Exhibit 99.1
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the issuer of the securities or any of its affiliates.
Greenwich Capital Markets, Inc. is acting as underwriter and not acting as
agent for the issuer or its affiliates in connection with the proposed
transaction.
This Preliminary Term Sheet is provided for information purposes only,
and does not constitute an offer to sell, nor a solicitation of an offer to
buy, the referenced securities. It does not purport to be all-inclusive or to
contain all of the information that a prospective investor may require to make
a full analysis of the transaction. All amounts are approximate and subject to
change. The information contained herein supersedes information contained in
any prior term sheet for this transaction. In addition, the information
contained herein will be superseded by information contained in term sheets
circulated after the date hereof and by information contained in the
Prospectus and Prospectus Supplement for this transaction. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
[OBJECT OMITTED]
Revised Preliminary Term Sheet Date Prepared: October 19, 2000
[GRAPHIC OMITTED]
Mortgage Pass-Through Certificates, Series 2000-FRB2
$320,254,100 (Approximate, Subject to Final Collateral)
Publicly Offered Certificates
Adjustable Rate Residential Mortgage Loans
<TABLE>
============== ===================== ================ ======================= ================ ================== ==================
<S> <C> <C> <C> <C> <C> <C>
Principal WAL (Yrs) Pymt Window (Mths) Interest Rate Expected Ratings
Class Balance (1) (Call/Mat)(2) (Call/Mat) (2) Type Tranche Type S&P / Fitch
------ ------------ -------------- -------------- ----- ------------- -----------
A-1 $194,089,000 -3.13/3.34 1-111/1-360 Floater (3) Senior/LIBOR AAA/AAA
A-2 56,665,000 -3.07/3.26 1-111/1-341 WAC (4) Senior/CMT AAA/AAA
A-3 64,478,000 -4.68/5.74 1-111/1-350 WAC (5) Senior/COFI AAA/AAA
A-R 100 N/A N/A WAC Senior/Residual AAA/AAA
B-1 2,430,000 -5.91/6.69 33-111/33-360 Floater (6) Sub/LIBOR AA/AA
B-2 1,296,000 -5.91/6.69 33-111/33-360 Floater (6) Sub/LIBOR A/A
B-3 1,296,000 -5.91/6.69 33-111/33-360 Floater (6) Sub/LIBOR BBB/BBB
-----------------------------------------------------------------------------------------------------------------------------------
B-4 1,781,000 Privately Floater (6) Sub/LIBOR BB/BB
B-5 970,000 Placed Floater (6) Sub/LIBOR B/B
B-6 1,143,372 Certificates WAC (7) Sub/WAC NR
---------
Total $324,148,472
============== ===================== ================ ======================= ================ ================== ==================
</TABLE>
(1) The Certificates (as described herein) are collateralized by three groups
of adjustable rate, first-lien residential mortgage loans. Class sizes
are subject to final collateral and rating agency approval and are
subject to a +/-10% variance.
(2) As described further herein, the Certificates may be called by First
Republic Bank.
(3) The Class A-1 Certificates will initially have a coupon equal to
One-Month LIBOR plus a margin (which doubles after the Optional Call
Date), subject to the lesser of (i) the Net WAC of the Group I Mortgage
Loans (adjusted for the Accrual Period) and (ii) [11.27%].
(4) The Class A-2 Certificates will have a coupon equal to the Net WAC of the
Group II Mortgage Loans.
(5) The Class A-3 Certificates will have a coupon equal to the Net WAC of the
Group III Mortgage Loans.
(6) The Certificate Interest Rate for the Class B-1, Class B-2, Class B-3,
Class B-4 and Class B-5 Certificates will generally be equal to One-Month
LIBOR plus a margin, subject to the lesser of (i) the weighted average of
the Net WAC of the Mortgage Loans from each loan group (weighted on the
basis of the related subordinate component balances and adjusted for the
Accrual Period) and (ii) [11.12%], subject to the amount of available
funds.
(7) The Certificate Interest Rate for the Class B-6 Certificates will
generally be equal to the weighted average of the Net WAC of the Mortgage
Loans from each loan group (weighted on the basis of the related
subordinate component balances), subject to the amount of available
funds.
Greenwich Capital
Seller and Servicer: First Republic Bank ("First Republic").
Depositor: Greenwich Capital Acceptance, Inc.
Underwriters: Greenwich Capital Markets, Inc. (Lead Manager) and
Salomon Smith Barney Inc. (Co-Manager)
Trustee: Wells Fargo Bank Minnesota, National Association.
Rating Agencies: S&P and Fitch will rate the Offered Certificates.
Statistical
Cut-off Date: September 30, 2000.
Cut-off Date: October 1, 2000.
Pricing Date: On or about October [19], 2000.
Closing Date: On or about November 8, 2000.
Distribution Dates: The 15th day of each month (or if not a
business day, the next succeeding business day),
commencing in November 2000.
Certificates: The "Senior Certificates" will consist of the Class
A-1, Class A-2, Class A-3 and Class A-R
Certificates. The "Subordinate Certificates" will
consist of the Class B-1, Class B-2, Class B-3,
Class B-4, Class B-5 and Class B-6 Certificates.
The Senior Certificates and the Subordinate
Certificates are collectively referred to herein as
the "Certificates". Only the Senior Certificates
and the Class B-1, Class B-2 and Class B-3
Certificates (collectively, the "Offered
Certificates") are being offered publicly.
Generally, the Class A-1 Certificates will receive
principal and interest from the Group I Mortgage
Loans, the Class A-2 Certificates will receive
principal and interest from the Group II Mortgage
Loans and the Class A-3 Certificates will receive
principal and interest from the Group III Mortgage
Loans. The Subordinate Certificates will receive
principal and interest from the Group I, Group II
and Group III Mortgage Loans.
Registration: The Offered Certificates (except for the Class A-R
Certificate) will be made available in book-entry
form through DTC, Clearstream, Luxembourg and
Euroclear. The Class A-R Certificate will be made
available in definitive fully registered physical
form.
Federal Tax Treatment: It is anticipated that the Offered
Certificates (except for the Class A-R Certificate)
will represent ownership of REMIC regular interests
for tax purposes. The Class A-R Certificate will
represent ownership of REMIC residual interests for
tax purposes.
ERISA Eligibility: The Senior Certificates (other than
the Class A-R Certificate) are expected to be ERISA
eligible. Prospective investors should review with
their legal advisors whether the purchase and
holding of any of the Offered Certificates could
give rise to a transaction prohibited or not
otherwise permissible under ERISA, the Code or
other similar laws.
SMMEA Treatment: The Senior Certificates and the Class
B-1 Certificates are expected to constitute
"mortgage related securities" for purposes of
SMMEA.
