<PAGE>
- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) December 13, 1996
CS First Boston Mortgage Securities Corp.
----------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-15833 13-3320910
- ---------------------------- --------------- -------------------
(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) 909-7537
--------------
Park Avenue Plaza
New York, New York 10055
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events
------------
In connection with the offering of Wilshire Funding Corporation Mortgage-
Backed Certificates, Series 1996-3, a Series Term Sheet dated December 13, 1996
was furnished to certain prospective investors (the "Term Sheet") which are
either (i) "Computational Materials" within the meanings of the May 20, 1994
Kidder, Peabody No-Action Letter or (ii) "ABS Term Sheets" within the meanings
of the February 17, 1995 and March 9, 1995 Public Securities Association No-
Action Letters.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
---------------------------------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Term Sheet (as defined in Item 5 above).
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CS First Boston Mortgage Securities
Corp., as Depositor
By: /s/ William Pitofsky
----------------------------
Name: William Pitofsky
Title: Director
Dated: December 16, 1996
<PAGE>
EXHIBIT INDEX
-------------
EXHIBIT NO. DESCRIPTION
- ----------- -----------
99.1 Term Sheet (as defined
in Item 5 above).
<PAGE>
EXHIBIT 99.1
------------
<PAGE>
SUBJECT TO REVISION
SERIES TERM SHEET DATED DECEMBER 13, 1996
$278,285,932.49
$254,631,628.23
(INVESTMENT GRADE - PUBLICLY OFFERED)
$23,654,304.26
(NON-INVESTMENT GRADE - NOT PUBLICLY OFFERED)
CS FIRST BOSTON MORTGAGE SECURITIES CORP.,
DEPOSITOR
WILSHIRE MORTGAGE FUNDING CORPORATION IV, INC.,
SELLER
WILSHIRE SERVICING CORPORATION,
SERVICER
WILSHIRE CREDIT CORPORATION,
SUB-SERVICER
WILSHIRE FUNDING CORPORATION MORTGAGE-BACKED CERTIFICATES, SERIES 1996-3
Attached is a preliminary Series Term Sheet describing the structure, collateral
pool and certain aspects of the Wilshire Funding Corporation Mortgage-Backed
Certificates, Series 1996-3. The Term Sheet is for informational purposes only
and is subject to modification or change. The information and assumptions
contained herein 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 nor any of its affiliates make any
representation as to the accuracy or completeness of any of the information set
forth in the attached Series Term Sheet.
A Registration Statement (including a base prospectus) relating to certain
Conduit Mortgage and Manufactured Housing Contract Pass-Through Certificates,
including the Wilshire Funding Corporation Mortgage-Backed Certificates, Series
1996-3, 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 by 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.
This Series Term Sheet will be superseded in its entirety by the
information appearing in the Prospectus Supplement, the Prospectus and the
Wilshire Funding Corporation Mortgage-Backed Certificates, Series 1996-3 Pooling
and Servicing Agreement to be dated as of December 1, 1996 among CS First Boston
Mortgage Securities Corp., as Depositor, Wilshire Servicing Corporation, as
Servicer and Bankers Trust Company of California, N.A., as Trustee and as Back-
Up Servicer.
Credit Suisse First Boston
<PAGE>
SUMMARY
Securities Issued The Wilshire Funding Corporation Mortgage Backed
Certificates, Series 1996-3 (the "Certificates") will
be issued pursuant to a pooling and servicing
agreement (the "Pooling and Servicing Agreement") to
be dated as of December 1, 1996 among CS First Boston
Mortgage Securities Corp. (the "Depositor"), Wilshire
Credit Corporation (the "Servicer"), and Bankers
Trust Company of California, N.A. as Trustee (the
"Trustee") and as Back-Up Servicer (the "Back-Up
Servicer").
The Certificates will consist of seven Classes
of senior Certificates (respectively, the "Class A-1
Certificates", the "Class A-2-A Certificates," the
"Class A-2-B Certificates," the "Class A-2-C
Certificates" (the Class A-1, Class A-2-A, Class A-2-
B and Class A-2-C Certificates, the "Class A
Certificates"), the "Class F-IO Certificates," the
"Class A-IO Certificates" and the "Class PO
Certificates," and collectively, the "Senior
Certificates") and six Classes of subordinate
Certificates (respectively, the "Class M-1
Certificates", the "Class M-2 Certificates", the
"Class M-3 Certificates" (the Class M-1, Class M-2
and Class M-3 Certificates, collectively, the "Class
M Certificates"), the "Class B-1 Certificates", the
"Class B-2 Certificates" and the "Class B-3
Certificates" (the Class B-1, Class B-2 and Class B-3
Certificates, the "Class B Certificates") and
collectively, the "Subordinate Certificates").
The Trust will also issue a "residual interest" with
respect to each REMIC held by the Trust
(collectively, the "Residual Certificates").
The Senior Certificates, the Subordinate Certificates
and the Residual Certificates are collectively
referred to as the "Certificates".
The Certificates will be issued in the amounts (with
respect to each Class, the related "Initial
Certificate Principal Balance") and bear the initial
pass-through rates (with respect to each Class, the
"Initial Pass-Through Rate") set forth below:
Initial
Initial Pass- Final Scheduled
Certificate Through Distribution
Class Balance Rate Date
----- ----------- ------- ---------------
Class A-1 Certificates $ _____ % August 25, 2032
Class A-2-A Certificates $ ____( 1) August 25, 2032
Class A-2-B Certificates $ ____( 2) August 25, 2032
Class A-2-C Certificates $ ____( 3) August 25, 2032
Class F-IO Certificates (4) ____( 5) August 25, 2032
Class A-IO Certificates (6) ____( 7) August 25, 2032
Class PO Certificates $ ____( 8) August 25, 2032
S-2
<PAGE>
Class M-1 Certificates $ ____( 9) August 25, 2032
Class M-2 Certificates $ ____( 9) August 25, 2032
Class M-3 Certificates $ ____( 9) August 25, 2032
Class B-1 Certificates $ ____( 9) August 25, 2032
Class B-2 Certificates $ ____( 9) August 25, 2032
Class B-3 Certificates $ ____( 9) August 25, 2032
(1) The Class A-2-A Pass-Through Rate will equal,
with respect to any Distribution Date, a per
annum rate equal to the lesser of (x) the Pool
II Gross WAC less [ ]% and (y) the Adjusted
Pool II Gross WAC for such Distribution Date,
less 0.395%.
----
(2) The Class A-2-B Pass-Through Rate will equal,
with respect to any Distribution Date, a per
annum rate equal to the lesser of (x) the Pool
III Gross WAC less [ ]% and (y) the Adjusted
Pool III Gross WAC for such Distribution Date,
less 0.395%.
----
(3) The Class A-2-C Pass-Through Rate will equal,
with respect to any Distribution Date, a per
annum rate equal to the lesser of (x) the Pool
IV Gross WAC less [ ]% and (y) the Adjusted
Pool IV Gross WAC for such Distribution Date,
less 0.395%.
----
(4) The Class F-IO Certificates are "interest-only"
Certificates and do not have a principal
balance. Distributions will be calculated on the
"Class F-IO Notional Balance" which, as of any
date, will equal the Class A-1 Principal Balance
as of such date.
(5) The Class F-IO Pass-Through Rate will equal,
with respect to any Distribution Date, a per
annum rate equal to the excess of (x) the
Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395% over (y) the Class A-1 Pass-
----
Through Rate.
(6) The Class A-IO Certificates are "interest-only"
Certificates and do not have a principal
balance. Distributions will be calculated on the
"Class A-IO Notional Balance", which, as of any
date, shall equal the sum of the Class A-2-A
Principal Balance, the Class A-2-B Principal
Balance and the Class A-2-C Principal Balance as
of such date.
(7) The Class A-IO Pass-Through Rate will equal,
with respect to any Distribution Date, a per
annum rate equal to the Adjusted ARM Gross WAC
with respect to such Distribution Date less the
----
weighted average of the Class A-2-A Pass-Through
Rate, the Class A-2-B Pass-Through Rate and the
Class A-2-C Pass-Through Rate for such
Distribution Date, less 0.395%.
----
(8) The Class PO Certificates are "principal-only"
Certificates and do not pay interest.
S-3
<PAGE>
(9) The Pass-Through Rate for each of the Class M-1,
Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates will equal, with respect
to any Distribution Date, the Adjusted Pool I
Gross WAC for such Distribution Date, less
----
0.395%.
Securities Offered The only Certificates being offered hereby (the
"Offered Certificates") are the following classes:
Class A-1, Class A-2-A, Class A-2-B, Class A-2-C,
Class F-IO, Class A-IO, Class PO, Class M-1, Class M-
2 and Class M-3. The Class B-1, Class B-2, Class B-3
and the Residual Certificates are not offered hereby.
Such Certificates may be offered in a private
placement transactions, or may be retained by the
Seller. The Offered Certificates will be issued in
book-entry form in minimum denominations of $1,000
and integral multiples of $1 in excess thereof (with
the exception of one odd-denomination Certificate of
each Class). The Offered Certificates initially will
be represented by certificates registered in the name
of Cede & Co., as the nominee of The Depository Trust
Company ("DTC").
Certificates representing the Offered Certificates
will be issued in definitive form only under the
limited circumstances described herein. All
references herein to "holders" or "holders of the
Offered Certificates" shall reflect the rights of
beneficial owners of Offered Certificates issued in
book-entry form ("Certificate Owners") as they may
indirectly exercise such rights through DTC, and
participating members thereof, except as otherwise
specified herein. See "Risk Factors -- Book-Entry
Registration" and "Description of the Certificates --
Registration of the Offered Certificates" herein and
"Risk Factors -- Limitation on Rights Due to Book
Entry Registration" in the Prospectus.
The Offered Certificates will evidence undivided
interests in the Mortgage Loans and together with all
other assets of the trust fund, (as defined herein)
(collectively, the "Trust Estate"). The undivided
percentage interest (the "Percentage Interest") of an
individual Certificate in distributions on the
related Class of Certificates will equal the
percentage obtained from dividing the original
denomination of such Certificate by the Initial
Certificate Principal Balance of the related Class
(or, with respect to the Class F-IO and the Class A-
IO Certificates, the Percentage Interest set forth on
the face of such Certificate).
The Offered Certificates will not represent interests
in or obligations of the Depositor, the Seller, the
Servicer, the Back-Up Servicer, the Trustee, any Sub-
Servicer or any of their respective affiliates.
Neither the Offered Certificates nor the underlying
Mortgage Loans will be insured or guaranteed by any
governmental agency or instrumentality.
Cut-Off Date December 1, 1996, after application of all payments
due on or before such date.
Closing Date On or about December 20, 1996 (the "Closing Date").
Depositor CS First Boston Mortgage Securities Corp., a Delaware
corporation.
S-4
<PAGE>
Seller Wilshire Mortgage Funding Company IV, Inc., a Delaware
corporation. The majority of the Loans sold by the
Seller were acquired from Girard Savings Bank F.S.B.
and First Bank of Beverly Hills F.S.B., two
affiliated companies (the "Savings Banks"). As a
result of the rapid asset growth of the Savings Banks
and certain pools of auto loans, concerns about
management at the Savings Bank level and other
matters, the Office of Thrift Supervision recently
imposed cease-and-desist orders on the Savings Banks
restricting their asset growth and requiring that the
Savings Banks improve management and implement
polices and procedures relating to internal asset
reviews, internal audits, loan loss reserves, loan
purchases and hedging transactions. The Savings Banks
have recently hired additional management and taken a
number of other steps to address these concerns.
Servicer Wilshire Servicing Corporation, a Delaware
corporation.
Trustee Bankers Trust Company of California, N.A., a national
banking association.
Mortgage Loan Pool
Statistical Data The statistical information presented in
this Term Sheet concerning the pools of Mortgage
Loans is based on the pools as of the Cut-Off Date.
Unless otherwise noted, all statistical percentages
in this Term Sheet are measured by the aggregate
principal balance, including Arrearage (as
hereinafter defined) of the Mortgage Loan Pool, or
any sub-pool thereof, as of the Cut-Off Date.
Distribution Dates and
Record Dates Distributions to the holders of the
Certificates of a Class on each Distribution Date
will be made in an amount equal to their respective
Percentage Interests multiplied by the aggregate
amount distributed on such Class of Certificates on
such Distribution Date. Distributions on the
Certificates will be made on the 25th day of each
month (or, if such 25th day is not a Business Day, on
the next succeeding Business Day) (each, a
"Distribution Date"), commencing January 27, 1997.
"Business Day" shall mean any day other than (i) a
Saturday or Sunday, or (ii) any day on which banking
institutions located in the States of New York or
California are authorized or obligated by law or
executive order to close.
So long as the Offered Certificates are registered in
the name of Cede & Co., as nominee of DTC,
distributions on each Distribution Date will be made
to the holders of record of the related Offered
Certificates (the "Certificateholders") as of the
close of business on the last day of the calendar
month immediately preceding such Distribution Date
(each, a "Record Date"), except that the final
distribution in respect of the Certificates will only
be made upon presentation and surrender of the
Certificates at the office or agency appointed by the
Trustee for that purpose in New York, New York.
Accrual Periods and
Calculation of Interest For each Distribution Date, interest with respect to
the Certificates (other than the Class PO
Certificates, which do not bear interest) will accrue
at the related Pass-Through Rate for the calendar
month immediately preceding the calendar month in
which such Distribution Date occurs. Each such
calendar month is the "Accrual Period" for the
related Class of Certificates.
S-5
<PAGE>
All calculations of interest on the Certificates
(other than the Class PO Certificates, which do not
bear interest) will be made on the basis of a 360-day
year assumed to consist of twelve 30-day months.
The Class PO Certificates are "principal-only"
certificates which do not bear interest.
The final scheduled Distribution Date (each, a "Final
Scheduled Distribution Date") for each Class of
Certificates will be August 25, 2032. However, in
the event of defaults or prepayments on the Loans,
final payment with respect to the related Class of
Certificates could occur prior to, or later than,
such date.
Distributions General. The Certificateholders will be entitled to
receive distributions monthly, on each Distribution
Date, commencing January 27, 1997. Such
distributions, to the extent of Available Funds, will
consist of (i) for all Classes other than the Class
PO Certificates, a distribution of interest accrued
during the related Accrual Period, together with (ii)
for all Classes other than the Class F-IO and the
Class A-IO Certificates, a distribution of principal,
subject to the priorities described herein.
The Mortgage Loan pool primarily consists of four
types of Mortgage Loans: Mortgage Loans having a
fixed rate of interest (such Mortgage Loans, "Fixed
Rate Loans"); Mortgage Loans primarily having an
adjustable rate of interest based on the Eleventh
District Cost of Funds (such Mortgage Loans, "COFI
Loans"); Mortgage Loans primarily having an
adjustable rate of interest based on a Constant
Maturity Treasury (such Mortgage Loans, the "CMT
Loans") and Mortgage Loans primarily having an
adjustable rate of interest based on six-month LIBOR
(such Mortgage Loans, the "LIBOR Loans"). In
addition, certain other Mortgage Loans have an
adjustable rate of interest based on an index other
than described above.
All of the Mortgage Loans originally assigned to Pool
I (the "Pool I Loans") are Fixed Rate Loans. The
Mortgage Loans originally assigned to Pool II (the
"Pool II Loans") are primarily COFI Loans, although
certain Pool II Mortgage Loans have an adjustable
rate of interest based on an index other than COFI.
The Mortgage Loans originally assigned to Pool III
(the "Pool III Loans") are primarily CMT Loans,
although certain Pool III Mortgage Loans have an
adjustable rate of interest based on an index other
than CMT. The Mortgage Loans originally assigned to
Pool IV (the "Pool IV Loans") are primarily LIBOR
Loans although certain Pool IV Mortgage Loans have an
adjustable rate of interest based on an index other
than LIBOR.
The Class A-1, Class F-IO, Class PO, Class M-1, Class
M-2, Class M-3, Class B-1, Class B-2 and Class B-3
Certificates generally are originally supported by
Pool I; the Class A-2-A Certificates generally relate
to Pool II; the Class A-2-B Certificates generally
are originally supported by Pool III; and the Class
A-2-C Certificates generally are originally supported
by Pool IV;
S-6
<PAGE>
Pool II, Pool III and Pool IV are collectively
referred to as the "ARM Pools". The Class A-IO
Certificates relate to the ARM Pools.
As a result of the shifting-interest and cross-
support features of the Trust, the amortization of
the Certificates relating to a particular Pool may
not exactly follow the amortization of Mortgage Loans
in the related Pool, although the cash-flow mechanics
of the Trust do, in many instances, gear the
amortization of the Certificates relating to a
particular Pool to the amortization of the Mortgage
Loans in the related Pool.
The amounts due to the Class F-IO Certificateholders
will be based on the Notional Balance thereof, which
on any date will be equal to the Class A-1 Principal
Balance as of such date; the amortization of the
Class A-1 Principal is generally tied to the
amortization of the Fixed Rate Loans. The amounts
due to the Class A-IO Certificateholders will be
based on the Notional Balance of the Class A-IO
Certificates, which, on any date will be equal to the
sum of the Class A-2-A Principal Balance, the Class
A-2-B Principal Balance and the Class A-2-C Principal
Balance as of such date.
Certain of the Fixed Rate Loans have Net Coupon Rates
less than [ ]%; such Fixed-Rate Loans are the
"Discount Loans". The Original Certificate Principal
Balance of the Class PO Certificates is equal to the
aggregate amount of the PO Portion of the Principal
Balances of the Discount Loans as of the Cut-Off
Date, plus the Aggregate PO Arrearage Amount as of
the Cut-Off Date. The "PO Portion" of a Discount
Loan's Principal Balance as of the Cut-Off Date is
the product of the PO Percentage for such Discount
Loan and the Principal Balance thereof. The
amortization of the Class PO Certificates will
generally follow the amortization of the Discount
Loans and of the Aggregate PO Arrearage Amount. The
Class PO Certificates do not pay interest.
Special Rules Relating to Chapter 13 Bankruptcy
Loans. Certain of the Mortgage Loans in each Pool
relate to Obligors which are the subject of a
bankruptcy proceeding under Chapter 13 of the
Bankruptcy Code. Under the terms of the related
payment plans ordered by the court in such
proceedings, the portion of such Obligor's payments
which were delinquent (the "Arrearage") and arose
prior to the bankruptcy petition are due and payable
by the Obligor under a payment plan. The Arrearage
does not bear interest and generally amortizes over a
three or five year period.
The "Adjusted Net Coupon Rate" for any Mortgage Loan
as of the Cut-Off Date is equal to the percentage
equivalent of a fraction, the numerator of which is
----------------------
the product of (x) the Principal Balance of such
Mortgage Loan (exclusive of the amount of any
Arrearage Amount) as of the Cut-Off Date and (y) the
Coupon Rate for such Mortgage Loan (as of the Due
Date in the related Collection Period) less 0.395%
----
and the denominator of which is equal to the
------------------------
Principal Balance (inclusive of the Arrearage Amount)
of such Mortgage Loan as of the Cut-Off Date.
S-7
<PAGE>
The "Aggregate PO Arrearage Amount" is the aggregate
of the Arrearage on all Mortgage Loans having an
Adjusted Net Coupon Rate as of the Cut-Off Date of
less than [_____%]. "Arrearage Loans" are Mortgage
Loans which have Arrearages which are not included in
the Aggregate PO Arrearage Amount.
For purposes of calculating amounts to be distributed
on the Certificates, the "Net Coupon Rate" of an
Arrearage Loan is equal to its Adjusted Net Coupon as
of the Due Date in the related Collection Period.
With respect to all other Mortgage Loans, the "Net
Coupon Rate" is equal to such Mortgage Loan's Coupon
Rate, less 0.395%. Further, for purposes of
----
calculating amounts to be distributed on the
Certificates, the "Principal Balance" of any
Arrearage Loan is equal to the unpaid principal
balance thereof, plus the Arrearage. For any Mortgage
Loan which is not an Arrearage Loan, the Arrearage,
if any, will not be included in the "Principal
Balance" thereof (which "Principal Balance" will
equal the unpaid principal balance); such amount
rather will be included in the Aggregate PO Arrearage
Amount.
The Class A-1 Certificates will accrue interest based
on a fixed rate of interest, the Class A-1 Pass-
Through Rate. All other Classes bear interest at
adjustable rates of interest, as set forth above
under "Securities Issued".
The Pooling and Servicing Agreement generally
provides for the distribution of three types of
amounts to Certificateholders: (i) except with
respect to the Class PO Certificates, interest, (ii)
except for the Class F-IO and A-IO Certificates,
scheduled principal and (iii) except for the Class F-
IO and A-IO Certificates, unscheduled principal.
The priority of payment set forth in the Pooling and
Servicing Agreement generally requires that the
following six amounts to be paid to the related
Certificateholders in the following order of
priority: first, interest (including unpaid interest
-----
shortfalls from prior periods) on the Senior
Certificates, second, scheduled principal on the
------
Senior Certificates, third, unscheduled principal on
-----
the Senior Certificates, fourth, interest (including
------
unpaid interest shortfalls from prior periods) on the
Subordinate Certificates, fifth, scheduled principal
-----
on the Subordinate Certificates and sixth,
-----
unscheduled principal on the Subordinate
Certificates, subject to the availability of
Available Funds. The Classes of Senior Certificates
have a pari passu claim, among themselves, with
---- -----
respect to amounts to be distributed among the
various Classes of Senior Certificates. The
Subordinate Certificateholders have, among
themselves, separate and distinct claims with respect
to amounts to be distributed among the various
Classes of Subordinate Certificates, with the
relative level of subordination being greatest with
respect to the Class B-3 Certificates (the most
subordinate Class, other than the Residual
Certificates) and least with respect to the Class M-1
Certificates (the least subordinate Class of
Subordinate Certificates).
Although the calculation of the payments to the
various Classes of Certificates will generally
reflect the experience of the related Mortgage Loans
(i.e., the Pool II Loans with respect to the Class A-
----
S-8
<PAGE>
2-A Certificates, the Discount Loans with respect to
the Class PO Certificates, and the Fixed Rate Loans
with respect to the other Classes), the funding of
such payments will be made without distribution or
tracing to the source of such funding from
collections on any type of Mortgage Loan. Further,
Realized Losses will be allocated to the Subordinate
Certificates, in order of their respective level of
subordination, without distinction or tracing as to
such Realized Loss relating to an Adjustable Rate
Loan or a Fixed Rate Loan.
