Exhibit 99.1
<PAGE>
The Mortgage Loans consist of approximately 64 non-conforming,
fixed-rate Mortgage Loans (the " Fixed Rate Mortgage Loans" with an aggregate
Subsequent Cut-off Date Principal Balance of approximately $19,715,576 and
approximately 305 non-conforming, adjustable-rate Mortgage Loans (the
"Adjustable Rate Mortgage Loans" with an aggregate Subsequent Cut-off Date
Principal Balance of approximately $79,681,719.
Approximately 83.38% of the Mortgage Loans provide for payment by the
mortgagor of a prepayment charge in limited circumstances on certain
prepayments.
The Mortgage Loans have original terms to maturity of not greater than
30 years. The following statistical information, unless otherwise specified, is
based upon the Pool Balance.
The Mortgage Loans are secured by mortgages or deeds of trust or other
similar security instruments (each, a "Mortgage") creating first or second liens
on one- to four-family residential properties consisting of detached, attached
or semi-detached one to four-family dwelling units and individual condominium
units (each, a "Mortgaged Property").
Approximately 21.08% of the Mortgage Loans had loan-to-value ratios (or combined
loan-to-value ratios, in the case of second lien Mortgage Loans) at origination
in excess of 80%. Approximately 3.46% of the Mortgage Loans had loan-to-value
ratios (or combined loan-to-value ratios, in the case of second lien Mortgage
Loans) at origination greater than 90% but no Mortgage Loan had a loan-to-value
ratio (or combined loan-to-value ratio, in the case of any second lien Mortgage
Loan) at origination more than 99.74%. There can be no assurance that the
loan-to-value ratio of any Mortgage Loan determined at any time after
origination is less than or equal to its original loan-to-value ratio.
Additionally, the Originator's determination of the value of a mortgaged
property used in the calculation of the original loan-to-value ratios of the
Mortgage Loans may differ from the appraised value of such mortgaged property or
the actual value of such mortgaged property at origination.
Approximately 1.58% of the Mortgage Loans are secured by second liens
on the related Mortgaged Property.
There are 25 Mortgage Loans (representing approximately 7.04% of the
Pool Balance) that are balloon payment mortgage loans (each, a "Balloon Loan").
The monthly payment for each Balloon Loan amortizes over 360 months, but the
final payment (the "Balloon Payment") is due on the 180th month. The amount of
the balloon payment on each Balloon Loan is substantially in excess of the
amount of the scheduled monthly payment for such Mortgage Loan.
Generally, the Adjustable Rate Mortgage Loans provide for semi-annual
adjustment to the loan rate (the "Loan Rate") thereon and for corresponding
adjustments to the monthly payment amount due thereon, in each case on each
adjustment date applicable thereto (each such date, an "Adjustment Date");
provided, that the first adjustment for such Mortgage Loans will occur after a
period of two years in the case of 92.48% of the Adjustable Rate Mortgage Loans
and three years in the case of 7.02% of the Adjustable Rate Mortgage Loans (each
such Mortgage Loan, a "Delayed First Adjustment Mortgage Loan"), in each case by
aggregate principal balance of the Adjustable Rate Mortgage Loans as of the
Subsequent Cut-off Date. On each Adjustment Date for each Adjustable Rate
Mortgage Loan, the Loan Rate thereon will be adjusted to equal the sum, rounded
to the nearest or next highest multiple of 0.125%, of Six-Month LIBOR (as
defined below) and a fixed percentage amount (the "Gross Margin"). The Loan Rate
on any such Adjustable Rate Mortgage Loan will not decrease on the first related
Adjustment Date, will not increase by more than an amount set forth in the
related mortgage note, which is not more than 3.000% per annum on the first
related Adjustment Date (the "Periodic Rate Cap") and will not increase or
decrease by more than 1.000% on any Adjustment Date thereafter (the "Periodic
Rate Cap"). The Adjustable Rate Mortgage Loans have an initial weighted average
Periodic Rate Cap of approximately 2.990% per annum and a weighted average
Periodic Rate Cap of approximately 1.000% per annum thereafter. Each Loan Rate
on each such Adjustable Rate Mortgage Loan will not exceed a specified maximum
Loan Rate over the life of such Adjustable Rate Mortgage Loan (the "Maximum Loan
Rate") or be less than a specified minimum Loan Rate over the life of such
Adjustable Rate Mortgage Loan (the "Minimum Loan Rate"). Effective with the
first monthly payment due on each Adjustable Rate Mortgage 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
Mortgage Loan over its remaining term, and pay interest at the Loan Rate as so
adjusted. Due to the application of the Periodic Rate Caps and the Maximum Loan
Rates, the Loan Rate on each such Mortgage Loan, as adjusted on any related
Adjustment Date, may be less than the sum of the Index and the related Gross
Margin, rounded as described
<PAGE>
herein. See "--The Index" herein. None of the Adjustable Rate Mortgage Loans
will permit the related mortgagor to convert the adjustable Loan Rate thereon to
a fixed Loan Rate.