Optional Termination: The terms of the transaction allow for a
termination of the trust and retirement of the
Offered Certificates once the aggregate principal
balance of the Mortgage Loans is equal to 10% or
less of the aggregate principal balance of the
Mortgage Loans as of the Cut-off Date (the
"Optional Call Date").
Pricing Prepayment
Speed: The Class A-1 and Class A-2 Certificates will be
priced to a prepayment speed of 25% CPR. The Class
A-3 Certificates will be priced to a prepayment
speed of 15% CPR. The Subordinate Certificates will
be priced to a prepayment speed equal to a blended
rate of the above prepayment speeds, based on the
proportion of Group I Mortgage Loans, Group II
Mortgage Loans and Group III Mortgage Loans.
Statistical
Information: The information related to the Mortgage Loans
described herein reflects information as of the
Statistical Cut-off Date. It is expected that
scheduled principal and principal prepayments will
reduce the principal balance of the Mortgage Loans
subsequent to the Statistical Cut-off Date and
prior to the Closing Date. As a result it is
expected that not only will the principal balance
of the Mortgage Loans be reduced by the Closing
Date, but the principal balance of the Certificates
(shown on the front cover) will also be reduced by
the Closing Date. It is not expected that the
principal balance of any of the Certificates or the
aggregate principal balance of the Mortgage Loans
(described herein) will decrease by more than 10%
by the Closing Date.
Mortgage Loans: The aggregate principal balance of the Mortgage
Loans as of the Statistical Cut-off Date was
approximately $324,148,472. All of the Mortgage
Loans are adjustable rate mortgage loans secured by
first liens on one- to four-family residential
properties.
Group I
Mortgage Loans: The aggregate principal balance of the Group I
Mortgage Loans as of the Statistical Cut-off Date
was approximately $199,578,023. The Group I
Mortgage Loans consist of approximately (i)
$174,332,549 of One-Month LIBOR indexed mortgage
loans, (ii) $16,034,837 of Six-Month LIBOR indexed
mortgage loans, (iii) $5,497,000 of One-Month LIBOR
indexed mortgage loans with an initial fixed rate
period of 12 months and (iv) 3,713,637 of Prime
Rate indexed mortgage loans.
Group II
Mortgage Loans: The aggregate principal balance of the Group II
Mortgage Loans as of the Statistical Cut-off Date
was approximately $58,268,155. The Group II
Mortgage Loans consist of One-Year CMT indexed
mortgage loans.
Group III
Mortgage Loans: The aggregate principal balance of the Group III
Mortgage Loans as of the Statistical Cut-off Date
was approximately $66,302,293. The Group III
Mortgage Loans consist of COFI indexed mortgage
loans.
Accrued Interest: The Class A-1, Class B-1, Class B-2 and Class B-3
Certificates will settle flat. The price to be paid
by investors for the Class A-2, Class A-3 and Class
A-R Certificates will include accrued interest from
the Cut-off Date up to, but not including, the
Closing Date ([37] days).
Accrual Period: The interest accrual period (the "Accrual Period")
with respect to the Class A-1, Class B-1, Class B-2
and Class B-3 Certificates for a given Distribution
Date will be the period beginning with the previous
Distribution Date (or, in the case of the first
Distribution Date, the Closing Date) and ending on
the day prior to such Distribution Date (on an
actual/360 basis). The Accrual Period for the Class
A-2, Class A-3 and Class A-R Certificates will be
the calendar month preceding the month in which
such Distribution Date occurs (on a 30/360 basis).
Net WAC: The "Net WAC" for each loan group is equal to (i)
the weighted average of the loan rates of the
Mortgage Loans in such loan group less (ii) the sum
of (a) the servicing fee rate and (b) the trustee
fee rate.
Credit Enhancement: Senior/subordinate, shifting interest structure.
Credit enhancement for the Senior Certificates will
consist of the subordination of the Class B-1,
Class B-2, Class B-3, Class B-4, Class B-5 and
Class B-6 Certificates (total subordination
initially [2.75%]).
Credit enhancement for the Class B-1 Certificates
will consist of the subordination of the Class B-2,
Class B-3, Class B-4, Class B-5 and Class B-6
Certificates (total subordination initially
[2.00%]).
Credit enhancement for the Class B-2 Certificates
will consist of the subordination of the Class B-3,
Class B-4, Class B-5 and Class B-6 Certificates
(total subordination initially [1.60%]).
Credit enhancement for the Class B-3 Certificates
will consist of the subordination of the Class B-4,
Class B-5 and Class B-6 Certificates (total
subordination initially [1.20%]).
Shifting Interest: Until the first Distribution Date occurring after
October 2010 the Subordinate Certificates will be
locked out from receipt of any principal (unless
the Senior Certificates are paid down to zero or
the credit enhancement provided by the Subordinate
Certificates has doubled prior to such date as
described below). After such time and subject to
standard collateral performance triggers (as
described in the prospectus supplement), the
Subordinate Certificates will receive their
pro-rata share of scheduled principal and
increasing portions of unscheduled principal
prepayments. The prepayment percentages on the
Subordinate Certificates are as follows:
November 2000 - October 2010 0% Pro Rata Share
November 2010 - October 2011 30% Pro Rata Share
November 2011 - October 2012 40% Pro Rata Share
November 2012 - October 2013 60% Pro Rata Share
November 2013 - October 2014 80% Pro Rata Share
November 2014 and after 100% Pro Rata Share
Notwithstanding the foregoing, if the credit
enhancement provided by the Subordinate
Certificates doubles, all principal (scheduled
principal and prepayments) will be paid pro-rata
between the Senior and Subordinate Certificates
(subject to performance triggers). However, if the
credit enhancement provided by the Subordinate
Certificates has doubled prior to the third
anniversary of the Cut-off Date (subject to
performance triggers) then the Subordinate
Certificates will be entitled to only 50% of their
pro-rata share of principal (scheduled principal
and prepayments).
Any principal not allocated to the Subordinate
Certificates will be allocated to the Senior
Certificates. In the event the applicable current
senior percentage (aggregate principal balance of
the Senior Certificates relating to a loan group,
divided by the aggregate principal balance of the
Mortgage Loans in the related loan group) exceeds
the initial senior percentage (aggregate principal
balance of the Senior Certificates relating to a
loan group as of the Closing Date, divided by the
aggregate principal balance of the Mortgage Loans
in the related loan group as of the Cut-off Date),
the Senior Certificates relating to such loan group
will receive all unscheduled prepayments from such
loan group, regardless of any prepayment
percentages.
