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Previous: ASSET BACKED SEC CORP HOME EQUITY LOAN SERIES 2000 LB1, 8-K, EX-4.2, 2000-11-15 |
Next: PIONEER GLOBAL HEALTH CARE FUND, N-1A/A, 2000-11-15 |
Exhibit 99.1
------------
<PAGE>
================================================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): November 15, 2000
ASSET BACKED SECURITIES CORPORATION
(AS DEPOSITOR UNDER THE POOLING AND SERVICING AGREEMENT,
DATED AS OF AUGUST 1, 2000, PROVIDING FOR THE ISSUANCE OF
ASSET-BACKED CERTIFICATES,
SERIES 2000-LB1)
Asset Backed Securities Corporation
-----------------------------------
(Exact name of registrant as specified in its charter)
--------------------------------------------------------------------------------
Delaware 333-64351 13-3354848
-------- --------- ----------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification Number)
11 Madison Avenue
New York, New York 10010
------------------ -----
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (212) 325-1811
--------------
================================================================================
<PAGE>
-2-
Item 2. Acquisition or Disposition of Assets
------------------------------------
On August 31, 2000, a single series of certificates, entitled Long
Beach Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series
2000-LB1 (the "Certificates"), were issued pursuant to a pooling and servicing
agreement, dated as of August 1, 2000 (the "Pooling Agreement"), among Asset
Backed Securities Corporation as depositor (the "Depositor"), Long Beach
Mortgage Company ("Long Beach") as seller and master servicer (in such capacity,
the "Master Servicer") and Bankers Trust Company of California, N.A. as trustee
(the "Trustee"). On September 25, 2000, October 6, 2000 and November 9, 2000
following the closing of the initial issuance of the Certificates, the Trustee
purchased from the Depositor certain Subsequent Mortgage Loans, as defined in
the Pooling Agreement, with an aggregate principal balance equal to
approximately $187,749,019 with funds on deposit in the pre-funding account (the
"Pre-Funding Account") established pursuant to the Pooling Agreement at a
purchase price equal to the principal balance thereof, which Subsequent Mortgage
Loans were conveyed to the Trustee pursuant to the Subsequent Transfer
Agreements, dated September 25, 2000, October 6, 2000 and November 9, 2000,
respectively, among the Depositor, Long Beach and the Trustee (the
"Agreements"). Attached to the Agreements is the Mortgage Loan Schedule listing
the Subsequent Mortgage Loans that are the subject of such Agreements.
Item 5. Other Events
------------
Description of the Mortgage Pool
The Certificates, issued pursuant to the Pooling Agreements 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 lien adjustable-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 $1,312,248,899 as of August 1, 2000 and (ii) the
Pre-Funding Account, which contained approximately $187,749,019.
As more fully described above, on September 25, 2000, October 6, 2000
and November 9, 2000, 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
November 1, 2000, the end of the "Funding Period" (as defined in the Pooling
Agreement).
<PAGE>
-3-
Item 7. Financial Statements and Exhibits
---------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibits
Exhibit No. Description
----------- -----------
4.2 Subsequent Transfer Agreements,
dated as of September 25, 2000,
October 6, 2000 and November 9, 2000
among Asset Backed Securities
Corporation, Long Beach Mortgage
Company and Bankers Trust Company of
California, N.A.
99.1 Characteristics of the Mortgage Pool
as of November 1, 2000, relating to
Long Beach Home Equity Loan Trust
2000-LB1, Home Equity Loan
Pass-Through Certificates, Series
2000- LB1.
<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: November 15, 2000
ASSET BACKED SECURITIES CORPOATION
By: /s/Fiachra O'Driscoll
----------------------------
Name: Fiachra O'Driscoll
Title: Vice President
<PAGE>
Index to Exhibits
-----------------
<TABLE>
<CAPTION>
Sequentially
Exhibit No. Description Numbered Page
----------- ----------- -------------
<S> <C> <C>
4.2 Subsequent Transfer Agreement
99.1 Characteristics of the Mortgage Pool as of
November 1, 2000, relating to Long Beach
Mortgage Corporation, Home Equity Loan Pass-
Through Certificates, Series 2000-LB1
</TABLE>
<PAGE>
Exhibit 4.2
-----------
<PAGE>
Exhibit 99.1
------------
<PAGE>
The home equity loan pool will consist of 13,425 conventional, one- to
four-family, fixed rate and adjustable rate home equity loans secured by first
liens on residential real properties and having an aggregate principal balance
as of the Subsequent Cut-off Date of approximately $1,499,997,917. The home
equity loans will be divided into two loan groups, loan group 1 and loan group
2. Each loan group will constitute a separate sub-trust. As of the Subsequent
Cut- off Date, loan group 1 will consist of 4,330 conventional, one- to
four-family fixed rate home equity loans that have an aggregate principal
balance of approximately $374,999,345 as of the Subsequent Cut-off Date. As of
the Subsequent Cut-off Date, loan group 2 will consist of 9,095 conventional,
one- to four-family adjustable rate home equity loans that have an aggregate
principal balance of approximately $1,124,998,573 as of the Subsequent Cut-off
Date. There is no cross-collateralization between the two loan groups.
Consequently, distributions to holders of group 1 certificates will be based
solely on amounts available for distribution in respect of loan group 1 and
distributions to holders of group 2 certificates will be based solely on amounts
available for distribution in respect of loan group 2. The home equity loans
have original terms to maturity of not greater than 30 years.
