - 750,000.00.... 1 737,672.82 0.34
850,000.01 - 874,136.00.... 1 874,135.80 0.40
----- -------------- ------
Total...................... 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the average cut-off date loan balance of the
mortgage loans was approximately $87,786.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
of Cut-off Date Balance of all
State Mortgage Loans Loan Balance Mortgage Loans
- --------------------------- -------------- ---------------- --------------------
Alabama.................... 10 $ 670,058.41 0.30%
Arizona.................... 55 3,877,067.25 1.76
Arkansas................... 49 2,741,065.50 1.25
California................. 564 73,298,955.00 33.32
Colorado................... 65 6,047,302.85 2.75
Connecticut................ 8 874,238.54 0.40
Delaware................... 7 492,922.73 0.22
District of Columbia....... 1 306,000.00 0.14
Florida.................... 215 16,429,677.10 7.47
Georgia.................... 114 8,990,189.12 4.09
Hawaii..................... 16 1,493,880.55 0.68
Idaho...................... 10 652,294.65 0.30
Illinois................... 115 8,752,490.17 3.98
Indiana.................... 40 2,923,952.86 1.33
Iowa....................... 10 659,338.87 0.30
Kansas..................... 16 1,192,717.67 0.54
Kentucky................... 6 392,457.78 0.18
Louisiana.................. 35 2,222,033.83 1.01
Maine...................... 18 1,606,621.70 0.73
Maryland................... 9 1,752,855.80 0.80
Massachusetts.............. 45 5,446,379.68 2.48
Michigan................... 73 4,774,726.90 2.17
Minnesota.................. 28 3,019,411.06 1.37
Mississippi................ 17 1,023,992.10 0.47
Missouri................... 53 3,005,839.23 1.37
Montana.................... 6 390,998.05 0.18
Nebraska................... 2 78,542.00 0.04
Nevada..................... 25 1,771,808.20 0.81
New Hampshire.............. 3 257,403.44 0.12
New Jersey................. 14 2,106,522.64 0.96
New Mexico................. 18 1,537,777.10 0.70
North Carolina............. 37 3,095,171.78 1.41
Ohio....................... 71 4,851,392.60 2.21
Oklahoma................... 33 1,884,900.11 0.86
Oregon..................... 27 3,195,830.21 1.45
Pennsylvania............... 85 6,628,443.42 3.01
Rhode Island............... 3 268,285.29 0.12
South Carolina............. 61 4,432,954.58 2.02
Tennessee.................. 41 2,752,113.27 1.25
Texas...................... 383 23,341,753.00 10.61
Utah....................... 10 773,289.26 0.35
Virginia................... 28 2,417,536.09 1.10
Washington................. 58 6,017,959.75 2.74
West Virginia.............. 7 371,421.32 0.17
Wisconsin.................. 14 1,055,748.87 0.48
Wyoming.................... 1 116,403.62 0.05
----- --------------- ------
Total............. 2,506 $219,992,723.95 100.00%
===== ============== ======
The greatest zip code concentration of the mortgage loans, by cut-off
date principal balances, was approximately 0.42% in the 94063 zip code.
<PAGE>
PROPERTY TYPES OF THE MORTGAGE LOANS
Number Percent of Aggregate
of Aggregate Cut-off Date Loan
Mortgage Cut-off Date Balance of all
Property Type Loans Loan Balance Mortgage Loans
- --------------------------- ---------- ---------------- --------------------
Single Family............... 2,169 $187,681,149.01 85.31%
Two- to Four-family......... 139 14,213,773.68 6.46
PUD......................... 93 10,575,907.89 4.81
Manufactured Housing........ 70 4,092,371.80 1.86
Condominium................. 35 3,429,521.57 1.56
----- --------------- ------
Total.............. 2,506 $219,992,723.95 100.00%
===== ============== ======
OCCUPANCY STATUS OF THE MORTGAGE LOANS*
Percent of Aggregate
Number Aggregate Cut-off Date Loan
of Cut-off Date Balance of all
Occupancy Status Mortgage Loans Loan Balance Mortgage Loans
- --------------------------- -------------- ---------------- --------------------
Owner-occupied............. 2,255 $202,073,784.24 91.85%
Investor................... 240 16,983,550.93 7.72
Second Home................ 11 935,388.78 0.43
----- --------------- ------
Total............. 2,506 $219,992,723.95 100.00%
===== ============== ======
_________________________
* Based on representations of the borrowers at the time of origination of the
mortgage loans.