Allocation of
Realized Losses: Any realized losses, other than excess losses, on
the Mortgage Loans in a loan group will be
allocated as follows: first, to the Subordinate
Certificates in reverse order of their numerical
Class designations, in each case until the
respective class principal balance has been reduced
to zero; thereafter, to the Senior Certificates
relating to such loan group in reduction of their
certificate principal balances.
Excess losses (bankruptcy, special hazard and fraud
losses in excess of the amounts established by the
rating agencies) on the Mortgage Loans in a loan
group will be allocated to the Senior Certificates
relating to such loan group and the components of
the Subordinate Certificates relating to such loan
group on a pro-rata basis.
Certificates Available funds from the Mortgage Loans will be
Priority of Distributions: distributed in the following order of priority:
1) Senior Certificates, from the related loan
group, accrued and unpaid interest at the related
Certificate Interest Rate.
2) (a) Class A-R Certificate and Class A-1
Certificates, in that order, principal
allocable to such Classes from the related
loan group*.
(b) Class A-2 Certificates, principal allocable
to such Class from the related loan group*.
(c) Class A-3 Certificates, principal allocable
to such Class from the related loan group*.
3) Class B-1 Certificates, accrued and unpaid
interest at the Class B-1 Certificate Interest
Rate.
4) Class B-1 Certificates, principal allocable to
such Class.
5) Class B-2 Certificates, accrued and unpaid
interest at the Class B-2 Certificate Interest
Rate.
6) Class B-2 Certificates, principal allocable to
such Class.
7) Class B-3 Certificates, accrued and unpaid
interest at the Class B-3 Certificate Interest
Rate.
8) Class B-3 Certificates, principal allocable to
such Class.
9) Class B-4, Class B-5 and Class B-6 Certificates,
in sequential order, accrued and unpaid interest at
the respective Certificate Interest Rates and the
respective shares of principal allocable to such
Classes.
10) Class A-R Certificate, any remaining amount.
* Under certain delinquency and loss scenarios (as
described in the prospectus supplement), principal
from an unrelated loan group is used to pay the
Senior Certificates.
Underwriting Standards
First Republic's underwriting process is intended to assess both the
prospective borrower's credit standing and ability to repay, and the value and
adequacy of the mortgaged property as collateral. However, First Republic
relies primarily on the borrower's ability to repay the loan. This includes
analyzing the borrower's cash flow, verified liquidity, employment history,
and overall financial condition. The value of the mortgaged property is
considered as a measure of the extent of its recovery in the event of default.
To determine the adequacy of the property as collateral for a loan, appraisals
are obtained from qualified outside appraisers approved by First Republic.
These appraisers are chosen from a small group of appraisers and their
qualifications are reviewed at least annually.
First Republic offers a variety of loan products in addition to home mortgage
loans, as well as deposit and investment products. Many of First Republic's
lending customers are users of multiple products, with the average being 5.2
other products per customer as of September 2000. First Republic believes this
additional interaction with its customers increases the level of financial
information available to First Republic's loan officers concerning its
customers and hence enhances the underwriting process.
First Republic requires that its loan officers be involved, along with the
collections department staff, in the collection activities relating to any
delinquent mortgage loans originated by them. Annually, the loan officers
employed by First Republic enter into an agreement which provides that future
origination fees otherwise payable to the loan officer may be reduced if any
loan originated by the loan officer suffers a loss. First Republic believes
that these loan officer policies contribute to establishing a conservative
approach to the underwriting process.
Servicing
<PAGE>
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc.
in reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be
construed as either projections or predictions or as legal, tax, financial or
accounting advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayment assumptions, and changes in
such prepayment assumptions may dramatically affect such weighted average
lives, yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates shown in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of
the securities may differ from those shown in the Computational Materials due
to differences between the actual underlying assets and the hypothetical
underlying assets used in preparing the Computational Materials. The principal
amount and designation of any security described in the Computational
Materials are subject to change prior to issuance. Neither Greenwich Capital
Markets, Inc. nor any of its affiliates makes any 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.
Although a registration statement (including the Prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any
state in which such offer, solicitation or sale would be unlawful prior to
registration or qualification of such securities under the securities laws of
any such state. Prospective purchasers are referred to the final prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials and any matter discussed in this
communication. Once available, a final prospectus and prospectus supplement
may be obtained by contacting the Greenwich Capital Markets, Inc. Trading Desk
at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of
the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its
affiliates in connection with the proposed transaction.
Discount Margin/Yield Tables (%)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 To Call
Pass Through Margin 0.250%
-------------------------------------------------------------------------------------------------------------------------------
Group I Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
===============================================================================================================================
DM @ 100-00 0.250 0.250 0.250 0.250 0.250 0.250 0.250 0.250
===============================================================================================================================
WAL (yr) 6.73 5.41 4.01 3.13 2.52 2.06 1.72 1.27
MDUR (yr) 4.61 3.93 3.11 2.53 2.11 1.77 1.51 1.14
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class A-1 To Maturity
Pass Through Margin 0.250%
-------------------------------------------------------------------------------------------------------------------------------
Group I Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
===============================================================================================================================
DM @ 100-00 0.253 0.255 0.257 0.259 0.260 0.263 0.264 0.264
===============================================================================================================================
WAL (yr) 7.01 5.72 4.27 3.34 2.70 2.23 1.87 1.37
MDUR (yr) 4.67 4.01 3.20 2.63 2.20 1.87 1.60 1.21
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30
-------------------------------------------------------------------------------------------------------------------------------
Class A-2 To Call
Coupon 7.791%
-------------------------------------------------------------------------------------------------------------------------------
Group II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
===============================================================================================================================
Yield @ 100-29 7.911 7.862 7.776 7.682 7.578 7.461 7.335 7.059
===============================================================================================================================
WAL (yr) 6.44 5.22 3.91 3.07 2.48 2.03 1.71 1.26
MDUR (yr) 4.28 3.69 2.96 2.44 2.05 1.73 1.48 1.13
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class A-2 To Maturity
Coupon 7.791%
-------------------------------------------------------------------------------------------------------------------------------
Group II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
===============================================================================================================================
Yield @ 100-29 7.914 7.868 7.786 7.697 7.601 7.497 7.383 7.121
===============================================================================================================================
WAL (yr) 6.63 5.47 4.14 3.26 2.65 2.20 1.85 1.36
MDUR (yr) 4.31 3.75 3.04 2.52 2.13 1.82 1.57 1.19
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 03/15/29 03/15/29 03/15/29 03/15/29 03/15/29 03/15/29 03/15/29 03/15/29
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of
the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its
affiliates in connection with the proposed transaction.