All of the home equity loans will be secured by first mortgages or
deeds of trust or other similar security instruments creating first liens on
residential properties consisting of attached, detached or semi-detached, one-
to four-family dwelling units, townhouses, individual condominium units,
individual units in planned unit developments and manufactured housing.
The "Mortgage Rate" on each home equity loan is the per annum rate of
interest specified in the related mortgage note. Each adjustable rate home
equity loan provides for semi-annual adjustment to its Mortgage Rate; provided,
however, that the rate adjusts after an initial period of approximately two
years (the "2/28 Adjustable Rate Loans"), with respect to approximately 90.17%
of the statistical calculation initial home equity loans in loan group 2,
approximately three years (the "3/27 Adjustable Rate Loans") with respect to
approximately 4.44% of the statistical calculation initial home equity loans in
loan group 2, or approximately five years (the "5/25 Adjustable Rate Loans")
with respect to approximately 4.29% of the statistical calculation initial home
equity loans in loan group 2, respectively, from the date of origination
thereof. The 2/28 Adjustable Rate Loans, 3/27 Adjustable Rate Loans and 5/25
Adjustable Rate Loans are sometimes referred to as Delayed First Adjustment Home
Equity Loans.
In connection with each Mortgage Rate adjustment, the home equity loans
provide for corresponding adjustments to their monthly payment amounts, in each
case on each applicable adjustment date (each such date, an "Adjustment Date").
On each Adjustment Date, the Mortgage Rate on each adjustable rate home equity
loan will generally be adjusted to equal the sum, rounded to the nearest
multiple of 0.125%, of the Index (as described below) and a fixed percentage
amount (the "Gross Margin") for that home equity loan specified in the related
mortgage note; provided, however, that with respect to each adjustable rate home
equity loan, including each Delayed First Adjustment Home Equity Loan, the
Mortgage Rate will generally not increase or decrease by more than 1.00% per
annum on any related Adjustment Date (the "Periodic Rate Cap"), as provided in
the related mortgage note, and will not exceed a specified maximum Mortgage Rate
over the life of such home equity loan (the "Maximum Mortgage Rate") or be less
than a specified minimum Mortgage Rate over the life of such home equity loan
(the "Minimum Mortgage Rate"). Effective with the first monthly payment due on
each adjustable rate home equity loan after each related Adjustment Date, the
monthly payment amount will be adjusted to an amount that will amortize fully
the outstanding principal balance of the related adjustable rate home equity
loan over its remaining term, and pay interest at the Mortgage Rate as so
adjusted. Due to the application of the Periodic Rate Caps and the Maximum
Mortgage Rates, the Mortgage Rate on each adjustable rate home equity loan, as
adjusted on any related Adjustment Date, may be less than the sum of the Index,
calculated as described herein, and the related Gross Margin. We refer you to
"--The Index" in this prospectus supplement. None of the adjustable rate home
equity loans permits the related mortgagor to convert the adjustable Mortgage
Rate thereon to a fixed Mortgage Rate.
The home equity loans have scheduled monthly payments due generally on
the first day of the month (with respect to each home equity loan, a "Due
Date"). Each home equity loan will contain a customary "due-on-sale" clause and
each home equity loan may be assumable by a creditworthy purchaser of the
related mortgaged property.
Approximately 81.83% and 88.68% of the home equity loans in loan group
1 and loan group 2, respectively, by aggregate principal balance as of the
Subsequent Cut-off Date, provide for payment by the mortgagor of a prepayment
charge (a "Prepayment Charge") in limited circumstances on certain prepayments
as provided in the related Mortgage Note. Generally, each such home equity loan
provides for payment of a Prepayment Charge on certain
<PAGE>
voluntary prepayments in full made within a specified period not in excess of
five years from the date of origination of such home equity loan, as provided in
the related mortgage note. The amount of the Prepayment Charge is as provided in
the related mortgage note, but in the majority of cases is equal to six month's
interest on any amounts prepaid in excess of 20% of the then outstanding
original principal balance of the related home equity loan in any 12 month
period, as permitted by law.
LOAN GROUP 1
The average outstanding principal balance of the home equity loans in
loan group 1 was approximately $86,605 as of the Subsequent Cut-off Date. As of
the Subsequent Cut-off Date, the minimum and maximum outstanding principal
balance of the home equity loans in loan group 1 were $4,998 and $600,000
respectively. As of the Subsequent Cut-off Date, the weighted average per annum
mortgage rate of the statistical calculation initial home equity loans in loan
group 1 was approximately 10.969% per annum; the mortgage rates of the home
equity loans in loan group 1 ranged from 6.940% to 15.450% per annum; the
weighted average original loan-to-value ratio was approximately 75.35%; the
weighted average original term to maturity was approximately 344 months; the
weighted average remaining term to maturity was approximately 343 months; and
the remaining terms to maturity ranged from 60 months to 360 months. Home equity
loans in loan group 1 containing "balloon" payments represented approximately
0.60% of the outstanding principal balance of the home equity loans in loan
group 1 as of the Subsequent Cut-off Date. No home equity loan in loan group 1
will mature later than November, 2030. As of the Subsequent Cut-off Date, none
of the home equity loans in loan group 1 were more than 30 days past due.
However, investors in the offered certificates should be aware that
approximately 31.47% of the outstanding principal balance of the home equity
loans in loan group 1 had a first monthly payment due on or after October 1,
2000 and it was not possible for such home equity loans to be more than 30 days
past due as of the Subsequent Cut-off Date.
Set forth below is approximate statistical information as of the
Subsequent Cut-off Date regarding the home equity loans in loan group 1. The sum
of the percentage columns in the following tables may not equal 100% due to
rounding.