LIEN PRIORITIES OF THE MORTGAGE LOANS
Percent of Aggregate
Number Aggregate Cut-off Date Loan
of Cut-off Date Balance of all
Lien Priority Mortgage Loans Loan Balance Mortgage Loans
- ---------------------- -------------- ---------------- --------------------
First Lien............ 2,339 $212,968,781.46 96.81%
Second Lien........... 167 7,023,942.49 3.19
----- --------------- ------
Total............. 2,506 $219,992,723.95 100.00%
===== ============== ======
<PAGE>
MONTHS SINCE ORIGINATION OF THE MORTGAGE LOANS
Number Percent of Aggregate
of Aggregate Cut-off Date Loan
Months Since Mortgage Cut-off Date Balance of all
Origination Loans Loan Balance Mortgage Loans
- ----------------------- ---------- ---------------- --------------------
0 1,290 $111,595,720.44 50.73%
1 821 71,794,582.17 32.63
2 332 31,319,727.33 14.24
3 52 4,438,473.65 2.02
4 7 640,526.43 0.29
6 2 137,464.87 0.06
7 1 34,848.15 0.02
9 1 31,380.91 0.01
----- --------------- ------
Total............. 2,506 $219,992,723.95 100.00%
===== ============== ======
As of the cut-off date, the weighted average number of months since
origination of the mortgage loans was approximately 1 month.
DOCUMENTATION LEVELS OF THE MORTGAGE LOANS
Number Percent of Aggregate
of Aggregate Cut-off Date Loan
Mortgage Cut-off Date Balance of all
Loan Programs Loans Loan Balance Mortgage Loans
- ----------------------- ---------- ---------------- --------------------
Full Documentation..... 2,015 $171,319,503.87 77.88%
Stated Income.......... 491 48,673,220.08 22.12
----- --------------- -----
Total.......... 2,506 $219,992,723.95 100.00%
===== ============== ======
<PAGE>
CREDIT GRADES FOR THE MORTGAGE LOANS
Number Percent of Aggregate
of Aggregate Cut-off Date Loan
Mortgage Cut-off Date Balance of all
Credit Grade Loans Loan Balance Mortgage Loans
- ------------------ ---------- ---------------- --------------------
A+................ 686 $ 67,754,533.82 30.80%
A+MO*............. 3 141,366.54 0.06
A-................ 831 81,677,541.67 37.13
A-MO*............. 70 4,937,798.44 2.24
B................. 515 41,287,551.77 18.77
C................. 269 16,119,823.32 7.33
C-................ 73 4,482,195.83 2.04
C-HS**............ 59 3,591,912.56 1.63
----- -------------- ------
Total...... 2,506 $219,992,723.95 100.00%
===== ============== ======
________________________
* Underwritten under the Mortgage Credit Only program.
** Underwritten under the Home Saver program.
PURPOSE OF ORIGINATION OF THE MORTGAGE LOANS
Number Percent of Aggregate
of Aggregate Cut-off Date Loan
Mortgage Cut-off Date Balance of all
Purpose Loans Loan Balance Mortgage Loans
- ------------------------ ---------- --------------- --------------------
Cash-out Refinance...... 1,931 $165,949,404.17 75.43%
Rate/Term Refinance..... 459 43,592,272.25 19.82
Purchase................ 116 10,451,047.53 4.75
----- --------------- ------
Total.............. 2,506 $219,992,723.95 100.00%
===== ============== ======
<PAGE>
ORIGINAL PREPAYMENT PREMIUM PERIODS FOR THE MORTGAGE LOANS
Percent of Aggregate
Original Prepayment Number Aggregate Cut-off Date Loan
Premium Periods of Cut-off Date Balance of all
(Months) Mortgage Loans Loan Balance Mortgage Loans
- ---------------------- -------------- --------------- --------------------
0 749 $ 52,552,612.47 23.89%
6 7 571,753.20 0.26
12 11 1,065,546.97 0.48
24 145 17,258,180.42 7.84
36 211 18,735,672.42 8.52
42 23 2,449,811.06 1.11
48 6 586,548.56 0.27
60 1,354 126,772,598.85 57.63
----- -------------- ------
Total.......... 2,506 $219,992,723.95 100.00%
===== ============== ======