Discount Margin/Yield Tables (%)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-3 To Call
Coupon 7.476%
-------------------------------------------------------------------------------------------------------------------------------
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
Yield @ 100-02+ 7.655 7.642 7.627 7.610 7.592 7.553 7.521 7.479
===============================================================================================================================
WAL (yr) 10.33 7.74 5.90 4.68 3.81 2.76 2.24 1.79
MDUR (yr) 6.21 5.09 4.21 3.53 3.00 2.28 1.91 1.56
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class A-3 To Maturity
Coupon 7.476%
-------------------------------------------------------------------------------------------------------------------------------
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
Yield @ 100-02+ 7.657 7.646 7.634 7.621 7.607 7.572 7.544 7.515
===============================================================================================================================
WAL (yr) 11.37 8.79 7.02 5.74 4.80 3.36 2.71 2.24
MDUR (yr) 6.41 5.35 4.54 3.92 3.42 2.58 2.17 1.85
First Prin Pay 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Prin Pay 12/15/29 12/15/29 12/15/29 12/15/29 12/15/29 12/15/29 12/15/29 12/15/29
-------------------------------------------------------------------------------------------------------------------------------
Class B-1 To Call
Pass Through Margin 0.600%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 100-00 0.600 0.600 0.600 0.600 0.600 0.600 0.600 0.600
===============================================================================================================================
WAL (yr) 12.45 9.92 7.48 5.91 4.98 4.15 3.59 2.85
MDUR (yr) 7.66 6.61 5.41 4.53 3.96 3.41 3.02 2.47
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class B-1 To Maturity
Pass Through Margin 0.600%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 100-00 0.600 0.600 0.600 0.600 0.600 0.600 0.600 0.600
===============================================================================================================================
WAL (yr) 13.28 10.83 8.35 6.69 5.69 4.78 4.20 3.44
MDUR (yr) 7.83 6.84 5.70 4.83 4.28 3.75 3.38 2.86
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
This information is furnished to you solely by Greenwich Capital Markets, Inc. ("GCM") and not by the issuer of
the securities or any of its affiliates. GCM is acting as underwriter and not as agent for the issuer or its
affiliates in connection with the proposed transaction.
Discount Margin/Yield Tables (%)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class B-2 To Call
Pass Through Margin 0.700%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 98-08+ 0.920 0.955 1.011 1.072 1.125 1.193 1.256 1.381
===============================================================================================================================
WAL (yr) 12.45 9.92 7.48 5.91 4.98 4.15 3.59 2.85
MDUR (yr) 7.56 6.53 5.35 4.48 3.92 3.38 3.00 2.45
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class B-2 To Maturity
Pass Through Margin 0.700%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 98-08+ 0.916 0.947 0.996 1.049 1.094 1.149 1.198 1.290
===============================================================================================================================
WAL (yr) 13.28 10.83 8.35 6.69 5.69 4.78 4.20 3.44
MDUR (yr) 7.71 6.74 5.62 4.77 4.23 3.71 3.34 2.82
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30
-------------------------------------------------------------------------------------------------------------------------------
Class B-3 To Call
Pass Through Margin 0.700%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 93-09+ 1.583 1.722 1.945 2.186 2.397 2.666 2.918 3.415
===============================================================================================================================
WAL (yr) 12.45 9.92 7.48 5.91 4.98 4.15 3.59 2.85
MDUR (yr) 7.38 6.38 5.24 4.39 3.85 3.32 2.94 2.40
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 03/15/19 10/15/15 05/15/12 01/15/10 04/15/08 09/15/06 09/15/05 07/15/04
-------------------------------------------------------------------------------------------------------------------------------
Class B-3 To Maturity
Pass Through Margin 0.700%
-------------------------------------------------------------------------------------------------------------------------------
Group I/II Prepay Speed 12% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR 50% CPR
Group III Prepay Speed 6% CPR 9% CPR 12% CPR 15% CPR 18% CPR 25% CPR 30% CPR 35% CPR
===============================================================================================================================
DM @ 93-09+ 1.566 1.690 1.889 2.100 2.278 2.500 2.696 3.061
===============================================================================================================================
WAL (yr) 13.28 10.83 8.35 6.69 5.69 4.78 4.20 3.44
MDUR (yr) 7.51 6.57 5.47 4.64 4.12 3.61 3.26 2.75
First Prin Pay 12/15/06 07/15/05 05/15/04 07/15/03 01/15/03 08/15/02 05/15/02 01/15/02
Last Prin Pay 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30 10/15/30
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
The Mortgage Loans will be serviced directly by First Republic.
Group I Mortgage Loan Statistics
As of the Statistical Cut-off Date
<TABLE>
<CAPTION>
Number of Loans: 215
Aggregate Outstanding Principal Balance: $199,578,023
Minimum Maximum
<S> <C> <C> <C>
Average Outstanding Principal Balance: $928,270 $46,200 $3,000,000
Weighted Average Loan Rate: 7.826% 5.950% 9.000%
Weighted Average Gross Margin: 1.231% -0.500% 2.750%
Weighted Average Maximum Loan Rate: 11.572% 10.450% 12.950%
Weighted Average Credit Score: 740 567 832
Weighted Average Original LTV: 60.67% 16.13% 90.00%
Weighted Average Effective LTV: 60.04% 16.13% 90.00%
Weighted Average Months to Roll: 2 months 1 month 14 months
Weighted Average Original Term: 360 months 240 months 360 months
Weighted Average Remaining Term: 357 months 237 months 360 months
First Pay Date: Oct 01, 1999 Nov 01, 2000
Maturity Date: Jun 01, 2020 Oct 01, 2030
Top State Concentrations ($): 82.61% California, 5.27% New York, 2.92% Connecticut