LOAN GROUP 1
PRINCIPAL BALANCES AT ORIGINATION
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Principal Balance at Origination Home Equity Loans Principal Balance Principal Balance
-------------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 10,000.00 1 $ 10,000 0.00%
$ 10,000.01 - $ 20,000.00 47 905,550 0.24
$ 20,000.01 - $ 30,000.00 332 8,728,132 2.32
$ 30,000.01 - $ 40,000.00 483 17,207,758 4.58
$ 40,000.01 - $ 50,000.00 552 25,115,661 6.69
$ 50,000.01 - $ 60,000.00 555 30,786,218 8.20
$ 60,000.01 - $ 70,000.00 457 29,715,562 7.91
$ 70,000.01 - $ 80,000.00 328 24,579,676 6.54
$ 80,000.01 - $ 90,000.00 237 20,157,557 5.37
$ 90,000.01 - $ 100,000.00 199 19,045,777 5.07
$ 100,000.01 - $ 110,000.00 170 17,914,240 4.77
$ 110,000.01 - $ 120,000.00 143 16,466,412 4.38
$ 120,000.01 - $ 130,000.00 114 14,289,342 3.80
$ 130,000.01 - $ 140,000.00 99 13,372,450 3.56
$ 140,000.01 - $ 150,000.00 94 13,661,218 3.64
$ 150,000.01 - $ 160,000.00 67 10,398,744 2.77
5
<PAGE>
$ 160,000.01 - $ 170,000.00 60 9,884,565 2.63
$ 170,000.01 - $ 180,000.00 48 8,404,732 2.24
$ 180,000.01 - $ 190,000.00 40 7,429,855 1.98
$ 190,000.01 - $ 200,000.00 29 5,685,500 1.51
$ 200,000.01 - $ 210,000.00 27 5,548,496 1.48
$ 210,000.01 - $ 220,000.00 32 6,894,670 1.84
$ 220,000.01 - $ 230,000.00 23 5,197,490 1.38
$ 230,000.01 - $ 240,000.00 20 4,702,587 1.25
$ 240,000.01 - $ 250,000.00 9 2,206,150 0.59
$ 250,000.01 - $ 350,000.00 95 27,583,824 7.34
$ 350,000.01 - $ 450,000.00 43 16,697,970 4.45
$ 450,000.01+ 26 12,973,870 3.45
----- ------------ ------
Total 4,330 $375,564,005 100.00%
===== ============ ======
</TABLE>
6
<PAGE>
LOAN GROUP 1
REMAINING PRINCIPAL BALANCES AS OF THE SUBSEQUENT CUT-OFF DATE
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Remaining Principal Balance Home Equity Loans Principal Balance Principal Balance
--------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 10,000.00 3 $ 24,599 0.01%
$ 10,000.01 - $ 20,000.00 46 879,612 0.23
$ 20,000.01 - $ 30,000.00 333 8,735,875 2.33
$ 30,000.01 - $ 40,000.00 484 17,230,425 4.59
$ 40,000.01 - $ 50,000.00 553 25,136,504 6.70
$ 50,000.01 - $ 60,000.00 551 30,541,018 8.14
$ 60,000.01 - $ 70,000.00 458 29,745,049 7.93
$ 70,000.01 - $ 80,000.00 329 24,638,527 6.57
$ 80,000.01 - $ 90,000.00 235 19,966,916 5.32
$ 90,000.01 - $ 100,000.00 200 19,125,119 5.10
$ 100,000.01 - $ 110,000.00 171 18,016,365 4.80
$ 110,000.01 - $ 120,000.00 143 16,464,896 4.39
$ 120,000.01 - $ 130,000.00 114 14,286,598 3.81
$ 130,000.01 - $ 140,000.00 97 13,098,507 3.49
$ 140,000.01 - $ 150,000.00 95 13,793,020 3.68
$ 150,000.01 - $ 160,000.00 66 10,239,248 2.73
$ 160,000.01 - $ 170,000.00 60 9,873,438 2.63
$ 170,000.01 - $ 180,000.00 48 8,393,984 2.24
$ 180,000.01 - $ 190,000.00 41 7,615,057 2.03
$ 190,000.01 - $ 200,000.00 28 5,487,036 1.46
$ 200,000.01 - $ 210,000.00 27 5,545,566 1.48
$ 210,000.01 - $ 220,000.00 32 6,890,536 1.84
$ 220,000.01 - $ 230,000.00 23 5,190,199 1.38
$ 230,000.01 - $ 240,000.00 20 4,701,140 1.25
$ 240,000.01 - $ 250,000.00 9 2,202,687 0.59
$ 250,000.01 - $ 350,000.00 95 27,529,727 7.34
$ 350,000.01 - $ 450,000.00 43 16,681,072 4.45
$ 450,000.01+ 26 12,966,629 3.46
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
7
<PAGE>
LOAN GROUP 1
GEOGRAPHIC DISTRIBUTION BY MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
State Home Equity Loans Principal Balance Principal Balance
----- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Alabama 128 $ 8,073,266 2.15%
Alaska 6 677,473 0.18
Arizona 75 6,203,522 1.65
Arkansas 46 2,195,894 0.59
California 499 65,902,704 17.57
Colorado 133 15,013,143 4.00
Connecticut 16 2,092,119 0.56
Delaware 3 267,459 0.07
Florida 338 23,816,285 6.35
Georgia 85 6,808,415 1.82
Hawaii 60 11,861,208 3.16
Idaho 13 1,011,253 0.27
Illinois 102 9,032,739 2.41
Indiana 79 4,480,772 1.19
Iowa 39 2,172,583 0.58
Kansas 8 328,046 0.09
Kentucky 20 1,125,216 0.30
Louisiana 125 7,740,174 2.06
Maine 15 887,713 0.24
Maryland 23 2,418,190 0.64
Massachusetts 76 10,624,394 2.83
Michigan 192 13,083,180 3.49
