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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): July 7, 1998
ASSET BACKED SECURITIES CORPORATION
(Exact name of registrant as specified in its charter)
Delaware 333-00365 13-3354848
---------------------------- ------------ -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Eleven Madison Avenue
New York, New York 10010
- --------------------- ---------------
Address of Principal (Zip Code)
Executive Offices
Registrant's telephone number, including area code (212) 325-2000
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<PAGE>
Item 5. Other Events.
- ------ ------------
Filing of Computational Materials.
- ---------------------------------
In connection with the offering of the IndyMac Manufactured Housing
Contract Pass- Through Certificates, Series 1998-2 ("Certificates"), Credit
Suisse First Boston Corporation, as Representative of the Underwriters
("Representative") with respect to the Certificates, has prepared certain
materials (the "Series Term Sheet" including the "Computational Materials")
for distribution to its potential investors. Although the Company provided the
Representative with certain information regarding the characteristics of the
Initial Contracts in the related portfolio, it 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 Contracts; 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.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not Applicable.
(c) Exhibits.
(99) The Series Term Sheet including Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ASSET BACKED SECURITIES CORPORATION
By: /s/ Fiachra T. O'Driscoll
________________________________
Fiachra T. O'Driscoll
Vice President
Dated: July 9, 1998
<PAGE>
Index to Exhibits
-----------------
Exhibit
- -------
99. The Series Term Sheet including Computational Materials
SUBJECT TO REVISION
SERIES TERM SHEET DATED JULY 7, 1998
$219,172,000
Asset Backed Securities Corporation,
Depositor
[OBJECT OMITTED]
Seller and Servicer
IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-2
Attached is a preliminary Series Term Sheet describing the structure,
collateral pool and certain aspects of the IndyMac Manufactured Housing
Contract Pass-Through Certificates, Series 1998-2. The Series Term Sheet has
been prepared for informational purposes only and is subject to modification
or change. The information and assumptions contained therein are preliminary
and will be superseded by a prospectus supplement and by any other additional
information subsequently filed with the Securities and Exchange Commission or
incorporated by reference in the Registration Statement.
Neither Credit Suisse First Boston Corporation, Morgan Stanley & Co.
Incorporated nor any of their affiliates make any representation as to the
accuracy or completeness of any of the information set forth in the attached
Series Term Sheet. This cover sheet is not part of the Series Term Sheet.
A Registration Statement (including a base prospectus) relating to certain
Conduit Mortgage and Manufactured Housing Contract Asset-Backed Certificates,
including the IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-2, has been filed with the Securities and Exchange Commission and
has been declared effective. The final Prospectus Supplement relating to the
securities will be filed after the securities have been priced and all of the
terms and information are finalized. This communication is not an offer to
sell or the solicitation of an offer to buy nor shall there be any sale of the
securities in any state in which such offer, solicitation or sale would be
unlawful prior to registration or qualification under the securities laws of
any such state. Interested persons are referred to the final Prospectus and
Prospectus Supplement to which the securities relate. Any investment decision
should be based only upon the information in the final Prospectus and
Prospectus Supplement as of their publication dates.
Credit Suisse First Boston Morgan Stanley Dean Witter
<PAGE>
This Series Term Sheet will be superseded in its entirety by the
information appearing in the Prospectus Supplement, the Prospectus and the
Series 1998-2 Pooling and Servicing Agreement to be dated as of July 1, 1998
among Asset Backed Securities Corporation., as Depositor, IndyMac, Inc., as
Seller and Servicer, and The Bank of New York, as Trustee.
The Certificates.................... The Certificates will consist of five
classes (each, a "Class") of senior
Certificates (collectively, the "Class A
Certificates" or the "Senior
Certificates") and five Classes of
subordinate Certificates (respectively,
the "Class M-1 Certificates," the "Class
M-2 Certificates," the "Class B-1
Certificates," the "Class B-2
Certificates" and the "Class X
Certificates"). The Class M-1 and the
Class M-2 Certificates are referred to
collectively as the "Class M
Certificates." The Class B-1 and the
Class B-2 Certificates are referred to
collectively as the "Class B
Certificates." The Class M and the Class
B Certificates are referred to
collectively as the "Subordinate
Certificates." The Certificates will be
issued in the amounts and will bear the
pass-through rates set forth below:
Initial Certificate Pass-Through
Certificates Principal Balance(1) Rate
------------ -------------------- ------------
Class A-1....... $59,300,000 . %(2)
Class A-2....... $39,600,000 . %(3)
Class A-3....... $29,700,000 . %(3)
Class A-4....... $53,278,000 . %(3)
Class A-R....... $100 . %(3)
Class M-1....... $18,360,000 . %(4)
Class M-2....... $9,180,000 . %(4)
Class B-1....... $9,754,000 . %(4)
Class B-2....... $10,327,900 . %(4)
Class X(5)
------------
(1) The aggregate initial principal
balance of the Certificates may be
increased or decreased by up to
5%. Any such increase or decrease
may be allocated
disproportionately among the
Classes of Certificates.
Accordingly, any investor's
commitments with respect to the
Certificates may be increased or
decreased correspondingly.
(2) Computed on the basis of a 360-day
year and the actual number of days
in the related Interest Accrual
Period.
(3) Computed on the basis of a 360-day
year of twelve 30-day months.
(4) The lesser of (i) the specified
rate per annum, computed on the
basis of a 360-day year of twelve
30-day months, or (ii) the
Weighted Average Net Contract Rate
for the related Distribution Date.
(5) The Class X Certificates are
interest-only securities that have
no stated Certificate Principal
Balance or Pass-Through Rate.
Certificates Offered................ The Class A, Class M and Class B-1
Certificates are the only Certificates
being offered hereby (the "Offered
Certificates").
Denominations....................... The Offered Certificates (other than the
Class A-R Certificates) will be
Book-Entry Certificates only, in minimum
denominations of $1,000 and integral
multiples of $1 in excess thereof. The
Class A-R Certificates will be fully
registered physical certificates.
Cut-off Date......................... July 1, 1998
Distribution Dates................... Generally, the twenty-fifth day of each
month, commencing August 25, 1998 (each,
a "Distribution Date").
<PAGE>
Record Date......................... With respect to any Distribution Date
and (i) the Offered Certificates (other
than the Class A-R Certificates), the
close of business on the Business Day
immediately preceding such Distribution
Date, and (ii) the Class A-R
Certificates, the close of business on
the last Business Day of the month
immediately preceding the month in which
such Distribution Date occurs.