Maximum Zip Code Concentration ($): 6.01% 94114
</TABLE>
<TABLE>
<CAPTION>
Wtd Avg Minimum Maximum Wtd Avg
Principal Balance Wtd Avg Gross Gross Gross Maximum
Outstanding as of Loan Rate Margin Margin Margin Loan Rate
Product the Stat Cut-off Date (%) (%) (%) (%) (%)
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
One-Month LIBOR 174,332,548.53 7.819 1.223 0.000 2.000 11.503
Six-Month LIBOR 16,034,837.30 7.651 1.634 1.300 2.750 11.855
Fixed 12mo/One-Month LIBOR 5,497,000.00 7.775 1.484 1.350 2.300 12.012
Prime Rate 3,713,636.89 9.000 -0.500 -0.500 -0.500 12.950
</TABLE>
<TABLE>
<CAPTION>
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Product Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
<S> <C> <C> <C>
One-Month LIBOR 186 174,332,548.53 87.35
Six-Month LIBOR 20 16,034,837.30 8.03
Fixed 12mo/One-Month LIBOR 7 5,497,000.00 2.75
Prime Rate 2 3,713,636.89 1.86
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Documentation Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Full Documentation 215 199,578,022.72 100.00
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Delinquency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Current 215 199,578,022.72 100.00
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Outstanding Principal Balance ($) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
46,200 - 100,000 4 231,170.00 0.12
100,001 - 200,000 10 1,584,532.42 0.79
200,001 - 300,000 17 4,521,676.32 2.27
300,001 - 400,000 19 7,183,062.86 3.60
400,001 - 500,000 20 9,437,076.96 4.73
500,001 - 600,000 23 12,945,168.81 6.49
600,001 - 700,000 15 9,832,320.20 4.93
700,001 - 800,000 15 11,224,878.79 5.62
800,001 - 900,000 9 7,870,932.69 3.94
900,001 - 1,000,000 14 13,475,504.54 6.75
1,000,001 - 1,100,000 12 12,946,500.00 6.49
1,100,001 - 1,200,000 8 9,331,179.77 4.68
1,200,001 - 1,300,000 3 3,794,000.00 1.90
1,300,001 - 1,400,000 7 9,795,728.13 4.91
1,400,001 - 1,500,000 8 11,932,434.23 5.98
1,500,001 - 1,600,000 1 1,550,000.00 0.78
1,600,001 - 1,700,000 1 1,680,000.00 0.84
1,700,001 - 1,800,000 1 1,800,000.00 0.90
1,800,001 - 1,900,000 2 3,725,000.00 1.87
1,900,001 - 2,000,000 6 11,861,000.00 5.94
2,000,001 - 2,100,000 2 4,182,500.00 2.10
2,200,001 - 2,300,000 3 6,699,034.44 3.36
2,400,001 - 2,500,000 5 12,448,322.56 6.24
2,500,001 - 2,600,000 1 2,590,000.00 1.30
2,900,001 - 3,000,000 9 26,936,000.00 13.50
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
5.950 - 6.000 3 1,306,150.00 0.65
6.501 - 6.750 4 4,050,000.00 2.03
6.751 - 7.000 12 8,863,250.00 4.44
7.001 - 7.250 3 970,900.00 0.49
7.251 - 7.500 14 12,113,880.00 6.07
7.501 - 7.750 50 39,759,260.55 19.92
7.751 - 8.000 89 92,611,872.40 46.40
8.001 - 8.250 26 24,464,189.69 12.26
8.251 - 8.500 5 7,442,940.00 3.73
8.501 - 8.750 4 2,253,943.19 1.13
8.751 - 9.000 5 5,741,636.89 2.88
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Gross Margin (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
<= 0.000 3 4,228,136.89 2.12
0.251 - 0.500 1 400,000.00 0.20
0.501 - 0.750 4 3,725,000.00 1.87
0.751 - 1.000 35 30,247,270.55 15.16
1.001 - 1.250 79 78,955,737.40 39.56
1.251 - 1.500 62 60,303,082.20 30.22
1.501 - 1.750 19 14,122,326.30 7.08
1.751 - 2.000 5 4,577,665.27 2.29
2.001 - 2.250 2 1,600,000.00 0.80
2.251 - 2.500 4 1,118,804.11 0.56
2.501 - 2.750 1 300,000.00 0.15
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Periodic Rate Cap Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
No Periodic Rate Cap 210 197,270,679.53 98.84
1% Semi-Annual Cap 4 1,596,943.19 0.80
2% Loan Year Cap 1 710,400.00 0.36
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Maximum Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
10.450 - 10.500 1 580,000.00 0.29
10.501 - 10.750 3 5,100,000.00 2.56
10.751 - 11.000 65 63,415,902.80 31.77
11.251 - 11.500 37 34,479,458.52 17.28
11.751 - 12.000 94 80,784,517.98 40.48
12.251 - 12.500 10 5,706,183.97 2.86
12.751 - 12.950 5 9,511,959.45 4.77
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Frequency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Monthly 195 183,543,185.42 91.97
Semi-annually 20 16,034,837.30 8.03
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Date Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
October 2000 171 164,653,375.42 82.50
November 2000 25 20,275,460.00 10.16
December 2000 2 1,697,665.27 0.85
January 2001 3 3,999,277.92 2.00
February 2001 2 1,193,244.11 0.60
March 2001 4 1,062,000.00 0.53
April 2001 1 1,200,000.00 0.60
October 2001 6 4,843,000.00 2.43
November 2001 1 654,000.00 0.33
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Credit Score Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Not Available 2 3,140,331.78 1.57
551 - 600 3 1,438,000.00 0.72
601 - 650 7 9,636,500.00 4.83
651 - 700 35 29,566,472.87 14.81
701 - 750 73 65,640,586.19 32.89
751 - 800 83 79,217,088.53 39.69
801 - 832 12 10,939,043.35 5.48
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Original Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
16.13 - 20.00 7 3,458,932.69 1.73
20.01 - 25.00 2 2,100,000.00 1.05
25.01 - 30.00 4 2,203,440.00 1.10
30.01 - 35.00 6 5,425,000.00 2.72
35.01 - 40.00 8 15,519,115.77 7.78
40.01 - 45.00 6 4,850,000.00 2.43
45.01 - 50.00 17 19,328,458.33 9.68
50.01 - 55.00 14 15,293,000.00 7.66
55.01 - 60.00 16 18,416,009.87 9.23
60.01 - 65.00 11 13,095,430.89 6.56
65.01 - 70.00 37 39,668,595.87 19.88
70.01 - 75.00 35 30,570,672.32 15.32
75.01 - 80.00 48 27,549,466.98 13.80
80.01 - 85.00 2 1,550,000.00 0.78
85.01 - 90.00 2 549,900.00 0.28
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Effective Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
16.13 - 20.00 7 3,458,932.69 1.73
20.01 - 25.00 2 2,100,000.00 1.05
25.01 - 30.00 4 2,203,440.00 1.10
30.01 - 35.00 8 8,104,999.99 4.06
35.01 - 40.00 10 17,302,574.11 8.67
40.01 - 45.00 7 6,000,000.00 3.01
45.01 - 50.00 15 17,815,000.00 8.93
50.01 - 55.00 14 14,728,000.00 7.38
55.01 - 60.00 15 16,981,009.87 8.51
60.01 - 65.00 10 12,295,430.89 6.16
65.01 - 70.00 36 38,368,595.87 19.22
70.01 - 75.00 35 30,570,672.32 15.32
75.01 - 80.00 48 27,549,466.98 13.80
80.01 - 85.00 2 1,550,000.00 0.78
85.01 - 90.00 2 549,900.00 0.28
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Remaining Term (months) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
