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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): June 8, 1999
MORGAN STANLEY CAPITAL I INC.
-----------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-45467 13-3291626
- ---------------------------- ----------- ----------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
1585 Broadway
New York, New York 10036
- --------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 703-4000
--------------
________________________________________________________________________________
<PAGE>
Item 5. Other Events.
- ---- ------------
Filing of Computational Materials
- ---------------------------------
In connection with the proposed offering of the Banc One Financial
Services Home Equity Loan Trust 1999-2, Home Equity Loan Asset Backed
Certificates, Series 1999-2 (the "Certificates"), Morgan Stanley & Co.
Incorporated, as representative of the underwriters (the "Representative"),
has prepared certain materials (the "Series Term Sheet" including the
"Computational Materials") for distribution to potential investors. Although
Morgan Stanley Capital I Inc. (the "Company") provided the Representative with
certain information regarding the characteristics of the mortgage loans (the
"Mortgage Loans") in the related portfolio, the Company did not participate in
the preparation of the Computational Materials.
For purposes of this Form 8-K, "Computational Materials" shall mean
computer generated tables and/or charts displaying, with respect to the
Certificates, any of the following: yield; average life; duration, expected
maturity; interest rate sensitivity; loss sensitivity; cash flow
characteristics; background information regarding the Mortgage Loans; the
proposed structure; decrement tables; or similar information (tabular or
otherwise) of a statistical, mathematical, tabular or computational nature.
The Series Term Sheet including Computational Materials is attached hereto as
Exhibit 99.1.
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Series Term Sheet including Computational Materials, filed
on Form 8-K dated June 8, 1999.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
as amended, the registrant has duly caused this report to be signed on its
behalf by the undersigned hereunto duly authorized.
MORGAN STANLEY CAPITAL I INC.
By: /s/ Sanjeev Khanna
------------------------------------------
Sanjeev Khanna
Vice President
Dated: June 11, 1999
<PAGE>
Exhibit Index
-------------
Exhibit
- -------
99.1 Series Term Sheet including Computational Materials, filed
on Form 8-K dated June 8, 1999
<PAGE>
Exhibit 99.1
------------
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Banc One Financial Services, Inc. with respect to the
expected characteristics of the pool of home equity loans in which the related
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in
nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is
very unlikely that the loans will prepay at a constant rate or follow a
predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS
TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information
is available upon request. These materials do not constitute an offer to buy
or sell or a solicitation of an offer to buy or sell any security or
instrument or to participate in any particular trading strategy. ANY SUCH
OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE
PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD
CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF
ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In
the event of any such offering, these materials, including any description of
the loans contained herein, shall be deemed superseded, amended and
supplemented in their entirety by such Prospectus and Prospectus Supplement.
To Our Readers Worldwide: In addition, please note that this information has
been provided by Morgan Stanley & Co. Incorporated and approved by Morgan
Stanley & Co. International Limited, a member of the Securities and Futures
Authority, and Morgan Stanley Japan Ltd. We recommend that investors obtain
the advice of their Morgan Stanley & Co. International Limited or Morgan
Stanley Japan Ltd. representative about the investment concerned. NOT FOR
DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND
FUTURES AUTHORITY.
COMPUTATIONAL MATERIALS
$375,507,000
(APPROXIMATE)
BANC ONE FINANCIAL SERVICES
HOME EQUITY LOAN TRUST 1999-2
HOME EQUITY LOAN ASSET BACKED CERTIFICATES
<PAGE>
$375,507,000 BANC ONE FINANCIAL SERVICES HOME EQUITY LOAN TRUST 1999-2
BANK ONE, INDIANA, NATIONAL ASSOCIATION -- MASTER SERVICER
TRANSACTION HIGHLIGHTS
<TABLE>
<CAPTION>
EXPECTED MODIFIED PAYMENT
RATINGS AVG LIFE DURATION WINDOW
(S&P/ TO CALL / TO CALL / TO CALL/ PRICE
CLASS(1) DESCRIPTION MOODY'S) BALANCE MTY(1)(2) MTY(1)(2) MTY(1)(2) DAY COUNT BENCHMARK TALK
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 FRM Fixed SEQ AAA/Aaa $185,429,000 0.80 / 0.80 0.75 / 0.75 20 / 20 30/360 +
A-2 FRM Fixed SEQ AAA/Aaa 56,388,000 2.00 / 2.00 1.82 / 1.82 10 / 10 30/360 +
A-3 FRM Fixed SEQ AAA/Aaa 47,183,000 3.00 / 3.00 2.63 / 2.63 16 / 16 30/360 +
A-4 FRM Fixed SEQ AAA/Aaa 15,404,000 4.00 / 4.00 3.39 / 3.39 9 / 9 30/360 +
A-5 FRM Fixed SEQ AAA/Aaa 20,133,000 5.00 / 5.00 4.07 / 4.07 21 / 21 30/360 +
A-6 FRM Fixed SEQ AAA/Aaa 12,058,000 7.13 / 8.90 5.34 / 6.22 19 / 79 30/360 +
A-7 FRM NAS Class AAA/Aaa 38,912,000 5.85 / 6.04 4.59 / 4.70 54 / 112 30/360 +
</TABLE>
Notes: (1) The certificates are priced to the 5% optional clean-up call.