Interest Accrual Period.............. With respect to each Distribution Date
(i) for the Class A-1 Certificates, the
period commencing on the 25th day of the
preceding month through the 24th day of
the month in which such Distribution
Date occurs (except that the first
Interest Accrual Period for the Class
A-1 Certificates will be the period from
the Closing Date through August 24,
1998) and (ii) for all other Classes of
Offered Certificates, the calendar month
preceding the month in which the
Distribution Date occurs (each, an
"Interest Accrual Period").
Distributions........................ Distributions to Certificateholders
generally will be applied first to the
payment of interest, second to the
payment of any unpaid principal and
third, if any principal is then due, to
the payment of principal of the related
Class of Certificates. The principal
amounts generally will be distributed to
the extent of the Available Distribution
Amount after payment of interest and
interest shortfalls on the Certificates,
first to the Senior Certificateholders
and then to each Class of Subordinate
Certificateholders based on their
respective priorities (i.e., first to
the Class M-1 Certificateholders, then
to the Class M-2 Certificateholders,
then to the Class B-1 Certificateholders
and then to the Class B-2
Certificateholders). Prior to the
Cross-over Date or on any Distribution
Date as of which the Principal
Distribution Tests are not met,
principal will be allocated solely to
the Class A Certificates; otherwise
principal will be allocated pro rata
among the Class A, the Class M and the
Class B Certificates.
The Class A Principal Distribution
Amount will, in general, be allocated
sequentially to the Class A Certificates
in order of their numerical
designations. The Class M Principal
Distribution Amount will be allocated
pro rata between the Class M-1 and the
Class M-2 Certificates. The Class B
Principal Distribution Amount will be
applied first to the Class B-1
Certificates until the Class B-1
Certificate Principal Balance is reduced
to zero and thereafter to the Class B-2
Certificates; in each case as more fully
described in the Prospectus Supplement.
[OBJECT OMITTED]
Subordination of the Subordinate
Certificates....................... The rights of the holders of the Class
M-1 Certificates to receive
distributions of amounts collected on or
in respect of the Contracts will be
subordinated to such rights of the
Senior Certificateholders. Interest and
interest shortfalls on the Class M-1
Certificates will not be subordinated to
principal payments on the Senior
Certificates.
<PAGE>
The rights of holders of the Class M-2
Certificates to receive distributions of
amounts collected on or in respect of
the Contracts will be subordinated to
such rights of the holders of the Class
A and the Class M-1 Certificates.
Interest and interest shortfalls on the
Class M-2 Certificates will not be
subordinated to principal payments on
either the Senior Certificates or the
Class M-1 Certificates.
The rights of holders of the Class B-1
Certificates to receive distributions of
amounts collected on or in respect of
the Contracts similarly will be
subordinated to such rights of the
holders of the Class A and the Class M
Certificates. Interest and interest
shortfalls on the Class B-1 Certificates
will not be subordinated to principal
payments on either the Senior
Certificates or the Class M
Certificates.
Overcollateralization............... Excess interest collections will be
applied, to the extent available, to
make accelerated payments of principal
on the Certificates. The "Target
Overcollateralization Amount" generally
shall mean, (i) for any Distribution
Date prior to the Cross-over Date, 1.75%
of the Cut-off Date Pool Balance and
(ii) for any other Distribution Date,
the lesser of (x) 1.75% of the Cut-off
Date Pool Balance and (y) 3.07% of the
then-outstanding Pool Balance; provided,
however, that in no event shall the
Target Overcollateralization Amount be
less than 0.50% of the Cut-off Date Pool
Balance.
Cross-over Date..................... The later of occur of (a) the
Distribution Date occuring in February
2003 or (b) the first Distribution Date
on which the then-current credit
enhancement for the Class A Certificates
is equal to or exceeds 1.75 times the
initial credit enhancement for the Class
A Certificates.
Principal Distribution Tests........ The Principal Distribution Tests will be
met in respect of a Distribution Date if
(i) the Average Sixty-Day Delinquency
Ratio does not exceed 5.00%; (ii) the
Average Thirty-Day Delinquency Ratio
does not exceed 7.00%; (iii) the
Cumulative Realized Losses do not exceed
a certain specified percentage of the
Cut-off Date Pool Balance, depending on
the year in which such Distribution Date
occurs (set forth in the Pooling and
Servicing Agreement); and (iv) the
Current Realized Loss Ratio does not
exceed 2.75%.
Losses on Liquidated Contracts...... If the Available Distribution Amount (as
defined in the Prospectus Supplement)
for any Distribution Date is not
sufficient to distribute an amount equal
to the full Formula Principal
Distribution Amount (as defined in the
Prospectus Supplement) for such
Distribution Date to the
Certificateholders, in addition to
interest and interest shortfalls
distributable to the Certificateholders,
the aggregate Certificate Principal
Balance may be greater than the Pool
Balance. In such event, the amount of
such deficiency (the "Liquidation Loss
Amount") will be allocated first to the
Subordinate Certificates (as described
below) to reduce the Adjusted
Certificate Principal Balance of such
Classes. Any such Liquidation Loss
Amounts will be reduced on subsequent
Distribution Dates to the extent that
the related Available Distribution
Amounts are sufficient to permit the
distribution of principal due on the
Certificates on one or more prior
Distribution Dates but not paid. In the
event the Adjusted Certificate Principal
Balance of a Class of Subordinate
Certificates were to be reduced by a
Liquidation Loss Amount, interest
accruing on such Class will be
calculated on such reduced Adjusted
Certificate Principal Balance.
Allocation of Liquidation
Loss Amount....................... The "Liquidation Loss Amount" for any
Distribution Date will be the amount, if
any, by which the aggregate Certificate
Principal Balance of all Certificates,
after all distributions have been made
on the Certificates on such Distribution
Date, exceeds the Pool Balance. The
Liquidation Loss Amount will be
allocated among the Classes of
Subordinate Certificates in the
following order of priority:
(1) first, to the Class B-2
Certificates, to be applied in
reduction of the Adjusted
Certificate Principal Balance of
such Class until it has been
reduced to zero;
(2) second, to the Class B-1
Certificates, to be applied in
reduction of the Adjusted
Certificate Principal Balance of
such Class until it has been
reduced to zero;
(3) third, to the Class M-2
Certificates, to be applied in
reduction of the Adjusted
Certificate Principal Balance of
such Class until it has been
reduced to zero; and
(4) fourth, to the Class M-1
Certificates, to be applied in
reduction of the Adjusted
Certificate Principal Balance of
such Class until it has been
reduced to zero.