An additional general feature of the Certificates is
the "shifting interest" feature. Pursuant to the
shifting interest provisions, unscheduled principal
collections will be allocated to the Senior
Certificates on the one hand and to the Subordinate
Certificates on the other hand pursuant to the
Shifting Interest Schedule described herein, which
will generally provide for a larger proportion of
such unscheduled principal collection being applied
to the amortization of the Senior Certificates than
would be case if such amounts were distributed pro
---
rata among all Classes. Distributions of scheduled
----
principal collections, by contrast, will be made pro
---
rata with respect to the related Pools.
----
Interest. On each Distribution Date the holders of
each Class of Certificates will be entitled to
receive their respective Interest Distribution
Amounts. The Subordinate Certificates will only be
entitled to receive such amounts after the payment of
interest and principal to the Senior Certificates.
Any interest due and not paid on a Distribution Date
(an "Interest Shortfall") with respect to any Class
will be carried-forward and will be due on subsequent
Distribution Date, subject to the availability of
funds for such purpose; such amounts so carried-
forward will not themselves accrue interest.
Scheduled Principal. On each Distribution Date, the
Certificateholders of each Class will receive an
amount with respect to collections of scheduled
principal collections with respect to the related
Mortgage Loans, provided, that the aggregate amount
--------
available for distribution to the Senior Certificates
with respect to scheduled principal collections will
be limited to the amount of Available Funds remaining
after the payment of the Interest Distribution
Amounts for the Senior Certificates, and the
aggregate amount for distribution to the Subordinate
Certificates will be limited to the amount of
Available Funds remaining after the payment of the
Interest Distribution Amount to all Classes of
Certificates, and after the payment of scheduled and
unscheduled principal to the Senior Certificates.
Prior to any application of the cross-support feature
described below, the entire amount of the principal
distribution with respect to scheduled principal on
the Pool II Loans will be distributed to the Class A-
2-A Certificateholders. Prior to any application of
the cross-support feature described below, the entire
amount of the principal with respect to scheduled
principal on the Pool III Loans will be distributed
to the Class A-2-B Certificateholders. Prior to any
application of the cross-support feature described
below, the entire amount of the principal collections
with respect to scheduled principal on the Pool IV
Loans will be distributed to the Class A-2-C
S-9
<PAGE>
Certificateholders. Prior to any application of the
cross-support feature described below, the entire
amount of the scheduled principal collections on the
Pool I Loans (other than the PO Portion of scheduled
principal collections on the Discount Loans) will be
distributed to the holders of the Class A-1, Class M-
1, Class M-2, Class M-3, Class B-1, Class B-2 and
Class B-3 Certificates pro rata in accordance with
--- ----
their then relative Certificate Principal Balances.
Unscheduled Principal. On each Distribution Date,
the Trustee will distribute an amount with respect to
unscheduled principal collections; provided, that the
--------
aggregate amount available for distribution to the
Senior Classes of Certificates with respect to
unscheduled principal collections will be limited to
the amount of Available Funds remaining after the
payment of the Interest Distribution Amount for the
Senior Certificates, and after the payment of the
aggregate amount distributed relating to scheduled
principal collections to the Senior Classes.
The entire amount of the principal distribution with
respect to unscheduled principal collections on the
Pool II Loans will be distributed to the Class A-2-A
Certificateholders prior to any application of the
cross-support feature described below. The entire
amount of the principal collections with respect to
unscheduled principal on the Pool III Loans will be
distributed to the Class A-2-B Certificateholders
prior to any application of the cross-support feature
described below. The entire amount of the principal
collections with respect to unscheduled principal on
the Pool IV Loans will be distributed to the Class A-
2-C Certificateholders prior to any application of
the cross-support feature described below. The PO
Portion of unscheduled principal collections and an
amount equal to the PO Portion of Realized Losses on
the Discount Loans will be distributed to the Class
PO Certificateholders. The amount of the unscheduled
principal collections with respect to the Pool I
Loans (other than PO Portion of unscheduled principal
collections on the Discount Loans) will be
distributed in accordance with the "shifting-
interest" feature, which generally provides that a
disproportionate amount (the "Shifted Percentage") of
such unscheduled principal collections on the Pool I
Loans be applied to the amortization of the Senior
Certificates (with a further requirement first to pay
the Class A-1 Principal Balance to zero before paying
such unscheduled principal collections to the Class
A-2 Certificates). The Shifted Percentage may
decrease or "step down" in the future, subject to the
occurrence of a triggering event based on certain
loss, subordination, delinquency and other tests.
The Subordinate Certificates of any Class will only
be entitled to receive distributions of unscheduled
principal on a Distribution Date if such Class is an
"Eligible Subordinate Class" on such Distribution
Date. A Subordinate Class is an "Eligible
Subordinate Class" only if the Class immediately
senior to it maintains, as of such Distribution Date,
the same (or greater) relative amount of protection
in the form of Subordinate Certificates which are
junior in priority to such immediately senior Class
as such Class had on the Closing Date; provided,
--------
however, that the Class M-1 Certificates are an
-------
Eligible Subordinate Class with respect to each
Distribution Date.
S-10
<PAGE>
Cross-Support Feature. Pursuant to the cash flow
structure of the Trust, even though the distributions
due to the Certificateholders of the various Classes
will generally reflect the activity of the related
Mortgage Loans (e.g., the Class A-2-A Certificates
----
receive distributions based generally on the activity
of the Pool II Loans) all of the Mortgage Loans
provide support for all of the Certificates. The
credit enhancement features of the Trust provide that
Realized Losses will be allocated to the Certificates
in order of their level of subordination (i.e., first
----
to the Class B-3 Certificates); since all of the
Subordinate Certificates relate to the Pool I Loans,
this allocation provision allocates Realized Losses
on the Pool II, Pool III and Pool IV Loans, as well
as on the Pool I Loans, to the Subordinate
Certificates.
The cash flow structure of the Trust further provides
that unscheduled principal collections with respect to
the Fixed Rate Loans (other than the PO Portion of
unscheduled principal collections on the Discount
Loans) shall be allocated, to a certain extent, to the
amortization of the Classes of Certificates relating
to the ARM Loans (the Class A-2-A, Class A-2-B and
Class A-2-C Certificates) once the Senior Certificates
relating to the Fixed Rate Loans (the Class A-1
Certificates) have been paid to zero. The feature
described in this paragraph may result, in certain
periods, in an "excess" amount of collateral with
respect to each Class of Certificates relating to the
ARM Loans (e.g., as a result of this feature, the
----
collateral balance of the Pool II Loans may exceed the
Class A-2-A Principal Balance in certain periods).
The unpaid principal balance of the Mortgage Loans in
any Pool may be greater than the aggregate Certificate
Principal Balance of the Classes relating to such
Pool, resulting in "extra" collateral (i.e.,
----
collateral not necessary to support the related
Classes). The collections with respect to this
"extra" collateral across all pools of Mortgage Loans
will be available on each Distribution Date to fund
distributions of interest and principal with respect
to any Class of Certificates (considering the Class A-
1 Certificates and the Subordinate Certificates,
collectively as a single Class for this purpose)
which, as a result of Realized Losses experienced with
respect to the related Mortgage Loans, has a
collateral deficit (i.e., the amount of collateral
----
relating to such Class is less than the related
Certificate Principal Balance).
As a result of such cross-support feature, on any
particular Distribution Date, there may be distributed
to any Class of Certificates a portion of the
principal and interest collections with respect to any
unrelated Mortgage Loans type (e.g., a portion of the
----
principal collections on Pool III Loans and on the
Fixed Rate Loans may be distributed with respect to
the Class A-2-A Certificates (which generally relate
only to the Pool II Loans)), and the Pass-Through Rate
of any Class of Certificates (other than the Class A-1
Certificates) may be calculated, in part, based on the
weighted average Coupon Rate with respect to any
Mortgage Loan type.
S-11
<PAGE>
Credit Enhancement The rights of the holders of the Class M Certificates
to receive distributions will be subordinated to the
rights of the holders of the Senior Certificates to
receive distributions, to the extent described
herein. The rights of the holders of the Class B
Certificates to receive distributions will be
subordinated to the rights of the holders of the
Senior Certificates, and the rights of the holders of
the Class M Certificates. Among the Class M
Certificates, the Class M-1 Certificates are senior
to the Class M-2 Certificates, and the Class M-2
Certificates are senior to the Class M-3
Certificates. Among the Class B Certificates, the
Class B-1 Certificates are senior to the Class B-2
Certificates, and the Class B-2 Certificates are
senior to the Class B-3 Certificates. This
subordination provides a certain amount of protection
to the holders of the Senior Certificates (to the
extent of the subordination of the Class M and Class
B Certificates), the Class M Certificates (to the
extent of the subordination of the Class B
Certificates) and, among the Class M and Class B
Certificates, to the subclasses thereof (to the
extent of the subordination of the subclasses with
higher numerical designations) against delays in the
receipt of scheduled payments of interest and
principal and against losses associated with the
liquidation of defaulted Mortgage Loans and certain
losses resulting from the bankruptcy of a mortgagor.
In general, the protection afforded the holders of the
Senior Certificates by means of this subordination
will be effected in two ways: (i) by the
preferential right of the holders of the Senior
Certificates to receive, prior to any distribution
being made on any Distribution Date in respect of the
Subordinate Certificates, the amounts of interest and
principal due the holders of the Class A Certificates
and the amount of principal due the holders of the
Class PO Certificates on such date and, if necessary,
by the right of such holders to receive future
distributions on the Mortgage Loans that would
otherwise have been allocated to the holders of the
Subordinate Certificates and (ii) by the allocation
to the Subordinate Certificates, until their
respective principal balances are reduced to zero, of
certain losses resulting from the liquidation of
defaulted Mortgage Loans or the bankruptcy of
mortgagors prior to the allocation of such losses to
the Senior Certificates. See "Description of the
Certificates--Distributions" in this Term Sheet.
In general, the protection afforded the holders of the
Class M Certificates by means of this subordination
will also be effected in two ways: (i) by the
preferential right of the holders of the Class M
Certificates to receive, prior to any distribution
being made on any Distribution Date in respect of
interest on the Class B Certificates, the amounts of
interest due the holders of the Class M Certificates
on such date, the preferential right of the holders
of the Class M Certificates to receive, prior to any
distribution being made on any Distribution Date in
respect of principal on the Class B Certificates on
such date and, if necessary, by the right of such
holders to receive future distributions on the
Mortgage Loans that would otherwise have been
allocated to the holders of the Class B Certificates
and (ii) by the allocation to the Class B
Certificates, until their principal balance has been
reduced to zero, of certain losses resulting from the
liquidation of defaulted Mortgage Loans or the
bankruptcy of mortgagors prior to the allocation of
such losses to the Class M
S-12
<PAGE>
Certificates. See "Description of the Certificates--
Distributions" in this Term Sheet.
In general, the protection afforded the holders of a
subclass of Class B Certificates by means of this
subordination will also be effected in two ways: (i)
by the preferential right of the holders of such
subclass to receive, prior to any distribution being
made on any Distribution Date in respect of the
subclasses of Class B Certificates with higher
numerical designations, the amounts of interest and
principal due the holders of such subclass on such
date and, if necessary, by the right of such holders
to receive future distributions on the Mortgage Loans
that would otherwise have been allocated to the
holders of the subclasses of Class B Certificates
with higher numerical designations and (ii) by the
allocation to the subclasses of Class B Certificates
with higher numerical designations, until their
principal balances have been reduced to zero, of
certain losses resulting from the liquidation of
defaulted Mortgage Loans or the bankruptcy of
mortgagors prior to the allocation of such losses to
such subclass. See "Description of the Certificates-
-Distributions" in this Term Sheet.
In addition, in order to increase the period during
which the principal balances of the Class M and Class
B Certificates remain available as credit enhancement
to the Senior Certificates, a disproportionate amount
of prepayments and certain unscheduled recoveries
with respect to the Mortgage Loans will be allocated
to the Class A Certificates. This allocation has the
effect of accelerating the amortization of the Class
A Certificates while, in the absence of losses in
respect of the liquidation of defaulted Mortgage
Loans or losses resulting from the bankruptcy of
mortgagors, increasing the respective percentage
interest in the principal balance of the Mortgage
Loans evidenced by the Subordinated Certificates.
Prepayment Interest
Shortfalls If, on any Distribution Date, and as a result
of full or partial prepayments received with respect
to the Mortgage Loans during the related Due Period,
the amount of interest due on such Loans is decreased
such that the Available Funds, less the related
Administrative Expenses, will be insufficient to fund
the full amount of the interest accrued on the
Certificates (other than the Class F-IO and the Class
A-IO Certificates) and due on such Distribution Date,
the Servicer will be required to remit to the
Collection Account the lesser of (x) the amount of
such insufficiency due to such prepayments and (y)
the aggregate Servicing Fee due to the Servicer on
such Distribution Date with respect to such Trust.
The Servicer will be required to remit such amount
(each such amount, "Prepayment Interest") not later
than the close of business on each "Servicer
Remittance Date" (the 24th day, or if such day is not
a Business Date, the next following Business Day of
each month, commencing January 24, 1997). The excess
of any such insufficiency over the amount of such
aggregate Servicing Fee is the "Prepayment Interest
Shortfall" for such Distribution Date.
The effect of shortfalls in interest due to full or
partial prepayments on the related Mortgage Loans
will be borne by the Class F-IO and the Class A-IO
Certificates in the first instance. The amount of any
additional Prepayment Interest Shortfall on any
Distribution Date will
S-13
<PAGE>
be deducted from the amount of interest due on the
other Certificates on such Distribution Date, pro
---
rata.
----
Civil Relief Act Interest
Shortfalls The Servicer is not obligated to offset
any of the Servicing Fee against, or to provide any
other funds to cover, any shortfalls ("Civil Relief
Act Interest Shortfalls") in interest collections
payable on the Certificates that are attributable to
application of the Soldiers' and Sailors' Civil
Relief Act of 1940, as amended (the "Civil Relief
Act"). See "Risk Factors--Limitations on Interest
Payments and Foreclosures" in this Term Sheet.
Effects of Prepayments on
Investment Expectations The actual rate of prepayment of principal on the
Mortgage Loans cannot be predicted. The investment
performance of the Offered Certificates may vary
materially and adversely from the investment
expectations of investors due to prepayments on the
Mortgage Loans being higher or lower than anticipated
by investors. The actual yield to the holder of an
Offered Certificate may not be equal to the yield
anticipated at the time of purchase of the Offered
Certificate or, notwithstanding that the actual yield
is equal to the yield anticipated at that time, the
total return on investment expected by the investor
or the expected weighted average life of the Offered
Certificate may not be realized. These effects are
summarized below. In deciding whether to purchase
any Offered Certificates, an investor should make an
independent decision as to the appropriate prepayment
assumptions to be used.
OFFERED CERTIFICATES OTHER THAN THE CLASS F-IO, CLASS
A-IO AND CLASS PO CERTIFICATES
Yield. If an investor purchases an Offered
Certificate (other than a Class F-IO, a Class A-IO or
a Class PO Certificate) at an amount equal to its
unpaid principal balance (that is, at "par"), the
effective yield to that investor (assuming that there
are no interest shortfalls and assuming the full
return of the purchaser's invested principal) will
approximate the pass-through rates in effect from time
to time on that Offered Certificate. If an investor
pays less or more than the unpaid principal balance of
the Offered Certificate (that is, buys the Offered
Certificate at a "discount" or "premium,"
respectively), then, based on the assumptions set
forth in the preceding sentence, the effective yield
to the investor will be higher or lower, respectively,
than the stated interest rate on the Offered
Certificate, because such discount or premium will be
amortized over the life of the Offered Certificate.
Any deviation in the actual rate of prepayments on the
related Mortgage Loans from the rate assumed by the
investor will affect the period of time over which, or
the rate at which, the discount or premium will be
amortized and, consequently, will change the
investor's actual yield from that anticipated.
An investor that purchases any Offered Certificates at
a discount should carefully consider the risk that a
slower than anticipated rate of principal payments on
the related Mortgage Loans will result in an actual
yield that is lower than such investor's expected
yield.
S-14
<PAGE>
Reinvestment Risk. As stated above, if an Offered
Certificate (other than a Class F-IO, a Class A-IO or
a Class PO Certificate) is purchased at an amount
equal to its unpaid principal balance, fluctuations
in the rate of distributions of principal will
generally not affect the yield to maturity of that
Offered Certificate. However, the total return on any
purchaser's investment, including an investor who
purchases at par, will be reduced to the extent that
principal distributions received on its Offered
Certificate cannot be reinvested at a rate as high as
the stated interest rate of the Offered Certificate.
Investors in the Offered Certificates should consider
the risk that rapid rates of prepayments on the
related Mortgage Loans may coincide with periods of
low prevailing market interest rates. During periods
of low prevailing market interest rates, mortgagors
may be expected to prepay or refinance Mortgage Loans
that carry interest rates significantly higher than
then-current interest rates for mortgage loans.
Consequently, the amount of principal distributions
available to an investor for reinvestment at such low
prevailing interest rates may be larger than would be
the case at higher prevailing interest rates.
Conversely, slow rates of prepayments on the Mortgage
Loans may coincide with periods of high prevailing
market interest rates. During such periods, it is
less likely that mortgagors will elect to prepay or
refinance Mortgage Loans and, therefore, the amount
of principal distributions available to an investor
for reinvestment at such high prevailing interest
rates may be smaller than would be the case at lower
prevailing market interest rates.
Weighted Average Life Volatility. One indication of
the impact of varying prepayment speeds on a security
is the change in its weighted average life. The
"weighted average life" of an Offered Certificate is
the average amount of time that will elapse between
the date of issuance of the Offered Certificate and
the date on which each dollar in reduction of the
principal balance of the Certificate is distributed
to the investor. Low rates of prepayment may result
in the extension of the weighted average life of an
Offered Certificate; high rates, in the shortening of
such weighted average life. In general, if the
weighted average life of an Offered Certificate
purchased at par is extended beyond that initially
anticipated, such Offered Certificate's market value
may be adversely affected even though the yield to
maturity on the Offered Certificate is unaffected.
CLASS F-IO AND CLASS A-IO CERTIFICATES
General Character as Interest-Only Securities. As
the owners of an interest-only strip security, the
holders of the Class F-IO and Class A-IO Certificates
will be entitled to receive monthly distributions
only of interest, as described herein. Because they
will not receive any distributions of principal, the
holders of the Class F-IO and Class A-IO Certificates
will be affected by prepayments, liquidations and
other dispositions (including optional redemptions
described herein) of the related Mortgage Loans to a
greater degree than will the holders of the other
Offered Certificates. As an extreme illustration, in
the event that all of the related Mortgage Loans
prepay in full during the first month, then on the
initial Distribution Date the holders of the
Certificates will receive the full par value of their
Certificates while the holders of the Class F-IO
Certificates will
S-15
<PAGE>
suffer nearly a complete loss (except for one month's
interest on their investment).
In general, losses due to liquidations, repurchases
by the Seller and other dispositions of the related
Mortgage Loans from the Trust will have the same
effect on the holders of the Class F-IO and Class A-
IO Certificates as do prepayments of principal and
are collectively referred to as "Prepayments".
Because the yield to the holders of the Class F-IO
and Class A-IO Certificates is highly sensitive to
rates of prepayment, it is advisable for potential
investors in the Class F-IO and Class A-IO
Certificates to consider carefully, and to make their
own evaluation of, the effect of any particular
assumption regarding the rates and timing of
prepayments. In general, when interest rates
decline, prepayments in a pool of receivables such as
the Fixed Loans will increase as borrowers seek to
refinance at lower rates. This will have the effect
of reducing the future stream of payments available
to an owner of an interest-only security based on
such receivables pool, then adversely affecting such
investor's yield. Conversely, when interest rates
increase, prepayments will tend to decrease (because
attractive refinancing opportunities are not
available) and the future stream of payments
available to such an owner of an interest-only
security may not decline as rapidly as originally
anticipated, thus positively affecting such
investor's yield. See "Prepayment and Yield
Considerations - Yield Sensitivity of the Class F-IO
and Class A-IO Certificates" herein for other factors
which may also influence prepayment rates.
Due to the cross-support feature of the Trust, as
described above, the Class A-IO Certificates may
experience a further reduction in yield due to the
reallocation of collections from one Pool to another,
and such reallocation's corresponding effect on such
other Pool's Adjusted WAC.
Applicability of Credit Enhancement to the Class F-IO
and Class A-IO Certificates. The credit enhancement
features of the Trust includes provisions which
subordinate the distributions on the Subordinate
Certificates for each Payment Date for the purposes,
inter alia, of funding the full amounts due on each
Class of the Senior Certificates, including the Class
F-IO and Class A-IO Certificates, on each
Distribution Date. In general, the protection
afforded by such features is for credit risk and not
for prepayment risk. The credit enhancement features
do not, guarantee or insure that any particular rate
of prepayment is experienced by the Trust.
Accrual of "Original Issue Discount." The Class F-IO
and Class A-IO Certificates will be issued with
"original issue discount" within the meaning of the
Code. As a result, in certain rapid prepayment
environments the effect of the rules governing the
accrual of original issue discount may require
holders of the Class F-IO and Class A-IO Certificates
to accrue original issue discount at a rate in excess
of the rate at which distributions are received by
such holders. See "Certain Federal Income Tax
Consequences" herein and in the Prospectus.
S-16
<PAGE>
Advances On each Servicer Remittance Date, the Servicer will
be required to advance funds (each, a "Delinquency
Advance") to cover any scheduled payment of
interest and principal due on a Mortgage Loan
during the related Due Period that was not received
on a timely basis by the Servicer for a reason
other than prepayment of such Loan; provided,
--------
however, that the Servicer will not be required to
-------
make any such Delinquency Advance if it determines
in reasonable good faith that such Delinquency
Advance would not be recoverable from collections
with respect to such Mortgage Loan. Which
determination shall be evidenced by delivery to the
Trustee of an officer's certificate to such effect.