(2) Based on the pricing prepayment speed. See details below.
SELLER: Banc One Financial Services, Inc.
MASTER SERVICER: Bank One, Indiana, National Association
DEPOSITOR: Morgan Stanley Capital I Inc.
TRUSTEE: Norwest Bank Minnesota, National Association
MANAGERS: MORGAN STANLEY DEAN WITTER (BOOKRUNNER), Banc
One Capital Markets, Inc. (co-lead manager)
EXPECTED PRICING DATE: June 10, 1999.
EXPECTED SETTLEMENT DATE: June 17, 1999 through DTC, Euroclear, and
Cedelbank. Settles with accrued interest.
DISTRIBUTION DATES: The 25th of each month, beginning July,1999.
MORTGAGE LOANS: The Trust will consist of conventional,
fixed-rate, one- to four-family home equity
mortgage loans.
PRICING PREPAYMENT SPEED: The certificates assume 120% PPC which
equates to a ramped CPR starting at 6.0% CPR
in the first month increasing to 30.0% CPR
over 12 months, and remaining at 30.0% CPR
thereafter on a seasoning adjusted basis.
100% PPC would equate to a ramped CPR
starting at 5.0% CPR in the first month
increasing to 25.0% CPR over 12 months, and
remaining at 25.0% CPR thereafter on a
seasoning adjusted basis.
CREDIT ENHANCEMENT: Each of the Certificates is credit enhanced by
a 100% AMBAC guaranty and overcollateraliza-
tion.
<PAGE>
CLASS A-7
FIXED RATE NAS CERTIFICATES: The Class A-7 fixed rate NAS class pays
according to the following schedule (of its
pro-rata share):
JULY 1999 - JUNE 2002: 0% JULY 2005 - JUNE 2006: 100%
JULY 2002 - JUNE 2004: 45% JULY 2006 AND THEREAFTER: 300%
JULY 2004 - JUNE 2005: 80%
OPTIONAL CLEAN-UP CALL: 5% of original pool balance. The Certificates
are priced to the 5% optional clean-up call
date.
AVAILABLE FUNDS: The Class A-6 Certificates may be subject to
available funds.
TRUST TAX STATUS: REMIC Trust.
ERISA ELIGIBILITY: The Certificates are expected to be ERISA
eligible.
SMMEA ELIGIBILITY: None of the Certificates are SMMEA eligible.