Minnesota 52 4,991,504 1.33
Mississippi 78 4,417,234 1.18
Missouri 94 5,850,319 1.56
Montana 12 872,694 0.23
Nebraska 60 3,967,314 1.06
Nevada 25 2,598,898 0.69
New Hampshire 13 1,353,825 0.36
New Jersey 29 4,198,206 1.12
New Mexico 29 2,384,575 0.64
New York 303 36,381,703 9.70
North Carolina 144 10,363,615 2.76
North Dakota 4 346,500 0.09
Ohio 195 13,272,095 3.54
Oklahoma 98 4,700,511 1.25
Oregon 67 6,317,710 1.68
Pennsylvania 77 4,241,402 1.13
Rhode Island 13 936,517 0.25
8
<PAGE>
South Carolina 72 4,686,008 1.25
South Dakota 10 590,164 0.16
Tennessee 83 4,939,893 1.32
Texas 588 43,461,961 11.59
Utah 25 3,138,037 0.84
Vermont 1 49,300 0.01
Virginia 57 4,339,703 1.16
Washington 53 6,134,015 1.64
Washington D C 15 1,384,636 0.37
West Virginia 33 1,766,893 0.47
Wisconsin 15 1,125,661 0.30
Wyoming 4 372,704 0.10
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
9
<PAGE>
LOAN GROUP 1
CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Coupon Rate Home Equity Loans Principal Balance Principal Balance
----------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
6.500% to 6.999% 1 $ 96,400 0.03%
7.500% to 7.999% 2 180,451 0.05
8.000% to 8.499% 36 4,238,973 1.13
8.500% to 8.999% 158 21,476,176 5.73
9.000% to 9.499% 133 14,029,752 3.74
9.500% to 9.999% 560 64,717,768 17.26
10.000% to 10.499% 294 29,944,754 7.99
10.500% to 10.999% 800 80,326,417 21.42
11.000% to 11.499% 400 33,193,991 8.85
11.500% to 11.999% 679 49,303,040 13.15
12.000% to 12.499% 352 23,382,112 6.24
12.500% to 12.999% 459 30,286,317 8.08
13.000% to 13.499% 165 9,386,363 2.50
13.500% to 13.999% 176 8,966,482 2.39
14.000% to 14.499% 76 3,861,633 1.03
14.500% to 14.999% 34 1,396,466 0.37
15.000% to 15.499% 5 212,250 0.06
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
LOAN GROUP 1
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Months Remaining Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
1 to 60 1 $ 54,740 0.01%
61 to 120 34 1,791,746 0.48
121 to 180 410 25,207,846 6.72
181 to 300 107 7,246,565 1.93
301 to 360 3,778 340,698,448 90.85
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
10
<PAGE>
LOAN GROUP 1
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Original Loan-to-Value Ratio Home Equity Loans Principal Balance Principal Balance
---------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
50.00% or less 306 $ 17,189,374 4.58%
50.01% to 55.00% 112 9,810,163 2.62
55.01% to 60.00% 197 15,213,825 4.06
60.01% to 65.00% 349 27,446,838 7.32
65.01% to 70.00% 385 32,076,893 8.55
70.01% to 75.00% 623 49,007,515 13.07
75.01% to 80.00% 1,183 105,289,837 28.08
80.01% to 85.00% 1,002 97,622,796 26.03
85.01% to 90.00% 173 21,342,103 5.69
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
LOAN GROUP 1
LOAN PROGRAM
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Program Home Equity Loans Principal Balance Principal Balance
------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 3,606 $308,306,412 82.22%
Limited Documentation 115 13,416,340 3.58
Stated Income 609 53,276,592 14.21
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
LOAN GROUP 1
PURPOSE
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Purchase Home Equity Loans Principal Balance Principal Balance
-------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 1,391 $113,659,037 30.31%
Refinance Equity Take Out 2,154 186,066,852 49.62
Refinance No Cash Out 785 75,273,456 20.07
------ ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
11
<PAGE>
LOAN GROUP 1
RISK CATEGORY
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Risk Category(1) Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
A- 1,999 $200,435,037 53.45%
B 706 63,602,580 16.96
B- 661 51,384,271 13.70
C 796 48,328,490 12.89
D 168 11,248,967 3.00
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
(1) The Risk Category "A-" includes "A-1," "A-2," "A-3," "A-4" and "A-5"
credit grades. The Risk Category "B" includes "B1," "B2," "B3" and "B4"
credit grades. The Risk Category "B-" includes "B-1," "B-2," "B-3,"
"B-4" and "B-5."