237 - 240 1 679,999.99 0.34
337 - 348 1 1,000,000.00 0.50
349 - 360 213 197,898,022.73 99.16
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Prepayment Penalty Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Prepayment Penalty 199 189,403,963.56 94.90
No Prepayment Penalty 16 10,174,059.16 5.10
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Amortization Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Interest Only 185 176,656,818.85 88.52
Fully Amortizing 30 22,921,203.87 11.48
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Occupancy Status Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Primary 164 154,987,131.31 77.66
Second Home 37 36,578,091.53 18.33
Non-owner 14 8,012,799.88 4.01
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property Type Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Single Family 128 139,717,821.12 70.01
Condominium 38 20,449,810.41 10.25
PUD 16 18,006,068.76 9.02
Cooperative 22 10,986,872.41 5.51
2-4 Units 11 10,417,450.02 5.22
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Purpose Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Purchase 174 156,202,098.25 78.27
Cash Out Refinance 38 38,353,490.24 19.22
Rate/Term Refinance 3 5,022,434.23 2.52
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property State Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------ -------------------------
Arizona 1 3,000,000.00 1.50
California 181 164,872,377.07 82.61
Colorado 1 925,000.00 0.46
Connecticut 5 5,822,432.69 2.92
Florida 2 1,120,000.00 0.56
Hawaii 2 1,361,679.77 0.68
Kentucky 1 370,000.00 0.19
Massachusetts 3 3,800,000.00 1.90
New Jersey 1 599,277.92 0.30
New Mexico 2 931,600.00 0.47
New York 11 10,522,655.27 5.27
North Carolina 1 400,000.00 0.20
Oregon 2 353,000.00 0.18
Utah 1 3,000,000.00 1.50
Wyoming 1 2,500,000.00 1.25
----------------------------------------- -------------------- ------------------------ -------------------------
Total 215 199,578,022.72 100.00
========================================= ==================== ======================== =========================
</TABLE>
Group II Mortgage Loan Statistics
As of the Statistical Cut-off Date
<TABLE>
<CAPTION>
Number of Loans: 89
Aggregate Outstanding Principal Balance: $58,268,155
Minimum Maximum
<S> <C> <C> <C>
Average Outstanding Principal Balance: $654,698 $58,038 $3,000,000
Weighted Average Loan Rate: 8.099% 5.900% 9.750%
Weighted Average Gross Margin: 2.464% 1.950% 3.350%
Weighted Average Maximum Loan Rate: 12.023% 10.500% 15.375%
Weighted Average Credit Score: 738 566 825
Weighted Average Original LTV: 66.64% 19.35% 92.00%
Weighted Average Effective LTV: 63.20% 17.93% 90.95%
Weighted Average Months to Roll: 6 months 1 months 12 months
Weighted Average Original Term: 359 months 180 months 360 months
Weighted Average Remaining Term: 326 months 144 months 360 months
First Pay Date: Apr 01, 1988 Oct 01, 2000
Maturity Date: Sep 01, 2012 Sep 01, 2030
Top State Concentrations ($): 96.46% California, 1.20% Colorado, 0.85% Nevada
Maximum Zip Code Concentration ($): 8.84% 94920
</TABLE>
<TABLE>
<CAPTION>
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Product Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
<S> <C> <C> <C>
One-Year CMT 89 58,268,155.47 100.00
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Documentation Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Full Documentation 89 58,268,155.47 100.00
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Delinquency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Current 89 58,268,155.47 100.00
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Outstanding Principal Balance ($) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
58,038 - 100,000 3 233,256.07 0.40
100,001 - 200,000 20 2,923,706.84 5.02
200,001 - 300,000 11 2,837,304.92 4.87
300,001 - 400,000 12 4,248,094.01 7.29
400,001 - 500,000 9 4,056,610.02 6.96
500,001 - 600,000 5 2,763,190.16 4.74
600,001 - 700,000 2 1,377,050.91 2.36
700,001 - 800,000 1 730,589.45 1.25
800,001 - 900,000 2 1,716,139.40 2.95
900,001 - 1,000,000 3 2,846,400.77 4.89
1,000,001 - 1,100,000 5 5,318,194.76 9.13
1,100,001 - 1,200,000 2 2,307,479.73 3.96
1,200,001 - 1,300,000 1 1,250,000.00 2.15
1,300,001 - 1,400,000 3 4,111,670.43 7.06
1,700,001 - 1,800,000 1 1,750,000.00 3.00
1,800,001 - 1,900,000 3 5,437,668.78 9.33
2,100,001 - 2,200,000 3 6,441,727.76 11.06
2,300,001 - 2,400,000 1 2,334,077.88 4.01
2,500,001 - 2,600,000 1 2,584,993.58 4.44
2,900,001 - 3,000,000 1 3,000,000.00 5.15
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
5.900 - 6.000 1 909,475.01 1.56
6.251 - 6.500 3 1,602,247.39 2.75
6.501 - 6.750 5 3,377,374.13 5.80
6.751 - 7.000 4 5,073,746.44 8.71
7.001 - 7.250 2 1,688,979.73 2.90
7.251 - 7.500 7 5,136,839.84 8.82
7.501 - 7.750 2 4,919,071.46 8.44
7.751 - 8.000 5 5,072,157.67 8.70
8.001 - 8.250 5 2,045,432.41 3.51
8.251 - 8.500 12 5,046,215.37 8.66
8.501 - 8.750 5 3,635,356.32 6.24
8.751 - 9.000 20 13,177,143.99 22.61
9.001 - 9.250 12 4,023,030.19 6.90
9.251 - 9.500 3 2,277,760.67 3.91
9.501 - 9.750 3 283,324.85 0.49
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Gross Margin (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
1.950 - 2.000 4 4,784,077.88 8.21
2.001 - 2.250 20 14,384,227.63 24.69
2.251 - 2.500 22 15,240,002.29 26.15
2.501 - 2.750 24 17,096,357.83 29.34
2.751 - 3.000 14 4,209,517.32 7.22
3.001 - 3.250 3 2,392,971.90 4.11
3.251 - 3.350 2 161,000.62 0.28
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Periodic Rate Cap Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
No Periodic Rate Cap 2 1,551,250.00 2.66
1% Semi-Annual Cap 1 698,400.00 1.20
2% Loan Year Cap 44 23,239,901.33 39.88
2% Annual Cap 42 32,778,604.14 56.25
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Maximum Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
10.500 - 10.500 1 1,091,250.00 1.87
10.501 - 10.750 1 568,939.68 0.98
10.751 - 11.000 8 3,847,273.63 6.60
11.001 - 11.250 1 1,750,000.00 3.00
11.251 - 11.500 4 1,616,305.00 2.77
11.501 - 11.750 11 11,667,648.30 20.02
11.751 - 12.000 31 23,409,194.47 40.17
12.001 - 12.250 1 450,000.00 0.77
12.251 - 12.500 4 1,289,730.80 2.21
12.751 - 13.000 16 10,703,510.37 18.37