The Back-Up Servicer, as successor servicer, will
be obligated to make Delinquency Advances unless it
determines reasonably and in good faith that such
Delinquency Advances would not be recoverable.
Delinquency Advances by the Servicer and the Back-
Up Servicer will add to the funds available for
distribution to the Certificateholders, but the
Servicer and the Back-Up Servicer will be entitled
to reimbursement for such Delinquency Advances from
subsequent payments on the Loans or amounts held in
the Collection Account.
Payments
on Loans All payments on the Loans will be made by the
Obligors to a lock-box account established at Bank
of America Oregon, N.A. (the "Lock-box Account").
On each business day, appropriate amounts on
deposit in the Lock-box Account will be transferred
to the Collection Account. The Servicer will be
entitled to the investment income with respect to
all amounts on deposit in the Collection Account,
and will be responsible for all losses on
investments thereon.
Servicing of
the Loans Pursuant to the Pooling and Servicing Agreement, the
Servicer will be responsible for servicing,
managing and collecting the Mortgage Loans. The
Servicer will carry out such servicing activities
in accordance with industry servicing standards. In
certain limited circumstances, Wilshire Servicing
Corporation may be removed as Servicer, in which
event the Back-Up Servicer will be appointed as
successor servicer, subject to the terms of the
Pooling and Servicing Agreement. The Servicer and
the Trustee will be responsible for certain
administrative functions including, without
limitation, preparing certain reports and computing
the amounts owing to the Offered
Certificateholders.
On each Distribution Date the Servicer will receive a
monthly servicing fee (the "Servicing Fee") equal to
one-twelfth of 0.375% times the outstanding principal
balance of the Mortgage Loans as of the beginning of
the related Due Period, but only to the extent of
interest collections on the related Mortgage Loans.
Use of
Proceeds The net proceeds from the sale of the Certificates
will be used by the Depositor to acquire the Loans
from the Seller, and to pay certain expenses in
connection with the offering.
S-17
<PAGE>
Mandatory
Repurchases
of Loans Wilshire and certain of its affiliates will make
certain representations and warranties with respect
to the Mortgage Loans conveyed to the Trust.
Wilshire or such affiliates will be obligated to
repurchase a Loan sold by it at a price equal to
the then outstanding principal balance and accrued
and unpaid interest thereon, together with any
outstanding Advances (the "Repurchase Price") if
the value of, or the interest of the Trust in, such
Mortgage Loan is materially and adversely affected
by the breach of such representations and
warranties, or by the breach of a covenant to
cooperate with the Trustee in respect of taking
certain necessary additional actions to evidence
the transfer of the Loans to the Trust, subject to
certain grace periods.
Optional
Termination Wilshire Servicing Corporation ("Wilshire") and its
affiliates will have the option, subject to certain
conditions, to cause the early termination of the
Trust and thereby cause early repayment of the
Certificates on any Distribution Date on which the
aggregate outstanding principal balance of the Loans
held by the Trust is reduced to 10% or less of the
aggregate outstanding principal balance of such Loans
as of the Cut-Off Date.
Certain Federal Income Tax
Consequences For federal income tax purposes, one or more elections
will be made to treat certain assets of the Trust
Fund as a "real estate mortgage investment conduit"
(a "REMIC"). The Senior Certificates, and the
Subordinate Certificates will be designated as
"regular interests" issued by a REMIC and will be
treated as debt instruments issued by a REMIC for
federal income tax purposes. The Residual
Certificates will be designated as the "residual
interest" in a REMIC. Holders of Offered
Certificates, including Holders that generally report
income on the cash method of accounting, will be
required to include interest on the Offered
Certificates in income in accordance with the accrual
method of accounting. In general, as a result of
being "regular interests" in a REMIC, the Offered
Certificates will be treated as "qualifying real
property loans" under Section 593(d) of the Code,
"regular . . . interest(s) in a REMIC" under Section
7701(a)(19)(C) of the Code and "real estate assets"
under Section 856(c) of the Code in the same
proportion that the assets in the REMIC consist of
qualifying assets under such Sections. In addition,
as a result of being "regular interests" in a REMIC,
interest on the Offered Certificates will be treated
as "interest on obligations secured by mortgages on
real property" under Section 856(c) of the Code to
the extent that such Senior Certificates are treated
as "real estate assets" under Section 856(c) of the
Code. See "Certain Federal Income Tax Consequences."
ERISA
Considerations The Offered Certificates are not generally eligible
for purchase by employee benefit plans that are
subject to ERISA.
S-18
<PAGE>
Ratings It is a condition to the original issuance of the
Certificates that they receive the following ratings
from Moody's Investors Service, Inc. ("Moody's"),
Fitch Investors Service, L.P. ("Fitch") and Duff &
Phelps Credit Rating Co. ("DCR").
Class Moody's Rating Fitch Rating DCR Rating
- ----- -------------- ------------ ----------
A-1 Aaa AAA AAA
PO Aaa AAA AAA
F-IO Aaa AAA AAA
A-IO Aaa AAA AAA
A-2-A Aaa AAA AAA
A-2-B Aaa AAA AAA
A-2-C Aaa AAA AAA
M-1 Aa2 AA AA
M-2 A2 A A
B-1 Baa2
B-2 Ba2
B-3 B2
Such ratings assess the likelihood of timely payment
of interest and the ultimate payment of principal to
the Certificateholders. There is no assurance that
any rating will not be lowered or withdrawn if, in
the judgement of the assigning entity, circumstances
in the future so warrant.
The ratings assigned to the Class A-2-A, Class A-2-B
and Class A-2-C Certificates relate, with respect to
interest, only to the payment of such interest at the
lesser of the related Formula Rate and the related
Net Funds Cap Rate (i.e., at the related Pass-Through
----
Rate) and do not address the likelihood that such
Certificates will receive interest based solely on
the applicable Formula Rate.
Ratings of the Class F-IO and Class A-IO
Certificates. Ratings which are assigned to
securities such as the Class F-IO Certificates
generally value the ability of the issuer (i.e. the
Trust) to make payments, as required by such
securities. The amounts distributable on the Class
F-IO and Class A-IO Certificates consist only of
interest. In general, the ratings of such
Certificates address only credit risk and not
prepayment risk. See "Ratings" and "Summary of
Terms-Nature of Class F-IO and Class A-IO
Certificates" herein.
Legal Investment
Considerations The Class A, Class F-IO, Class A-IO, Class PO and
Class M-1 Certificates will constitute "mortgage
related securities" for purposes of the Secondary
Mortgage Market Enhancement Act of 1984 ("SMMEA").
The Class M-2, Class M-3, Class B-1, Class B-2 and
S-19
<PAGE>
Class B-3 will not constitute "mortgage related
securities" for purposes of SMMEA. Accordingly, many
institutions with legal authority to invest in
comparably rated securities may not legally be
authorized to invest in the Class M-2, Class M-3,
Class B-1, Class B-2 or Class B-3 Certificates.
S-20
<PAGE>
FLOW OF FUNDS
PAYMENTS ON THE CLASS A CERTIFICATES
Section X. FLOW OF FUNDS.
-------------
On each Distribution Date the Trustee shall distribute the Available Funds as
follows:
(i) first, from the Available Funds, the Senior Interest Distribution
-----
Amount, pari passu, as follows:
---- -----
(a) to the Class A-1 Certificateholders, the Class A-1 Interest
Distribution Amount;
(b) to the Class A-2-A Certificateholders, the Class A-2-A Interest
Distribution Amount;
(c) to the Class A-2-B Certificateholders, the Class A-2-B Interest
Distribution Amount;
(d) to the Class A-2-C Certificateholders, the Class A-2-C Interest
Distribution Amount;
(e) to the Class F-IO Certificateholders, the Class F-IO Interest
Distribution Amount;
(f) to the Class A-IO Certificateholders, the Class A-IO Interest
Distribution Amount;
(ii) second, from the Class PO Distribution Amount, the Class PO Principal
------
Distribution Amount;
(iii) third, from the Senior Scheduled Principal Distribution Amount, the
-----
following amounts, pari passu:
----------
(a) to the Class A-1 Certificateholders, the lesser of (x) the Class
A-1 Scheduled Principal Distribution Amount and (y) the amount
necessary to reduce the Class A-1 Principal Balance to zero;
(b) to the Class A-2-A Certificateholders, the lesser of (x) the
Class A-2-A Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class A-2-A Principal Balance to
zero;
(c) to the Class A-2-B Certificateholders, the lesser of (x) the
Class A-2-B Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class A-2-B Principal Balance to
zero;
(d) to the Class A-2-C Certificateholders, the lesser of (x) the
Class A-2-C Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class A-2-C Principal Balance to
zero;
(iv) fourth, from the Senior Unscheduled Principal Distribution Amount, the
------
following amounts, in the following order of priority:
(a) first, the following amounts, pari passu:
----- ---- -----
(1) to the Class A-1 Certificateholders, the lesser of (x) the
Class A-1 Unscheduled Principal Distribution Amount and (y)
the amount necessary to reduce the Class A-1 Principal
Balance to zero;
S-21
<PAGE>
(2) to the Class A-2-A Certificateholders, the lesser of (x) the
Class A-2-A Unscheduled Principal Distribution Amount and
(y) the amount necessary to reduce the Class A-2-A Principal
Balance to zero;
(3) to the Class A-2-B Certificateholders, the lesser of (x) the
Class A-2-B Unscheduled Principal Distribution Amount and
(y) the amount necessary to reduce the Class A-2-B Principal
Balance to zero;
(4) to the Class A-2-C Certificateholders, the lesser of (x) the
Class A-2-C Unscheduled Principal Distribution Amount and
(y) the amount necessary to reduce the Class A-2-C Principal
Balance to zero;
(b) second, the Shifted Unscheduled Principal Distribution Amount
------
shall be paid in the following order of priority:
(1) if the Class A-1 Principal Balance is greater than zero
(after taking into account any reductions thereof resulting
from the application of amounts described in clauses
X(iii)(a) and X(iv)(a)(1) above), to the Class A-1
Certificateholders, the lesser of (x) the Shifted
Unscheduled Principal Distribution Amount and (y) the amount
necessary to reduce the Class A-1 Principal Balance to zero;
(2) if the Class A-1 Principal Balance is zero (after taking
into account any reductions thereof resulting from the
applications of amounts described in clauses X(iii)(a) and
X(iv)(a)(1) preceding), the Unscheduled Principal
Distribution Amount (less, on the Distribution Date on which
the Class A-1 Principal Balance is reduced to zero, any
portion thereof described in clause X(iv)(b)(1) preceding)
to the Holders of the Class A-2-A, Class A-2-B and Class A-
2-C Certificates, the lesser of (x) the Shifted Unscheduled
Principal Distribution Amount and (y) the amount necessary
to reduce the sum of the Class A-2-A Principal Balance, the
Class A-2-B Principal Balance and the Class A-2-C Principal
Balance to zero, the following amounts, pro rata:
--- ----
(x) to the Class A-2-A Certificateholders, the lesser of
(i) the Class A-2-A Shifted Unscheduled Principal
Distribution Amount and (ii) the amount necessary to
reduce the Class A-2-A Principal Balance to zero;
(y) to the Class A-2-B Certificateholders, the lesser of
(i) the Class A-2-B Shifted Unscheduled Principal
Distribution Amount and (ii) the amount necessary to
reduce the Class A-2-B Principal Balance to zero; and
(z) to the Class A-2-C Certificateholders, the lesser of
(i) the Class A-2-C Shifted Unscheduled Principal
Distribution Amount and (ii) the amount necessary to
reduce the Class A-2-C Principal Balance to zero;
(v) fifth, from the Subordinate Interest Distribution Amount, the
-----
following amounts, in the following order of priority:
(a) to the Class M-1 Certificateholders, the Class M-1 Interest
Distribution Amount;
(b) to the Class M-2 Certificateholders, the Class M-2 Interest
Distribution Amount;
(c) to the Class M-3 Certificateholders, the Class M-3 Interest
Distribution Amount;
S-22
<PAGE>
(d) to the Class B-1 Certificateholders, the Class B-1 Interest
Distribution Amount;
(e) to the Class B-2 Certificateholders, the Class B-2 Interest
Distribution Amount;
(f) to the Class B-3 Certificateholders, the Class B-3 Interest
Distribution Amount;
(vi) sixth, to the Class M-1 Certificateholders, the lesser of (x) the
-----
Class M-1 Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class M-1 Principal Balance to
zero;
(vii) seventh, to the Class M-1 Certificateholders, the lesser of (I) the
-------
Class M-1 Unscheduled Principal Distribution Amount and (II) the
amount necessary to reduce the Class M-1 Principal Balance (after
taking into account any reductions therein resulting from the
application of amounts described in clause (vi) above) to zero;
(viii) eighth, to the Class M-2 Certificateholders, the lesser of (x) the
------
Class M-2 Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class M-2 Principal Balance to
zero;
(ix) ninth, if the Class M-2 Certificates are an Eligible Subordinate Class
-----
as of such Distribution Date,to the Class M-2 Certificateholders, the
lesser of (I) the Class M-2 Unscheduled Principal Distribution Amount
and (II) the amount necessary to reduce the Class M-2 Principal
Balance (after taking into account any reductions therein resulting
from the application of amounts described in clause (viii) above) to
zero;
(x) tenth, to the Class M-3 Certificateholders, the lesser of (x) the
-----
Class M-3 Scheduled Principal Distribution Amount and (y) the amount
necessary to reduce the Class M-3 Principal Balance to zero;
(xi) eleventh, if the Class M-3 Certificates are an Eligible Subordinate
--------
Class as of such Distribution Date, to the Class M-3
Certificateholders, the lesser of (I) the Class M-3 Unscheduled
Principal Distribution Amount and (II) the amount necessary to reduce
the Class M-3 Principal Balance (after taking into account any
reductions therein resulting from the application of amounts described
in clause (x) above) to zero;
(xii) twelfth, to the Class B-1 Certificateholders, the lesser of (x) the
-------
Class B-1 Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class B-1 Principal Balance to
zero;
(xiii) thirteenth, if the Class B-1 Certificates are an Eligible
----------
Subordinate Class as of such Distribution Date, to the Class B-1
Certificateholders, the lesser of (I) the Class B-1 Unscheduled
Principal Distribution Amount and (II) the amount necessary to
reduce the Class B-1 Principal Balance (after taking into account
any reductions therein resulting from the application of amounts
described in clause (xii) above) to zero;
(xiv) fourteenth, to the Class B-2 Certificateholders, the lesser of (x)
----------
the Class B-2 Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class B-2 Principal Balance to
zero;
(xv) fifteenth, if the Class B-2 Certificates are an Eligible Subordinate
---------
Class as of such Distribution Date, to the Class B-2
Certificateholders, the lesser of (I) the Class B-2 Unscheduled
Principal Distribution Amount and (II) the amount necessary to reduce
the Class B-2 Principal Balance (after
S-23
<PAGE>
taking into account any reductions therein resulting from the
application of amounts described in clause (xiv) above) to zero;
(xvi) sixteenth, to the Class B-3 Certificateholders, the lesser of (x)
---------
the Class B-3 Scheduled Principal Distribution Amount and (y) the
amount necessary to reduce the Class B-3 Principal Balance to
zero; and
(xvii) seventeenth, if the Class B-3 Certificates are an Eligible
-----------
Subordinate Class as of such Distribution Date, to the Class B-3
Certificateholders, the lesser of (I) the Class B-3 Unscheduled
Principal Distribution Amount and (II) the amount necessary to
reduce the Class B-3 Principal Balance (after taking into account
any reductions therein resulting from the application of amounts
described in clause (xvi) above) to zero.
SECTION Y ALLOCATION OF REALIZED LOSSES.
On each Distribution Date, following the application of the Available Funds
as described above, and after taking into account such application, the
Aggregate Realized Loss Amount, if any, with respect to the related Collection
Period shall be allocated as a reduction in the Aggregate Certificate Principal
Balance, as follows:
(i) if the Class R Amount is greater than zero, as a reduction in the
Class R Amount, until the Class R Amount has been reduced to zero;
(ii) if the Class B-3 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clause (i) preceding, as a reduction in the
Class B-3 Principal Balance until the Class B-3 Principal Balance has
been reduced to zero;
(iii) if the Class B-2 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clauses (i) -(ii) preceding, as a reduction in
the Class B-2 Principal Balance until the Class B-2 Principal Balance
has been reduced to zero;
(iv) if the Class B-1 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clauses (i) - (iii) preceding, as a reduction in
the Class B-1 Principal Balance until the Class B-1 Principal Balance
has been reduced to zero;
(v) if the Class M-3 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clauses (i) - (iv) preceding, as a reduction in
the Class M-3 Principal Balance until the Class M-3 Principal Balance
has been reduced to zero;
(vi) if the Class M-2 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clauses (i) - (v) preceding, as a reduction in
the Class M-2 Principal Balance until the Class M-2 Principal Balance
has been reduced to zero;
(vii) if the Class M-1 Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount, after taking into
account any portion thereof previously allocated on such Distribution
Date, as described in clauses (i) -(vi) preceding, as a reduction in
the Class M-1 Principal Balance until the Class M-1 Principal Balance
has been reduced to zero; and
S-24
<PAGE>
(viii) if the Senior Principal Balance is greater than zero, any remaining
amount of the Aggregate Realized Loss Amount after taking into
account any portion thereof previously allocated on such
Distribution Date, as described in clauses (i) through (vii)
preceding, (the "Remaining Aggregate Realized Loss Amount") as a
reduction in the Senior Principal Balance until the Senior
Principal Balance has been reduced to zero, such reduction to be
applied:
(a) as a reduction in the Class A-1 Principal Balance in an amount
equal to the product of (x) the Remaining Aggregate Realized Loss
Amount and (y) a fraction, the numerator of which is the Class A-1
Principal Balance and the denominator of which is the Senior
Principal Balance;
(b) as a reduction in the Class A-2-A Principal Balance in an
amount equal to the product of (x) the Remaining Aggregate Realized
Loss Amount and (y) a fraction, the numerator of which is the Class
A-2-A Principal Balance and the denominator of which is the Senior
Principal Balance;
(c) as a reduction in the Class A-2-B Principal Balance in an
amount equal to the product of (x) the Remaining Aggregate Realized
Loss Amount and (y) a fraction, the numerator of which is the Class
A-2-B Principal Balance and the denominator of which is the Senior
Principal Balance; and
(d) as a reduction in the Class A-2-C Principal Balance in an
amount equal to the product of (x) the Remaining Aggregate Realized
Loss Amount and (y) a fraction, the numerator of which is the Class
A-2-C Principal Balance and the denominator of which is the Senior
Principal Balance;
S-25
<PAGE>
DEFINITIONS
RELATED DEFINITIONS.
"A-2-A Pool II Fraction" means, with respect to any Distribution Date, the
----------------------
percentage equivalent of a fraction, the numerator of which is the lesser of (x)
-------------------------
the Pool II Pool Balance as of the end of the second preceding Collection Period
(or as of the Cut-Off Date, with respect to the first Distribution Date) and (y)
the Class A-2-A Principal Balance immediately prior to such Distribution Date
and the denominator of which is the Pool II Pool Balance as of the end of the
------------------------
second preceding Collection Period (or as of the Cut-Off Date, with respect to
the first Distribution Date).
"A-2-B Pool III Fraction" means, with respect to any Distribution Date, the
-----------------------
percentage equivalent of a fraction, the numerator of which is the lesser of (x)
-------------------------
the Pool III Pool Balance as of the end of the second preceding Collection
Period (or as of the Cut-Off Date, with respect to the first Distribution Date)
and (y) the Class A-2-B Principal Balance immediately prior to such Distribution
Date and the denominator of which is the Pool III Pool Balance as of the end of
------------------------
the second preceding Collection Period (or as of the Cut-Off Date, with respect
to the first Distribution Date).
"A-2-C Pool IV Fraction" means, with respect to any Distribution Date, the
----------------------
percentage equivalent of a fraction, the numerator of which is the lesser of (x)
-------------------------
the Pool IV Pool Balance as of the end of the second preceding Collection Period
(or as of the Cut-Off Date, with respect to the first Distribution Date) and (y)
the Class A-2-C Principal Balance immediately prior to such Distribution Date
and the denominator of which is the Pool IV Pool Balance as of the end of the
------------------------
second preceding Collection Period (or as of the Cut-Off Date, with respect to
the first Distribution Date).
"Adjusted Arm Gross WAC" means, with respect to any Distribution Date, the
----------------------
percentage equivalent of a fraction, the numerator of which is the sum of (i)
-------------------------
the product of (x) the Pool II Gross WAC and (y) the excess of (1) the Pool II
Pool Balance as of the end of the second preceding Collection Period over (2)
the Extra Pool II Amount plus (ii) the product of (x) the Pool III Gross WAC and
----
(y) the excess of (1) the Pool III Pool Balance as of the end of the second
preceding Collection Period over (2) the Extra Pool III Amount plus (iii) the
----
product of (x) the Pool IV Gross WAC and (y) the excess of (1) the Pool IV Pool
Principal Balance as of the end of the second preceding Collection Period over
(2) the Extra Pool IV Amount plus (iv) the product of (x) the Cross-Support
----
Gross WAC and (y) the sum of (1) the Pool II Deficit, (2) the Pool III Deficit
and (3) the Pool IV Deficit and the denominator of which is (x) the sum of the
---------------------------
Pool II Pool Balance as of the end of the second preceding Collection Period,
the Pool III Pool Balance as of the end of the second preceding Collection
Period and the Pool IV Balance as of the end of the second preceding Collection
Period minus (y) the sum of the Extra Pool II Amount, the Extra Pool III Amount
-----
and the Extra Pool IV Amount plus (z) the sum of the Pool II Deficit, the Pool
----
III Deficit and the Pool IV Deficit.
"Adjusted Fixed Unscheduled Principal" means, with respect to any
------------------------------------
Distribution Date, the sum of (i) the product of (x) the aggregate of all
Unscheduled Principal Collections with respect to the Pool I Loans (other than
the PO Portion of any Discount Loan) included in the related Servicer Remittance
Amount and (y) a fraction, the numerator of which is the Fixed Supporting Fixed
Amount and the denominator of which is the Pool I Pool Balance as of the end of
the second preceding Collection Period (or as of the Cut-Off Date, with respect
to the first Distribution Date) and (ii) the product of (x) the Cross-Support
Unscheduled Principal Distribution Amount and (y) a fraction, the numerator of
which is the ARM Supporting Fixed Amount and the denominator of which is the
Collateral Amount Available for Cross-Support.