LOAN GROUP 1
MORTGAGED PROPERTY TYPES
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Mortgaged Property Type Home Equity Loans Principal Balance Principal Balance
----------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
2 to 4 units 186 $ 18,340,260 4.89%
Condominium 157 13,578,654 3.62
Manufactured Home 339 21,785,509 5.81
Planned Unit Development 153 17,168,157 4.58
Single Family 3,489 303,844,969 81.03
Townhouse 6 281,795 0.08
-------- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
LOAN GROUP 1
OCCUPANCY STATUS
<TABLE>
<CAPTION>
% of Loan Group 1 by
Number of Aggregate Original Aggregate Original
Occupancy Status Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Non-Owner Occupied 445 $ 28,971,511 7.73%
Owner Occupied 3,861 344,184,627 91.78
Second Home 24 1,843,206 0.49
----- ------------ ------
Total 4,330 $374,999,345 100.00%
===== ============ ======
</TABLE>
12
<PAGE>
LOAN GROUP 2
The average outstanding principal balance of the home equity
loans in loan group 2 as of the Subsequent Cut- off Date was $123,694. As of the
Subsequent Cut-off Date, the minimum and maximum outstanding principal balance
of the home equity loans in loan group 2 as of the Subsequent Cut-off Date were
$12,500 and $996,654, respectively. As of the Subsequent Cut-off Date, the
weighted average original loan-to-value ratio of the home equity loans in loan
group 2 was approximately 78.32%; the weighted average original term to maturity
was approximately 360 months; the weighted average remaining term to maturity
was approximately 359 months; and the remaining terms to maturity ranged from
178 months to 360 months. No home equity loans in loan group 2 will mature later
than September, 2030. As of the Subsequent Cut-off Date, none of the home equity
loans in loan group 2 were more than 30 days past due. However, investors in the
Offered Certificates should be aware that approximately 16.69% of the
outstanding principal balance of the home equity loans in loan group 2 as of the
Subsequent Cut-off Date had a first monthly payment due on or after October 1,
2000 and it was not possible for such home equity loans to be more than 30 days
past due as of the Subsequent Cut-off Date.
As of the Subsequent Cut-off Date, approximately 1.10% of the
home equity loans in loan group 2 have a first Adjustment Date six months after
the date of origination of the related home equity loan ("Six-Month Adjustable
Rate Loans"). As of the Subsequent Cut-off Date, approximately 4.29%, 4.44% and
90.17%, respectively, of the home equity loans were 2/28 Adjustable Rate Loans,
3/27 Adjustable Rate Loans and 5/25 Adjustable Rate Loans. As of the Subsequent
Cut-off Date, the weighted average remaining period to the next Adjustment Date
for the Six-Month Adjustable Rate Loans was approximately 6 months; the weighted
average remaining period to the next Adjustment Date for the 2/28 Adjustable
Rate Loans was approximately 23.34 months; the weighted average remaining period
to the next Adjustment Date for the 3/27 Adjustable Rate Loans was approximately
35.56 months; the weighted average remaining period to the next Adjustment Date
for the 5/25 Adjustable Rate Loans was approximately 58.32 months; each
Six-Month Adjustable Rate Loan will have an initial payment adjustment effective
with the seventh monthly payment on such loan, a weighted average initial
interest rate adjustment cap of 1.000%, a semi-annual interest rate adjustment
cap of 0.839%, in each case, above the then current interest rate for such
Six-Month Adjustable Rate Loan and a weighted average Lifetime Cap of 6.000%
above the initial rate of such loan; each 2/28 Adjustable Rate Loan will have an
initial payment adjustment effective with the 25th monthly payment on such loan,
a weighted average initial interest rate adjustment cap of 1.038%, a semi-annual
interest rate adjustment cap of 1.000%, in each case, above the then current
interest rate for such 2/28 Adjustable Rate Loan and a weighted average Lifetime
Cap of 6.005% above the initial rate of such loan; each 3/27 Adjustable Rate
Loan will have an initial Adjustment Date effective with the 37th monthly
payment on such loan, a weighted average initial interest rate adjustment cap of
2.989%, a semi-annual interest rate adjustment cap of 1.002%, in each case,
above the then current interest rate for such 3/27 Adjustable Rate Loan and a
weighted average Lifetime Cap of 6.041% above the initial rate of such loan, and
each 5/25 Adjustable Rate Loan will have an initial Adjustment Date effective
with the 61st monthly payment on such loan, a weighted average initial interest
rate adjustment cap of 2.936%, a semi-annual interest rate adjustment cap of
1.000%, in each case, above the then current interest rate for such 5/25
Adjustable Rate Loan and a weighted average Lifetime Cap of 6.000% above the
initial rate of such loan. As of the Subsequent Cut-off Date, the weighted
average mortgage rate of the home equity loans in loan group 2 was approximately
10.676% per annum. The mortgage rates borne by the home equity loans in loan
group 2 as of the Subsequent Cut-off Date ranged from 7.740% to 14.900% per
annum. The home equity loans in loan group 2 had a weighted average gross margin
as of the Subsequent Cut-off Date of approximately 6.310%. As of the Subsequent
Cut-off Date, the gross margins for the home equity loans in loan group 2 ranged
from 4.000% to 9.063%. As of the Subsequent Cut-off Date, the maximum rates at
which interest may accrue on the home equity loans in loan group 2 (the "Maximum
Rates") ranged from 13.740% to 20.900% per annum. The home equity loans in loan
group 2 had a weighted average Maximum Rate as of the Subsequent Cut-off Date of
approximately 16.682% per annum. As of the Subsequent Cut-off Date, the minimum
rates at which interest may accrue on the home equity loans in loan group 2 (the
"Minimum Rates") ranged from 7.740% to 14.900% per annum. As of the Subsequent
Cut-off Date, the weighted average Minimum Rate on the home equity loans in loan
group 2 was approximately 10.675% per annum.
Set forth below is approximate statistical information as of
the Subsequent Cut-off Date regarding the home equity loans in loan group 2.