Advances............................ On each Deposit Date, the Servicer will
be required to make an Advance in
respect of each Due Period, in an amount
equal to the difference, if any, between
30 days of interest on the Contracts and
amounts in respect of interest actually
received on the Contracts during the
related Due Period. The Servicer will
not be required to advance principal in
respect of any Contract. The Servicer
will be required to make an Advance only
to the extent that it determines such
Advance will be recoverable from future
payments and collections on or in
respect of the related Contracts.
Final Scheduled Distribution
Dates............................. The Final Scheduled Distribution Dates
for the Class A-1, Class A-2, Class A-3
and Class A-4 Certificates were
determined on the basis of the Modeling
Assumptions (as defined in the
Prospectus Supplement) and the
assumption that there are no Prepayments
and no Accelerated Principal
Distribution Amounts. The Final
Scheduled Distribution Dates for the
other Classes of Offered Certificates
were determined by adding 13 months to
the date of maturity of the latest
possible maturing Contract. It is
anticipated that the actual final
Distribution Date for each Class may
occur earlier than the Final Scheduled
Distribution Dates.
<PAGE>
Final Scheduled
Certificates Distribution Dates
Class A-1........... March 25, 2007
Class A-2........... December 25, 2011
Class A-3........... September 25, 2017
Class A-4........... December 25, 2027
Class A-R........... August 25, 2029
Class M-1........... August 25, 2029
Class M-2........... August 25, 2029
Class B-1........... August 25, 2029
Optional Termination................ The Depositor and the Servicer will each
have the option to purchase from the
Trust Fund all Contracts then
outstanding and all other property in
the Trust Fund on any Distribution Date
on or after the first Distribution Date
as of which the Pool Balance is less
than 10% of the Cut-off Date Pool
Balance.
Auction Sale........................ If neither the Depositor nor the
Servicer exercises its optional
termination right within 90 days after
such right can first be exercised, the
Trustee shall solicit bids for the
purchase of all Contracts then
outstanding and all other property in
the Trust Fund. In the event that
satisfactory bids are received, the sale
proceeds will be distributed to
Certificateholders.
The Contracts....................... The assets of the Trust will consist
primarily of a pool (the "Contract
Pool") of fixed rate manufactured
housing installment sales contracts and
installment loan agreements
(collectively, the "Contracts") secured
by security interests in manufactured
homes (the "Manufactured Homes")
financed or refinanced with the proceeds
of the Contracts and, with respect to
certain of the Contracts (the
"Land-and-Home Contracts"), secured by
liens on the real estate on which the
related Manufactured Homes are located.
This Series Term Sheet contains
information regarding Contracts (the
"Initial Contracts") that represent
approximately 83.87% of the total
expected Contract Pool. The Trust will
purchase the remaining Contracts (the
"Additional Contracts") on the Closing
Date. The Additional Contracts will
consist primarily of Contracts
originated or purchased by IndyMac or an
affiliate after May 31, 1998 and prior
to the Closing Date meeting selection
criteria specified in the Agreement. The
purchase of the Additional Contracts is
subject to the satisfaction of certain
conditions. The final pool statistics
will be filled with the Securities and
Exchange Comission in a Current Report
on Form 8-K.
The total expected Contract Pool balance
will be approximately $229,500,000 (the
"Cut-off Date Pool Balance"). As of the
Cut-off Date, the Initial Contracts
consist of approximately 5,679 Contracts
having an aggregate unpaid principal
balance as of the Cut-off Date of
approximately $192,474,028.93 (the
"Initial Pool Balance"). As of the
Cut-off Date, 24.97% of the Initial
Contracts are simple interest contracts,
and 75.03% of the Initial Contracts are
actuarial Contracts. The properties
underlying the Initial Contracts as of
the Cut-off Date were located in 45
states. Approximately 19.73%, 12.63%,
8.67%, 6.73%, 6.53% and 5.03% of such
properties are located in Ohio,
Michigan, Arizona, Texas, North Carolina
and Washington, respectively. No other
geographical location represented more
than 5.00% of the Initial Pool Balance.
Based on Initial Pool Balance, 28.96% of
the Contracts are Land-and-Home
Contracts. As of the Cut-off Date, the
APRs on the Initial Contracts ranged
from 6.25% to 16.75%, with a weighted
average APR of 10.16%. As of the Cut-off
Date, the Initial Contracts have a
weighted average remaining term to
maturity of approximately 265 months, a
weighted average original term to
maturity of approximately 279 months,
and a weighted average seasoning of
approximately 14 months. Approximately
3,425 Initial Contracts (the "IndyMac
Initial Contracts"), aggregating
$144,376,983.79 (the "IndyMac Initial
Pool Balance") were purchased or
originated by IndyMac or an affiliate
thereof and conveyed to IndyMac in the
ordinary course of business. The
remaining Initial Contracts (the "Bank
One Initial Contracts") were purchased
pursuant to a contract purchase
agreement with Bank One N.A. ("Bank
One").
The IndyMac Initial Contracts have a
weighted average original loan-to-value
ratio of 86.16%. As of the Cut-off Date
57.99% of the IndyMac Initial Contracts
are secured by Manufactured Homes which
were new and 42.01% of the IndyMac
Initial Contracts are secured by
Manufactured Homes which were used. As
of the Cut-off Date 32.93% and 67.07% of
the IndyMac Initial Contracts are
secured by Manufactured Homes which are
single wide and multi-wide,
respectively.
Certain information concerning the Bank
One Initial Contracts is not readily
available. As a result, information was
manually collected from loan files
constituting a random sample (the
"Sample Pool") of 250 Bank One Initial
Contracts. None of the Bank One Initial
Contracts has an original Loan-to-Value
ratio greater than 90%. Approximately
73% of the Sample Pool, by original
principal balance, is secured by
Manufactured Homes which were new and
27% is secured by Manufactured Homes
which were used. Approximately 80% and
20% of the Sample Pool, by original
principal balance, is secured by
Manufactured Homes which are single wide
and multi-wide, respectively.
Certain Federal Income Tax
Consequences...................... An election will be made to treat the
Contract Pool and certain other assets
of the Trust as a REMIC for federal
income tax purposes (the "Pooling
REMIC"). An election also will be made
to treat the "regular interests" in the
Pooling REMIC and certain other assets
of the Trust as another REMIC for
federal income tax purposes (the
"Issuing REMIC"). The Class A
Certificates (other than the Class A-R
Certificates), the Class M Certificates,
the Class B Certificates and the Class X
Certificates (including Class X
components) will be designated as
"regular interests" in the Issuing REMIC
and the Class A-R Certificates will
represent the beneficial ownership of
the "residual interest" in each of the
Pooling REMIC and Issuing REMIC.