Each Adjustable Rate Mortgage Loan accrues interest at a Loan Rate of
not less than 7.650% per annum and not more than 13.990% per annum and as of the
Subsequent Cut-off Date, the weighted average Loan Rate of the Adjustable Rate
Mortgage Loans was approximately 10.276% per annum. As of the Subsequent Cut-off
Date, the Adjustable Rate Mortgage Loans had Gross Margins ranging from 3.050%
per annum to 7.990% per annum, Minimum Loan Rates ranging from 7.650% per annum
to 13.990% per annum and Maximum Loan Rates ranging from 13.650% per annum to
19.990% per annum. As of the Subsequent Cut-off Date, the weighted average Gross
Margin of the Adjustable Rate Mortgage Loans was approximately 5.530% per annum,
the weighted average Minimum Loan Rate of the Adjustable Rate Mortgage Loans was
approximately 10.276% per annum and the weighted average Maximum Loan Rate of
the Adjustable Rate Mortgage Loans was approximately 16.276% per annum. The
latest next Adjustment Date following the Subsequent Cut-off Date on any
Adjustable Rate Mortgage Loan occurs in November, 2003 and the weighted average
time until the next Adjustment Date for all of the Adjustable Rate Mortgage
Loans is approximately 23 months.
Each Fixed Rate Mortgage Loan accrues interest at a Loan Rate of not
less than 8.375% per annum and not more than 14.275% per annum and as of the
Subsequent Cut-off Date, the weighted average Loan Rate of the Fixed Rate
Mortgage Loans was approximately 10.521% per annum.
The weighted average remaining term to maturity of the Mortgage Loans
will be approximately 340 months as of the Subsequent Cut-off Date. None of the
Mortgage Loans had a first Due Date prior to June, 2000 or after January, 2001
or will have a remaining term to maturity of less than 174 months or greater
than 30 years as of the Subsequent Cut-off Date. The latest maturity date of any
Mortgage Loan is December, 2030.
The average Principal Balance of the Mortgage Loans at origination was
approximately $269,704. The average Subsequent Cut-off Date Principal Balance of
the Mortgage Loans was approximately $269,369.