"Adjusted Pool I Gross WAC" means, with respect to any Distribution Date, the
-------------------------
percentage equivalent of a fraction, the numerator of which is the sum of (i)
----------------------
the product of (x) Pool I Gross WAC and (y) the Fixed Supporting Fixed Amount
and (ii) the product of (x) the Cross-Support Gross WAC and (y) the ARM
Supporting Fixed Amount and the denominator of which is the sum of (A) the Fixed
------------------------
Supporting Fixed Amount and (B) the ARM Supporting Fixed Amount.
S-26
<PAGE>
"Adjusted Pool II Gross WAC" means, with respect to any Distribution Date,
--------------------------
the percentage equivalent of a fraction, the numerator of which is the sum of
----------------------
(i) the product of (x) the Pool II Gross WAC and (y) the Pool II Pool Balance as
of the end of the second preceding Collection Period (or as of the Cut-Off Date,
with respect to the first Distribution Date) and (ii) the product of (x) the
Cross-Support Gross WAC and (y) the Pool II Collateral Deficit and the
---
denominator of which is the sum of (A) the Pool II Pool Balance as of the end of
- --------------------
the second preceding Collection Period (or as of the Cut-Off Date, with respect
to the first Distribution Date) and (B) the Pool II Collateral Deficit.
"Adjusted Pool III Gross WAC" means, with respect to any Distribution Date,
---------------------------
the percentage equivalent of a fraction, the numerator of which is the sum of
----------------------
(i) the product of (x) the Pool III Gross WAC and (y) the Pool III Pool Balance
as of the end of the second preceding Collection Period (or as of the Cut-Off
Date, with respect to the first Distribution Date) and (ii) the product of (x)
the Cross-Support Gross WAC and (y) the Pool III Collateral Deficit and the
---
denominator of which is the sum of (A) the Pool III Pool Principal Balance as of
- --------------------
the end of the second preceding Collection Period (or as of the Cut-Off Date,
with respect to the first Distribution Date) and (B) the Pool III Collateral
Deficit.
"Adjusted Pool IV Gross WAC" means, with respect to any Distribution Date,
--------------------------
the percentage equivalent of a fraction, the numerator of which is the sum of
----------------------
(i) the product of (x) the Pool IV Gross WAC and (y) the Pool IV Pool Balance as
of the end of the second preceding Collection Period (or as of the Cut-Off Date,
with respect to the first Distribution Date) and (ii) the product of (x) the
Cross-Support Gross WAC and (y) the Pool IV Collateral Deficit and the
---
denominator of which is the sum of (A) the Pool IV Principal Balance as of the
- --------------------
end of the second preceding Collection Period (or as of the Cut-Off Date, with
respect to the first Distribution Date) and (B) the Pool IV Collateral Deficit.
"Advance Payment" means, with respect to any Mortgage Loan, a payment
---------------
received from the related Mortgagor and intended as an early payment of one or
more (but not more than three) upcoming Monthly Mortgage payments.
"Aggregate Certificate Principal Balance" means, as of any date, the sum of
---------------------------------------
the Class A-1 Principal Balance, the Class PO Principal Balance, the Class A-2-A
Principal Balance, the Class A-2-B Principal Balance, the Class A-2-C Principal
Balance, the Class M-1 Principal Balance, the Class M-2 Principal Balance, the
Class M-3 Principal Balance, the Class B-1 Principal Balance, the Class B-2
Principal Balance, and the Class B-3 Principal Balance as of such date.
"Aggregate Class A-2 Principal Balance" means, as of any date, the sum of the
-------------------------------------
Class A-2-A of Principal Balance, the Class A-2-B Principal Balance and the
Class A-2-C Principal Balance as of such date.
"Aggregate Fixed Rate Certificate Principal Balance" means, as of any date,
--------------------------------------------------
the sum of the Class A-1 Principal Balance and the Aggregate Subordinate
Certificate Principal Balance as of such date.
"Aggregate Realized Loss Amount" means, with respect to any Distribution
------------------------------
Date, the aggregate amount of Realized Losses posted by the Servicer with
respect to the Mortgage Loans during the related Collection Period.
"Aggregate Subordinate Certificate Principal Balance" means, as of any date,
---------------------------------------------------
the sum of the Class M-1 Principal Balance, the Class M-2 Principal Balance, the
Class M-3 Principal Balance, the Class B-2 Principal Balance, the Class B-2
Principal Balance and the Class A-3 Principal Balance as of such date.
"ARM Collateral Deficit" means, with respect to any Distribution Date, the
----------------------
sum of the Pool II Collateral Deficit, the Pool III Collateral Deficit and the
Pool IV Collateral Deficit.
"ARM Pool Principal Balance" means, as of any date, the sum of the Pool II
--------------------------
Pool Principal Balance, the Pool III Pool Balance and Pool IV Pool Balance as of
such date.
S-27
<PAGE>
"ARM Supporting Fixed Amount" means, with respect to any Distribution Date,
---------------------------
the excess, if any, of (x) the ARM Pool Principal Balance as of the end of the
second preceding Collection Period over (y) the Aggregate Class A-2 Principal
Balance immediately prior to such Distribution Date.
"ARM Supporting Floating Amount" means, with respect to any Distribution
------------------------------
Date, the lesser of (x) the Aggregate Class A-2 Principal Balance immediately
prior to such Distribution Date and (y) the ARM Pool Principal Balance as of the
end of the second preceding Collection Period.
"Available Funds" means, with respect to any Distribution Date, the amount of
---------------
the Servicer Remittance Amount transferred from the Collection Account to the
Certificate Account on the related Servicer Remittance Date.
"Class A-1 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class A-1 Pass-Through
Rate and (y) the Class A-1 Principal Balance immediately prior to such
Distribution Date.
"Class A-1 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class A-1 Formula Interest Current Amount
and (ii) the Class A-1 Interest Shortfall Amount.
"Class A-1 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class A-1 Formula Interest Distribution
Amount and (y) the product of (i) the Senior Formula Interest Distribution
Amount and (ii) a fraction, the numerator of which is the Class A-1 Formula
Interest Distribution Amount and the denominator of which is the Senior Formula
Interest Distribution Amount.
"Class A-1 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
A-1 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class A-1
Certificateholders on all prior Distribution Dates pursuant to Section X(i)(a)
hereof.
"Class A-1 Pass-Through Rate" means [ ]% per annum.
---------------------------
"Class A-1 Principal Balance" means, as of any date, the Original Class A-1
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(iii)(a) hereof prior to such date, (ii) amounts described in
Section X(iv)(a)(i) hereof prior to such date, (iii) amounts described in
Section X(iv)(b)(i) hereof prior to such date and (iv) amounts described in
Section Y(viii)(a) hereof prior to such date.
"Class A-1 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of
(A) the sum of (i) the product of (x) a fraction, the numerator of
----------------
which is the Fixed Supporting Fixed Amount and the denominator of which is
-----
the Pool I Pool Balance as of the end of the second preceding Collection
Period (or as of the Cut-Off Date with respect to the first Distribution
Date) and (y) the aggregate Scheduled Principal Collections with respect to
the Pool I Loans during (other than the PO Portion of any Discount Loan)
the related Collection Period and (ii) the product of (x) a fraction, the
---
numerator of which is the ARM Supporting Fixed Amount and the denominator
------------------ ---------------
of which is the Collateral Amount Available for Cross-Support and (y) the
--------
Collateral Amount for Cross-Support Scheduled Principal Distribution
Amount; and
(B) a fraction, the numerator of which is (i) the Class A-1 Principal
-------------------------
Balance immediately prior to such Distribution Date and (ii) the sum of the
Class A-1 Principal Balance, the Class M-1 Principal Balance, the Class M-2
Principal Balance, the Class M-3 Principal Balance, the Class B-1 Principal
Balance, the Class B-2 Principal Balance and the Class B-3 Principal
Balance immediately prior to such Distribution Date.
S-28
<PAGE>
"Class A-1 Unscheduled Principal Distribution Amount" means, with respect to
---------------------------------------------------
any Distribution Date, the product of
(A) the sum of (i) the product of (x) a fraction, the numerator of which
----------------------
is the Fixed Supporting Fixed Amount and the denominator of which is the
Pool I Pool Principal Balance as of the end of the second preceding
Collection Period (or as of the Cut-Off Date with respect to the first
Distribution Date) and (y) the aggregate Unscheduled Principal Collections
with respect to the Pool I Loans (other than the PO Portion of any Discount
Loan) during the related Collection Period and (ii) the product of (x) a
fraction, the numerator of which is the ARM Supporting Fixed Amount and the
---------------------- ---
denominator of which is the Collateral Amount Available for Cross-Support
--------------------
and (y) the Collateral Amount for Cross-Support Unscheduled Principal
Distribution Amount; and
(B) a fraction, the numerator of which is (i) the Class A-1 Principal
-------------------------
Balance immediately prior to such Distribution Date and (ii) the sum of the
Class A-1 Principal Balance, the Class M-1 Principal Balance, the Class M-2
Principal Balance, the Class M-3 Principal Balance, the Class B-1 Principal
Balance, the Class B-2 Principal Balance and the Class B-3 Principal
Balance immediately prior to such Distribution Date.
"Class A-2 Principal Balance" means, as of any date, the sum of the Class A-
---------------------------
2-A Principal Balance, the Class A-2-A Principal Balance, the Class A-2-B
Principal Balance and the Class A-2-C Principal Balance as of such date.
"Class A-2-A Formula Interest Current Amount" means, with respect to any
-------------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class A-2-A Pass-
Through Rate applicable to such Distribution Date and (y) the Class A-2-A
Principal Balance immediately prior to such Distribution Date.
"Class A-2-A Formula Interest Distribution Amount" means, with respect to any
------------------------------------------------
Distribution Date, the sum of (i) the Class A-2-A Formula Interest Current
Amount and (ii) the Class A-2-A Interest Shortfall Amount.
"Class A-2-A Interest Distribution Amount" means, with respect to any
----------------------------------------
Distribution Date, the lesser of (x) the Class A-2-A Formula Interest
Distribution Amount and (y) the product of (i) the Senior Formula Interest
Distribution Amount and (ii) a fraction, the numerator of which is the Class A-
2-A Formula Interest Distribution Amount and the denominator of which is the
Senior Formula Interest Distribution Amount.
"Class A-2-A Interest Shortfall Amount" means, with respect to any
-------------------------------------
Distribution Date, the excess, if any, of (x) the aggregate, cumulative amount
of the Class A-2-A Formula Interest Current Amounts due on all prior
Distribution Dates over (y) the aggregate, cumulative amount distributed to the
----
Class A-2-A Certificateholders on all prior Distribution Dates pursuant to
Section X(i)(b) hereof.
"Class A-2-A Pass-Through Rate" means, with respect to any Distribution Date,
-----------------------------
a per annum rate equal to the lesser of (x) the Pool II Gross WAC for such
Distribution Date less [ ]% and (y) the Adjusted Pool II Gross WAC for such
Distribution Date, less 0.395%.
----
"Class A-2-A Principal Balance" means, as of any date, the Original Class A-
-----------------------------
2-A Principal Balance minus the aggregate cumulative amount of (i) amounts
described in Section X(iii)(b) hereof prior to such date, (ii) amounts described
in Section X(iv)(a)(2) hereof prior to such date, (iii) amounts described in
Section X(iv)(b)(2)(x) hereof prior to such date and (iv) amounts described in
Section Y(viii)(b) hereof prior to such date.
"Class A-2-A Scheduled Principal Distribution Amount" means, with respect to
---------------------------------------------------
any Distribution Date, the sum of (x) the product of (i) the A-2-A Pool II
Fraction and (2) the aggregate Scheduled Principal Collections with respect to
the Pool II Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool II Collateral Deficit and the
---------------------- ---
denominator of which is the Collateral Amount Available for Cross-Support and
- --------------------
(2) the Collateral Amount Available for Cross-Support Scheduled Principal
Distribution Amount.
S-29
<PAGE>
"Class A-2-A Unscheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the sum of (x) the product of (i) the A-2-A Pool II
Fraction and (2) the aggregate Unscheduled Principal Collections with respect to
the Pool II Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool II Collateral Deficit and the
---------------------- ---
denominator of which is the Collateral Amount Available for Cross-Support and
- --------------------
(2) the Collateral Amount Available for Cross-Support Unscheduled Principal
Distribution Amount.
"Class A-2-B Formula Interest Current Amount" means, with respect to any
-------------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class A-2-B Pass-
Through Rate applicable to such Distribution Date and (y) the Class A-2-B
Principal Balance immediately prior to such Distribution Date.
"Class A-2-B Formula Interest Distribution Amount" means, with respect to any
------------------------------------------------
Distribution Date, the sum of (i) the Class A-2-B Formula Interest Current
Amount and (ii) the Class A-2-B Interest Shortfall Amount.
"Class A-2-B Interest Distribution Amount" means, with respect to any
----------------------------------------
Distribution Date, the lesser of (x) the Class A-2-B Formula Interest
Distribution Amount and (y) the product of (i) the Senior Formula Interest
Distribution Amount and (ii) a fraction, the numerator of which is the Class A-
2-B Formula Interest Distribution Amount and the denominator of which is the
Senior Formula Interest Distribution Amount.
"Class A-2-B Interest Shortfall Amount" means, with respect to any
-------------------------------------
Distribution Date, the excess, if any, of (x) the aggregate, cumulative amount
of the Class A-2-B Formula Interest Current Amounts due on all prior
Distribution Dates over (y) the aggregate, cumulative amount distributed to the
----
Class A-2-B Certificateholders on all prior Distribution Dates pursuant to
Section X(i)(c) hereof.
"Class A-2-B Pass-Through Rate" means, with respect to any Distribution Date,
-----------------------------
a per annum rate equal to the lesser of (x) the Pool III Gross WAC for such
Distribution Date less [ ]% and (y) the Adjusted Pool III Gross WAC for such
Distribution Date, less 0.395%.
----
"Class A-2-B Principal Balance" means, as of any date, the Original Class A-
-----------------------------
2-B Principal Balance minus the aggregate cumulative amount of (i) amounts
described in Section X(iii)(c) hereof prior to such date, (ii) amounts described
in Section X(iv)(a)(3) hereof prior to such date, (iii) amounts described in
Section X(iv)(b)(2)(y) hereof prior to such date and (iv) amounts described in
Section Y(viii)(c) hereof prior to such date.
"Class A-2-B Scheduled Principal Distribution Amount" means, with respect to
---------------------------------------------------
any Distribution Date, the sum of (x) the product of (1) the A-2-B Pool III
Fraction and (2) the aggregate Scheduled Principal Collections with respect to
the Pool III Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool III Collateral Deficit and
----------------------
the denominator of which is the Collateral Amount Available for Cross-Support
- ------------------------
and (2) the Collateral Amount Available for Cross-Support Scheduled Principal
Distribution Amount.
"Class A-2-B Unscheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the sum of (x) the product of (1) the A-2-B Pool III
Fraction and (2) the aggregate Unscheduled Principal Collections with respect to
the Pool III Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool III Collateral Deficit and
----------------------
the denominator of which is the Collateral Amount Available for Cross-Support
- ------------------------
and (2) the Collateral Amount Available for Cross-Support Unscheduled Principal
Distribution Amount.
"Class A-2-C Formula Interest Current Amount" means, with respect to any
-------------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class A-2-C Pass-
Through Rate applicable to such Distribution Date and (y) the Class A-2-C
Principal Balance immediately prior to such Distribution Date.
"Class A-2-C Formula Interest Distribution Amount" means, with respect to any
------------------------------------------------
Distribution Date, the sum of (i) the Class A-2-C Formula Interest Current
Amount and (ii) the Class A-2-C Interest Shortfall Amount.
S-30
<PAGE>
"Class A-2-C Interest Distribution Amount" means, with respect to any
----------------------------------------
Distribution Date, the lesser of (x) the Class A-2-C Formula Interest
Distribution Amount and (y) the product of (i) the Senior Interest Distribution
Amount and (ii) a fraction, the numerator of which is the Class A-2-C Formula
Interest Distribution Amount and the denominator of which is the Senior Formula
Interest Distribution Amount.
"Class A-2-C Interest Shortfall Amount" means, with respect to any
-------------------------------------
Distribution Date, the excess, if any, of (x) the aggregate, cumulative amount
of the Class A-2-C Formula Interest Current Amounts due on all prior
Distribution Dates over (y) the aggregate, cumulative amount distributed to the
----
Class A-2-C Certificateholders on all prior Distribution Dates pursuant to
Section X(i)(d) hereof.
"Class A-2-C Pass-Through Rate" means, with respect to any Distribution Date,
-----------------------------
a per annum rate equal to the lesser of (x) the Pool IV Gross WAC for such
Distribution Date less [ ]% and (y) the Adjusted Pool IV WAC for such
Distribution Date, less 0.395%.
----
"Class A-2-C Principal Balance" means, as of any date, the Original Class A-
-----------------------------
2-C Principal Balance minus the aggregate cumulative amount of (i) amounts
described in Section X(iii)(d) hereof prior to such date, (ii) amounts described
in Section X(iv)(a)(4) hereof prior to such date, (iii) amounts described in
Section X(iv)(b)(2)(z) hereof prior to such date and (iv) amounts described in
Section Y(viii)(d) hereof prior to such date.
"Class A-2-C Scheduled Principal Distribution Amount" means, with respect to
---------------------------------------------------
any Distribution Date, the sum of (x) the product of (1) the A-2-C Pool IV
Fraction and (2) the aggregate Scheduled Principal Collections with respect to
the Pool IV Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool IV Collateral Deficit and the
---------------------- ---
denominator of which is the Collateral Amount Available for Cross-Support and
- --------------------
(2) the Collateral Amount Available for Cross-Support Scheduled Principal
Distribution Amount.
"Class A-2-C Unscheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the sum of (x) the product of (1) the A-2-C Pool IV
Fraction and (2) the aggregate Unscheduled Principal Collections with respect to
the Pool IV Loans during the related Collection Period and (y) the product of
(1) a fraction, the numerator of which is the Pool IV Collateral Deficit and the
---------------------- ---
denominator of which is the Collateral Amount Available for Cross-Support and
- --------------------
(2) the Collateral Amount Available for Cross-Support Unscheduled Principal
Distribution Amount.
"Class A-IO Formula Interest Current Amount" means, with respect to any
------------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class A-IO Pass-Through
Rate and (y) the Class A-IO Notional Principal Balance.
"Class A-IO Formula Interest Distribution Amount" means, with respect to any
-----------------------------------------------
Distribution Date, the sum of (i) the Class A-IO Formula Interest Current Amount
and (ii) the Class A-IO Interest Shortfall Amount.
"Class A-IO Interest Distribution Amount" means, with respect to any
---------------------------------------
Distribution Date, the lesser of (x) the Class A-IO Formula Interest
Distribution Amount and (y) the product of (i) the Senior Interest Distribution
Amount and (ii) a fraction, the numerator of which is the Class A-IO Formula
Interest Distribution Amount and the denominator of which is the Senior Formula
Interest Distribution Amount.
"Class A-IO Interest Shortfall Amount" means, with respect to any
------------------------------------
Distribution Date, the excess, if any, of (x) the aggregate, cumulative amount
of the Class A-IO Formula Interest Current Amounts due on all prior Distribution
Dates over (y) the aggregate, cumulative amount distributed to the Class A-IO
----
Certificateholders on all prior Distribution Dates pursuant to Section X(i)(f)
hereof.
"Class A-IO Pass-Through Rate" means, with respect to any Distribution Date,
----------------------------
a per annum rate equal to the Adjusted ARM Gross WAC with respect to such
Distribution Date less the weighted average of the Class A-2-A Pass-Through
----
Rate, the Class A-2-B Pass-Through Rate and the Class A-2-C Pass-Through Rate
for such Distribution Date, less 0.395%.
----
S-31
<PAGE>
"Class B-1 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class B-1 Pass-Through
Rate applicable to such Distribution Date and (y) the Class B-1 Principal
Balance immediately prior to such Distribution Date.
"Class B-1 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class B-1 Formula Interest Current Amount
and (ii) the Class B-1 Interest Shortfall Amount.
"Class B-1 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class B-1 Formula Interest Distribution
Amount and (y) the excess of (i) the Subordinate Interest Distribution Amount
over (ii) the sum of the Class M-1 Interest Distribution Amount, the Class M-2
Interest Distribution Amount and the Class M-3 Interest Distribution Amount.
"Class B-1 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
B-1 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class B-1
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(d)
hereof.
"Class B-1 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
"Class B-1 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class B-1
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
"Class B-1 Principal Balance" means, as of any date, the Original Class B-1
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(xii) hereof prior to such date, (ii) amounts described in Section
X(xii) hereof, prior to such date and (iii) amounts described in Section Y(iv)
hereof prior to such date.
"Class B-1 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class B-1 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
"Class B-1 Unscheduled Principal Distribution Amount" means: (x) with respect
---------------------------------------------------
to any Distribution Date on which the Class B-1 Certificates are not an Eligible
Subordinate Class, zero; (y) with respect to any Distribution Date on which the
Class B-1 Certificates are an Eligible Subordinate Class, the product of (i) the
Subordinate Unscheduled Principal Distribution Amount and (ii) a fraction, the
numerator of which is the Class B-1 Principal Balance and the denominator is the
aggregate Certificate Principal Balances of all Eligible Subordinate Classes.
"Class B-2 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class B-2 Pass-Through
Rate applicable to such Distribution Date and (y) the Class B-2 Principal
Balance immediately prior to such Distribution Date.
"Class B-2 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class B-2 Formula Interest Current Amount
and (ii) the Class B-2 Interest Shortfall Amount.
"Class B-2 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class B-2 Formula Interest Distribution
Amount and (y) the excess of (i) the Subordinate Interest Distribution Amount
over (ii) the sum of the Class M-1 Interest Distribution Amount, the Class M-2
Interest Distribution Amount, the Class M-3 Interest Distribution Amount and the
Class B-1 Interest Distribution Amount.
S-32
<PAGE>
"Class B-2 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
B-2 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class B-2
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(e)
hereof.