<PAGE>
ERISA Considerations................ A fiduciary of an employee benefit plan
subject to the Employee Retirement
Income Security Act of 1974, as amended
("ERISA"), or Section 4975 of the
Internal Revenue Code of 1986, as
amended (the "Code"), should carefully
review with its legal advisors whether
the purchase or holding of Class A-1,
Class A-2, Class A-3 or Class A-4
Certificates could give rise to a
transaction prohibited or not otherwise
permissible under ERISA or the Code.
An employee benefit plan or other plan
subject to ERISA and/or Section 4975 of
the Code will not be permitted to
purchase or hold the Class A-R, Class M
or Class B-1 Certificates unless an
opinion of counsel acceptable to the
Trustee is delivered to the Trustee.
Legal Investment Considerations..... For as long as the Class A and Class M-1
Certificates are rated in one of the two
highest rating categories by at least
one nationally recognized statistical
rating organization, such Certificates
will constitute "mortgage related
securities" under the Secondary Mortgage
Market Enhancement Act of 1984 ("SMMEA")
and, as such, will be "legal
investments" for certain types of
institutional investors to the extent
provided in SMMEA.
Because the Class M-2 and the Class B-1
Certificates will not be rated by a
nationally recognized statistical rating
organization in one of its two highest
categories, the Class M-2 and Class B-1
Certificates will not constitute
"mortgage related securities" under
SMMEA. No representation is made as to
the appropriate characterization of the
Class M-2 and Class B-1 Certificates
under any laws relating to investment
restrictions and investors should
consult their legal advisors.
Rating.............................. It is a condition to issuance that
Standard & Poor's Rating Services, a
division of The McGraw-Hill Companies,
Inc. ("S&P") and Fitch IBCA, Inc.
("Fitch" and, together with S&P, the
"Rating Agencies") each rate (i) the
Class A-1, Class A-2, Class A-3, Class
A-4 and Class A-R Certificates "AAA,"
(ii) the Class M-1 Certificates at least
"AA," (iii) the Class M-2 Certificates
at least "A" and (iv) the Class B-1
Certificates at least "BBB."
<PAGE>
Delinquency, Loan Loss and Repossession Experience
The following table sets forth the delinquency experience for the
periods indicated of the portfolio of conventional manufactured housing
contracts serviced by IndyMac. All of the Contracts in the Trust will be
conventional Contracts, meaning that they are not insured or guaranteed by any
governmental agency.
Delinquency Experience
(Dollars in Thousands)
<TABLE>
<CAPTION>
At
----------------------------------------------------------------------------------------
December 31, March 31, June 30, September 30, December 31, March 31,
1996 1997 1997 1997 1997 1998
------------ ----------- ----------- ------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Principal Balance of Contracts
Outstanding (1) ........... $ 97,578 $ 131,368 $ 176,433 $ 243,540 $ 325,757 $ 457,537
Principal Balance of Contracts
Delinquent (2)
30-59 Days............... $ 1,676 $ 912 $ 1,798 $ 2,563 $ 3,451 $ 4,503
60-89 Days............... $ 162 $ 368 $ 477 $ 715 $ 1,436 $ 1,218
90 Days or More.......... $ 263 $ 675 $ 889 $ 1,412 $ 2,275 $ 2,928
Total Delinquency
Dollars.................. $ 2,101 $ 1,955 $ 3,164 $ 4,690 $ 7,162 $ 8,649
Percentage (3) .......... 2.15% 1.49% 1.79% 1.93% 2.20% 1.89%
</TABLE>
- -------------------
(1) Excludes contracts already in repossession.
(2) The period of delinquency is based on the number of days payments are
contractually past due (assuming 30-day months). Consequently, a contract
due on the first day of the month is not 30 days delinquent until the
first day of the following month.
(3) As a percentage of the principal balance of contracts outstanding at month
end.
The following table sets forth the loan loss and repossession
experience for the periods indicated of the portfolio of conventional
manufactured housing contracts serviced by IndyMac.
Loss Experience
(Dollars in Thousands)
<TABLE>
<CAPTION>
Quarter Ended
------------------------------------------------------------------------------------
December 31, March 31, June 30, September 30, December 31, March 31,
1996 1997 1997 1997 1997 1998
------------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Number of Contracts Serviced(1)... 3,554 4,333 5,508 7,178 9,083 13,513
Principal Balance of Contracts
Serviced (1)................. $ 97,745 $ 131,796 $ 177,214 $ 244,798 $ 328,450 $ 462,296
Contract Repossessions.......... $ 32 $ 184 $ 417 $ 363 $ 1,005 $ 1,254
$ 0
Contract Liquidations........... $ 62 $ 284 $ 157 $ 170 $ 514
Ending Balance of Contracts in
Repossession
Dollars.................... $ 167 $ 428 $ 781 $ 1,258 $ 2,692 $ 4,760
Percentage (2)............. 0.17% 0.32% 0.44% 0.51% 0.82% 1.03%
Net Losses (3)
Dollars.................... $ 5 $ 33 $ 96 $ 20 $ 164 $ 405
Percentage (2)............. 0.01% 0.03% 0.05% 0.01% 0.05% 0.09%
</TABLE>
- ---------------
(1) As of period end. Includes contracts in repossession.
(2) As a percentage of principal balance of contracts being serviced as of
period end.
(3) The calculation of Net Losses includes expenses of repossession and
liquidation.
The data presented in the foregoing tables is for illustrative
purposes only and there is no assurance that the delinquency, loan loss or
repossession experience of the Contracts will be similar to that set forth
above. The delinquency, loan loss and repossession experience of manufactured
housing contracts historically has been sharply affected by a downturn in
regional or local economic conditions. These regional or local economic
conditions are often volatile, and no predictions can be made regarding future
economic conditions in any particular area. These downturns have tended to
increase the severity of loss on repossession because of the increased supply
of used manufactured homes, which in turn may affect the supply in other
regions.