<PAGE>
<TABLE>
<CAPTION>
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO CALL)
PPC % 0 50 100 120 150 200 250
CLASS A-1
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 5.38 1.59 0.93 0.80 0.66 0.52 0.43
Mod Duration 4.21 1.45 0.87 0.75 0.63 0.50 0.42
First Prin 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999
Last Prin 9/25/2010 12/25/2002 5/25/2001 2/25/2001 10/25/2000 6/25/2000 3/25/2000
Payment Window 135 42 23 20 16 12 9
CLASS A-2
Average Life 12.86 4.48 2.41 2.00 1.60 1.17 0.92
Mod Duration 8.41 3.76 2.16 1.82 1.47 1.10 0.87
First Prin 9/25/2010 12/25/2002 5/25/2001 2/25/2001 10/25/2000 6/25/2000 3/25/2000
Last Prin 8/25/2013 2/25/2005 5/25/2002 11/25/2001 5/25/2001 11/25/2000 7/25/2000
Payment Window 36 27 13 10 8 6 5
CLASS A-3
Average Life 16.87 7.41 3.67 3.00 2.25 1.61 1.22
Mod Duration 9.74 5.63 3.15 2.63 2.03 1.48 1.14
First Prin 8/25/2013 2/25/2005 5/25/2002 11/25/2001 5/25/2001 11/25/2000 7/25/2000
Last Prin 7/25/2019 3/25/2009 12/25/2003 2/25/2003 4/25/2002 4/25/2001 11/25/2000
Payment Window 72 50 20 16 12 6 5
CLASS A-4
Average Life 22.02 10.69 4.93 4.00 3.02 1.95 1.47
Mod Duration 10.95 7.32 4.05 3.39 2.64 1.77 1.35
First Prin 7/25/2019 3/25/2009 12/25/2003 2/25/2003 4/25/2002 4/25/2001 11/25/2000
Last Prin 2/25/2023 2/25/2011 11/25/2004 10/25/2003 9/25/2002 7/25/2001 12/25/2000
Payment Window 44 24 12 9 6 4 2
CLASS A-5
Average Life 25.69 12.99 6.78 5.00 3.70 2.20 1.65
Mod Duration 11.41 8.20 5.18 4.07 3.15 1.98 1.51
First Prin 2/25/2023 2/25/2011 11/25/2004 10/25/2003 9/25/2002 7/25/2001 12/25/2000
Last Prin 5/25/2026 5/25/2013 4/25/2008 6/25/2005 9/25/2003 10/25/2001 3/25/2001
Payment Window 40 28 42 21 13 4 4
CLASS A-6
Average Life 26.93 13.93 8.84 7.13 4.80 2.71 1.84
Mod Duration 11.24 8.38 6.26 5.34 3.90 2.37 1.66
First Prin 5/25/2026 5/25/2013 4/25/2008 6/25/2005 9/25/2003 10/25/2001 3/25/2001
Last Prin 5/25/2026 5/25/2013 4/25/2008 12/25/2006 6/25/2005 8/25/2002 5/25/2001
Payment Window 1 1 1 19 22 11 3
CLASS A-7
Average Life 9.27 7.15 6.22 5.85 5.15 3.89 2.42
Mod Duration 6.44 5.35 4.82 4.59 4.16 3.29 2.15
First Prin 7/25/2002 7/25/2002 7/25/2002 7/25/2002 7/25/2002 7/25/2002 5/25/2001
Last Prin 5/25/2026 5/25/2013 4/25/2008 12/25/2006 6/25/2005 9/25/2003 8/25/2002
Payment Window 287 131 70 54 36 15 16
<PAGE>
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO MATURITY)
PPC % 0 50 100 120 150 200 250
CLASS A-1
Average Life 5.38 1.59 0.93 0.80 0.66 0.52 0.43
Mod Duration 4.21 1.45 0.87 0.75 0.63 0.50 0.42
First Prin 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999 7/25/1999
Last Prin 9/25/2010 12/25/2002 5/25/2001 2/25/2001 10/25/2000 6/25/2000 3/25/2000
Payment Window 135 42 23 20 16 12 9
CLASS A-2
Average Life 12.86 4.48 2.41 2.00 1.60 1.17 0.92
Mod Duration 8.41 3.76 2.16 1.82 1.47 1.10 0.87
First Prin 9/25/2010 12/25/2002 5/25/2001 2/25/2001 10/25/2000 6/25/2000 3/25/2000
Last Prin 8/25/2013 2/25/2005 5/25/2002 11/25/2001 5/25/2001 11/25/2000 7/25/2000
Payment Window 36 27 13 10 8 6 5
CLASS A-3
Average Life 16.87 7.41 3.67 3.00 2.25 1.61 1.22
Mod Duration 9.74 5.63 3.15 2.63 2.03 1.48 1.14
First Prin 8/25/2013 2/25/2005 5/25/2002 11/25/2001 5/25/2001 11/25/2000 7/25/2000
Last Prin 7/25/2019 3/25/2009 12/25/2003 2/25/2003 4/25/2002 4/25/2001 11/25/2000
Payment Window 72 50 20 16 12 6 5
CLASS A-4
Average Life 22.02 10.69 4.93 4.00 3.02 1.95 1.47