No Mortgage Loan had a Subsequent Cut-off Date Principal Balance of
greater than approximately $891,026 or less than approximately $22,481. The
Mortgage Loans are expected to have the following characteristics as of the
Subsequent Cut-off Date (the sum in any column may not equal the total indicated
due to rounding):
<PAGE>
<TABLE>
<CAPTION>
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCES OF THE MORTGAGE LOANS (1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
PRINCIPAL BALANCE ($) OF MORTGAGE LOANS DATE DATE
--------------------- ----------------- ---- ----
<S> <C> <C> <C>
22,481 - 50,000...... 29 $ 1,049,175.94 1.06%
50,001 - 100,000...... 35 2,490,311.02 2.51
100,001 - 150,000...... 32 4,025,456.42 4.05
150,001 - 200,000...... 13 2,172,084.98 2.19
200,001 - 250,000...... 13 3,134,194.61 3.15
250,001 - 300,000...... 91 25,144,750.72 25.30
300,001 - 350,000...... 87 28,672,621.72 28.85
350,001 - 400,000...... 23 8,701,248.52 8.75
400,001 - 450,000...... 18 7,685,270.90 7.73
450,001 - 500,000...... 12 5,861,421.88 5.90
500,001 - 550,000...... 2 1,058,309.25 1.06
550,001 - 600,000...... 4 2,240,285.62 2.25
600,001 - 650,000...... 2 1,291,158.27 1.30
650,001 - 700,000...... 4 2,780,130.69 2.80
700,001 - 750,000...... 3 2,199,847.18 2.21
850,001 - 891,026...... 1 891,026.47 0.90
--- ------------- ------
Total............ 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
-----------------
(1) The average Subsequent Cut-off Date Principal Balance of the Mortgage
Loans was approximately $269,369.
<TABLE>
<CAPTION>
CREDIT SCORES FOR THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
CREDIT SCORE OF MORTGAGE LOANS DATE DATE
------------ ----------------- ---- ----
<S> <C> <C> <C>
Not Available................. 5 $ 880,925.14 0.89%
401 - 450..................... 1 50,314.25 0.05
451 - 500..................... 5 694,881.29 0.70
501 - 550..................... 105 24,881,659.07 25.03
551 - 600..................... 121 32,387,170.89 32.58
601 - 650..................... 91 28,341,457.85 28.51
651 - 700..................... 32 9,615,330.42 9.67
701 - 750..................... 6 1,672,245.79 1.68
751 - 792..................... 3 873,309.49 0.88
--- ------------- -----
Total................... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CREDIT GRADES FOR THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
CREDIT GRADE OF MORTGAGE LOANS DATE DATE
------------ ----------------- ---- ----
<S> <C> <C> <C>
AA+........................... 12 $ 3,815,005.75 3.84%
AA............................ 161 47,964,641.02 48.26
A............................. 91 25,723,184.25 25.88
B............................. 83 17,935,371.26 18.04
C............................. 13 1,977,298.56 1.99
CC............................ 9 1,981,793.35 1.99
--- ------------- ------
Total................... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
ORIGINAL TERM (MONTHS) OF MORTGAGE LOANS DATE DATE
---------------------- ----------------- ---- ----
<S> <C> <C> <C>
180........................... 36 $ 9,635,735.16 9.69%
240........................... 3 425,470.54 0.43
360........................... 330 89,336,088.49 89.88
--- ------------- ------
Total............... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
--------------------
(1) The weighted average Original Term to Maturity of the Mortgage Loans
was approximately 342 months.
<PAGE>
<TABLE>
<CAPTION>
REMAINING TERMS TO MATURITY OF THE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
REMAINING TERM (MONTHS) OF MORTGAGE LOANS DATE DATE
----------------------- ----------------- ---- ----
<S> <C> <C> <C>
174 - 174..................... 3 $ 1,240,954.36 1.25%
175 - 180..................... 33 8,394,780.80 8.45
235 - 240..................... 3 425,470.54 0.43
349 - 354..................... 4 503,645.67 0.51
355 - 360..................... 326 88,832,442.82 89.37
--- ------------- ------
Total................. 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
--------------------
(1) The weighted average Remaining Term to Maturity of the Mortgage Loans
was approximately 340 months.
<TABLE>
<CAPTION>
PROPERTY TYPES OF THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
PROPERTY TYPE OF MORTGAGE LOANS DATE DATE
------------- ----------------- ---- ----
<S> <C> <C> <C>
Single Family Detached........ 280 $72,993,230.38 73.44%
PUD Detached(1)............... 58 18,161,360.03 18.27
2-4 Units Detached............ 14 3,611,992.36 3.63
Condo Low-Rise Attached....... 7 2,320,102.73 2.33
Single Family Attached........ 4 907,601.03 0.91
2-4 Units Attached............ 1 449,824.23 0.45
Condo High-Rise Attached...... 2 383,498.34 0.39
Condo Low-Rise Detached....... 1 287,657.34 0.29
Manufactured Housing.......... 1 159,733.86 0.16
PUD Attached(1)............... 1 122,293.89 0.12
--- ------------- ------
Total............... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
--------------------
(1) PUD refers to a home or "unit" in a Planned Unit Development.