13.001 - 13.250 6 1,166,535.54 2.00
13.251 - 13.500 1 102,962.53 0.18
13.751 - 14.000 2 380,605.05 0.65
14.251 - 14.500 1 101,875.87 0.17
15.251 - 15.375 1 122,324.23 0.21
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Frequency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Semi-annually 47 25,489,551.33 43.75
Annually 42 32,778,604.14 56.25
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Date Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
October 2000 9 5,542,455.16 9.51
November 2000 10 6,292,254.84 10.80
December 2000 9 5,681,013.57 9.75
January 2001 8 6,318,595.61 10.84
February 2001 16 7,273,461.68 12.48
March 2001 9 6,056,350.62 10.39
April 2001 3 807,424.13 1.39
May 2001 5 3,749,239.14 6.43
June 2001 9 9,369,416.42 16.08
July 2001 3 2,038,574.38 3.50
August 2001 3 2,691,139.40 4.62
September 2001 5 2,448,230.52 4.20
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Credit Score Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Not Available 5 5,890,622.90 10.11
551 - 600 1 294,141.35 0.50
601 - 650 4 946,211.94 1.62
651 - 700 17 9,094,990.51 15.61
701 - 750 28 21,514,178.85 36.92
751 - 800 26 15,629,195.73 26.82
801 - 825 8 4,898,814.19 8.41
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Original Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
19.35 - 20.00 1 294,141.35 0.50
20.01 - 25.00 1 83,363.09 0.14
30.01 - 35.00 1 320,286.61 0.55
35.01 - 40.00 1 2,334,077.88 4.01
40.01 - 45.00 1 351,059.14 0.60
45.01 - 50.00 10 3,437,617.05 5.90
50.01 - 55.00 7 5,506,811.00 9.45
55.01 - 60.00 6 4,239,204.25 7.28
60.01 - 65.00 11 7,881,003.00 13.53
65.01 - 70.00 16 5,890,333.39 10.11
70.01 - 75.00 15 13,964,342.86 23.97
75.01 - 80.00 17 11,985,253.68 20.57
85.01 - 90.00 1 1,071,187.16 1.84
90.01 - 92.00 1 909,475.01 1.56
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Effective Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
17.93 - 20.00 2 377,504.44 0.65
25.01 - 30.00 1 177,770.04 0.31
30.01 - 35.00 3 1,919,036.61 3.29
35.01 - 40.00 3 2,885,137.02 4.95
40.01 - 45.00 3 563,504.53 0.97
45.01 - 50.00 7 4,766,990.15 8.18
50.01 - 55.00 7 5,324,142.57 9.14
55.01 - 60.00 13 10,038,069.17 17.23
60.01 - 65.00 6 2,662,805.54 4.57
65.01 - 70.00 15 5,193,968.35 8.91
70.01 - 75.00 11 10,713,294.87 18.39
75.01 - 80.00 16 11,665,270.01 20.02
85.01 - 90.00 1 1,071,187.16 1.84
90.01 - 90.95 1 909,475.01 1.56
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Remaining Term (months) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
144 - 144 1 351,059.14 0.60
205 - 216 2 185,238.96 0.32
217 - 228 1 122,324.23 0.21
229 - 240 1 297,241.96 0.51
253 - 264 5 4,840,754.53 8.31
277 - 288 2 1,660,189.68 2.85
289 - 300 8 3,341,477.98 5.73
301 - 312 3 1,313,635.84 2.25
313 - 324 14 7,185,049.20 12.33
325 - 336 13 10,103,641.93 17.34
337 - 348 19 14,496,138.93 24.88
349 - 360 20 14,371,403.09 24.66
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Prepayment Penalty Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
No Prepayment Penalty 54 32,258,173.63 55.36
Prepayment Penalty 35 26,009,981.84 44.64
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Amortization Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Fully Amortizing 62 32,542,528.22 55.85
Interest Only 27 25,725,627.25 44.15
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Occupancy Status Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Primary 62 43,621,959.62 74.86
Second Home 11 10,177,324.50 17.47
Non-owner 16 4,468,871.35 7.67
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property Type Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Single Family 43 42,002,297.04 72.08
Condominium 23 6,896,301.90 11.84
Cooperative 13 4,168,138.81 7.15
PUD 5 3,083,206.63 5.29
2-4 Units 5 2,118,211.09 3.64
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Purpose Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
Purchase 62 43,485,065.75 74.63
Cash Out Refinance 19 10,697,668.87 18.36
Rate/Term Refinance 8 4,085,420.85 7.01
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property State Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
---------------------------------------- -------------------- ------------------------ ------------------------
California 83 56,207,903.38 96.46
Colorado 1 698,400.00 1.20
Connecticut 1 294,141.35 0.50
Indiana 1 109,497.39 0.19
Massachusetts 1 320,286.61 0.55
Nevada 1 497,926.74 0.85
New York 1 140,000.00 0.24
---------------------------------------- -------------------- ------------------------ ------------------------
Total 89 58,268,155.47 100.00
======================================== ==================== ======================== ========================
</TABLE>
Group III Mortgage Loan Statistics
As of the Statistical Cut-off Date
<TABLE>
<CAPTION>
Number of Loans: 68
Aggregate Outstanding Principal Balance: $66,302,293
Minimum Maximum
<S> <C> <C> <C>
Average Outstanding Principal Balance: $975,034 $122,454 $3,000,000
Weighted Average Loan Rate: 7.784% 6.875% 8.500%
Weighted Average Gross Margin: 2.393% 1.500% 3.100%
Weighted Average Maximum Loan Rate: 10.455% 8.950% 12.500%
Weighted Average Credit Score: 724 650 804
Weighted Average Original LTV: 72.88% 50.00% 90.13%
Weighted Average Effective LTV: 71.30% 34.38% 90.13%
Weighted Average Months to Roll: 1 months 1 months 2 months
Weighted Average Original Term: 359 months 337 months 360 months
Weighted Average Remaining Term: 345 months 311 months 360 months
First Pay Date: Sep 01, 1996 Nov 01, 2000
Maturity Date: Aug 01, 2026 Oct 01, 2030
Top State Concentrations ($): 80.37% California, 3.43% Wyoming, 3.40% New York
Maximum Zip Code Concentration ($): 14.20% 94109
</TABLE>
<TABLE>
<CAPTION>
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Product Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
<S> <C> <C> <C>
COFI 68 66,302,293.41 100.00
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Documentation Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Full Documentation 68 66,302,293.41 100.00
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Delinquency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Current 68 66,302,293.41 100.00