Mod Duration 10.95 7.32 4.05 3.39 2.64 1.77 1.35
First Prin 7/25/2019 3/25/2009 12/25/2003 2/25/2003 4/25/2002 4/25/2001 11/25/2000
Last Prin 2/25/2023 2/25/2011 11/25/2004 10/25/2003 9/25/2002 7/25/2001 12/25/2000
Payment Window 44 24 12 9 6 4 2
CLASS A-5
Average Life 25.77 13.08 6.81 5.00 3.70 2.20 1.65
Mod Duration 11.42 8.23 5.20 4.07 3.15 1.98 1.51
First Prin 2/25/2023 2/25/2011 11/25/2004 10/25/2003 9/25/2002 7/25/2001 12/25/2000
Last Prin 2/25/2027 5/25/2014 11/25/2008 6/25/2005 9/25/2003 10/25/2001 3/25/2001
Payment Window 49 40 49 21 13 4 4
CLASS A-6
Average Life 28.50 17.84 11.37 8.90 4.80 2.71 1.84
Mod Duration 11.43 9.51 7.39 6.22 3.90 2.37 1.66
First Prin 2/25/2027 5/25/2014 11/25/2008 6/25/2005 9/25/2003 10/25/2001 3/25/2001
Last Prin 9/25/2028 7/25/2022 9/25/2013 12/25/2011 6/25/2005 8/25/2002 5/25/2001
Payment Window 20 99 59 79 22 11 3
CLASS A-7
Average Life 9.27 7.15 6.27 6.04 5.74 4.33 2.69
Mod Duration 6.44 5.35 4.84 4.70 4.51 3.59 2.35
First Prin 7/25/2002 7/25/2002 7/25/2002 7/25/2002 7/25/2002 7/25/2002 5/25/2001
Last Prin 7/25/2028 5/25/2022 7/25/2013 10/25/2011 8/25/2009 10/25/2006 10/25/2004
Payment Window 313 239 133 112 86 52 42
</TABLE>
<PAGE>
COLLATERAL SUMMARY
AGGREGATE POOL BALANCE ($MM): $389,126,977.32
NUMBER OF LOANS: 7,001
% RETAIL ORIGINATED LOANS: 100%
% SIMPLE INTEREST LOANS: 100%
AVERAGE OUTSTANDING BALANCE: $55,581.63
WEIGHTED AVERAGE GROSS COUPON: 11.80%
ORIGINAL WEIGHTED AVERAGE TERM: 213 months
REMAINING WEIGHTED AVERAGE TERM: 208 months
WEIGHTED AVERAGE SEASONING: 5 months
LATEST SCHEDULED MATURITY: 5/1/29
LIEN POSITION: 82.7% 1sts,
17.3% 2nds
COMBINED LOAN TO VALUE RATIO*: 90.26%
PERCENT FULL DOCUMENTATION: 90.4%
WEIGHTED AVERAGE FICO SCORE: 623.0
PURPOSE: 94.7% Refi-cashout,
3.8% Purchase,
1.6% Refi-rate term
PROPERTY TYPE: 92.8% single family,
3.6% 2-4 family,
1.8% townhouse,
1.8% condo
OCCUPANCY STATUS: 95.1% primary,
4.1% investment,
0.8% second home
GEOGRAPHIC DISTRIBUTION (>= 5%): MI (11.4%),
OH (10.8%),
IN (8.1%),
AZ (6.3%),
IL (6.2%),
OK (5.1%)
*Weighted by original balance.
<PAGE>
COLLATERAL DETAIL
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
GEOGRAPHIC AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
DISTRIBUTION NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
BY STATE MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Arizona 555 24,440,542.00 6.28 44,037 11.72 197.50 88.09 85.88 92.43 624.55
California-Northern 80 5,235,952.47 1.35 65,449 11.74 239.22 93.76 92.22 96.40 640.65
California-Southern 107 7,222,029.81 1.86 67,496 11.76 194.63 93.18 88.96 96.31 630.80
Colorado 182 10,297,073.77 2.65 56,577 11.58 204.11 91.39 83.90 94.29 633.75
Delaware 24 1,327,877.49 0.34 55,328 11.66 186.79 95.09 76.71 100.00 616.58
Florida 250 14,680,361.03 3.77 58,721 11.84 213.55 91.37 82.93 95.59 614.33
Georgia 178 10,938,400.47 2.81 61,452 12.17 242.67 93.42 90.69 92.08 614.88
Illinois 396 23,983,981.80 6.16 60,566 12.28 223.77 90.69 91.14 98.71 627.75
Indiana 572 31,492,573.37 8.09 55,057 11.77 214.48 92.54 91.80 95.22 621.81
Kansas 6 515,852.70 0.13 85,975 11.49 242.80 94.83 100.00 100.00 630.59
Kentucky 206 11,151,045.62 2.87 54,131 11.53 191.05 91.37 92.59 98.31 627.03
Louisiana 150 6,767,269.32 1.74 45,115 11.97 206.86 88.13 89.43 92.62 609.99
Maryland 128 6,103,200.60 1.57 47,681 12.35 232.53 92.64 92.95 95.59 618.71
Michigan 775 44,313,150.19 11.39 57,178 11.77 215.86 88.08 93.99 94.53 617.52