"Class B-2 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
"Class B-2 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class B-2
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
"Class B-2 Principal Balance" means, as of any date, the Original Class B-2
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(xiv) hereof prior to such date, (ii) amounts described in Section
X(xv) hereof, prior to such date and (iii) amounts described in Section Y(iii)
hereof prior to such date.
"Class B-2 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class B-2 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
"Class B-2 Unscheduled Principal Distribution Amount" means: (x) with respect
---------------------------------------------------
to any Distribution Date on which the Class B-2 Certificates are not an Eligible
Subordinate Class, zero; (y) with respect to any Distribution Date on which the
Class B-2 Certificates are an Eligible Subordinate Class, the product of (i) the
Subordinate Unscheduled Principal Distribution Amount and (ii) a fraction, the
numerator of which is the Class B-2 Principal Balance and the denominator is the
aggregate Certificate Principal Balances of all Eligible Subordinate Classes.
"Class B-3 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class B-3 Pass-Through
Rate and (y) the Class B-3 Principal Balance immediately prior to such
Distribution Date.
"Class B-3 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class B-3 Formula Interest Current Amount
and (ii) the Class B-3 Interest Shortfall Amount.
"Class B-3 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class B-3 Formula Interest Distribution
Amount and (y) the excess of (i) the Subordinate Interest Distribution Amount
over (ii) the sum of the Class M-1 Interest Distribution Amount, the Class M-2
Interest Distribution Amount, the Class M-3 Interest Distribution Amount, the
Class B-1 Interest Distribution Amount, and the Class B-2 Interest Distribution
Amount.
"Class B-3 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
B-3 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class B-3
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(f)
hereof.
"Class B-3 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
"Class B-3 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class B-3
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
S-33
<PAGE>
"Class B-3 Principal Balance" means, as of any date, the Original Class B-3
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(xvi) hereof prior to such date, (ii) amounts described in Section
X(xvii) hereof, prior to such date and (iii) amounts described in Section Y(ii)
hereof prior to such date.
"Class B-3 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class B-3 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
"Class B-3 Unscheduled Principal Distribution Amount" means: (x) with respect
---------------------------------------------------
to any Distribution Date on which the Class B-3 Certificates are not an Eligible
Subordinate Class, zero; (y) with respect to any Distribution Date on which the
Class B-3 Certificates are an Eligible Subordinate Class, the product of (i) the
Subordinate Unscheduled Principal Distribution Amount and (ii) a fraction, the
numerator of which is the Class B-3 Principal Balance and the denominator is the
aggregate Certificate Principal Balances of all Eligible Subordinate Classes.
"Class F-IO Formula Interest Current Amount" means, with respect to any
------------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class F-IO Pass-Through
Rate and (y) the Class A-1 Principal Balance immediately prior to such
Distribution Date.
"Class F-IO Formula Interest Distribution Amount" means, with respect to any
-----------------------------------------------
Distribution Date, the sum of (i) the Class F-IO Formula Interest Current Amount
and (ii) the Class F-IO Interest Shortfall Amount.
"Class F-IO Interest Distribution Amount" means, with respect to any
---------------------------------------
Distribution Date, the lesser of (x) the Class F-IO Formula Interest
Distribution Amount and (y) the product of (i) the Senior Interest Distribution
Amount and (ii) a fraction, the numerator of which is the Class F-IO Formula
Interest Distribution Amount and the denominator of which is the Senior Formula
Interest Distribution Amount.
"Class F-IO Interest Shortfall Amount" means, with respect to any
------------------------------------
Distribution Date, the excess, if any, of (x) the aggregate, cumulative amount
of the Class F-IO Formula Interest Current Amounts due on all prior Distribution
Dates over (y) the aggregate, cumulative amount distributed to the Class F-IO
----
Certificateholders on all prior Distribution Dates pursuant to Section X(i)(e)
hereof.
"Class F-IO Pass-Through Rate" means with respect to any Distribution Date, a
----------------------------
per annum rate equal to the excess of (x) the Pool I Net WAC for such
Distribution Date, over (y) the Class A-1 Pass-Through Rate.
"Class M-1 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class M-1 Pass-Through
Rate applicable to such Distribution Date and (y) the Class M-1 Principal
Balance immediately prior to such Distribution Date.
"Class M-1 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class A-1 Formula Interest Current Amount
and (ii) the Class M-1 Interest Shortfall Amount.
"Class M-1 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class M-1 Formula Interest Distribution
Amount and (y) the Subordinate Interest Distribution Amount.
"Class M-1 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
M-1 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class M-1
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(a)
hereof.
"Class M-1 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
S-34
<PAGE>
"Class M-1 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class M-1
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
"Class M-1 Principal Balance" means, as of any date, the Original Class M-1
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(vi) hereof prior to such date, (ii) amounts described in Section
X(vii) hereof, prior to such date and (iii) amounts described in Section Y(vii)
hereof prior to such date.
"Class M-1 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class M-1 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
"Class M-1 Unscheduled Principal Distribution Amount" means, with respect to
---------------------------------------------------
any Distribution Date, the product of (i) the Subordinate Unscheduled Principal
Distribution Amount and (ii) a fraction, the numerator of which is the Class M-1
Principal Balance and the denominator is the aggregate Certificate Principal
Balances of all Eligible Subordinate Classes.
"Class M-2 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class M-2 Pass-Through
Rate applicable to such Distribution Date and (y) the Class M-2 Principal
Balance immediately prior to such Distribution Date.
"Class M-2 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class M-2 Formula Interest Current Amount
and (ii) the Class M-2 Interest Shortfall Amount.
"Class M-2 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class M-2 Formula Interest Distribution
Amount and (y) the excess of (i) the Subordinate Interest Distribution Amount
over (ii) the Class M-1 Interest Distribution Amount.
"Class M-2 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
M-2 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class M-2
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(b)
hereof.
"Class M-2 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
"Class M-2 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class M-2
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
"Class M-2 Principal Balance" means, as of any date, the Original Class M-2
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(viii) hereof prior to such date, (ii) amounts described in Section
X(ix) hereof, prior to such date and (iii) amounts described in Section Y(vi)
hereof prior to such date.
"Class M-2 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class M-2 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
S-35
<PAGE>
"Class M-2 Unscheduled Principal Distribution Amount" means: (x) with respect
---------------------------------------------------
to any Distribution Date on which the Class M-2 Certificates are not an Eligible
Subordinate Class, zero; (y) with respect to any Distribution Date on which the
Class M-2 Certificates are an Eligible Subordinate Class, the product of (i) the
Subordinate Unscheduled Principal Distribution Amount and (ii) a fraction, the
numerator of which is the Class M-2 Principal Balance and the denominator is the
aggregate Certificate Principal Balances of all Eligible Subordinate Classes.
"Class M-3 Formula Interest Current Amount" means, with respect to any
-----------------------------------------
Distribution Date, the product of (x) one-twelfth of the Class M-3 Pass-Through
Rate applicable to such Distribution Date and (y) the Class M-3 Principal
Balance immediately prior to such Distribution Date.
"Class M-3 Formula Interest Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the sum of (i) the Class M-3 Formula Interest Current Amount
and (ii) the Class M-3 Interest Shortfall Amount.
"Class M-3 Interest Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the lesser of (x) the Class M-3 Formula Interest Distribution
Amount and (y) the excess of (i) the Subordinate Interest Distribution Amount
over (ii) the Class M-1 Interest Distribution Amount plus the Class M-2 Interest
Distribution Amount.
"Class M-3 Interest Shortfall Amount" means, with respect to any Distribution
-----------------------------------
Date, the excess, if any, of (x) the aggregate, cumulative amount of the Class
M-3 Formula Interest Current Amounts due on all prior Distribution Dates over
----
(y) the aggregate, cumulative amount distributed to the Class M-3
Certificateholders on all prior Distribution Dates pursuant to Section X(v)(c)
hereof.
"Class M-3 Pass-Through Rate" means, with respect to any Distribution Date, a
---------------------------
per annum rate equal to the Adjusted Pool I Gross WAC for such Distribution
Date, less 0.395%.
----
"Class M-3 Percentage" means, with respect to any Distribution Date, the
--------------------
percentage equivalent of a fraction, the numerator of which is the Class M-3
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Subordinate Certificate Principal Balance
immediately prior to such Distribution Date.
"Class M-3 Principal Balance" means, as of any date, the Original Class M-3
---------------------------
Principal Balance minus the aggregate cumulative amount of (i) amounts described
in Section X(x) hereof prior to such date, (ii) amounts described in Section
X(xi) hereof, prior to such date and (iii) amounts described in Section Y(v)
hereof prior to such date.
"Class M-3 Scheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (X) the Class M-3 Percentage applicable to
such Distribution Date and (y) the Remaining Scheduled Principal Distribution
Amount.
"Class M-3 Unscheduled Principal Distribution Amount" means: (x) with respect
---------------------------------------------------
to any Distribution Date on which the Class M-3 Certificates are not an Eligible
Subordinate Class, zero; (y) with respect to any Distribution Date on which the
Class M-3 Certificates are an Eligible Subordinate Class, the product of (i) the
Subordinate Unscheduled Principal Distribution Amount and (ii) a fraction, the
numerator of which is the Class M-3 Principal Balance and the denominator is the
aggregate Certificate Principal Balances of all Eligible Subordinate Classes.
"Class PO Distribution Amount" means, with respect to any Distribution Date,
----------------------------
the excess of (x) the Available Funds over (y) the Senior Interest Distribution
Amount.
"Class PO Principal Distribution Amount" means, with respect to any
--------------------------------------
Distribution Date, the sum of (A) the aggregate for all Discount Loans of the
following amounts with respect to each Discount Loan: the product of (x) a
fraction, the numerator of which is the Discount Percentage for such Discount
Loan and the denominator of which is [ ]% and (y) the sum of (i) any Scheduled
Principal Collection with respect to such Discount Loan included in the related
Servicer Remittance Amount, (ii) any Unscheduled Principal Collection with
respect to such Discount Loan included in the related Servicer Remittance Amount
and (iii) the amount of any Realized Loss experienced by such
S-36
<PAGE>
Discount Loan during the related Collection Period and (B) the reduction, during
the related Collection Period, in the Aggregate PO Arrearage Amount.
"Class R Amount" means, as of any date, the Original Class R Amount less any
--------------
reductions therein resulting from the allocation thereto of any Realized Losses,
pursuant to Section Y(i) hereof prior to such date.
"Collateral Amount Available For Cross-Support" means, with respect to any
---------------------------------------------
Distribution Date, the sum of the Extra Pool II Collateral Amount, the Extra
Pool III Collateral Amount, the Extra Pool IV Collateral Amount and the Fixed
Supporting Floating Amount.
"Cross-Support Gross WAC" means, with respect to any Distribution Date, the
-----------------------
percentage equivalent of a fraction, the numerator of which is the sum of (i)
----------------------
the product of (x) the Extra Pool II Collateral Amount and (y) the Pool II Gross
WAC, (ii) the product of (x) the Extra Pool III Collateral Amount and (y) the
Pool III Gross WAC, (iii) the product of (x) the Pool IV Pool Balance and (y)
the Pool IV Gross WAC and (iv) the product of (i) the Fixed Supporting Floating
Amount and (ii) the Pool I Gross WAC and the denominator of which is the
----------------------------
Collateral Amount Available For Cross-Support.
"Cross-Support Scheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the sum of the Extra Pool II Scheduled Principal
Distribution Amount, the Extra Pool III Scheduled Principal Distribution Amount,
the Extra Pool IV Scheduled Principal Distribution Amount and the Fixed
Supporting Floating Scheduled Principal Distribution Amount.
"Cross-Support Unscheduled Principal Distribution Amount" means, with respect
-------------------------------------------------------
to any Distribution Date, the sum of the Extra Pool II Unscheduled Principal
Distribution Amount, the Extra Pool III Unscheduled Principal Distribution
Amount, the Extra Pool IV Unscheduled Principal Distribution Amount and the
Fixed Supporting Floating Unscheduled Principal Distribution Amount.
"Cumulative Loss Percentage" means, with respect to any Distribution Date,
--------------------------
the percentage equivalent of a fraction, the numerator of which is the Aggregate
Realized Loss Amounts for all Collection Periods, and the denominator of which
is the Original Certificate Principal Balances of the Subordinate Certificates.
"Deficient Valuation" means, with respect to any Mortgage Loan, the dollar
-------------------
amount of any reduction in the principal balance owed by the related mortgagor,
as ordered by a court in connection with a bankruptcy proceeding with respect to
the related Mortgagor.
"Discount Loan" means any Fixed Rate Loan having a Coupon Rate less than [
-------------
]% per annum.
"Discount Percentage" means, with respect to any Discount Loan, the excess of
-------------------
(x) [ ]% over (y) the Coupon Rate for such Discount Loan.
"Eligible Subordinate Balance" means, with respect to any Distribution Date,
----------------------------
the sum of the Certificate Principal Balances of all Eligible Subordinate
Classes immediately prior to such Distribution Date.
"Eligible Subordinate Class" means, as of any Distribution Date, any
--------------------------
Subordinate Class as to which the Related Subordination Percentage, calculated
immediately prior to such Distribution Date, equals or exceeds the Related
Original Subordination Percentage.
"Extra Pool II Collateral Amount" means, with respect to any Distribution
-------------------------------
Date, the greater of (x) the excess of (i) the Pool II Pool Balance as of the
end of the second preceding Collection Period (or as of the Cut-Off Date, in the
case of the first Distribution Date) over (ii) the Class A-2-A Principal Balance
immediately prior to such Distribution Date and (y) zero.
S-37
<PAGE>
"Extra Pool II Scheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the product of (x) a fraction, the numerator of which
----------------------
is the Extra Pool II Collateral Amount and the denominator of which is the Pool
------------------------
II Pool Balance as of the end of the second preceding Collection Period (or as
of the Cut-Off Date, in the case of the first Distribution Date) and (y) the
aggregate Scheduled Principal Collections with respect to the Pool II Loans
during the related Collection Period.
"Extra Pool II Unscheduled Principal Distribution Amount" means, with respect
-------------------------------------------------------
to any Distribution Date, the product of (x) a fraction, the numerator of which
----------------------
is the Extra Pool II Collateral Amount and the denominator of which is the Pool
------------------------
II Pool Principal Balance as of the end of the second preceding Collection
Period (or as of the Cut-Off Date, in the case of the first Distribution Date)
and (y) the aggregate Unscheduled Principal Collections with respect to the Pool
II Loans during the related Collection Period.
"Extra Pool III Collateral Amount" means, with respect to any Distribution
--------------------------------
Date, the greater of (x) the excess of (i) the Pool III Pool Balance as of the
end of the second preceding Collection Period (or as of the Cut-Off Date, in the
case of the first Distribution Date) over (ii) the Class A-2-B Principal Balance
immediately prior to such Distribution Date and (y) zero.
"Extra Pool III Scheduled Principal Distribution Amount" means, with respect
------------------------------------------------------
to any Distribution Date, the product of (x) a fraction, the numerator of which
----------------------
is the Extra Pool III Collateral Amount and the denominator of which is the Pool
------------------------
III Pool Balance as of the end of the second preceding Collection Period (or as
of the Cut-Off Date, in the case of the first Distribution Date) and (y) the
aggregate Scheduled Principal Collections with respect to the Pool III Loans
during the related Collection Period.
"Extra Pool III Unscheduled Principal Distribution Amount" means, with
--------------------------------------------------------
respect to any Distribution Date, the product of (x) a fraction, the numerator
-------------
of which is the Extra Pool III Collateral Amount and the denominator of which is
- -------- ------------------------
the Pool III Pool Balance as of the end of the second preceding Collection
Period (or as of the Cut-Off Date, in the case of the first Distribution Date)
and (y) the aggregate Unscheduled Principal Collections with respect to the Pool
III Loans during the related Collection Period.
"Extra Pool IV Collateral Amount" means, with respect to any Distribution
-------------------------------
Date, the greater of (x) the excess of (i) the Pool IV Principal Balance as of
the end of the second preceding Collection Period (or as of the Cut-Off Date, in
the case of the first Distribution Date) over (ii) the Class A-2-C Principal
Balance immediately prior to such Distribution Date and (y) zero.
"Extra Pool IV Scheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the product of (x) a fraction, the numerator of which
----------------------
is the Extra Pool IV Collateral Amount and the denominator of which is the Pool
------------------------
IV Principal Balance as of the end of the second preceding Collection Period (or
as of the Cut-Off Date, in the case of the first Distribution Date) and (y) the
aggregate Scheduled Principal Collections with respect to the Pool IV Loans
during the related Collection Period.
"Extra Pool IV Unscheduled Principal Distribution Amount" means, with respect
-------------------------------------------------------
to any Distribution Date, the product of (x) a fraction, the numerator of which
----------------------
is the Extra Pool IV Collateral Amount and the denominator of which is the Pool
------------------------
IV Principal Balance as of the end of the second preceding Collection Period (or
as of the Cut-Off Date, in the case of the first Distribution Date) and (y) the
aggregate Unscheduled Principal Collections with respect to the Pool IV Loans
during the related Collection Period.
"Fixed Rate Pool Principal Balance" means, as of any date, the sum of the
---------------------------------
Principal Balances of all Fixed Rate Loans as of such date.
"Fixed Supporting Fixed Amount" means, with respect to any Distribution Date,
-----------------------------
the excess of (x) the Fixed Pool Principal Balance as of the end of the second
preceding Collection Period over (y) the Fixed Supporting Floating Amount.
S-38
<PAGE>
"Fixed Supporting Floating Amount" means, with respect to any Distribution
--------------------------------
Date, the excess of (x) the Aggregate Class A-2 Principal Balance immediately
prior to such Distribution Date over (y) the ARM Pool Principal Balance as of
the end of the second preceding Collection Period.
"Fixed Supporting Floating Scheduled Principal Distribution Amount" means,
-----------------------------------------------------------------
with respect to any Distribution Date, the product of (i) a fraction, the
---
numerator of which is the Fixed Supporting Floating Amount and the denominator
- ------------------ ---------------
of which is the Fixed Rate Pool Principal Balance as of the end of the second
- --------
preceding Collection Period (or as of the Cut-Off Date, with respect to the
first Distribution Date) and (ii) the aggregate Scheduled Principal Collections
with respect to the Fixed Rate Loans (other than any PO Portion of any Discount
Loan) during the related Collection Period.
"Monthly Mortgage Payment" means, with respect to any Mortgage Loan and Due
------------------------
Date, the scheduled amount due on such Due Date, as calculated in accordance
with the terms of the related Note.
"Pool I Gross WAC" means, with respect to any Distribution Date, the weighted
----------------
average Coupon Rate of all Pool I Loans with respect to the related Collection
Period calculated using the Coupon Rates in effect on the related Due Dates,
except in the case of a Discount Loan, in which case the Coupon Rate shall be
deemed to be [ ]%).
"Pool I Net WAC" means, with respect to any Distribution Date, the Pool I
--------------
Gross WAC less 0.395%
----
"Pool II Collateral Deficit" means, with respect to any Distribution Date,
--------------------------
the excess of (i) the Class A-2-A Principal Balance immediately prior to such
Distribution Date over (ii) the Pool II Pool Principal Balance as of the end of
the second preceding Collection Period (or as of the Cut-Off Date, in the case
of the first Distribution Date).
"Pool II Gross WAC" means, with respect to any Distribution Date, the
-----------------
weighted average Coupon Rate of all Pool II Loans with respect to the related
Collection Period calculated using the Coupon Rates in effect on the related Due
Dates.
"Pool II Loan" means any Mortgage Loan designated by the Seller as belonging
------------
to Pool II, as such Mortgage Loans are listed on Schedule ___ hereto.
"Pool II Net WAC" means, with respect to any Distribution Date, Pool II Gross
---------------
WAC less 0.395%.
----
"Pool II Pool Balance" means, as of any date, the sum of the Principal
--------------------
Balances of all Pool II Loans as of such date.
"Pool III Collateral Deficit" means, with respect to any Distribution Date,
---------------------------
the excess of (i) the Class A-2-B Principal Balance immediately prior to such
Distribution Date over (ii) the Pool III Pool Principal Balance as of the end of
the second preceding Collection Period (or as of the Cut-Off Date, in the case
of the first Distribution Date).
"Pool III Gross WAC" means, with respect to any Distribution Date, the
------------------
weighted average Coupon Rate of all Pool III Loans with respect to the related
Collection Period calculated using the Coupon Rates in effect on the related Due
Dates.
"Pool III Loan" means any Mortgage Loan designated by the Seller as belonging
-------------
to Pool III, as such Mortgage Loans are listed on Schedule ___ hereto.
"Pool III Net WAC" means, with respect to any Distribution Date, the Pool III
----------------
Gross WAC less 0.395%.
----
"Pool III Pool Balance" means, as of any date, the sum of the Principal
---------------------
Balances of all Pool III Loans as of such date.
S-39
<PAGE>
"Pool IV Collateral Deficit" means, with respect to any Distribution Date,
--------------------------
the greater of (x) the excess of (i) the Class A-2-C Principal Balance
immediately prior to such Distribution Date over (ii) the Pool IV Principal
Balance as of the end of the second preceding Collection Period (or as of the
Cut-Off Date, in the case of the first Distribution Date).
"Pool IV Gross WAC" means, with respect to any Distribution Date, the
-----------------
weighted average Coupon Rate of all Pool IV Loans with respect to the related
Collection Period calculated using the Coupon Rates in effect on the related Due
Dates.
"Pool IV Loan" means any Mortgage Loan designated by the Seller as being a
------------
Pool IV Loan Rate which is, as such Mortgage Loans are listed on Schedule ___
hereto.
"Pool IV Net WAC" means, with respect to any Distribution Date, the Pool IV
---------------
Gross WAC less 0.395%.
----
"Pool IV Principal Balance" means, as of any date, the sum of the Principal
-------------------------
Balances of all Pool IV Loans as of such date.
"PO Percentage" means, with respect to any Discount Loan, 100% minus the
-------------
Discount Percentage.
"Prepayment" means, with respect to any Mortgage Loan, any payment made by
----------
the related Mortgagor other than (i) Monthly Mortgage Payments, (ii) amounts to
be applied against arrearages in Monthly Mortgage Payments previously due but
delinquent, and (iii) than Advance Payments.