<PAGE>
<TABLE>
<CAPTION>
OCCUPANCY STATUS OF THE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
OCCUPANCY STATUS OF MORTGAGE LOANS DATE DATE
---------------- ----------------- ---- ----
<S> <C> <C> <C>
Primary....................... 357 $96,921,479.99 97.51%
Non-owner..................... 9 1,486,769.14 1.50
Second Home................... 3 989,045.06 1.00
--- ------------- ------
Total............... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
--------------------
(1) Occupancy as represented by the mortgagor at the time of origination.
<TABLE>
<CAPTION>
PURPOSE OF THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
PURPOSE OF MORTGAGE LOANS DATE DATE
------- ----------------- ---- ----
<S> <C> <C> <C>
Cash Out Refinance............ 183 $50,961,881.97 51.27%
Purchase...................... 144 38,036,768.07 38.27
Rate/Term Refinance........... 42 10,398,644.15 10.46
--- ------------- ------
Total............... 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS(1)(2)(3)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT OFF
RATIO(%) OF MORTGAGE LOANS DATE DATE
---------------------- ----------------- ---- ----
<S> <C> <C> <C>
21.19 - 25.00........... 2 $ 62,972.82 0.06%
25.01 - 30.00........... 1 38,981.42 0.04
30.01 - 35.00........... 3 475,551.20 0.48
35.01 - 40.00........... 7 269,699.12 0.27
40.01 - 45.00........... 9 1,067,187.21 1.07
45.01 - 50.00........... 12 1,392,451.14 1.40
50.01 - 55.00........... 4 989,637.17 1.00
55.01 - 60.00........... 14 4,595,677.78 4.62
60.01 - 65.00........... 17 6,124,351.54 6.16
65.01 - 70.00........... 38 12,793,957.43 12.87
70.01 - 75.00........... 49 13,876,174.48 13.96
75.01 - 80.00........... 131 36,760,529.93 36.98
80.01 - 85.00........... 18 4,952,235.00 4.98
85.01 - 90.00........... 50 12,555,584.07 12.63
90.01 - 95.00........... 11 2,885,078.98 2.90
95.01 - 99.74........... 3 557,224.90 0.56
--- ------------- ------
Total................ 369 $99,397,294.19 100.00%
=== ============= ======
</TABLE>
------------------
(1) The weighted average original loan-to-value ratio of the Mortgage Loans
as of the Subsequent Cut-off Date was approximately 76.07%.
(2) For a description of the determination of loan-to-value ratio by the
Master Servicer see "Option One Mortgage Corporation--Underwriting
Standards" herein.
(3) References to loan-to-value ratios are references to combined
loan-to-value ratios with respect to second lien Mortgage Loans.