Minnesota 32 1,512,716.84 0.39 47,272 12.38 188.82 91.80 89.01 94.68 611.88
Missouri 130 8,364,965.49 2.15 64,346 11.51 221.29 93.13 90.92 97.87 622.91
Nevada 32 1,890,009.65 0.49 59,063 11.89 206.11 91.73 91.85 100.00 622.94
New Jersey 226 14,101,470.76 3.62 62,396 12.13 252.49 93.70 96.36 94.19 630.03
New York 237 17,016,931.86 4.37 71,801 11.38 196.09 90.50 90.01 95.34 629.57
North Carolina 110 6,798,940.31 1.75 61,809 11.97 221.04 93.66 97.80 100.00 617.83
Ohio 698 41,884,111.19 10.76 60,006 11.45 205.76 90.78 89.85 94.73 631.51
Oklahoma 362 19,732,984.33 5.07 54,511 11.43 221.91 93.06 88.87 94.00 630.24
Pennsylvania 277 14,968,686.96 3.85 54,039 11.60 201.88 91.53 86.14 96.76 620.62
South Carolina 43 2,857,205.44 0.73 66,447 11.95 218.53 94.26 80.00 93.09 617.03
Tennessee 283 13,580,247.03 3.49 47,987 12.31 216.51 94.92 94.77 97.01 615.38
Texas 411 17,491,901.21 4.50 42,559 11.52 169.67 71.83 84.89 91.61 608.83
Utah 87 4,476,083.06 1.15 51,449 12.17 224.33 92.29 90.30 91.85 634.37
Washington 108 6,501,658.22 1.67 60,201 11.92 226.23 89.39 83.08 92.28 626.22
West Virginia 133 5,693,529.72 1.46 42,808 12.72 211.70 90.98 98.36 98.42 602.81
Wisconsin 223 13,786,224.61 3.54 61,822 12.35 247.92 89.24 97.04 95.93 617.88
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Number of States Represented: 29
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
RANGE OF AVERAGE AVERAGE
CUT-OFF DATE AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
BALANCES MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 20,000.00 1,182 16,566,164.68 4.26 14,015 12.86 125.23 85.81 97.06 95.76 614.34
20,000.01 to 40,000.00 1,969 58,106,792.09 14.93 29,511 12.57 162.45 84.16 94.00 92.14 613.33
40,000.01 to 60,000.00 1,493 74,176,808.81 19.06 49,683 12.14 195.84 88.15 93.66 94.10 615.07
60,000.01 to 80,000.00 951 65,429,141.36 16.81 68,800 11.78 212.53 91.36 91.16 95.23 622.71
80,000.01 to 100,000.00 535 47,656,277.83 12.25 89,077 11.68 226.19 93.57 89.33 96.16 622.69
100,000.01 to 120,000.00 310 33,898,846.32 8.71 109,351 11.57 236.88 91.63 87.70 97.06 623.82
120,000.01 to 140,000.00 215 27,740,805.14 7.13 129,027 11.32 255.54 94.44 91.10 95.36 632.44
140,000.01 to 160,000.00 116 17,366,052.15 4.46 149,707 11.01 257.44 93.79 86.75 94.80 636.42
160,000.01 to 180,000.00 77 13,008,374.12 3.34 168,940 11.08 249.53 93.55 85.91 98.70 639.49
180,000.01 to 200,000.00 45 8,533,706.21 2.19 189,638 11.56 255.50 94.20 90.97 97.85 622.42
200,000.01 to 220,000.00 37 7,728,585.22 1.99 208,881 10.68 279.14 93.63 81.05 100.00 633.53
220,000.01 and Greater 71 18,915,423.39 4.86 266,414 10.47 267.69 92.13 74.28 95.74 649.12
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 4,935.51
Maximum: 385,320.02
Average: 55,581.63
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
RANGE OF AVERAGE AVERAGE
ORIGINAL AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
PRINCIPAL NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
BALANCES MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 20,000.00 1,129 15,541,037.88 3.99 13,765 12.92 126.92 86.14 97.00 95.73 614.07
20,000.01 to 40,000.00 1,986 57,718,664.59 14.83 29,063 12.58 162.09 84.07 94.14 92.29 613.08
40,000.01 to 60,000.00 1,484 72,947,906.45 18.75 49,156 12.15 195.77 88.07 93.64 93.87 615.35
60,000.01 to 80,000.00 970 66,039,136.82 16.97 68,082 11.79 212.44 91.26 91.33 95.18 621.79