"Realized Loss" means, with respect to any Mortgage Loan, the dollar amount
-------------
of (a) a Deficient Valuation or (b) if such Mortgage Loan becomes a Liquidated
Mortgage Loan, the excess of (x) the Principal Balance of such Mortgage Loan
immediately prior to such Mortgage Loan's becoming a Liquidated Mortgage Loan
over (y) the related Net Liquidation Proceeds.
"Related Original Subordination Percentage" means:
-----------------------------------------
(a) with respect to the Class M-2 Certificates, 19%.
(b) with respect to the Class M-1 Certificates, 13.5%.
(c) with respect to the Class B-1 Certificates, [ ]%.
(d) with respect to the Class B-2 Certificates, [ ]%.
(e) with respect to the Class B-3 Certificates, [ ]%.
"Related Subordination Percentage" means, as of any Distribution Date:
--------------------------------
(a) with respect to the Class M-2 Certificates, percentage equivalent of a
fraction, the numerator of which is the sum of the Class M-2 Principal
Balance, the Class M-3 Principal Balance, the Class B-1 Principal
Balance, the Class B-2 Principal Balance, the Class B-3 Principal
Balance and the denominator of which is the Aggregate Certificate
Principal Balance, all as calculated immediately prior to such
Distribution Date;
(b) with respect to the Class M-3 Certificates, the percentage equivalent
of a fraction, the numerator of which is the sum of the Class M-3
Principal Balance, the Class B-1 Principal Balance, the Class B-2
Principal Balance, and the Class B-3 Principal Balance and the
denominator of which is the Aggregate Certificate Principal Balance,
all as calculated immediately prior to such Distribution Date;
S-40
<PAGE>
(c) with respect to the Class B-1 Certificates, the percentage equivalent
of a fraction, the numerator of which is the sum of the Class B-1
Principal Balance, the Class B-2 Principal Balance, the Class B-3
Principal Balance and the denominator of which is the Aggregate
Certificate Principal Balance, all as calculated immediately prior to
such Distribution Date;
(d) with respect to the Class B-2 Certificates, the percentage equivalent
of a fraction, the numerator of which is the sum of the Class B-2
Principal Balance, the Class B-3 Principal Balance and the denominator
of which is the Aggregate Certificate Principal Balance, all as
calculated immediately prior to such Distribution Date; and
(e) with respect to the Class B-3 Certificates, the percentage equivalent
of a fraction, the numerator of which is the Class B-3 Principal
Balance and the denominator of which is the Class B-3 Principal
Balance calculated immediately prior to such Distribution Date.
"Scheduled Interest Collection" means, with respect to any Mortgage Loan and
-----------------------------
Collection Period, the portion of the Monthly Mortgage Payment due on the Due
Date occurring in such Collection Period which relates to interest, as
calculated in accordance with the terms of the related Note.
"Scheduled Principal Collection" means, with respect to any Mortgage Loan and
------------------------------
Collection Period, the portion of the Monthly Mortgage Payment due on the Due
Date occurring in such Collection Period which relates to principal, as
calculated in accordance with the terms of the related Note.
"Scheduled Principal Distribution Amount" means, with respect to any
---------------------------------------
Distribution Date, the lesser of (x) the aggregate of all Scheduled Principal
Collections included in the related Servicer Remittance Amount and (y) the
amount remaining on deposit in the Certificate Account after the payment of the
amounts described in Sections X(i) and X(ii) hereof.
"Senior Formula Interest Distribution Amount" means, with respect to any
-------------------------------------------
Distribution Date, the sum of the Class A-1 Formula Interest Distribution
Amount, the Class A-2-A Formula Interest Distribution Amount, the Class A-2-B
Formula Interest Distribution Amount, the Class A-2-C Formula Interest
Distribution Amount, the Class A-IO Formula Interest Distribution Amount and the
Class F-IO Formula Interest Distribution Amount.
"Senior Interest Distribution Amount" means, with respect to any Distribution
-----------------------------------
Date, the lesser of (x) the Available Funds as of such Distribution Date and (y)
the Senior Formula Interest Distribution Amount.
"Senior Percentage" means, with respect to any Distribution Date, the
-----------------
percentage equivalent of a fraction, the numerator of which is the Senior
Principal Balance immediately prior to such Distribution Date and the
denominator of which is the Aggregate Certificate Principal Balance immediately
prior to such Distribution Date.
"Senior Principal Balance" means, as of any date, the sum of the Class A-1
------------------------
Principal Balance, the Class A-2 Principal Balance and the Class PO Principal
Balance as of such date.
"Senior Scheduled Principal Distribution Amount" means, with respect to any
----------------------------------------------
Distribution Date, the excess of (x) the Available Funds over (y) the sum of (i)
the Senior Interest Distribution Amount and (ii) the Class PO Principal
Distribution Amount.
"Senior Unscheduled Principal Distribution Amount" means, with respect to any
------------------------------------------------
Distribution Date, the amount of Available Funds remaining after application of
the Senior Scheduled Principal Distribution Amount.
"Servicer Remittance Amount" means, with respect to any Servicer Remittance
--------------------------
Date, the sum of:
(i) all Scheduled Interest Collections due during the related
Collection Period and on deposit in the Collection Account at the
opening of business on the related Servicer Remittance
S-41
<PAGE>
Date, together with the interest portion of any Delinquency
Advances and Prepayment Interest relating thereto;
(ii) all Scheduled Principal Collections due during the related
Collection Period and on deposit in the Collection Account at the
opening of business on the related Servicer Remittance Date,
together with the principal portion of any Delinquency Advances
relating thereto;
(iii) all Unscheduled Interest Collections on deposit in the
Collection Account at the opening of business on the related
Servicer Remittance Date; and
(iv) all Unscheduled Principal Collections on deposit in the
Collection Account at the opening of business on the related
Servicer Remittance Date.
"Shifted Percentage" means, (a) with respect to any Distribution Date
------------------
occurring prior to the January 2002 Distribution Date, 100%,; (b) with respect
to any Distribution Date occurring on or after the January 2002 Distribution
Date and prior to the January 2003 Distribution Date, 70%; (c) with respect to
any Distribution Date occurring on or after the January 2003 Distribution Date
and prior to the January 2004 Distribution Date, 60%; (d) with respect to any
Distribution Date occurring on or after the January 2004 Distribution Date and
prior to the January 2005 Distribution Date, 40%; (e) with respect to any
Distribution Date occurring on or after the January 2005 Distribution Date and
prior to the January 2006 Distribution Date, 20%; (f) with respect to any
Distribution Date on or after the January 2006 Distribution Date, 0%.
Notwithstanding the foregoing, the Shifted Percentage shall not, at the
commencement of any such period, be reduced, but shall remain at its prior
level, if the Cumulative Loss Percentage, calculated as of the Distribution Date
on which such period commences, exceeds the Trigger Percentage for such
Distribution Date. Notwithstanding the foregoing:
(I) if the Senior Percentage on any Distribution Date exceeds 78%, the
Shifted Percentage shall be 100% for that Distribution Date; and
(II) no reduction of the Shifted Percentage below the level in effect
for the most recent prior period specified above shall be effective on any
Distribution Date unless, as of the last day of the month preceding such
Distribution Date, either:
(A) (i) the aggregate Principal Balances of Mortgage Loans delinquent 60
days or more (including for this purpose any Mortgaged Loans in foreclosure
and Mortgage Loans with respect to which the related Mortgaged Property has
been acquired by the Trust) does not exceed 50% of the Aggregate
Subordinate Certificate Principal Balance as of such date and (ii)
cumulative Realized Losses do not exceed (a) 30% of the Aggregate
Subordinate Certificate Principal Balance as of the date of issuance of the
Certificates (the "Original Subordinate Balance") if such Distribution Date
occurs between and including January 2002 and December 2002, (b) 35% of the
Original Subordinate Principal if such Distribution Date occurs between and
including January 2003 and December 2003, (c) 40% of the Original
Subordinate Balance if such Distribution Date occurs between and including
January 2004 and December 2004, (d) 45% of the Original Subordinate Balance
if such Distribution Date occurs between and including January 2005 and
December 2005, and (e) 50% of the Original Subordinate Balance if such
Distribution Date occurs during or after January 2006; or
(B) (i) the aggregate Principal Balances of Mortgage Loans delinquent 60
days or more (including for this purpose any Mortgaged Loans in foreclosure
and Mortgage Loans with respect to which the related Mortgaged Property has
been acquired by the Trust), averaged over the last three months, as a
percentage of the aggregate Principal Balance of all Mortgage Loans
averaged over the last three months, does not exceed 4%, and (ii)
cumulative Realized Losses do not exceed (a) 10% of the Original
Subordinate Balance if such Distribution Date occurs between and including
January 2002 and December 2002, (b) 15% of the Original Subordinate Balance
if such Distribution Date occurs between and including January 2003 and
December 2003, (c) 20% of the Original Subordinate Balance if such
Distribution Date occurs between and including January 2004 and December
2004, (d) 25% of the Original Subordinate Balance if such Distribution
S-42
<PAGE>
Date occurs between and including January 2005 and December 2005, and (e)
30% of the Original Subordinate Balance if such Distribution Date occurs
during or after January 2006.
(III) while the Class A-1 Certificate is still outstanding, the Shifted
Percentage may not be below 70%.
"Shifted Unscheduled Principal Distribution Amount" means, with respect to
-------------------------------------------------
any Distribution Date, the product of (x) the Shifted Percentage, and (y) a
fraction, the numerator of which is the Aggregate Subordinate Certificate
----------------------
Principal and the denominator of which is the Aggregate Certificate Fixed Rate
------------------------
Principal Balance of the Class A-1 and the Subordinate Certificates and (z) the
Adjusted Fixed Unscheduled Principal.
"Subordinate Formula Interest Distribution Amount" means, with respect to any
------------------------------------------------
Distribution Date, the sum of the Class M-1 Formula Interest Distribution
Amount, the Class M-2 Formula Interest Distribution Amount, the Class M-3
Formula Interest Distribution Amount, the Class B-1 Formula Interest
Distribution Amount, the Class B-2 Formula Interest Distribution Amount and the
Class B-3 Formula Interest Distribution Amount.
"Subordinate Interest Distribution Amount" means, with respect to any
----------------------------------------
Distribution Date, the lesser of (x) the Subordinate Formula Interest
Distribution Amount and (y) the excess of (i) the Available Funds as of such
Distribution Date over (ii) the sum of the amounts described in clauses (i)
----
through (iv) of Section X.
"Subordinate Percentage" means, with respect to any Distribution Date, 100%
----------------------
minus the Senior Percentage.
- -----
"Subordinate Unscheduled Principal Distribution Amount" means, with respect
-----------------------------------------------------
to any Distribution Date, the excess of (x) the Unscheduled Principal
Distribution Amount over (y) the Senior Unscheduled Principal Distribution
Amount.
"Trigger Percentage" means (a) with respect to the January 2002 Distribution
------------------
Date, 35%; (b) with respect to the January 2003 Distribution Date, 40%; (c) with
respect to the January 2004 Distribution Date, 45%; (d) with respect to the
January 2005 Distribution Date, 50%; (e) with respect to the January 2006
Distribution Date, 50%.
"Unscheduled Collection" means, with respect to any Mortgage Loan, each of
----------------------
the following: the amount of any related Prepayment, the amount of any related
Net Liquidation Proceeds, the amount of any related Net Insurance Proceeds, the
amount of any related Repurchase Price or any related amount resulting from the
early termination of the Trust, in each case to the extent deposited into the
Collection Account with respect to such Mortgage Loan.
"Unscheduled Interest Collection" means, with respect to any Mortgage Loan,
-------------------------------
the portion, if any, of any Unscheduled Collection relating to such Mortgage
Loan which is applied on account of accrued interest thereon, pursuant to the
terms of the related Note.
"Unscheduled Principal Collection" means, with respect to any Mortgage Loan,
--------------------------------
the portion, if any, of any Unscheduled Collection relating to such Mortgage
Loan which is applied on account of the Principal Balance thereof, pursuant to
the terms of the related Note.
"Unscheduled Principal Distribution Amount" means, with respect to any
-----------------------------------------
Distribution Date, the lesser of (x) the aggregate of all Unscheduled Principal
Collections included in the related Servicer Remittance Amount and (y) the
amount remaining on deposit in the Certificate Account after the payment of the
amounts described in clauses (i), (ii) and (iii) of Section X hereof.
S-43
<PAGE>
PREPAYMENT AND YIELD CONSIDERATIONS
The rate of distributions in reduction of the Certificate Principal Balances
of the Offered Certificates, the aggregate amount of distributions on the
Offered Certificates and the yield to maturity of Offered Certificates purchased
at a discount or premium will be directly related to the rate of payments of
principal on the Mortgage Loans in the Trust, or in the case of the Class PO
Certificates, on the Discount Mortgage Loans and with respect to the Aggregate
PO Arrearage Amount, and the amount and timing of mortgagor defaults resulting
in Realized Losses with respect to such Mortgage Loans. The rate of principal
payments on the Mortgage Loans will in turn be affected by the amortization
schedules of the Mortgage Loans, the rate of principal prepayments (including
full and partial prepayments) thereon by mortgagors, liquidations of defaulted
Mortgage Loans, repurchases by the Seller and/or its affiliates of Mortgage
Loans as a result of defective documentation or breaches of representations and
warranties and optional purchases by the Class R Certificateholders of all of
the Mortgage Loans in connection with the termination of the Trust. Mortgagors
are permitted to prepay the Mortgage Loans, in whole or in part, at any time
and, in most cases, without penalty. As described under "Flow of Funds", all or
a disproportionate percentage of principal prepayments on the Mortgage Loans
(including liquidations and repurchases of Mortgage Loans) will generally be
distributed to the holders of the related Class A Certificates (other than the
Class F-IO and Class A-IO Certificates) then entitled to distributions in
respect of principal and, to the extent that such principal prepayments are made
in respect of a Discount Mortgage Loan, to the Class PO Certificates to the
extent of the related PO Portion. The Class F-IO and Class A-IO Certificates
will primarily be affected by prepayments on the Pool I Loans and ARM Loans,
respectively. Prepayments (which, as used herein, include all unscheduled
payments of principal, including payments as the result of liquidations,
purchases and repurchases) of the Mortgage Loans in the Trust will result in
distributions to Certificateholders then entitled to distributions in respect of
principal of amounts which would otherwise be distributed over the remaining
terms of such Mortgage Loans. Because the rate of prepayment on the Mortgage
Loans will depend on future events and a variety of factors, no assurance can be
given as to such rate or the rate of principal payments on the Offered
Certificates or the aggregate amount of distributions on the Offered
Certificates.
The rate of payments (including prepayments) on pools of mortgage loans is
influenced by a variety of economic, geographic, social and other factors. If
prevailing rates for similar mortgage loans fall significantly below the Coupon
Rates on the Mortgage Loans, the rate of prepayment would generally be expected
to increase. Conversely, if interest rates on similar mortgage loans rise
significantly above the Coupon Rates on the Mortgage Loans, the rate of
prepayment would generally be expected to decrease.
Other factors affecting prepayment of mortgage loans include changes in
mortgagors' housing needs, job transfers, unemployment or, in the case of self-
employed mortgagors or mortgagors relying on commission income, substantial
fluctuations in income, significant declines in real estate values and adverse
economic conditions either generally or in particular geographic areas,
mortgagors' equity in the Mortgaged Properties and servicing decisions.
The timing of changes in the rate of prepayment on the Mortgage Loans may
significantly affect the actual yield to maturity experienced by an investor who
purchases an Offered Certificate at a price other than par, even if the average
rate of principal payments experienced over time is consistent with such
investor's expectation. In general, the earlier a prepayment of principal on
the underlying Mortgage Loans, the greater the effect on such investor's yield
to maturity. As a result, the effect on such investor's yield of principal
payments occurring at a rate higher (or lower) than the rate anticipated by the
investor during the period immediately following the issuance of the Offered
Certificates would not be fully offset by a subsequent like reduction (or
increase) in the rate of principal payments.
The yield to maturity on Subordinate Certificates will be more sensitive to
losses due to defaults on the Mortgage Loans (and the timing thereof) than the
Senior Certificates, because the entire amount of such losses will be allocated
to such Subordinate Classes before being allocated to more senior Classes,
except as otherwise provided herein. Thus, for example, the yield to maturity
of the Class M-2 Certificates will be more sensitive to losses than the Class M-
1 Certificates. To the extent not covered by Delinquency Advances,
delinquencies on Mortgage Loans may also have a similar effect on the yield to
investors in such Certificates. Amounts otherwise distributable to the holders
of a certain Class will be made available to protect the holders of more senior
Classes of Certificates against
S-44
<PAGE>
interruptions in distributions due to certain Mortgagor delinquencies. Such
delinquencies, to the extent not covered by Classes of Certificates subordinate
to such Classes, even if subsequently cured, may affect the timing of the
receipt of distributions by the holders of such Class of Certificates, because
the entire amount of those delinquencies would be borne by such Class of
Certificates before being borne by the more senior Class of Certificates.
No representation is made as to the rate of principal payments on the
Mortgage Loans or as to the yield to maturity of any subclass or Class of
Offered Certificates. Investors are urged to make their own investment
decisions with respect to any subclass or Class of Offered Certificates based on
the anticipated yield to maturity of such subclass or Class resulting from the
purchase price and such investors' own determination as to anticipated Mortgage
Loan prepayment rates under a variety of scenarios. The extent to which any
subclass or Class of Offered Certificates is purchased at a discount or a
premium, the degree to which the timing of payments on such subclass or Class is
sensitive to prepayments and, in the case of the Class A-2-A, Class A-2-B, Class
A-2-C and Class A-IO Certificates, and to the extent of any cross-support, the
Class M-1, Class M-2, Class M-3, Class B-1, Class B-2 and Class B-3
Certificates, the degree to which the various indices relating to the ARM Loans
vary from the levels anticipated by the investor, will determine the extent to
which the yield to maturity of such subclass or Class may vary from the
anticipated yield. Investors should carefully consider the associated risks,
including, in the case of any subclass or Class of Offered Certificates
purchased at a discount, particularly the Class PO Certificates, the risk that a
slower than anticipated rate of principal payments on the Discount Mortgage
Loans could result in an actual yield to such investor that is lower than the
anticipated yield and, in the case of any subclass or Class of Offered
Certificates purchased at a premium, particularly the Class F-IO and Class A-IO
Certificates, the risk that a faster than anticipated rate of principal payments
could result in an actual yield to such investor that is lower than the
anticipated yield. INVESTORS IN THE CLASS A-IO AND CLASS F-IO CERTIFICATES
SHOULD CONSIDER THE RISK THAT A RAPID RATE OF PRINCIPAL PAYMENTS ON THE MORTGAGE
LOANS COULD RESULT IN THE FAILURE OF SUCH INVESTORS TO RECOVER FULLY THEIR
INVESTMENT.
Investors should consider the risk that rapid rates of prepayments on the
Mortgage Loans, and therefore of amounts distributable in reduction of principal
balance of the Classes of Offered Certificates, may coincide with periods of low
prevailing interest rates. During such periods, the effective interest rates on
securities in which investors may choose to reinvest amounts distributed in
reduction of the principal balance of such investors' Offered Certificate may be
lower than the applicable Pass-Through Rate. Conversely, slower rates of
prepayments on the Mortgage Loans, and therefore of amounts distributable in
reduction of principal balance of the Offered Certificates, may coincide with
periods of high prevailing interest rates. During such periods, the amount of
principal distributions available to an investor for reinvestment at such high
prevailing interest rates may be relatively small.
MODELING ASSUMPTIONS
For purposes of preparing the tables below, the following assumptions (the
"Modeling Assumptions") have been made:
(i) the Mortgage Loans are, for purposes of this analysis, segregated into
a number of synthetic Mortgage Loans, each having similar characteristics, for
each Pool;
(ii) all scheduled payments on the Mortgage Loans are timely received on
the first day of each month, commencing December 1, 1996;
(iii) there are no defaults, losses or delinquencies on the Mortgage Loans;
(iv) the Mortgage Loans prepay monthly at the specified constant annual
percentages of PSA (with respect to the Fixed Rate Loans) or CPR (with respect
to the ARM Loans);
(v) the Settlement Date used for all calculations is December 30, 1996;
(vi) cash distributions are received by the Certificateholders on the 25th
day of each month, commencing in December, 1996;
(viii) the initial principal amounts of the Offered Securities are as set
forth herein;
S-45
<PAGE>
(ix) all principal prepayments constitute prepayments in full of the
Mortgage Loans and are received on the last day of each month commencing
December 31, 1996;
(x) there are no repurchases of or substitutions for the Mortgage Loans;
(xi) no early redemption of the Offered Securities or early termination of
the Trust is effected;
(xii) the Class A-1 Pass-Through Rate is 7.00% for all periods;
(xiii) the Class A-2-A Pass-Through Rate is the lesser of (a) the Pool II
Gross WAC, less 0.25% and (b) the Adjusted Pool II Gross WAC, less 0.395% for
all periods;
(xiv) the Class A-2-B Pass-Through Rate is the lesser of (a) the Pool III
Gross WAC, less 0.35% and (b) the Adjusted Pool III Gross WAC, less 0.395% for
all periods;
(xv) the Class A-2-C Pass-Through Rate is the lesser of (a) the Pool IV
Gross WAC, less 1.75% and (b) the Adjusted Pool IV Gross WAC, less 0.395% for
all periods; and
(xvi) the Index Rates are as follows:
11th District COFI 4.8390%
5 year CMT 6.1215%
6 month Auction Average 5.2116%
1 year CMT 5.4788%
2 year CMT 5.7995%
3 year CMT 5.9387%
FHLBB Contract Rate 7.6800%
National COFI 4.8400%
6 month LIBOR 5.5938%
1 month LIBOR 5.5977%
3 month LIBOR 5.5312%
Prime 8.2500%
Other Rates 4.8390%
Prepayments on mortgage loans are commonly measured relative to a prepayment
standard or model. The model used in herein with respect to the Fixed Rate
Loans, the Prepayment Standard Assumption ("PSA"), represents an assumed rate of
prepayment each month relative to the then outstanding principal balance of a
pool of new mortgage loans. A prepayment assumption of 100% PSA assumes
constant prepayment rates of 0.2% per annum of the then outstanding principal
balance of such mortgage loans in the first month of the life of the mortgage
loans and an additional 0.2% per annum in each month thereafter until the
thirtieth month. Beginning in the thirtieth month and in each month thereafter
during the life of the mortgage loans, 100% PSA assumes a constant prepayment
rate of 6% per annum each month. As used in the table below, "0% PSA" assumes
prepayment rates equal to 0% of PSA, i.e., no prepayments. Correspondingly,
"200% PSA" assumes prepayment rates equal to 200% of PSA, and so forth.