<PAGE>
Appearing below is some information regarding the characteristics of
the Initial Contracts. Unless otherwise indicated by the context, all such
information is as of the Cut-off Date. Percentages may not add to 100.00% due
to rounding. Geographical Distribution of Manufactured Homes(1)
<TABLE>
<CAPTION>
Number of Percentage of Aggregate Cut-off Percentage of
Contracts Number of Date Contract Initial
Geographic Location Contracts Principal Balance Pool Balance
- ------------------- --------- ------------- ------------------- -------------
<S> <C> <C> <C> <C>
Alabama.................... 3 0.05% $ 100,210 0.05%
Alaska..................... 1 0.02 11,097 0.01
Arizona.................... 434 7.64 16,693,051 8.67
Arkansas................... 35 0.62 1,155,185 0.60
California................. 145 2.55 7,569,324 3.93
Colorado................... 74 1.30 3,429,826 1.78
Delaware................... 2 0.04 40,303 0.02
Florida.................... 173 3.05 6,562,641 3.41
Georgia.................... 74 1.30 3,015,856 1.57
Idaho...................... 61 1.07 3,461,338 1.80
Illinois................... 68 1.20 2,015,617 1.05
Indiana.................... 187 3.29 5,167,965 2.69
Iowa....................... 29 0.51 995,224 0.52
Kansas..................... 5 0.09 187,049 0.10
Kentucky................... 137 2.41 3,740,026 1.94
Louisiana.................. 1 0.02 61,284 0.03
Maryland................... 5 0.09 172,343 0.09
Massachusetts.............. 4 0.07 125,873 0.07
Michigan................... 765 13.47 24,307,916 12.63
Minnesota.................. 36 0.63 987,296 0.51
Mississippi................ 22 0.39 823,705 0.43
Missouri................... 59 1.04 2,094,787 1.09
Montana.................... 14 0.25 642,714 0.33
Nebraska................... 20 0.35 681,199 0.35
Nevada..................... 124 2.18 7,262,797 3.77
New Hampshire.............. 2 0.04 71,626 0.04
New Jersey................. 51 0.90 1,392,126 0.72
New Mexico................. 29 0.51 1,335,863 0.69
New York................... 7 0.12 303,275 0.16
North Carolina............. 334 5.88 12,576,343 6.53
North Dakota............... 12 0.21 457,886 0.24
Ohio....................... 1,723 30.33 37,952,065 19.73
Oklahoma................... 34 0.60 1,433,701 0.74
Oregon..................... 140 2.47 8,055,928 4.19
Pennsylvania............... 139 2.45 3,839,277 1.99
South Carolina............. 84 1.48 3,489,970 1.81
South Dakota............... 41 0.72 1,584,309 0.82
Tennessee.................. 73 1.29 2,938,037 1.53
Texas...................... 319 5.62 12,955,973 6.73
Utah....................... 25 0.44 1,141,289 0.59
Virginia................... 30 0.53 854,623 0.44
Washington................. 128 2.25 9,674,962 5.03
West Virginia.............. 9 0.16 255,584 0.13
Wisconsin.................. 7 0.12 132,509 0.07
Wyoming.................... 14 0.25 724,055 0.38
------- -------- --------------- ----------
Total................. 5,679 100.00% $192,474,029 100.00%
======= ======== =============== ==========
</TABLE>
(1) Based on the location of the properties underlying the Initial Contracts
as of the Cut-off Date.
<PAGE>
Initial Contracts Original Amounts
<TABLE>
<CAPTION>
Percentage of Aggregate Cut-off Date Percentage of
Number of Number of Contract Initial
Original Contract Amount Contracts Contracts Principal Balance Pool Balance
<S> <C> <C> <C> <C>
$ 4,999 or less............ 1 0.02% $ 1,456 0.00%
$ 5,000 - $ 9,999....... 134 2.36 876,714 0.46
$ 10,000 - $ 14,999........ 457 8.05 4,525,388 2.35
$ 15,000 - $ 19,999........ 710 12.50 10,113,789 5.26
$ 20,000 - $ 24,999........ 782 13.76 15,490,175 8.05
$ 25,000 - $ 29,999........ 721 12.70 18,260,768 9.49
$ 30,000 - $ 34,999........ 604 10.64 18,598,183 9.64
$ 35,000 - $ 39,999........ 481 8.47 17,324,469 9.00
$ 40,000 - $ 44,999........ 379 6.67 15,604,632 8.11
$ 45,000 - $ 49,999........ 307 5.41 14,261,051 7.41
$ 50,000 - $ 54,999........ 254 4.47 13,111,050 6.81
$ 55,000 - $ 59,999........ 193 3.40 10,914,742 5.67
$ 60,000 - $ 64,999........ 150 2.64 9,234,627 4.80
$ 65,000 - $ 69,999........ 108 1.90 7,159,284 3.72
$ 70,000 - $ 74,999........ 79 1.39 5,660,301 2.94
$ 75,000 - $ 79,999........ 56 0.99 4,268,715 2.22
$ 80,000 - $ 84,999........ 42 0.74 3,430,990 1.78
$ 85,000 - $ 89,999........ 58 1.02 5,019,906 2.61
$ 90,000 - $ 94,999........ 32 0.56 2,919,875 1.52
$ 95,000 - $ 99,999........ 29 0.51 2,824,538 1.47
$100,000 and above........... 102 1.80 12,873,377 6.69
------- ---------- ------------ ---------
Total................... 5,679 100.00% $192,474,029 100.00%
======= ========== ============ =========
</TABLE>
Initial Contracts APRs
<TABLE>
<CAPTION>
Number of Percentage of Aggregate Cut-off Date Percentage of
Contracts Number of Contract Initial
APR Contracts Principal Balance Pool Balance
<S> <C> <C> <C> <C>
6.25% - 7.00%............ 64 1.13% $ 4,656,387 2.42%
7.01% - 8.00%............ 156 2.75 10,200,895 5.30
8.01% - 9.00%............ 578 10.18 30,585,025 15.89
9.01% - 10.00%............. 1,545 27.19 55,568,570 28.86
10.01% - 11.00%............ 1,427 25.13 47,962,961 24.92
11.01% - 12.00%............ 941 16.57 25,811,328 13.41
12.01% - 13.00%............ 639 11.25 12,983,214 6.75
13.01% - 14.00%............ 234 4.12 3,594,691 1.87
14.01% - 15.00%............ 85 1.50 1,052,584 0.55
15.01% - 16.00%............ 6 0.11 36,049 0.02
16.01% - 16.99%............ 4 0.07 22,323 0.01
-------- --------- ------------- ---------
Total................. 5,679 100.00% $192,474,029 100.00%
======== ========= ============= =========
</TABLE>
<PAGE>
Initial Contracts Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of Aggregate Cut-off Date Percentage of
Contracts Number of Contract Initial
Remaining Term Contracts Principal Balance Pool Balance
<S> <C> <C> <C> <C>
Less than 121 months....... 1,511 26.60% $ 21,914,147 11.39%
121 - 180 months........... 1,164 20.50 29,515,011 15.33
181 - 240 months........... 996 17.54 35,534,132 18.46
241 - 300 months........... 467 8.22 19,573,308 10.17
301 - 360 months........... 1,541 27.14 85,937,431 44.63
------- --------- ------------- ---------
Total.................... 5,679 100.00% $192,474,029 100.00%
======= ========= ============= =========
</TABLE>
<TABLE>
<CAPTION>
IndyMac Initial Contracts Original Loan-to-Value Ratios (1) (2)
Number of Percentage of Aggregate Cut-off Date Percentage of
Original Contracts Number of Contract IndyMac Initial
Loan-to-Value Ratio(3) Contracts Principal Balance Pool Balance
<S> <C> <C> <C> <C>
50% or less................ 56 1.64% $ 1,260,952 0.87%
51% - 55%.................. 39 1.14 964,399 0.67
56% - 60%.................. 59 1.72 1,771,800 1.23
61% - 65%.................. 66 1.93 2,407,294 1.67
66% - 70%.................. 103 3.01 3,623,634 2.51
71% - 75%.................. 212 6.19 8,419,415 5.83
76% - 80%.................. 234 6.83 9,605,121 6.65
81% - 85%.................. 614 17.93 27,895,556 19.32
86% - 90%.................. 1,198 34.97 50,741,862 35.15
91% - 95%.................. 774 22.60 33,916,733 23.49
96% - 100%................. 70 2.04 3,770,217 2.61
------- --------- ------------- ---------
Total.................... 3,425 100.00% $144,376,984 100.00%
======= ========= ============= =========
</TABLE>
(1) "Value" with respect to each Contract is calculated by determining the
sum of (a) either (i) the sum of down payment (which includes the value
of any trade-in unit), and the original amount financed on the related
Contract (which may include sales and other taxes and insurance and
prepaid finance charges) or (ii) the value of the home as determined by
NADA book value or as appraised by an independent appraiser and (b) the
value of the land, if any, securing the Contract as appraised by an
independent appraiser.