80,000.01 to 100,000.00 545 48,134,875.31 12.37 88,321 11.70 225.05 93.60 90.34 96.20 621.66
100,000.01 to 120,000.00 316 34,316,360.31 8.82 108,596 11.55 235.74 91.66 86.11 97.10 625.09
120,000.01 to 140,000.00 216 27,718,160.54 7.12 128,325 11.27 253.98 94.61 91.09 95.35 632.90
140,000.01 to 160,000.00 120 17,813,625.57 4.58 148,447 11.08 258.53 93.30 88.86 94.93 636.18
160,000.01 to 180,000.00 77 12,922,558.45 3.32 167,825 11.04 245.50 93.21 83.37 98.69 639.06
180,000.01 to 200,000.00 49 9,131,954.01 2.35 186,366 11.51 254.82 94.30 90.70 97.99 624.87
200,000.01 to 220,000.00 38 7,927,274.00 2.04 208,612 10.64 276.65 93.75 81.53 100.00 635.04
220,000.01 and Greater 71 18,915,423.39 4.86 266,414 10.47 267.69 92.13 74.28 95.74 649.12
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 5,231.93
Maximum: 399,137.00
Average: 56,252.96
Total: 393,826,960.43
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
ORIGINAL TERM MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 60 443 9,546,076.68 2.45 21,549 10.71 56.81 77.36 88.90 94.66 620.46
61 to 120 1,660 60,512,939.35 15.55 36,454 11.52 112.15 84.51 89.08 95.35 626.36
121 to 180 3,084 162,779,935.68 41.83 52,782 11.88 178.00 91.57 90.20 95.78 626.98
181 to 240 885 69,156,662.19 17.77 78,143 11.96 234.58 91.88 91.81 95.51 611.82
241 to 300 175 14,299,370.40 3.67 81,711 12.15 296.57 93.24 94.56 95.88 617.48
301 to 360 754 72,831,993.02 18.72 96,594 11.78 359.67 91.86 89.90 93.07 623.09
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 24
Maximum: 360
Weighted Average: 213
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
TO MATURITY MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 60 459 9,924,331.91 2.55 21,622 10.71 57.05 77.71 88.52 94.70 621.43
61 to 120 1,649 60,387,834.11 15.52 36,621 11.52 112.49 84.53 89.18 95.36 626.31
121 to 180 3,129 165,667,645.95 42.57 52,946 11.91 178.14 91.52 90.35 95.85 625.69
181 to 240 838 66,230,677.74 17.02 79,034 11.88 237.14 92.03 91.52 95.31 614.30
241 to 300 172 14,084,494.59 3.62 81,887 12.16 297.41 93.18 94.48 95.81 617.40
301 to 360 754 72,831,993.02 18.72 96,594 11.78 359.67 91.86 89.90 93.07 623.09
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 18
Maximum: 359
Weighted Average: 208
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
MONTHS NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
SEASONING MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 214 10,883,141.78 2.80 50,856 11.47 184.58 86.86 91.64 94.89 623.68
2 1,110 63,850,667.91 16.41 57,523 11.60 211.65 87.53 87.05 94.45 627.36
3 1,164 67,486,394.46 17.34 57,978 11.62 211.58 90.18 90.18 96.03 626.78
4 736 44,899,309.69 11.54 61,004 11.91 227.93 90.33 92.78 95.84 615.37
5 725 41,455,727.38 10.65 57,180 11.86 211.01 88.56 90.34 95.37 618.71
6 808 44,027,274.79 11.31 54,489 11.86 211.49 88.02 90.51 94.77 620.11
7 527 29,301,548.59 7.53 55,601 11.83 210.78 88.96 89.47 94.98 615.88
8 420 24,476,996.62 6.29 58,279 11.94 218.87 95.65 91.20 94.27 626.13
9 339 17,748,705.73 4.56 52,356 12.02 219.94 94.47 93.18 96.53 622.12
10 290 14,988,271.61 3.85 51,684 11.76 209.19 97.71 97.75 97.90 626.05
11 379 16,356,173.02 4.20 43,156 12.31 201.57 93.75 88.49 93.23 627.26
12 245 11,950,796.36 3.07 48,779 11.93 221.31 93.25 88.38 91.84 634.13
13 44 1,701,969.38 0.44 38,681 12.36 207.63 93.28 92.50 89.06 615.06
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 1