The model used herein with respect to the ARM Loans is the "Constant
Prepayment Rate" or "CPR" assumption, which represents an assumed annualized
rate of prepayment relative to the then-outstanding balance of a pool of new
mortgage loans.
Based upon the PSA and CPR assumptions set forth below, the tables on the
following pages indicate the weighted average life of each Class of Offered
Certificates, and set forth the percentages of the Initial Certificate Balances
or Initial Notional Balances of each Class.
S-46
<PAGE>
PSA and CPR do not purport to be historical descriptions of prepayment
experience or predictions of the anticipated rate of prepayment of any pool of
mortgage loans, including the Mortgage Loans.
0% Slow II Slow I Base Fast I Fast II
------ -------- -------- -------- -------- --------
POOL I 0% PSA 100% PSA 150% PSA 235% PSA 300% PSA 500% PSA
POOL II 0% CPR 4% CPR 8% CPR 12% CPR 16% CPR 20% CPR
POOL III 0% CPR 15% CPR 20% CPR 25% CPR 35% CPR 40% CPR
POOL IV 0% CPR 15% CPR 20% CPR 25% CPR 35% CPR 40% CPR
- ---------------------------------------------------------------------
Interest on Mortgage Loans prepaid in full or any portion thereof prepaid in
part is accrued only to the date of application of such prepayment. Any
interest shortfall with respect to prepayments in full or in part will be offset
only to the extent of the Servicing Fee relating to mortgagor payments or other
recoveries distributed on the related Distribution Date. Any excess of such
shortfall above the Servicing Fee in any month will result in a pro rata
reduction of interest distributable to the holders of each Class of
Certificates.
S-47
<PAGE>
PERCENTAGE OF CERTIFICATE PRINCIPAL BALANCE OUTSTANDING FOR:
Class A-1 Certificates
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 98 85 79 68 60 35
December 25, 1998 90 67 56 38 25 0
December 25, 1999 84 53 38 15 0 0
December 25, 2000 77 39 23 0 0 0
December 25, 2001 75 30 12 0 0 0
December 25, 2002 71 23 4 0 0 0
December 25, 2003 68 17 0 0 0 0
December 25, 2004 65 12 0 0 0 0
December 25, 2005 63 8 0 0 0 0
December 25, 2006 60 4 0 0 0 0
December 25, 2007 57 1 0 0 0 0
December 25, 2008 54 0 0 0 0 0
December 25, 2009 52 0 0 0 0 0
December 25, 2010 49 0 0 0 0 0
December 25, 2011 46 0 0 0 0 0
December 25, 2012 44 0 0 0 0 0
December 25, 2013 41 0 0 0 0 0
December 25, 2014 37 0 0 0 0 0
December 25, 2015 34 0 0 0 0 0
December 25, 2016 30 0 0 0 0 0
December 25, 2017 26 0 0 0 0 0
December 25, 2018 22 0 0 0 0 0
December 25, 2019 18 0 0 0 0 0
December 25, 2020 15 0 0 0 0 0
December 25, 2021 11 0 0 0 0 0
December 25, 2022 7 0 0 0 0 0
December 25, 2023 4 0 0 0 0 0
December 25, 2024 1 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 13.5 3.9 2.6 1.7 1.4 0.8
Class A-2-A Certificates
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 98 94 90 86 82 78
December 25, 1998 96 88 81 74 68 57
December 25, 1999 94 83 73 64 55 32
December 25, 2000 91 78 65 54 38 12
December 25, 2001 89 73 59 41 23 0
December 25, 2002 86 68 52 32 14 0
December 25, 2003 84 63 46 24 7 0
December 25, 2004 81 58 40 19 3 0
December 25, 2005 78 54 35 15 2 0
December 25, 2006 74 49 31 13 1 0
December 25, 2007 71 45 27 11 1 0
December 25, 2008 67 41 23 9 1 0
December 25, 2009 63 37 20 7 1 0
December 25, 2010 59 33 17 6 1 0
December 25, 2011 55 30 15 5 0 0
December 25, 2012 51 27 13 4 0 0
December 25, 2013 47 24 11 3 0 0
December 25, 2014 43 20 9 3 0 0
December 25, 2015 38 18 7 2 0 0
December 25, 2016 33 15 6 2 0 0
December 25, 2017 28 12 5 1 0 0
December 25, 2018 23 9 3 1 0 0
December 25, 2019 18 7 3 1 0 0
December 25, 2020 14 5 2 0 0 0
December 25, 2021 9 3 1 0 0 0
December 25, 2022 5 2 1 0 0 0
December 25, 2023 2 1 0 0 0 0
December 25, 2024 0 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 15.5 10.9 7.9 5.3 3.5 2.3
Class A-2-B Certificates
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 99 84 79 74 64 59
December 25, 1998 97 70 62 55 41 32
December 25, 1999 95 58 49 40 26 14
December 25, 2000 93 49 38 29 14 4
December 25, 2001 91 41 30 19 7 0
December 25, 2002 89 34 23 13 3 0
December 25, 2003 87 28 18 8 1 0
December 25, 2004 84 23 14 5 0 0
December 25, 2005 82 19 10 4 0 0
December 25, 2006 79 16 8 3 0 0
December 25, 2007 76 13 6 2 0 0
December 25, 2008 72 10 5 1 0 0
December 25, 2009 69 8 4 1 0 0
December 25, 2010 65 7 3 1 0 0
December 25, 2011 61 5 2 0 0 0
December 25, 2012 56 4 1 0 0 0
December 25, 2013 51 3 1 0 0 0
December 25, 2014 46 2 1 0 0 0
December 25, 2015 41 2 1 0 0 0
December 25, 2016 36 1 0 0 0 0
December 25, 2017 30 1 0 0 0 0
December 25, 2018 25 1 0 0 0 0
December 25, 2019 21 0 0 0 0 0
December 25, 2020 17 0 0 0 0 0
December 25, 2021 13 0 0 0 0 0
December 25, 2022 9 0 0 0 0 0
December 25, 2023 5 0 0 0 0 0
December 25, 2024 1 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 16.4 5.3 4.1 3.1 2.1 1.6
(1) The weighted average life of the Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from the
Settlement Date to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
S-48
<PAGE>
Class A-2-C Certificates
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 98 84 79 74 64 59
December 25, 1998 97 70 62 54 41 32
December 25, 1999 95 58 49 40 26 14
December 25, 2000 93 49 38 29 14 4
December 25, 2001 91 40 30 19 7 0
December 25, 2002 89 34 23 13 3 0
December 25, 2003 87 28 18 8 1 0
December 25, 2004 85 23 14 6 0 0
December 25, 2005 83 19 11 4 0 0
December 25, 2006 81 16 8 3 0 0
December 25, 2007 78 13 6 2 0 0
December 25, 2008 76 11 5 1 0 0
December 25, 2009 74 9 4 1 0 0
December 25, 2010 71 7 3 1 0 0
December 25, 2011 68 6 2 1 0 0
December 25, 2012 65 5 2 0 0 0
December 25, 2013 62 4 1 0 0 0
December 25, 2014 58 3 1 0 0 0
December 25, 2015 54 2 1 0 0 0
December 25, 2016 49 2 1 0 0 0
December 25, 2017 45 1 0 0 0 0
December 25, 2018 40 1 0 0 0 0
December 25, 2019 34 1 0 0 0 0
December 25, 2020 28 1 0 0 0 0
December 25, 2021 22 0 0 0 0 0
December 25, 2022 16 0 0 0 0 0
December 25, 2023 9 0 0 0 0 0
December 25, 2024 3 0 0 0 0 0
December 25, 2025 1 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 18.1 5.4 4.1 3.1 2.1 1.6
Class F-IO Certificates (2)
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 98 85 79 68 60 35
December 25, 1998 90 67 56 38 25 0
December 25, 1999 84 53 38 15 0 0
December 25, 2000 77 39 23 0 0 0
December 25, 2001 75 30 12 0 0 0
December 25, 2002 71 23 4 0 0 0
December 25, 2003 68 17 0 0 0 0
December 25, 2004 65 12 0 0 0 0
December 25, 2005 63 8 0 0 0 0
December 25, 2006 60 4 0 0 0 0
December 25, 2007 57 1 0 0 0 0
December 25, 2008 54 0 0 0 0 0
December 25, 2009 52 0 0 0 0 0
December 25, 2010 49 0 0 0 0 0
December 25, 2011 46 0 0 0 0 0
December 25, 2012 44 0 0 0 0 0
December 25, 2013 41 0 0 0 0 0
December 25, 2014 37 0 0 0 0 0
December 25, 2015 34 0 0 0 0 0
December 25, 2016 30 0 0 0 0 0
December 25, 2017 26 0 0 0 0 0
December 25, 2018 22 0 0 0 0 0
December 25, 2019 18 0 0 0 0 0
December 25, 2020 15 0 0 0 0 0
December 25, 2021 11 0 0 0 0 0
December 25, 2022 7 0 0 0 0 0
December 25, 2023 4 0 0 0 0 0
December 25, 2024 1 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 13.5 3.9 2.6 1.7 1.4 0.8
Class A-IO Certificates (2)
at various prepayment speeds
Distribution Date 0% Slow II Slow I Base Fast I Fast II
- -------------------------------------------------------------------------
Initial Balance 100 100 100 100 100 100
December 25, 1997 98 89 85 81 74 70
December 25, 1998 96 80 72 65 55 46
December 25, 1999 94 72 62 53 42 23
December 25, 2000 92 64 53 43 27 8
December 25, 2001 90 58 46 31 16 0
December 25, 2002 88 52 39 23 9 0
December 25, 2003 85 47 33 17 4 0
December 25, 2004 82 42 28 13 2 0
December 25, 2005 80 38 24 10 1 0
December 25, 2006 77 34 20 8 1 0
December 25, 2007 73 30 17 7 1 0
December 25, 2008 70 27 15 5 0 0
December 25, 2009 66 24 13 4 0 0
December 25, 2010 63 21 11 4 0 0
December 25, 2011 59 19 9 3 0 0
December 25, 2012 55 17 8 2 0 0
December 25, 2013 50 14 6 2 0 0
December 25, 2014 46 12 5 2 0 0
December 25, 2015 41 10 4 1 0 0
December 25, 2016 36 9 3 1 0 0
December 25, 2017 31 7 3 1 0 0
December 25, 2018 26 5 2 0 0 0
December 25, 2019 21 4 1 0 0 0
December 25, 2020 16 3 1 0 0 0
December 25, 2021 12 2 1 0 0 0
December 25, 2022 7 1 0 0 0 0
December 25, 2023 3 0 0 0 0 0
December 25, 2024 1 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0
Weighted Avg Life years(1) 16.1 8.4 6.1 4.3 2.8 2.0
(1) The weighted average life of the Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from the
Settlement Date to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Certificates.
(2) The Class F-IO and Class A-IO have notional principal balances.
S-49
<PAGE>
PERCENTAGE OF CERTIFICATE PRINCIPAL BALANCE OUTSTANDING FOR:
<TABLE>
<CAPTION>
Class PO Certificates Class M-1, Class M-2 and Class M-3 Certificates
at various prepayment speeds at various prepayment speeds
DISTRIBUTION DATE 0% SLOW II SLOW I BASE FAST I FAST II 0% SLOW II SLOW I BASE FAST I FAST II
--- -------- ------- ----- ------- -------- ---- -------- ------- ----- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Initial Balance 100 100 100 100 100 100 100 100 100 100 100 100
December 25, 1997 96 90 88 83 79 68 98 98 98 98 98 98
December 25, 1998 74 65 61 55 50 36 90 90 90 90 90 90
December 25, 1999 69 58 52 44 38 24 84 84 84 84 84 86
December 25, 2000 32 25 22 17 14 8 77 77 77 77 78 82
December 25, 2001 30 22 19 14 11 5 75 75 75 75 76 75
December 25, 2002 27 19 15 11 8 3 71 69 69 68 68 54
December 25, 2003 26 17 13 9 6 2 68 65 64 61 60 39
December 25, 2004 24 15 11 7 5 1 65 62 58 54 52 29
December 25, 2005 23 13 10 6 4 1 63 58 52 46 42 21
December 25, 2006 21 11 8 5 3 1 60 55 45 38 33 16
December 25, 2007 19 10 7 4 2 0 57 51 39 31 26 11
December 25, 2008 17 8 6 3 2 0 54 47 34 25 21 8
December 25, 2009 16 7 5 2 1 0 52 42 29 21 16 6
December 25, 2010 14 6 4 2 1 0 49 37 25 17 13 5
December 25, 2011 14 5 3 1 1 0 46 33 22 14 10 3
December 25, 2012 13 5 3 1 1 0 44 29 19 11 8 2
December 25, 2013 12 4 2 1 0 0 41 26 16 9 6 2
December 25, 2014 11 4 2 1 0 0 37 22 13 7 4 1
December 25, 2015 10 3 2 1 0 0 34 19 11 5 3 1
December 25, 2016 9 3 1 0 0 0 30 16 9 4 2 1
December 25, 2017 8 2 1 0 0 0 26 13 7 3 2 0
December 25, 2018 7 2 1 0 0 0 22 10 5 2 1 0
December 25, 2019 5 1 1 0 0 0 18 8 4 2 1 0
December 25, 2020 4 1 0 0 0 0 15 6 3 1 1 0
December 25, 2021 3 1 0 0 0 0 11 4 2 1 0 0
December 25, 2022 2 0 0 0 0 0 7 3 1 0 0 0
December 25, 2023 1 0 0 0 0 0 4 1 1 0 0 0
December 25, 2024 0 0 0 0 0 0 1 0 0 0 0 0
December 25, 2025 0 0 0 0 0 0 0 0 0 0 0 0
December 25, 2026 0 0 0 0 0 0 0 0 0 0 0 0
December 25, 2027 0 0 0 0 0 0 0 0 0 0 0 0
Weighted Avg Life years(1) 6.6 4.6 4.0 3.3 2.9 2.1 13.5 11.5 10.1 9.0 8.5 6.9
</TABLE>
(1) The weighted average life of the Certificates is determined by (i)
multiplying the amount of each principal payment by the number of years from
the Settlement Date to the related Payment Date, (ii) adding the results,
and (iii) dividing the sum by the initial respective Certificate Principal
Balance for such Class of Certificates.
S-50
<PAGE>
SENSITIVITY OF THE CLASS A-IO, CLASS A-2-A, CLASS A-2-B, CLASS A-2-C, CLASS F-IO
AND CLASS PO CERTIFICATES
The yield to investors in the Class A-IO, Class A-2-A, Class A-2-B and
Class A-2-C Certificates will be highly sensitive to the level of the indices
relating to the related ARM Loans (the "Indices") and sensitive to the rate and
timing of principal payments (including prepayments) of the related ARM Loans,
which may fluctuate significantly from time to time.
Since there can be no assurance that the level of the Indices will
correlate with the levels of prevailing mortgage interest rates, it is possible
that lower prevailing mortgage rates, which might be expected to result in
faster prepayments, could occur concurrently with an increased level of any
Index.
To illustrate the significance of changes in the level of both the
Indices and in prepayments on the yield to maturity of the Class A-IO, Class A-
2-A, Class A-2-B and Class A-2-C Certificates, the tables below indicate the
pre-tax yields to maturity (on a corporate bond equivalent basis) under the
assumptions discussed below at the different constant percentages of CPR and PSA
and the constant levels of the Indices indicated. It is not likely that the
Mortgage Loans will prepay at a constant level of CPR or PSA until maturity,
that all of the Mortgage Loans in each Pool will prepay at the same rate or that
the level of the Indices will remain constant.
The yield to investors in the Class A-IO and F-IO Certificates will be
extremely sensitive to both the timing of receipt of prepayments and the overall
rate of principal payments.
The yield to investors in the Class PO Certificates will be extremely
sensitive to the rate and timing of principal payments (including prepayments)
on the Discount Mortgage Loans, respectively, which rate may vary significantly
from time to time. Investors should fully consider the associated risks,
including the risk that a relatively low rate of principal payments (including
prepayments) on the Discount Mortgage Loans will have a negative effect on the
yield to investors in the Class PO Certificates.
The pre-tax yields set forth in the following tables were calculated
by (i) determining the monthly discount rates which, when applied to the assumed
streams of cash flows to be paid on the Class A-IO, Class A-2-A, Class A-2-B and
Class A-2-C Certificates would cause the discounted present value of such
assumed streams of cash flows to equal the respective assumed purchase price set
forth in the tables below for such Class, and (ii) converting such monthly rates
to a semi-annual corporate bond equivalent rate. Such calculation does not take
into account the interest rate at which investors will be able to reinvest funds
received by them and does not purport to reflect the return on any investment in
any such Classes when such reinvestment rates are considered.
S-51
<PAGE>
SENSITIVITY OF PRE-TAX YIELDS TO MATURITY OF THE CLASS A-2-A, A-2-B, A-2-C, AND
A-I-O CERTIFICATES TO PREPAYMENTS AND CHANGES TO THE INDEX RATES
Class A-IO Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
Class A-2-A Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
Class A-2-B Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
Class A-2-C Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
Class F-IO Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
Class PO Certificates
at various prepayment speeds
0% SlowII Slow I Base Fast I Fast II
---- ------ ------ ---- ------ -------
- -3.00%
Unchanged
+3.00%
S-52
<PAGE>
DESCRIPTION OF THE MORTGAGE LOANS
POOL I
The Mortgage Loans in Pool I consist of 925 loans under which the
related Mortgaged Properties are located in 48 states and the District of
Columbia, as set forth herein. The Mortgage Loans in Pool I have an aggregate
principal balance of $111,708,544.61, the minimum principal balance of any such
Mortgage Loan in Pool I is $9,942.75, the maximum principal balance thereof is
$1,190,855.56 and the average principal balance of such Mortgage Loans is
approximately $120,765.99. The Mortgage Rates on the Mortgage Loans range from
5.000% to 21.990% per annum, and the weighted average Mortgage Rate of such
Mortgage Loans is 8.626% per annum. Certain of the principal balance,
$571,162.16, is Arrearage (as defined herein) and does not accrue interest.
The Mortgage Loans in Pool I have remaining terms to stated maturity
from 6 months to 397 months, a weighted average remaining term to stated
maturity of 241 months and a weighted average seasoning of 49 months. No
Mortgage Loan in Pool I has a stated maturity later than January 20, 2030.
82.27% of the Mortgage Loans in Pool I by aggregate principal balance require
monthly payments of principal that will fully amortize the Mortgage Loans by
their respective maturity dates and 15.65% of such Mortgage Loans by aggregate
principal balance are Balloon Loans. 2.08% of the Mortgage Loans have no
information regarding a Balloon Payment, but the Mortgage Loans appear to
require monthly payments of principal that will fully amortize such Mortgage
Loans.
The weighted average amortized LTV (as defined herein) of the
Mortgage Loans Pool I is 86.22%.
3.99% of the Mortgage Loans in Pool I by aggregate principal balance
are in Chapter 13 bankruptcy. 5.34% of the Mortgage Loans in Pool I have been
modified.
The following tables describe the Pool I Mortgage Loans and the
related Mortgaged Properties as of the Cut-Off Date.
S-53
<PAGE>
GROUP I
GEOGRAPHIC DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
Alabama............... 4 $ 301,010.91 0.27%
Alaska................ 1 173,417.09 0.16
Arizona............... 72 3,785,443.44 3.39
Arkansas.............. 1 64,142.54 0.06
California............ 177 37,457,587.72 33.53
Colorado.............. 10 806,464.71 0.72
Connecticut........... 18 2,102,437.31 1.88
District of Columbia.. 3 150,183.96 0.13
Delaware.............. 7 601,255.98 0.54
Florida............... 50 4,045,311.44 3.62
Georgia............... 40 3,289,989.70 2.95
Hawaii................ 5 3,229,513.13 2.89
Illinois.............. 16 1,741,940.06 1.56
Indiana............... 5 354,180.76 0.32
Iowa.................. 3 479,647.72 0.43
Kansas................ 2 266,835.75 0.24
Kentucky.............. 3 271,482.08 0.24
Louisiana............. 23 1,204,185.98 1.08
Maine................. 1 169,453.39 0.15
Maryland.............. 16 1,879,862.44 1.68
Massachusetts......... 17 1,807,257.71 1.62
Michigan.............. 17 1,793,076.63 1.61
Minnesota............. 7 895,658.62 0.80
Mississippi........... 9 616,134.13 0.55
Missouri.............. 5 586,259.12 0.52
Montana............... 2 164,728.08 0.15
Nebraska.............. 2 105,162.29 0.09
Nevada................ 3 550,113.78 0.49
New Hampshire......... 3 215,412.17 0.19
New Jersey............ 106 10,949,429.10 9.80
New Mexico............ 4 141,805.13 0.13
New York.............. 129 15,478,057.47 13.86
North Carolina........ 13 1,043,223.95 0.93
North Dakota.......... 1 167,351.41 0.15
Ohio.................. 8 611,793.13 0.55
Oklahoma.............. 6 365,935.77 0.33
Oregon................ 3 380,775.18 0.34
Pennsylvania.......... 30 1,977,080.52 1.77
Rhode Island.......... 4 756,399.98 0.68
South Carolina........ 5 377,386.25 0.34
Tennessee............. 12 1,319,044.28 1.18
Texas................. 47 5,176,968.83 4.63
Utah.................. 4 261,985.58 0.23
Vermont............... 3 311,582.29 0.28
Virginia.............. 17 2,075,155.32 1.86
Washington............ 5 616,954.94 0.55
West Virginia......... 1 63,405.75 0.06
Wisconsin............. 2 61,932.42 0.06
Wyoming............... 3 464,127.87 0.42
--- --------------- --------
TOTAL.............. 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-54
<PAGE>
GROUP I
DISTRIBUTION OF AMORTIZED LTVS**
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZED LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
100.01% or greater 144 $ 24,285,232.07 21.74%
95.01 - 100.00....... 52 5,744,758.92 5.14
90.01 - 95.00....... 91 11,750,576.18 10.52
85.01 - 90.00....... 68 10,627,079.12 9.51
80.01 - 85.00....... 68 10,313,678.62 9.23
75.01 - 80.00....... 85 10,186,742.17 9.12
70.01 - 75.00....... 71 10,301,039.20 9.22
65.01 - 70.00....... 52 5,855,794.67 5.24
60.01 - 65.00....... 49 4,086,086.70 3.66
55.01 - 60.00....... 36 4,335,090.97 3.88
50.01 - 55.00....... 48 3,669,688.64 3.29
00.01 - 50.00....... 154 10,440,509.45 9.35
Unavailable........... 7 112,267.90 0.10
--- --------------- --------
TOTAL.............. 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** The amortized LTV of a Mortgage Loan is based on the Aggregate Principal
Balance as of the Cut-Off Date and an opinion of value, where available,
that was received subsequent to the origination of the Mortgage Loan, and
in most cases, in conjunction with the Sellers acquisition of the Mortgage
Loan. Approximately 74% of such opinions of value were received in 1996.