(2) None of the Bank One Initial Contracts has an original Loan-to-Value ratio
greater than 90%.
(3) Rounded to the nearest 1%.
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-2
COMPUTATIONAL MATERIALS
BOND PROFILE SUMMARY
------------------------------------------------------------------------------
Class Original Coupon Avg. CBE 1st Last Mod.
Name & Type Par % Life Yield Price Pay Pay Dur.
------------------------------------------------------------------------------
To Call:
AR SENIOR 100 6.5000 0.11 N/A 100-00 8/98 8/98 0.11
A1 SENIOR FLT 59,300,000 FLOAT(3) 1.10 N/A 100-00 8/98 10/00 1.03
A2 SENIOR 39,600,000 6.1800 3.10 6.116 99-31+ 10/00 7/02 2.74
A3 SENIOR 29,700,000 6.2200 5.10 6.211 99-31 7/02 1/05 4.25
A4 SENIOR 53,278,000 6.6200 11.13 6.662 99-30 1/05 5/13 7.54
M1 AA MEZZ 18,360,000 6.7300 9.64 6.760 99-31+ 2/03 5/13 6.69
M2 A MEZZ 9,180,000 7.0700 9.64 7.111 99-30+ 2/03 5/13 6.58
B1 BBB SUB 9,754,000 7.3200 6.47 7.347 99-30 2/03 5/07 4.97
B2 BB SUB 10,327,900 ------ 12.63 ----- ------ 5/07 5/13 ----
-------------------------------
To Maturity:
A4 SENIOR 53,278,000 6.6200 11.98 6.663 99-30 1/05 12/20 7.81
M1 AA MEZZ 18,360,000 6.7300 10.07 6.762 99-31+ 2/03 8/17 6.84
M2 A MEZZ 9,180,000 7.0700 9.85 7.111 99-30+ 2/03 7/15 6.65
B1 BBB SUB 9,754,000 7.3200 6.47 7.347 99-30 2/03 5/07 4.97
B2 BB SUB 10,327,900 ------ 15.73 ----- ------ 5/07 4/25 ----
------------------------------------------------------------------------------
Note:
(1) Data assumes a prepayment speed of 180% MHP.
(2) Coupon and price are assumed for computational materials.
(3) A1 coupon based on 1 month LIBOR.
(4) B2 certificates are not being offered.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no
circumstances shall the information presented constitute an offer to sell or
the solicitation of an offer to buy nor shall there be any sale of the
securities in any jurisdiction in which such offer, solicitation or sale would
be unlawful prior to registration or qualification under the securities laws
of such jurisdiction. The securities may not be sold nor may an offer to buy
be accepted prior to the delivery of a final prospectus relating to the
securities. The above preliminary description of the underlying assets has
been provided by the issuer and has not been independently verified by Credit
Suisse First Boston. All information described above is preliminary, limited
in nature and subject to completion or amendment. Credit Suisse First Boston
makes no representations that the above referenced security will actually
perform as described in any scenario presented.
[GRAPHIC OMITTED]
<PAGE>
BOND PROFILE SUMMARY
-----------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
-----------------------------------------------------------------------------
A1 SENIOR FLOATER
Price: 100-00 Coupon: FLOATER Original Par: 59,300,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: N/A N/A N/A N/A N/A N/A
Average Life: 4.20 1.64 1.25 1.10 1.02 0.75
Duration: 3.51 1.50 1.16 1.03 0.95 0.71
First Prin Pay: 8/98 8/98 8/98 8/98 8/98 8/98
Last Prin Pay: 7/06 11/01 1/01 10/00 7/00 1/00
-----------------------------------------------------------------------------
A2 SENIOR
Price: 99-31+ Coupon: 6.1800 Original Par: 39,600,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 6.21 6.16 6.13 6.12 6.10 6.05
Average Life: 10.75 4.68 3.55 3.10 2.86 2.05
Duration: 7.63 3.95 3.10 2.74 2.55 1.87
First Prin Pay: 7/06 11/01 1/01 10/00 7/00 1/00
Last Prin Pay: 12/11 10/04 2/03 7/02 3/02 2/01
-----------------------------------------------------------------------------
A3 SENIOR
Price: 99-31 Coupon: 6.2200 Original Par: 29,700,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 6.26 6.24 6.22 6.21 6.20 6.16
Average Life: 16.41 8.18 6.13 5.10 4.57 3.17
Duration: 10.01 6.22 4.95 4.25 3.87 2.80
First Prin Pay: 12/11 10/04 2/03 7/02 3/02 2/01
Last Prin Pay: 8/17 12/08 5/06 1/05 5/04 4/02
-----------------------------------------------------------------------------
<PAGE>
BOND PROFILE SUMMARY
-----------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
-----------------------------------------------------------------------------
A4 SENIOR
Price: 99-30 Coupon: 6.6200 Original Par: 53,278,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 6.68 6.67 6.67 6.66 6.66 6.64
Average Life: 23.89 16.00 12.82 11.13 10.13 6.46
Duration: 11.66 9.49 8.29 7.54 7.06 5.01
First Prin Pay: 8/17 12/08 5/06 1/05 5/04 4/02
Last Prin Pay: 4/25 7/18 2/15 5/13 4/12 8/08
---------------------------
To Maturity:
Bond Yield: 6.68 6.67 6.67 6.66 6.66 6.64
Average Life: 24.27 16.84 13.72 11.98 10.95 6.95