Maximum: 13
Weighted Average: 5
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
FICO NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
SCORE MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 550 985 54,114,041.33 13.91 54,938 13.56 224.73 86.78 97.56 97.42 530.08
551 to 600 1,670 85,528,000.51 21.98 51,214 12.76 213.00 90.02 93.07 96.60 577.08
601 to 650 2,336 115,837,550.57 29.77 49,588 12.00 206.01 92.19 89.88 95.07 625.89
651 to 700 1,481 94,424,665.04 24.27 63,757 10.77 215.65 91.32 86.14 92.95 671.44
701 to 750 445 33,061,683.33 8.50 74,296 9.29 212.30 87.73 86.76 95.19 718.21
751 and Greater 84 6,161,036.54 1.58 73,346 8.72 217.20 85.14 84.16 89.18 765.70
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 500
Maximum: 802
Weighted Average: 622.95
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
OCCUPANCY STATUS MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Primary 6,616 370,188,820.70 95.13 55,954 11.83 212.47 90.70 90.65 100.00 622.05
Investment 331 15,904,496.31 4.09 48,050 11.03 227.06 80.86 86.17 0.00 646.42
Second Home 54 3,033,660.31 0.78 56,179 11.81 229.57 85.73 80.35 0.00 610.29
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
LIEN NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
POSITION MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 4,600 321,820,199.85 82.70 69,961 11.49 225.80 89.25 89.75 94.30 623.20
2nd Lien 2,401 67,306,777.47 17.30 28,033 13.30 152.97 95.04 93.44 99.10 621.77
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
PROPERTY TYPE MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 6,472 361,222,899.23 92.83 55,813 11.82 211.81 90.41 90.28 96.14 621.64
2-4 Family 224 14,159,876.39 3.64 63,214 11.43 246.75 86.28 89.64 71.45 641.56
Townhouse 164 6,950,249.39 1.79 42,380 11.98 215.44 92.26 97.62 93.60 625.84
Condo 141 6,793,952.31 1.75 48,184 11.39 215.05 88.54 89.95 92.41 650.73
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 30.00 88 2,188,206.03 0.56 24,866 11.03 133.99 25.91 90.20 90.88 623.37
30.01 to 40.00 111 3,351,978.37 0.86 30,198 10.95 154.20 36.09 82.75 95.37 627.57
40.01 to 50.00 164 6,520,177.95 1.68 39,757 11.15 167.95 45.30 79.93 95.47 616.85
50.01 to 60.00 223 9,545,510.48 2.45 42,805 10.82 177.58 55.74 83.26 93.37 632.92
60.01 to 70.00 297 13,501,820.05 3.47 45,461 11.47 190.40 65.71 85.12 89.87 620.04
70.01 to 80.00 770 36,969,230.39 9.50 48,012 11.75 198.09 76.44 83.60 85.85 619.63
80.01 to 90.00 1,051 62,412,794.70 16.04 59,384 11.87 222.25 85.84 84.71 90.91 616.24
90.01 to 95.00 905 53,016,442.90 13.62 58,582 11.97 214.40 92.59 90.85 95.72 616.67
95.01 to 100.00 1,590 102,570,560.60 26.36 64,510 11.88 223.13 97.84 92.74 97.55 618.26
100.01 to 103.00 1,802 99,050,255.85 25.45 54,967 11.83 215.48 102.12 96.16 99.39 636.30
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 20
Maximum: 103
Weighted Average by Original
Balance: 90.26
Note: All CLTVs (Combined Original LTVs) are weighted by
Original Balance
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
JUNIOR LIEN RATIOS MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 10.00 177 1,967,783.84 2.92 11,117 13.07 112.96 94.49 97.33 99.43 613.42
10.01 to 15.00 463 7,851,204.20 11.66 16,957 13.21 136.10 95.46 96.09 99.70 616.74
15.01 to 20.00 482 11,017,171.84 16.37 22,857 13.26 146.39 95.18 94.52 98.98 620.14