13
<PAGE>
LOAN GROUP 2
PRINCIPAL BALANCE AT ORIGINATION
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Principal Balance at Origination Home Equity Loans Principal Balance Principal Balance
-------------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 10,000.01 - $ 20,000.00 23 $ 447,250 0.04%
$ 20,000.01 - $ 30,000.00 200 5,245,193 0.47
$ 30,000.01 - $ 40,000.00 433 15,441,290 1.37
$ 40,000.01 - $ 50,000.00 633 28,790,059 2.56
$ 50,000.01 - $ 60,000.00 766 42,566,493 3.78
$ 60,000.01 - $ 70,000.00 760 49,756,781 4.42
$ 70,000.01 - $ 80,000.00 697 52,385,185 4.65
$ 80,000.01 - $ 90,000.00 666 56,780,269 5.04
$ 90,000.01 - $ 100,000.00 603 57,524,294 5.11
$ 100,000.01 - $ 110,000.00 510 53,518,741 4.75
$ 110,000.01 - $ 120,000.00 500 57,618,233 5.12
$ 120,000.01 - $ 130,000.00 392 49,059,637 4.36
$ 130,000.01 - $ 140,000.00 371 50,149,906 4.46
$ 140,000.01 - $ 150,000.00 305 44,340,214 3.94
$ 150,000.01 - $ 160,000.00 234 36,446,994 3.24
$ 160,000.01 - $ 170,000.00 217 35,968,384 3.20
$ 170,000.01 - $ 180,000.00 201 35,246,078 3.13
$ 180,000.01 - $ 190,000.00 146 27,084,222 2.41
$ 190,000.01 - $ 200,000.00 159 31,157,843 2.77
$ 200,000.01 - $ 210,000.00 110 22,572,132 2.01
$ 210,000.01 - $ 220,000.00 87 18,738,078 1.66
$ 220,000.01 - $ 230,000.00 80 18,000,314 1.60
$ 230,000.01 - $ 240,000.00 77 18,172,435 1.61
$ 240,000.01 - $ 250,000.00 75 18,425,443 1.64
$ 250,000.01 - $ 350,000.00 500 146,018,651 12.97
$ 350,000.01 - $ 450,000.00 216 84,923,888 7.54
$ 450,000.01 + 134 69,231,291 6.15
----- -------------- ------
Total 9,095 $1,125,609,296 100.00%
===== ============== ======
</TABLE>
14
<PAGE>
LOAN GROUP 2
REMAINING PRINCIPAL BALANCE
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Remaining Principal Balance Home Equity Loans Principal Balance Principal Balance
--------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
$ 10,000.01 - $ 20,000.00 23 $ 443,813 0.04%
$ 20,000.01 - $ 30,000.00 201 5,269,290 0.47
$ 30,000.01 - $ 40,000.00 432 15,401,258 1.37
$ 40,000.01 - $ 50,000.00 633 28,772,752 2.56
$ 50,000.01 - $ 60,000.00 767 42,604,261 3.79
$ 60,000.01 - $ 70,000.00 759 49,669,495 4.42
$ 70,000.01 - $ 80,000.00 699 52,520,610 4.67
$ 80,000.01 - $ 90,000.00 665 56,672,120 5.04
$ 90,000.01 - $ 100,000.00 603 57,502,684 5.11
$ 100,000.01 - $ 110,000.00 510 53,502,560 4.76
$ 110,000.01 - $ 120,000.00 500 57,598,242 5.12
$ 120,000.01 - $ 130,000.00 394 49,306,945 4.38
$ 130,000.01 - $ 140,000.00 368 49,737,403 4.42
$ 140,000.01 - $ 150,000.00 305 44,323,288 3.94
$ 150,000.01 - $ 160,000.00 235 36,586,209 3.25
$ 160,000.01 - $ 170,000.00 218 36,124,996 3.21
$ 170,000.01 - $ 180,000.00 201 35,244,575 3.13
$ 180,000.01 - $ 190,000.00 144 26,711,794 2.37
$ 190,000.01 - $ 200,000.00 159 31,142,521 2.77
$ 200,000.01 - $ 210,000.00 110 22,560,232 2.01
$ 210,000.01 - $ 220,000.00 88 18,946,371 1.68
$ 220,000.01 - $ 230,000.00 80 18,002,281 1.60
$ 230,000.01 - $ 240,000.00 76 17,932,300 1.59
$ 240,000.01 - $ 250,000.00 76 18,665,962 1.66
$ 250,000.01 - $ 350,000.00 499 145,699,991 12.95
$ 350,000.01 - $ 450,000.00 217 85,313,991 7.58
$ 450,000.01 + 133 68,742,627 6.11
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
15
<PAGE>
LOAN GROUP 2
GEOGRAPHIC DISTRIBUTION BY MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
State Home Equity Loans Principal Balance Principal Balance
----- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Alabama 79 $ 6,517,644 0.58%
Alaska 17 2,148,478 0.19
Arizona 214 22,747,460 2.02
Arkansas 35 2,218,664 0.20
California 1,799 353,994,212 31.47
Colorado 834 119,928,204 10.66
Connecticut 38 4,678,040 0.42
Delaware 5 358,365 0.03
Florida 323 30,772,703 2.74
Georgia 84 8,889,262 0.79
Hawaii 28 6,023,681 0.54
Idaho 71 5,994,532 0.53
Illinois 375 43,847,761 3.90
Indiana 110 7,524,229 0.67
Iowa 155 9,790,974 0.87
Kansas 56 3,482,979 0.31
Kentucky 22 1,421,332 0.13
Louisiana 78 5,653,115 0.50
Maine 42 3,628,558 0.32
Maryland 43 6,012,967 0.53
Massachusetts 231 39,266,605 3.49
Michigan 533 45,791,036 4.07
Minnesota 221 24,725,416 2.20
Mississippi 63 3,940,834 0.35
Missouri 169 11,333,142 1.01
Montana 40 3,766,233 0.33
Nebraska 157 11,078,602 0.98
Nevada 179 20,372,678 1.81
New Hampshire 27 2,689,064 0.24