Duration: 11.72 9.68 8.54 7.81 7.34 5.22
First Prin Pay: 8/17 12/08 5/06 1/05 5/04 4/02
Last Prin Pay: 10/27 3/25 5/22 12/20 11/19 10/14
-----------------------------------------------------------------------------
M1 AA MEZZ
Price: 99-31+ Coupon: 6.7300 Original Par: 18,360,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 6.78 6.77 6.76 6.76 6.76 6.75
Average Life: 20.53 12.61 10.37 9.64 9.21 7.67
Duration: 10.67 7.95 7.00 6.69 6.50 5.76
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 4/25 7/18 2/15 5/13 4/12 8/08
---------------------------
To Maturity:
Bond Yield: 6.78 6.77 6.76 6.76 6.76 6.75
Average Life: 20.70 12.94 10.75 10.07 9.69 8.29
Duration: 10.69 8.02 7.11 6.84 6.67 6.04
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 12/26 12/21 3/19 8/17 9/16 3/13
-----------------------------------------------------------------------------
<PAGE>
BOND PROFILE SUMMARY
-----------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
-----------------------------------------------------------------------------
M2 A SUB
Price: 99-30+ Coupon: 7.0700 Original Par: 9,180,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 7.13 7.12 7.11 7.11 7.11 7.10
Average Life: 20.53 12.60 10.37 9.64 9.21 7.67
Duration: 10.37 7.78 6.88 6.58 6.40 5.68
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 4/25 7/18 2/15 5/13 4/12 8/08
---------------------------
To Maturity:
Bond Yield: 7.13 7.12 7.11 7.11 7.11 7.10
Average Life: 20.58 12.70 10.50 9.85 9.47 8.12
Duration: 10.37 7.81 6.91 6.65 6.49 5.88
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 2/26 2/20 10/16 7/15 9/14 7/11
-----------------------------------------------------------------------------
B1 BBB SUB
Price: 99-30 Coupon: 7.3200 Original Par: 9,754,000
-----------------------------------------------------------------------------
To Call:
Bond Yield: 7.39 7.36 7.35 7.35 7.35 7.34
Average Life: 16.35 8.24 6.72 6.47 6.33 5.87
Duration: 9.20 5.95 5.11 4.97 4.89 4.62
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 2/19 2/10 12/07 5/07 1/07 11/05
---------------------------
To Maturity:
Bond Yield: 7.39 7.36 7.35 7.35 7.35 7.34
Average Life: 16.35 8.24 6.72 6.47 6.33 5.87
Duration: 9.20 5.95 5.11 4.97 4.89 4.62
First Prin Pay: 10/10 1/04 2/03 2/03 2/03 2/03
Last Prin Pay: 2/19 2/10 12/07 5/07 1/07 11/05
-----------------------------------------------------------------------------
<PAGE>
Percent of Principal Outstanding of Class A-1
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 85 66 56 50 46 27
July 25, 2000 76 37 18 7 0 0
July 25, 2001 66 9 0 0 0 0
July 25, 2002 55 0 0 0 0 0
July 25, 2003 42 0 0 0 0 0
July 25, 2004 28 0 0 0 0 0
July 25, 2005 13 0 0 0 0 0
July 25, 2006 0 0 0 0 0 0
July 25, 2007 0 0 0 0 0 0
July 25, 2008 0 0 0 0 0 0
July 25, 2009 0 0 0 0 0 0
July 25, 2010 0 0 0 0 0 0
July 25, 2011 0 0 0 0 0 0
July 25, 2012 0 0 0 0 0 0
July 25, 2013 0 0 0 0 0 0
July 25, 2014 0 0 0 0 0 0
July 25, 2015 0 0 0 0 0 0
July 25, 2016 0 0 0 0 0 0
July 25, 2017 0 0 0 0 0 0
July 25, 2018 0 0 0 0 0 0
July 25, 2019 0 0 0 0 0 0
July 25, 2020 0 0 0 0 0 0
July 25, 2021 0 0 0 0 0 0
July 25, 2022 0 0 0 0 0 0
July 25, 2023 0 0 0 0 0 0
July 25, 2024 0 0 0 0 0 0
July 25, 2025 0 0 0 0 0 0
July 25, 2026 0 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 4.2 1.6 1.3 1.1 1.0 0.7
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class A-2
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 47
July 25, 2001 100 100 73 51 36 0
July 25, 2002 100 72 25 0 0 0
July 25, 2003 100 34 0 0 0 0
July 25, 2004 100 4 0 0 0 0
July 25, 2005 100 0 0 0 0 0
July 25, 2006 99 0 0 0 0 0
July 25, 2007 83 0 0 0 0 0
July 25, 2008 65 0 0 0 0 0
July 25, 2009 45 0 0 0 0 0
July 25, 2010 22 0 0 0 0 0
July 25, 2011 5 0 0 0 0 0
July 25, 2012 0 0 0 0 0 0
July 25, 2013 0 0 0 0 0 0
July 25, 2014 0 0 0 0 0 0
July 25, 2015 0 0 0 0 0 0
July 25, 2016 0 0 0 0 0 0
July 25, 2017 0 0 0 0 0 0
July 25, 2018 0 0 0 0 0 0
July 25, 2019 0 0 0 0 0 0
July 25, 2020 0 0 0 0 0 0
July 25, 2021 0 0 0 0 0 0
July 25, 2022 0 0 0 0 0 0
July 25, 2023 0 0 0 0 0 0
July 25, 2024 0 0 0 0 0 0
July 25, 2025 0 0 0 0 0 0
July 25, 2026 0 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 10.7 4.7 3.6 3.1 2.9 2.0
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class A-3
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 100
July 25, 2001 100 100 100 100 100 59
July 25, 2002 100 100 100 97 75 0
July 25, 2003 100 100 84 48 25 0
July 25, 2004 100 100 51 15 0 0
July 25, 2005 100 76 20 0 0 0
July 25, 2006 100 50 0 0 0 0
July 25, 2007 100 28 0 0 0 0
July 25, 2008 100 8 0 0 0 0
July 25, 2009 100 0 0 0 0 0
July 25, 2010 100 0 0 0 0 0
July 25, 2011 100 0 0 0 0 0