20.01 to 25.00 436 12,635,883.19 18.77 28,981 13.30 155.46 95.60 93.91 99.58 622.59
25.01 to 30.00 280 9,652,672.82 14.34 34,474 13.24 156.44 96.28 91.92 99.54 631.77
30.01 to 35.00 217 8,141,718.88 12.10 37,519 13.24 159.26 95.97 96.75 98.38 621.71
35.01 to 40.00 142 6,108,510.93 9.08 43,018 13.42 169.03 94.13 86.19 100.00 620.52
40.01 to 45.00 92 4,189,432.55 6.22 45,537 13.45 163.82 95.12 91.36 97.65 622.24
45.01 to 50.00 44 2,105,757.79 3.13 47,858 13.50 155.06 92.38 90.73 97.43 614.56
50.01 to 55.00 25 1,447,196.76 2.15 57,888 13.63 154.71 90.52 90.20 100.00 616.75
55.01 to 60.00 15 585,833.30 0.87 39,056 13.38 130.22 81.70 100.00 97.53 625.91
60.01 to 65.00 5 310,818.52 0.46 62,164 13.77 167.73 98.65 100.00 100.00 617.56
65.01 to 70.00 6 249,755.73 0.37 41,626 13.74 162.70 90.04 100.00 93.52 639.29
70.01 to 75.00 6 353,993.02 0.53 58,999 13.40 180.49 96.14 100.00 100.00 626.96
75.01 to 80.00 3 195,953.81 0.29 65,318 13.46 180.00 96.16 66.33 100.00 602.41
80.01 to 100.00 8 493,090.29 0.73 61,636 13.19 169.40 83.11 93.96 91.33 605.55
TOTAL: 2,401 67,306,777.47 100.00 28,033 13.30 152.97 95.04 93.44 99.10 621.77
Minimum: 4
Maximum: 100
Weighted Average by Original
Balance: 27.52
Note: All Junior Loan Ratios are weighted by Original Balance
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
ORIGINATION NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
SOURCE MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.00 - 7.99 59 3,675,044.15 0.94 62,289 7.54 141.55 69.18 88.25 90.43 720.46
8.00 - 8.99 437 37,034,576.58 9.52 84,747 8.62 186.32 88.04 85.56 96.08 694.08
9.00 - 9.99 329 32,770,698.93 8.42 99,607 9.56 238.21 90.34 82.75 95.53 672.99
10.00 - 10.99 789 52,461,097.13 13.48 66,491 10.54 220.11 88.63 85.72 88.75 655.51
11.00 - 11.99 1,065 61,595,230.04 15.83 57,836 11.58 211.35 89.48 88.91 92.71 629.83
12.00 - 12.99 1,985 97,378,941.99 25.02 49,057 12.51 209.62 92.65 91.51 96.38 605.82
13.00 - 13.99 1,459 66,548,750.87 17.10 45,613 13.47 212.85 91.78 96.28 97.75 585.09
14.00 - 14.99 645 30,291,316.24 7.78 46,963 14.41 238.04 89.62 97.29 99.28 555.30
15.00 - 15.99 180 6,278,197.59 1.61 34,879 15.36 192.50 87.87 98.50 99.44 553.03
16.00 - 16.99 49 1,044,091.30 0.27 21,308 16.43 160.96 83.47 100.00 100.00 541.18
17.00 - 17.49 4 49,032.50 0.01 12,258 17.41 121.20 83.36 100.00 100.00 551.58
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
Minimum: 7.0140
Maximum: 17.4880
Weighted Average: 11.80
</TABLE>
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED
AVERAGE AVERAGE
AGGREGATE % OF AGGREGATE AVERAGE WEIGHTED STATED ORIGINAL PERCENT PERCENT
NUMBER OF PRINCIPAL PRINCIPAL CURRENT AVERAGE ORIGINAL COMBINED FULL OWNER FICO
PRODUCT TYPE MORTGAGE LOANS BALANCE BALANCE BALANCE COUPON TERM LTV DOC OCCUPIED SCORE
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed - 5 Year 443 9,546,076.68 2.45 21,549 10.71 56.81 77.36 88.90 94.66 620.46
Fixed - 10 Year 1,660 60,512,939.35 15.55 36,454 11.52 112.15 84.51 89.08 95.35 626.36
Fixed - 15 Year 3,084 162,779,935.68 41.83 52,782 11.88 178.00 91.57 90.20 95.78 626.98
Fixed - 20 Year 885 69,156,662.19 17.77 78,143 11.96 234.58 91.88 91.81 95.51 611.82
Fixed - 25 Year 175 14,299,370.40 3.67 81,711 12.15 296.57 93.24 94.56 95.88 617.48
Fixed - 30 Year 754 72,831,993.02 18.72 96,594 11.78 359.67 91.86 89.90 93.07 623.09
TOTAL: 7,001 389,126,977.32 100.00 55,582 11.80 213.20 90.26 90.38 95.13 622.95
</TABLE>