New Jersey 74 11,696,852 1.04
New Mexico 68 7,813,397 0.69
New York 166 26,304,048 2.34
North Carolina 253 22,144,275 1.97
North Dakota 7 514,945 0.05
Ohio 362 28,357,185 2.52
Oklahoma 109 6,869,586 0.61
Oregon 301 37,086,130 3.30
Pennsylvania 62 4,388,126 0.39
Rhode Island 32 3,352,166 0.30
<PAGE>
South Carolina 199 16,134,883 1.43
South Dakota 22 1,820,056 0.16
Tennessee 101 8,294,423 0.74
Texas 613 56,361,244 5.01
Utah 244 29,212,020 2.60
Vermont 5 370,450 0.03
Virginia 56 5,565,457 0.49
Washington 316 43,266,093 3.85
Washington DC 12 1,544,412 0.14
West Virginia 9 599,814 0.05
Wisconsin 38 2,834,102 0.25
Wyoming 18 1,872,137 0.17
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
----- ============== ======
</TABLE>
LOAN GROUP 2
CURRENT COUPON RATES
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Coupon Rate Home Equity Loans Principal Balance Principal Balance
----------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
7.500% to 7.999% 2 $ 294,763 0.03%
8.000% to 8.499% 32 5,860,502 0.52
8.500% to 8.999% 245 44,387,512 3.95
9.000% to 9.499% 357 63,518,820 5.65
9.500% to 9.999% 1,523 249,024,563 22.14
10.000% to 10.499% 1,083 149,246,018 13.27
10.500% to 10.999% 2,150 272,492,519 24.22
11.000% to 11.499% 1,013 106,307,380 9.45
11.500% to 11.999% 1,275 120,702,002 10.73
12.000% to 12.499% 569 47,499,624 4.22
12.500% to 12.999% 536 44,919,027 3.99
13.000% to 13.499% 198 13,589,954 1.21
13.500% to 13.999% 88 5,835,645 0.52
14.000% to 14.499% 15 959,677 0.09
14.500% to 14.999% 9 360,568 0.03
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
17
<PAGE>
LOAN GROUP 2
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Months Remaining Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
121 to 180 1 $ 44,756 0.00%
181 to 300 1 41,946 0.00
301 to 360 9,093 1,124,911,871 99.99
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
PRODUCT TYPE
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Product Type Home Equity Loans Principal Balance Principal Balance
------------ ----------------- ----------------- -----------------
<S> <C> <C> <C>
2/28 LIBOR 8,132 $1,014,460,278 90.17%
3/27 LIBOR 458 49,937,166 4.44
5/25 LIBOR 436 48,261,073 4.29
6 Month /LIBOR 69 12,340,056 1.10
------- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
ORIGINAL LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Original Loan-to-Value Ratio Home Equity Loans Principal Balance Principal Balance
---------------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
50.00% or less 238 $ 22,066,862 1.96%
50.01% to 55.00% 120 11,355,002 1.01
55.01% to 60.00% 230 25,673,159 2.28
60.01% to 65.00% 571 61,327,441 5.45
65.01% to 70.00% 634 72,365,292 6.43
70.01% to 75.00% 1,269 139,959,103 12.44
75.01% to 80.00% 2,901 355,110,825 31.57
80.01% to 85.00% 2,642 353,375,330 31.41
85.01% to 90.00% 490 83,765,560 7.45
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
18
<PAGE>
LOAN GROUP 2
LOAN PROGRAM
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Program Home Equity Loans Principal Balance Principal Balance
------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 7,508 $ 903,066,402 80.27%
Limited Documentation 310 52,334,015 4.65
Stated Income 1,277 169,598,156 15.08
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
PURPOSE
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Purpose Home Equity Loans Principal Balance Principal Balance
------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 4,569 $ 537,417,552 47.77%
Refinance - Equity Take-Out 2,994 382,976,213 34.04
Refinance - No Cash Out 1,532 204,604,808 18.19
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
RISK CATEGORY
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Risk Category(1) Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
A- 3,688 $ 567,693,609 50.46%
B 1,379 168,034,220 14.94
B- 1,652 177,493,307 15.78
C 1,939 169,918,992 15.10
D 437 41,858,444 3.72
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
(1) The Risk Category "A-" includes "A-1," "A-2," "A-3," "A-4" and "A-5"
credit grades. The Risk Category "B" includes "B1," "B2," "B3" and "B4"
credit grades. The Risk Category "B-" includes "B-1," "B-2," "B-3,"
"B-4" and "B-5."