July 25, 2012 91 0 0 0 0 0
July 25, 2013 75 0 0 0 0 0
July 25, 2014 58 0 0 0 0 0
July 25, 2015 39 0 0 0 0 0
July 25, 2016 19 0 0 0 0 0
July 25, 2017 1 0 0 0 0 0
July 25, 2018 0 0 0 0 0 0
July 25, 2019 0 0 0 0 0 0
July 25, 2020 0 0 0 0 0 0
July 25, 2021 0 0 0 0 0 0
July 25, 2022 0 0 0 0 0 0
July 25, 2023 0 0 0 0 0 0
July 25, 2024 0 0 0 0 0 0
July 25, 2025 0 0 0 0 0 0
July 25, 2026 0 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 16.4 8.2 6.1 5.1 4.6 3.2
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class A-4
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 100
July 25, 2001 100 100 100 100 100 100
July 25, 2002 100 100 100 100 100 86
July 25, 2003 100 100 100 100 100 59
July 25, 2004 100 100 100 100 96 47
July 25, 2005 100 100 100 92 81 37
July 25, 2006 100 100 97 79 68 29
July 25, 2007 100 100 85 68 58 22
July 25, 2008 100 100 74 58 48 17
July 25, 2009 100 93 64 49 41 13
July 25, 2010 100 83 55 41 33 10
July 25, 2011 100 72 47 34 27 8
July 25, 2012 100 64 40 29 23 6
July 25, 2013 100 57 34 24 18 3
July 25, 2014 100 50 29 20 15 1
July 25, 2015 100 43 24 16 12 0
July 25, 2016 100 37 19 13 9 0
July 25, 2017 100 31 16 10 6 0
July 25, 2018 92 27 13 7 3 0
July 25, 2019 82 22 10 4 1 0
July 25, 2020 72 18 6 1 0 0
July 25, 2021 60 14 3 0 0 0
July 25, 2022 48 9 0 0 0 0
July 25, 2023 40 5 0 0 0 0
July 25, 2024 32 2 0 0 0 0
July 25, 2025 25 0 0 0 0 0
July 25, 2026 16 0 0 0 0 0
July 25, 2027 3 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 24.3 16.8 13.7 12.0 11.0 6.9
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class M-1
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 100
July 25, 2001 100 100 100 100 100 100
July 25, 2002 100 100 100 100 100 100
July 25, 2003 100 100 94 93 92 90
July 25, 2004 100 94 82 79 78 71
July 25, 2005 100 84 71 68 65 56
July 25, 2006 100 76 62 58 55 44
July 25, 2007 100 68 54 50 47 34
July 25, 2008 100 62 47 42 39 27
July 25, 2009 100 55 41 36 33 20
July 25, 2010 100 49 35 30 27 15
July 25, 2011 94 43 30 25 22 11
July 25, 2012 89 38 25 21 18 4
July 25, 2013 84 34 22 17 15 0
July 25, 2014 78 30 18 14 12 0
July 25, 2015 72 26 15 11 6 0
July 25, 2016 65 22 12 5 1 0
July 25, 2017 59 18 8 0 0 0
July 25, 2018 54 16 3 0 0 0
July 25, 2019 49 13 0 0 0 0
July 25, 2020 42 9 0 0 0 0
July 25, 2021 36 2 0 0 0 0
July 25, 2022 28 0 0 0 0 0
July 25, 2023 23 0 0 0 0 0
July 25, 2024 19 0 0 0 0 0
July 25, 2025 15 0 0 0 0 0
July 25, 2026 6 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 20.7 12.9 10.7 10.1 9.7 8.3
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class M-2
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 100
July 25, 2001 100 100 100 100 100 100
July 25, 2002 100 100 100 100 100 100
July 25, 2003 100 100 94 93 92 90
July 25, 2004 100 94 82 79 78 71
July 25, 2005 100 84 71 68 65 56
July 25, 2006 100 76 62 58 55 44
July 25, 2007 100 68 54 50 47 34
July 25, 2008 100 62 47 42 39 27
July 25, 2009 100 55 41 36 33 20
July 25, 2010 100 49 35 30 27 12
July 25, 2011 94 43 30 25 22 0
July 25, 2012 89 38 25 21 18 0
July 25, 2013 84 34 22 17 10 0
July 25, 2014 78 30 18 8 1 0
July 25, 2015 72 26 11 0 0 0
July 25, 2016 65 22 2 0 0 0
July 25, 2017 59 18 0 0 0 0
July 25, 2018 54 13 0 0 0 0
July 25, 2019 49 4 0 0 0 0
July 25, 2020 42 0 0 0 0 0
July 25, 2021 36 0 0 0 0 0
July 25, 2022 28 0 0 0 0 0
July 25, 2023 23 0 0 0 0 0
July 25, 2024 19 0 0 0 0 0
July 25, 2025 9 0 0 0 0 0
July 25, 2026 0 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 20.6 12.7 10.5 9.8 9.5 8.1
</TABLE>
<PAGE>
Percent of Principal Outstanding of Class B-1
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
Percent of MHP: 0 100 150 180 200 300
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Percent 100 100 100 100 100 100
July 25, 1999 100 100 100 100 100 100
July 25, 2000 100 100 100 100 100 100
July 25, 2001 100 100 100 100 100 100
July 25, 2002 100 100 100 100 100 100
July 25, 2003 100 100 87 85 84 80
July 25, 2004 100 87 62 58 55 41
July 25, 2005 100 67 40 33 29 9
July 25, 2006 100 50 21 13 8 0
July 25, 2007 100 35 5 0 0 0
July 25, 2008 100 21 0 0 0 0
July 25, 2009 100 7 0 0 0 0
July 25, 2010 100 0 0 0 0 0
July 25, 2011 88 0 0 0 0 0
July 25, 2012 77 0 0 0 0 0
July 25, 2013 67 0 0 0 0 0
July 25, 2014 55 0 0 0 0 0
July 25, 2015 42 0 0 0 0 0
July 25, 2016 28 0 0 0 0 0
July 25, 2017 16 0 0 0 0 0
July 25, 2018 6 0 0 0 0 0
July 25, 2019 0 0 0 0 0 0
July 25, 2020 0 0 0 0 0 0
July 25, 2021 0 0 0 0 0 0
July 25, 2022 0 0 0 0 0 0
July 25, 2023 0 0 0 0 0 0
July 25, 2024 0 0 0 0 0 0
July 25, 2025 0 0 0 0 0 0
July 25, 2026 0 0 0 0 0 0
July 25, 2027 0 0 0 0 0 0
July 25, 2028 0 0 0 0 0 0
Avg Life In Years: 16.3 8.2 6.7 6.5 6.3 5.9
</TABLE>