<PAGE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES(1)
% of Aggregate
Principal Balance Principal Balance
Outstanding as of Outstanding as of
Number the Subsequent Cut-off the Subsequent Cut-off
Location of Mortgage Loans Date Date
------------------------------ ------------------ ---------------------- ----------------------
<S> <C> <C> <C>
Arizona....................... 1 $ 258,755.69 0.26%
California.................... 113 37,139,399.23 37.36
Colorado...................... 8 2,064,890.03 2.08
Connecticut................... 13 2,717,567.36 2.73
Florida....................... 24 6,591,603.86 6.63
Georgia....................... 6 1,598,696.80 1.61
Idaho......................... 2 166,967.55 0.17
Illinois...................... 15 3,790,463.37 3.81
Indiana....................... 3 145,850.50 0.15
Kentucky...................... 3 142,919.17 0.14
Louisiana..................... 1 349,403.91 0.35
Maryland...................... 17 5,740,323.79 5.78
Massachusetts................. 22 5,915,459.71 5.95
Michigan...................... 12 1,937,572.11 1.95
Minnesota..................... 5 1,266,318.95 1.27
Missouri...................... 6 539,124.07 0.54
Nevada........................ 4 850,805.98 0.86
New Hampshire................. 4 1,149,489.12 1.16
New Jersey.................... 15 4,305,673.41 4.33
New York...................... 28 9,189,692.48 9.25
North Carolina................ 2 440,283.13 0.44
Ohio.......................... 10 598,653.63 0.60
Oregon........................ 1 349,899.63 0.35
Pennsylvania.................. 12 1,428,925.12 1.44
Rhode Island.................. 3 776,787.48 0.78
South Carolina................ 1 67,109.73 0.07
Tennessee..................... 5 1,490,002.62 1.50
Texas......................... 9 2,254,327.71 2.27
Utah.......................... 1 302,168.20 0.30
Virginia...................... 11 2,846,813.89 2.86
Washington.................... 9 2,516,861.75 2.53
Wisconsin..................... 3 464,484.21 0.47
--- -------------- ------
Total 369 $99,397,294.19 100.00%
=== ============== ======
</TABLE>
-------------------
(1) THE GREATEST ZIP CODE GEOGRAPHIC CONCENTRATION OF MORTGAGE LOANS, BY
SUBSEQUENT CUT-OFF DATE PRINCIPAL BALANCE, WAS APPROXIMATELY 1.19% IN THE
94550 ZIP CODE.
<PAGE>
<TABLE>
<CAPTION>
DOCUMENTATION LEVEL OF THE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT OFF THE SUBSEQUENT CUT-OFF
DOCUMENTATION LEVEL OF MORTGAGE LOANS DATE DATE
--------------------------------------- ---------------------- ------------------------ -----------------------
<S> <C> <C> <C>
Full Documentation..................... 214 $57,246,181.15 57.59%
Stated Income Documentation............ 143 39,116,796.02 39.35
Lite Documentation..................... 12 3,034,317.02 3.05
--- -------------- ------
Total............................. 369 $99,397,294.19 100.00%
=== ============== ======
</TABLE>
--------------------
(1) For a description of each Documentation Level, see "Option One Mortgage
Corporation--Underwriting Standards" herein.
<TABLE>
<CAPTION>
LOAN RATES OF THE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
CURRENT LOAN RATE (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
7.650 - 8.000.......... 3 $ 911,535.70 0.92%
8.001 - 9.000.......... 45 15,601,674.00 15.70
9.001 - 10.000........... 100 31,597,005.08 31.79
10.001 - 11.000........... 100 24,238,349.02 24.39
11.001 - 12.000........... 79 18,602,343.48 18.72
12.001 - 13.000........... 34 7,117,991.26 7.16
13.001 - 14.000........... 7 995,687.03 1.00
14.001 - 14.275........... 1 332,708.62 0.33
--- -------------- ------
Total............ 369 $99,397,294.19 100.00%
=== ============== ======
</TABLE>
------------------
(1) The weighted average Loan Rate of the Mortgage Loans as of the Subsequent
Cut-off Date was approximately 10.324% per annum.
<PAGE>
<TABLE>
<CAPTION>
MAXIMUM LOAN RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
MAXIMUM LOAN RATE (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
13.650 - 14.000....... 3 $ 911,535.70 1.14%
14.001 - 15.000....... 36 12,479,150.16 15.66
15.001 - 16.000....... 83 25,511,671.56 32.02
16.001 - 17.000....... 86 20,514,774.73 25.75
17.001 - 18.000....... 66 14,599,468.77 18.32
18.001 - 19.000....... 27 5,363,145.41 6.73
19.001 - 19.990....... 4 301,972.35 0.38
--- -------------- ------
Total........... 305 $79,681,718.68 100.00%
=== ============== ======
</TABLE>
------------------
(1) The weighted average Maximum Loan Rate of the Adjustable Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 16.276% per
annum.