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Outstanding Principal Balance ($) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
122,454 - 200,000 11 1,728,906.44 2.61
200,001 - 300,000 3 843,472.05 1.27
300,001 - 400,000 3 1,038,589.19 1.57
400,001 - 500,000 8 3,606,019.95 5.44
500,001 - 600,000 2 1,150,000.00 1.73
600,001 - 700,000 2 1,389,600.00 2.10
700,001 - 800,000 4 2,954,000.00 4.46
800,001 - 900,000 5 4,286,237.18 6.46
900,001 - 1,000,000 4 3,888,386.97 5.86
1,000,001 - 1,100,000 5 5,374,186.04 8.11
1,100,001 - 1,200,000 2 2,380,000.00 3.59
1,200,001 - 1,300,000 2 2,588,567.50 3.90
1,300,001 - 1,400,000 3 4,075,000.00 6.15
1,400,001 - 1,500,000 1 1,500,000.00 2.26
1,600,001 - 1,700,000 1 1,700,000.00 2.56
1,700,001 - 1,800,000 1 1,768,541.67 2.67
2,000,001 - 2,100,000 1 2,060,000.00 3.11
2,100,001 - 2,200,000 3 6,404,000.00 9.66
2,200,001 - 2,300,000 2 4,476,786.42 6.75
2,300,001 - 2,400,000 1 2,325,000.00 3.51
2,400,001 - 2,500,000 1 2,500,000.00 3.77
2,600,001 - 2,700,000 2 5,265,000.00 7.94
2,900,001 - 3,000,000 1 3,000,000.00 4.52
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
6.875 - 7.000 2 1,167,200.00 1.76
7.001 - 7.250 2 2,872,000.00 4.33
7.251 - 7.500 10 11,145,097.75 16.81
7.501 - 7.750 23 18,311,866.77 27.62
7.751 - 8.000 16 14,723,226.37 22.21
8.001 - 8.250 12 14,540,902.52 21.93
8.251 - 8.500 3 3,542,000.00 5.34
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Gross Margin (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
1.500 - 1.500 2 1,167,200.00 1.76
1.751 - 2.000 8 11,763,303.27 17.74
2.001 - 2.250 15 12,170,148.52 18.36
2.251 - 2.500 18 17,109,926.50 25.81
2.501 - 2.750 18 18,757,595.12 28.29
2.751 - 3.000 6 5,159,620.00 7.78
3.001 - 3.100 1 174,500.00 0.26
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Periodic Rate Cap Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
No Periodic Rate Cap 68 66,302,293.41 100.00
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Maximum Loan Rate (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
8.950 - 9.000 6 4,964,336.15 7.49
9.251 - 9.500 1 122,454.01 0.18
9.751 - 10.000 35 35,248,055.73 53.16
10.751 - 11.000 10 14,453,994.68 21.80
11.001 - 11.250 1 192,979.30 0.29
11.251 - 11.500 2 1,177,000.00 1.78
11.751 - 12.000 8 6,520,753.54 9.83
12.251 - 12.500 5 3,622,720.00 5.46
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Frequency Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Monthly 68 66,302,293.41 100.00
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Rate Adjustment Date Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
October 2000 67 66,162,293.41 99.79
November 2000 1 140,000.00 0.21
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Credit Score Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
650 - 650 1 272,677.57 0.41
651 - 700 18 23,579,517.80 35.56
701 - 750 28 23,222,434.13 35.03
751 - 800 20 17,884,663.91 26.97
801 - 804 1 1,343,000.00 2.03
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Original Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
50.00 - 50.00 1 1,100,000.00 1.66
50.01 - 55.00 2 1,640,000.00 2.47
55.01 - 60.00 4 3,772,454.01 5.69
60.01 - 65.00 6 7,248,136.29 10.93
65.01 - 70.00 16 12,811,277.32 19.32
70.01 - 75.00 11 10,309,681.88 15.55
75.01 - 80.00 23 23,335,571.81 35.20
80.01 - 85.00 2 3,668,000.00 5.53
85.01 - 90.00 2 1,705,172.10 2.57
90.01 - 90.13 1 712,000.00 1.07
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Effective Loan-to-Value Ratio (%) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
34.38 - 35.00 1 1,100,000.00 1.66
40.01 - 45.00 1 1,768,541.67 2.67
45.01 - 50.00 1 1,100,000.00 1.66
50.01 - 55.00 2 1,640,000.00 2.47
55.01 - 60.00 3 3,222,454.01 4.86
60.01 - 65.00 7 7,741,256.29 11.68
65.01 - 70.00 15 11,788,492.19 17.78
70.01 - 75.00 10 8,783,280.97 13.25
75.01 - 80.00 24 24,028,268.28 36.24
80.01 - 85.00 2 3,668,000.00 5.53
85.01 - 90.00 1 750,000.00 1.13
90.01 - 90.13 1 712,000.00 1.07
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Remaining Term (months) Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
311 - 312 1 977,214.87 1.47
313 - 324 4 2,617,237.18 3.95
325 - 336 11 9,213,370.27 13.90
337 - 348 30 30,708,802.87 46.32
349 - 360 22 22,785,668.22 34.37
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Prepayment Penalty Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Prepayment Penalty 59 57,382,790.14 86.55
No Prepayment Penalty 9 8,919,503.27 13.45
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Amortization Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Interest Only 58 62,275,830.91 93.93
Fully Amortizing 10 4,026,462.50 6.07
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Occupancy Status Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Primary 53 54,923,842.96 82.84
Second Home 11 10,682,671.15 16.11
Non-owner 4 695,779.30 1.05
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property Type Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Single Family 30 36,046,654.15 54.37
PUD 11 11,077,379.96 16.71
Condominium 10 7,309,546.75 11.02
Cooperative 14 6,692,212.55 10.09
2-4 Units 3 5,176,500.00 7.81
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Purpose Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Purchase 47 46,200,473.40 69.68
Cash Out Refinance 18 18,154,820.01 27.38
Rate/Term Refinance 3 1,947,000.00 2.94
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
% of Aggregate
Principal Balance Principal Balance
Number of Outstanding as of Outstanding as of
Property State Mortgage Loans the Stat Cut-off Date the Stat Cut-off Date
----------------------------------------- -------------------- ------------------------- -------------------------
Arizona 1 159,000.00 0.24
California 52 53,288,278.28 80.37
Colorado 3 2,000,000.00 3.02
Connecticut 1 1,180,000.00 1.78
Idaho 1 500,000.00 0.75
Massachusetts 2 1,900,000.00 2.87
Nevada 1 1,060,000.00 1.60
New York 3 2,253,817.11 3.40
Texas 1 275,000.00 0.41
Utah 1 956,000.00 1.44
Washington 1 455,200.00 0.69
Wyoming 1 2,274,998.02 3.43
----------------------------------------- -------------------- ------------------------- -------------------------
Total 68 66,302,293.41 100.00
========================================= ==================== ========================= =========================
</TABLE>