19
<PAGE>
LOAN GROUP 2
MORTGAGED PROPERTY TYPES
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Mortgaged Property Type Home Equity Loans Principal Balance Principal Balance
----------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
2 to 4 units 284 $ 41,539,865 3.69%
Condominium 508 60,363,001 5.37
Manufactured Homes 771 63,841,924 5.67
Planned Unit Development 570 101,006,010 8.98
Single Family 6,948 856,969,513 76.18
Townhouse 14 1,278,259 0.11
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
OCCUPANCY STATUS
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Occupancy Status Home Equity Loans Principal Balance Principal Balance
---------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
Non-Owner Occupied 486 $ 44,283,617 3.94%
Owner Occupied 8,562 1,073,608,564 95.43
Second Home 47 7,106,392 0.63
------- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
20
<PAGE>
LOAN GROUP 2
MONTH AND YEAR OF NEXT RATE ADJUSTMENT
<TABLE>
<CAPTION>
% of Loan Group 2 by
Month and Year of Number of Aggregate Original Aggregate Original
Next Rate Adjustment Home Equity Loans Principal Balance Principal Balance
-------------------- ----------------- ----------------- -----------------
<S> <C> <C> <C>
June 2000 2 $ 523,235 .05%
September 2000 1 74,731 .01
October 2000 1 229,752 .02
November 2000 1 67,844 .01
December 2000 16 2,636,147 .23
January 2001 14 1,553,846 .14
February 2001 17 4,053,060 .36
March 2001 18 3,269,285 .29
August 2001 1 169,621 .02
September 2001 28 3,204,703 .28
October 2001 45 4,050,357 .36
November 2001 14 1,270,818 .11
December 2001 44 5,012,734 .45
January 2002 77 8,696,807 .77
February 2002 43 6,317,289 .56
March 2002 137 20,089,774 1.79
April 2002 185 22,390,568 1.99
May 2002 307 40,313,615 3.58
June 2002 1,803 230,559,088 20.49
July 2002 2,279 282,203,703 25.08
August 2002 1,891 232,746,087 20.69
September 2002 1,284 157,741,308 14.02
October 2002 3 201,054 .02
November 2002 3 272,938 .02
December 2002 4 569,540 .05
February 2003 5 474,968 .04
March 2003 2 170,471 .02
April 2003 5 626,191 .06
May 2003 10 1,269,184 .11
June 2003 14 2,410,902 .21
July 2003 10 2,051,512 .18
August 2003 134 14,540,515 1.29
September 2003 261 26,975,853 2.40
December 2004 2 457,527 .04
January 2005 7 706,696 .06
February 2005 9 797,781 .07
March 2005 15 1,781,065 .16
April 2005 27 3,650,651 .32
May 2005 157 16,485,926 1.47
June 2005 166 18,741,559 1.67
21
<PAGE>
July 2005 53 5,639,869 0.50
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
GROSS MARGINS
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Gross Margin Home Equity Loans Principal Balance Principal Balance
------------ ----------------- ----------------- -----------------
<S> <C> <C> <C>
4.000% to 4.499% 3 $ 648,429 0.06%
4.500% to 4.999% 5 710,178 0.06
5.000% to 5.499% 199 29,385,096 2.61
5.500% to 5.999% 2,515 344,908,188 30.66
6.000% to 6.499% 2,013 222,955,944 19.82
6.500% to 6.999% 4,325 523,307,175 46.52
7.000% to 7.499% 21 1,839,360 0.16
7.500% to 7.999% 10 964,855 0.09
8.000% to 8.499% 1 70,259 0.01
8.500% to 8.999% 2 130,689 0.01
9.000% to 9.499% 1 78,400 0.01
----- --------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
LOAN GROUP 2
MAXIMUM LOAN RATES
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Maximum Rate Home Equity Loans Principal Balance Principal Balance
------------ ----------------- ----------------- -----------------
<S> <C> <C> <C>
13.500% to 13.999% 2 $ 294,763 0.03%
14.000% to 14.499% 32 5,860,502 0.52
14.500% to 14.999% 243 44,191,033 3.93
15.000% to 15.499% 357 63,518,820 5.65
15.500% to 15.999% 1,510 246,777,283 21.94
16.000% to 16.499% 1,078 148,299,736 13.18
16.500% to 16.999% 2,155 273,870,167 24.34
17.000% to 17.499% 1,011 106,246,203 9.44
17.500% to 17.999% 1,275 121,103,485 10.76
18.000% to 18.499% 571 48,225,174 4.29
18.500% to 18.999% 545 45,405,218 4.04
19.000% to 19.499% 203 13,849,509 1.23
19.500% to 19.999% 89 6,036,436 0.54
20.000% to 20.499% 15 959,677 0.09
20.500% to 20.999% 9 360,568 0.03
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
22
<PAGE>
LOAN GROUP 2
MINIMUM LOAN RATES
<TABLE>
<CAPTION>
% of Loan Group 2 by
Number of Aggregate Original Aggregate Original
Minimum Rate Home Equity Loans Principal Balance Principal Balance
------------ ----------------- ----------------- -----------------
<S> <C> <C> <C>
7.500% to 7.999% 2 $ 294,763 0.03%
8.000% to 8.499% 32 5,860,502 0.52
8.500% to 8.999% 245 44,387,512 3.95
9.000% to 9.499% 357 63,518,820 5.65
9.500% to 9.999% 1,525 249,182,610 22.15
10.000% to 10.499% 1,084 149,290,618 13.27
10.500% to 10.999% 2,149 272,401,426 24.21
11.000% to 11.499% 1,012 106,240,425 9.44
11.500% to 11.999% 1,275 120,736,152 10.73
12.000% to 12.499% 569 47,499,624 4.22
12.500% to 12.999% 535 44,840,277 3.99
13.000% to 13.499% 198 13,589,954 1.21
13.500% to 13.999% 88 5,835,645 0.52
14.000% to 14.499% 15 959,677 0.09
14.500% to 14.999% 9 360,568 0.03
----- -------------- ------
Total 9,095 $1,124,998,573 100.00%
===== ============== ======
</TABLE>
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