<PAGE>
<TABLE>
<CAPTION>
MINIMUM LOAN RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
MINIMUM LOAN RATE (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
7.650 - 8.000........ 3 $ 911,535.70 1.14%
8.001 - 9.000........ 36 12,479,150.16 15.66
9.001 - 10.000........ 83 25,511,671.56 32.02
10.001 - 11.000........ 86 20,514,774.73 25.75
11.001 - 12.000........ 66 14,599,468.77 18.32
12.001 - 13.000........ 27 5,363,145.41 6.73
13.001 - 13.990........ 4 301,972.35 0.38
--- -------------- ------
Total................ 305 $79,681,718.68 100.00%
=== ============== ======
</TABLE>
--------------------
(1) The weighted average Minimum Loan Rate of the Adjustable Rate Mortgage
Loans as of the Subsequent Cut-off Date was approximately 10.276% per
annum.
<TABLE>
<CAPTION>
GROSS MARGINS OF THE ADJUSTABLE RATE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
GROSS MARGINS (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
3.050 - 5.000.............. 73 $21,114,672.82 26.50%
5.001 - 7.990.............. 232 58,567,045.86 73.50
--- -------------- ------
Total.............. 305 $79,681,718.68 100.00%
=== ============== ======
</TABLE>
------------------
(1) The weighted average Gross Margin of the Adjustable Rate Mortgage Loans as
of the Subsequent Cut-off Date was approximately 5.530% per annum.
<PAGE>
<TABLE>
<CAPTION>
NEXT ADJUSTMENT DATE FOR THE ADJUSTABLE RATE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
RATE CHANGE DATE OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
03/01/01..................... 1 $ 331,660.57 0.42%
04/01/01..................... 1 65,955.71 0.08
06/01/02..................... 1 107,536.49 0.13
07/01/02..................... 3 478,819.31 0.60
08/01/02..................... 23 4,464,718.69 5.60
09/01/02..................... 49 11,378,056.17 14.28
10/01/02..................... 109 28,721,398.78 36.05
11/01/02..................... 99 28,539,510.14 35.82
05/01/03..................... 1 135,192.59 0.17
06/01/03..................... 2 260,916.59 0.33
07/01/03..................... 1 560,984.99 0.70
09/01/03..................... 2 371,353.14 0.47
10/01/03..................... 5 1,999,106.25 2.51
11/01/03..................... 8 2,266,509.26 2.84
--- -------------- ------
Total.................... 305 $79,681,718.68 100.00%
=== ============== ======
</TABLE>
<TABLE>
<CAPTION>
SUBSEQUENT PERIODIC RATE CAPS OF THE ADJUSTABLE RATE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
SUBSEQUENT PERIODIC RATE NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
CAP (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
1.000......................... 305 $79,681,718.68 100.00%
--- ------------- ------
Total.............. 305 $79,681,718.68 100.00%
=== ============== ======
</TABLE>
------------------
(1) Relates solely to rate adjustments.
<PAGE>
<TABLE>
<CAPTION>
INITIAL PERIODIC RATE CAPS OF THE ADJUSTABLE RATE MORTGAGE LOANS(1)
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
OUTSTANDING AS OF OUTSTANDING AS OF
NUMBER THE SUBSEQUENT CUT-OFF THE SUBSEQUENT CUT-OFF
INITIAL PERIODIC RATE CAP (%) OF MORTGAGE LOANS DATE DATE
------------------------------ ----------------- ---------------------- ----------------------
<S> <C> <C> <C>
1.000............................ 2 $ 397,616.28 0.50%
3.000............................ 303 79,284,102.40 99.50
--- --------------- ------
Total.............. 305 $ 79,681,718.68 100.00%
=== =============== ======
</TABLE>
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(1) Relates to all rate adjustments subsequent to rate adjustments.