GROUP I
DISTRIBUTION OF CURRENT DELINQUENCY
CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
DELINQUENCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Current............. 772 $ 97,401,135.00 87.19%
30 - 59 days........ 136 13,131,795.07 11.76
60 - 89 days........ 17 1,175,614.54 1.05
--- --------------- --------
TOTAL............ 925 $111,708,544.61 100.00%*
=== =============== ========
- ----------------
* Percentages may not add to 100% due to rounding.
S-55
<PAGE>
GROUP I
DISTRIBUTION OF CURRENT MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CURRENT MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
6.00% or less........... 18 $ 2,704,844.84 2.42%
6.01 - 7.00............. 88 13,131,792.91 11.76
7.01 - 8.00............. 210 35,982,230.27 32.21
8.01 - 9.00............. 191 28,324,186.62 25.36
9.01 - 10.00............ 128 12,814,819.34 11.47
10.01 - 11.00........... 122 11,106,914.21 9.94
11.01 - 12.00........... 49 2,805,609.66 2.51
12.01 - 13.00........... 28 1,149,977.19 1.03
13.01 - 14.00........... 19 558,648.63 0.50
14.01 - 15.00........... 12 455,498.03 0.41
15.01 - 16.00........... 18 607,221.62 0.54
16.01 - 17.00........... 18 776,217.02 0.69
17.01 - 18.00........... 16 470,032.39 0.42
18.01 - 19.00........... 6 212,216.18 0.19
19.01 or greater........ 2 37,173.54 0.03
Non Accrual**........... N/A 571,162.16 0.51
-------------- --------------- --------
TOTAL................ 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** Certain of the principal balance is Arrearage and does not accrue interest.
GROUP I
AMORTIZED TERM TO MATURITY DISTRIBUTION**
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
60 or less..... 26 $ 545,200.60 0.49%
61 - 120....... 144 5,337,622.31 4.78
121 - 180....... 122 10,313,223.91 9.23
181 - 240....... 38 2,773,244.04 2.48
241 - 300....... 186 21,750,253.63 19.47
301 - 360....... 397 69,596,533.89 62.30
361 - 420....... 1 54,111.70 0.05
421 or greater.. 11 1,338,354.53 1.20
--- --------------- --------
TOTAL........ 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** The amortized term to maturity is based solely upon the features of the
original or modified Mortgage Loan without regard to any Arrearage.
S-56
<PAGE>
<TABLE>
<CAPTION>
GROUP I
DISTRIBUTION OF CURRENT PRINCIPAL BALANCES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CURRENT PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
$ 1 - 50,000........... 304 $ 8,732,858.57 7.82%
50,001 - 100,000............ 233 17,114,885.48 15.32
100,001 - 150,000........... 150 18,123,054.32 16.22
150,001 - 200,000........... 72 12,629,154.50 11.31
200,001 - 250,000........... 56 12,524,630.92 11.21
250,001 - 300,000........... 43 11,890,082.42 10.64
300,001 - 350,000........... 21 6,810,401.28 6.10
350,001 or greater.......... 46 23,883,477.12 21.38
--- --------------- --------
TOTAL.................... 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
GROUP I
DISTRIBUTION OF PROPERTY TYPES
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
1-4 Family........ 729 $ 98,244,437.58 87.95%
CO-OP............. 32 2,276,337.00 2.04
Condominium....... 129 10,097,704.57 9.04
MF Double Wide.... 4 114,314.25 0.10
MF Single Wide.... 27 509,340.89 0.46
Mobile Home Park.. 1 25,483.60 0.02
Multi-Family...... 3 440,926.72 0.39
--- --------------- --------
TOTAL........... 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-57
<PAGE>
GROUP I
DISTRIBUTION OF OCCUPANCY STATUS
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Non-Owner Occupied.. 46 $ 6,251,987.69 5.60%
Other............... 10 527,572.31 0.47
Owner-Occupied...... 823 102,148,792.21 91.44
Second Home......... 5 198,731.02 0.18
Unknown............. 41 2,581,461.38 2.31
--- --------------- --------
TOTAL............ 925 $111,708,544.61 100.00%*
=== =============== ========
- ---------------
* Percentages may not add to 100% due to rounding.
GROUP I
DISTRIBUTION OF LOAN PURPOSE
NUMBER OF AGGREGATE % OF AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Home Improvement.. 12 $ 501,690.15 0.45%
Purchase.......... 450 41,873,456.20 37.48
Refinance......... 291 47,727,342.85 42.72
Relocation........ 120 18,895,638.24 16.92
Unknown........... 52 2,710,417.17 2.43
--- --------------- --------
TOTAL.......... 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
GROUP I
DISTRIBUTION OF SEASONING
MONTHS NUMBER OF AGGREGATE % OF AGGREGATE
OF SEASONING MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
Not Given or 0.. 4 $ 360,241.12 0.32%
1 - 12......... 56 11,689,885.74 10.46
13 - 24......... 181 27,873,509.42 24.95
25 - 36......... 111 18,368,346.80 16.44
37 - 48......... 66 8,813,037.65 7.89
49 - 60......... 63 8,685,288.64 7.77
61 - 84......... 136 14,748,950.70 13.20
85 - 120........ 213 17,188,473.34 15.39
121 or greater.. 95 3,980,811.20 3.56
--- --------------- --------
TOTAL........ 925 $111,708,544.61 100.00%*
=== =============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-58
<PAGE>
POOL II
The Mortgage Loans in Pool II consist of 799 loans under which the related
Mortgaged Properties are located in 25 states and the District of Columbia, as
set forth herein. The Mortgage Loans in Pool II have an aggregate principal
balance of $90,635,697.98, the minimum principal balance of any of such Mortgage
Loans is $10,012.26; the maximum principal balance thereof is $706,044.39 and
the average principal balance of such Mortgage Loans is approximately
$113,436.42. The current Mortgage Rates of the Mortgage Loans in Pool II range
from 2.000% to 12.250%, and the weighted average current Mortgage Rate is 7.523%
and the weighted average margin is 2.386%. Certain of the principal balance,
$1,521,052.88, is Arrearage (as defined herein) and does not accrue interest.
The Mortgage Loans in Pool II have remaining terms to stated maturity from
10 months to 426 months, a weighted average remaining term to stated maturity of
288 months and a weighted average seasoning of 100 months. No Mortgage Loan in
Pool II has a stated maturity later than June 10, 2032. 95.42% of the Mortgage
Loans in Pool II by aggregate principal balance require monthly payments of
principal that will fully amortize such Mortgage Loans by their respective
maturity dates. 4.58% of the Mortgage Loans have no information regarding a
Balloon Payment, but the Mortgage Loans appear to require monthly payments of
principal that will fully amortize such Mortgage Loans.
The weighted average amortized LTV (as defined herein) of the Mortgage
Loans included in Pool II is 75.97%.
92.02% of the Mortgage Loans in Pool II are indexed on 11th District COFI;
6.31% are indexed on the National Average Contract Rate; 1.32% are indexed on
FHLBB. Less than 0.36% have indices other than 11th District COFI, National
Average Contract Rate and FHLBB.
66.54% of the Mortgage Loans in Pool II have monthly interest rate and
annual payment adjustment frequencies. 7.09% of the Mortgage Loans in Pool II
have annual interest rate and annual payment adjustment frequencies. 19.45% of
the Mortgage Loans in Pool II have semi-annual interest rate and semi-annual
payment adjustment frequencies. 6.04% of the loans in Pool II have three-year
interest rate and three-year payment adjustment frequencies. The Mortgage Loans
in Pool II have a weighted average margin of 2.386%. The margins for the
Mortgage Loans in Pool II range from -1.860% to 5.000%. 11.37% of the Mortgage
Loans in Pool II have a periodic rate adjustment cap of 1.00%; 6.27% of the
Mortgage Loans have a periodic rate adjustment cap of 1.50%; 2.18% of the
Mortgage Loans have a periodic rate adjustment cap of 2.00%; 79.79% of the
Mortgage Loans have no periodic rate adjustment cap. The weighted average
number of months until the next reset date is approximately 2 months. The
weighted average maximum stated Mortgage Rate is 14.266%, with maximum stated
Mortgage Rates that range from 10.875% to 19.750%. The weighted average minimum
stated Mortgage Rate is 6.507%, with minimum stated Mortgage Rates that range
from 0.879% to 12.250%.
21.86% of the Mortgage Loans in Pool II by aggregate principal balance are
in Chapter 13 bankruptcy. 4.51% of the Mortgage Loans in Pool II have been
modified.
The following tables describe the Pool II Mortgage Loans and the related
Mortgaged Properties as of the Cut-Off Date.
S-59
<PAGE>
POOL II
GEOGRAPHIC DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
Arizona............... 20 $ 1,470,115.55 1.62%
California............ 359 57,085,582.83 62.98
Colorado.............. 3 349,494.97 0.39
Connecticut........... 2 212,941.31 0.23
District of Columbia.. 2 364,333.06 0.40
Florida............... 224 11,762,060.20 12.98
Georgia............... 15 1,181,351.36 1.30
Hawaii................ 1 345,490.57 0.38
Illinois.............. 25 1,863,584.18 2.06
Indiana............... 1 30,426.45 0.03
Louisiana............. 1 183,987.40 0.20
Maine................. 1 60,205.93 0.07
Maryland.............. 6 989,401.93 1.09
Massachusetts......... 5 855,175.20 0.94
Minnesota............. 9 1,096,960.81 1.21
Missouri.............. 18 1,225,288.81 1.35
Nevada................ 2 498,860.27 0.55
New Jersey............ 3 573,569.63 0.63
New York.............. 24 4,314,056.62 4.76
North Carolina........ 7 308,999.64 0.34
Ohio.................. 19 1,098,553.38 1.21
Oregon................ 4 180,708.59 0.20
Tennessee............. 14 1,132,373.94 1.25
Texas................. 20 1,613,712.12 1.78
Virginia.............. 7 1,186,880.90 1.31
Washington............ 7 651,582.33 0.72
--- -------------- --------
TOTAL.............. 799 $90,635,697.98 100.00%*
--- ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-60
<PAGE>
POOL II
DISTRIBUTION OF AMORTIZED LTVS**
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZED LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
100.01% or greater.... 81 $13,439,538.09 14.83%
95.01 - 100.00....... 20 3,293,685.06 3.63
90.01 - 95.00......... 42 6,694,694.42 7.39
85.01 - 90.00......... 38 4,563,769.40 5.04
80.01 - 85.00......... 51 6,765,953.58 7.46
75.01 - 80.00......... 60 5,376,021.14 5.93
70.01 - 75.00......... 84 9,772,839.17 10.78
65.01 - 70.00......... 94 11,130,556.15 12.28
60.01 - 65.00......... 71 6,522,941.35 7.20
55.01 - 60.00......... 61 6,831,950.85 7.54
50.01 - 55.00......... 55 5,675,418.87 6.26
00.01 - 50.00......... 142 10,568,329.90 11.66
--- -------------- --------
TOTAL.............. 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** The amortized LTV of a Mortgage Loan is based on the Aggregate Principal
Balance as of the Cut-Off Date and an opinion of value, where available,
that was received subsequent to the origination of the Mortgage Loan, and
in most cases, in conjunction with the Sellers acquisition of the Mortgage
Loan. Approximately 70% of such opinions of value were received in 1996.
POOL II
DISTRIBUTION OF CURRENT DELINQUENCY
<TABLE>
<CAPTION>
CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
DELINQUENCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
Current............. 703 $80,218,953.21 88.51%
30 - 59 days........ 72 8,033,979.68 8.86
60 - 89 days........ 24 2,382,765.09 2.63
--- -------------- --------
TOTAL............ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
S-61
<PAGE>
POOL II
DISTRIBUTION OF CURRENT MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CURRENT MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
6.00% or less........... 5 $ 736,720.84 0.81%
6.01 - 7.00........... 101 9,246,267.00 10.20
7.01 - 8.00........... 610 70,604,895.77 77.90
8.01 - 9.00........... 28 2,685,273.02 2.96
9.01 - 10.00............ 34 3,375,240.62 3.72
10.01 - 11.00........... 17 2,085,344.56 2.30
11.01 - 12.00........... 3 284,370.67 0.31
12.01 - 13.00........... 1 96,532.62 0.11
Non-Accrual**........... N/A 1,521,052.88 1.68
-------------- -------------- --------
TOTAL................ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** Certain of the principal balance is Arrearage and does not accrue interest.
POOL II
STATED REMAINING TERM TO MATURITY
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
60 or less...... 6 $ 707,635.30 0.78%
61 - 120........ 15 1,755,929.61 1.94
121 - 180....... 130 5,611,844.29 6.19
181 - 240....... 95 7,346,125.01 8.11
241 - 300....... 357 46,957,411.22 51.81
301 - 360....... 34 4,241,727.87 4.68
361 - 420....... 161 23,816,243.10 26.28
421 or greater.. 1 198,781.58 0.22
--- -------------- --------
TOTAL........ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-62
<PAGE>
POOL II
DISTRIBUTION OF CURRENT PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CURRENT PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
$ 1 - 50,000.......... 217 $ 7,393,562.45 8.16%
50,001 -100,000............ 223 16,269,257.22 17.95
100,001 -150,000............ 152 18,566,716.58 20.48
150,001 -200,000............ 92 15,988,783.45 17.64
200,001 -250,000............ 55 12,147,242.52 13.40
250,001 -300,000............ 35 9,446,305.15 10.42
300,001 -350,000............ 11 3,542,521.30 3.91
350,001 or greater.......... 14 7,281,309.31 8.03
--- -------------- --------
TOTAL.................... 799 $90,635,697.98 100.00%*
=== ============== ========
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF PROPERTY TYPES
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------- -------------- ----------------- ------------------
1-4 Family..... 680 $82,685,177.29 91.23%
Condominium.... 118 7,828,774.44 8.64
Multi-Family... 1 121,746.25 0.13
--- -------------- --------
TOTAL....... 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-63
<PAGE>
POOL II
DISTRIBUTION OF OCCUPANCY STATUS
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Non-Owner Occupied.. 111 $ 6,697,630.52 7.39%
Other............... 36 6,161,346.83 6.80
Owner Occupied...... 619 73,633,097.01 81.24
Second Home......... 6 652,115.21 0.72
Unknown............. 27 3,491,508.41 3.85
--- -------------- --------
TOTAL............ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF LOAN PURPOSE
NUMBER OF AGGREGATE % OF AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Home Improvement.. 39 $ 5,016,346.31 5.53%
Purchase.......... 458 56,165,381.08 61.97
Refinance......... 143 21,664,748.75 23.90
Unknown........... 159 7,789,221.84 8.59
--- -------------- --------
TOTAL.......... 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF SEASONING
MONTHS NUMBER OF AGGREGATE % OF AGGREGATE
SEASONING MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
Not Given or 0.. 13 $ 1,065,846.83 1.18%
1 - 12......... 3 364,749.10 0.40
13 - 24......... 2 518,886.63 0.57
25 - 36......... 5 1,129,066.98 1.25
37 - 48......... 3 440,330.60 0.49
49 - 60......... 9 1,852,870.32 2.04
61 - 84......... 164 26,748,299.24 29.51
85 - 120........ 360 44,122,992.62 48.68
121 or greater.. 240 14,392,655.66 15.88
--- -------------- --------
TOTAL........ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-64
<PAGE>
POOL II
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MAXIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated maximum rate.. 37 $ 2,286,400.34 2.52%
10.00+ to 11.00%........ 3 982,458.39 1.08
11.00+ to 12.00......... 5 928,640.93 1.02
12.00+ to 13.00......... 65 8,611,951.83 9.50
13.00+ to 14.00......... 300 41,299,888.50 45.57
14.00+ to 15.00......... 172 21,661,178.51 23.90
15.00+ to 16.00......... 59 5,510,334.40 6.08
16.00+ to 17.00......... 101 6,720,780.49 7.42
17.00+ to 18.00......... 40 1,964,419.51 2.17
18.00+ to 19.00......... 11 406,507.62 0.45
19.00+ or greater....... 6 263,137.46 0.29
--- -------------- --------
TOTAL................ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF MINIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MINIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated minimum rate.. 174 $23,486,256.12 25.91%
4.00% or less........... 33 4,059,681.84 4.48
4.00+ to 5.00........... 20 1,876,418.28 2.07
5.00+ to 6.00........... 205 21,440,888.12 23.66
6.00+ to 7.00........... 247 29,087,107.90 32.09
7.00+ to 8.00........... 52 3,755,960.50 4.14
8.00+ to 9.00........... 19 1,448,472.28 1.60
9.00+ to 10.00.......... 28 2,902,077.19 3.20
10.00+ to 11.00......... 17 2,197,932.46 2.43
11.00+ to 12.00......... 3 284,370.67 0.31
12.00+ or greater....... 1 96,532.62 0.11
--- -------------- --------
TOTAL................ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-65
<PAGE>
POOL II
DISTRIBUTION OF MARGINS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
Negative........ 96 $ 4,409,895.54 4.87%
0.000%.......... 11 425,153.40 0.47
0.001 to 1.000.. 40 1,637,324.33 1.81
1.001 to 2.000.. 57 5,489,473.08 6.06
2.001 to 3.000.. 531 70,484,392.67 77.77
3.001 to 4.000.. 48 6,240,273.51 6.89
4.001 to 5.000.. 16 1,949,185.45 2.15
--- -------------- --------
TOTAL........ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF RATE CHANGE FREQUENCY
RATE CHANGE NUMBER OF AGGREGATE % OF AGGREGATE
FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
1 Month...... 483 $61,089,276.83 67.40%
1 Year....... 68 6,370,303.42 7.03
2.5 Year..... 1 41,851.98 0.05
3 Month...... 1 24,809.59 0.03
3 Year....... 129 5,477,122.35 6.04
6 Month...... 117 17,632,333.81 19.45
--- -------------- --------
TOTAL..... 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL II
DISTRIBUTION OF PAYMENT CHANGE FREQUENCY
PAYMENT CHANGE NUMBER OF AGGREGATE % OF AGGREGATE
FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
1 Month......... 6 $ 782,596.33 0.86%
1 Year.......... 546 66,701,793.51 73.59
2.5 Year........ 1 41,851.98 0.05
3 Year.......... 129 5,477,122.35 6.04
6 Month......... 117 17,632,333.81 19.45
--- -------------- --------
TOTAL........ 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-66
<PAGE>
<TABLE>
<CAPTION>
POOL II
NEGATIVE AMORTIZATION LIMIT
NEGATIVE NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZATION LIMIT MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
No negative amortization.. 318 $29,900,395.18 32.99%
110.000%.................. 3 868,287.20 0.96
115.000................... 1 116,807.56 0.13
125.000................... 31 4,285,243.38 4.73
127.000................... 1 114,781.49 0.13
150.000................... 13 1,427,742.63 1.58
Unlimited................. 432 53,922,440.54 59.49
--- -------------- --------
TOTAL.................. 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL II
PERIODIC RATE CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
RATE CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%... 588 $72,319,787.42 79.79%
0.7500.... 1 103,823.89 0.11
1.0000.... 61 10,302,108.53 11.37
1.5000.... 130 5,685,311.05 6.27
1.7500.... 1 88,597.48 0.10
2.0000.... 16 1,974,588.34 2.18
2.5000.... 1 41,851.98 0.05
5.0000.... 1 119,629.29 0.13
--- -------------- --------
TOTAL... 799 $90,635,697.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL II
PERIODIC PAYMENT CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
PAYMENT CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%...... 441 $51,773,844.64 57.12%
2.0000....... 1 64,005.60 0.07
7.5000....... 334 37,606,032.40 41.49
10.0000...... 23 1,191,815.34 1.32
--- -------------- --------
TOTAL..... 799 $90,635,697.98 100.00%*
=== ============== ========
--
</TABLE>
* Percentages may not add to 100% due to rounding.
S-67
<PAGE>
Pool III
The Mortgage Loans in Pool III consist of 387 loans under which the related
Mortgaged Properties are located in 30 states and the District of Columbia, as
set forth herein. The Mortgage Loans in Pool III have an aggregate principal
balance of $56,843,117.92, the minimum principal balance of any of such Mortgage
Loan is $203.77, the maximum principal balance thereof is $2,268,850.57 and the
average principal balance of such Mortgage Loans is approximately $146,881.44.
The current Mortgage Rates on the Mortgage Loans in Pool III range from 4.000%
to 12.250%, and the weighted average current Mortgage Rate is 8.385% and the
weighted average margin is 2.947%. Certain of the principal balance,
$464,225.35, is Arrearage (as defined herein) and does not accrue interest.
The Mortgage Loans in Pool III have remaining terms to stated maturity from
20 months to 349 months, a weighted average remaining term to stated maturity of
296 months and a weighted average seasoning of 60 months. No Mortgage Loan in
Pool III has a stated maturity later than January 1, 2026. 99.07% of the
Mortgage Loans in Pool III by aggregate principal balance require monthly
payments of principal that will fully amortize such Mortgage Loans by their
respective maturity dates. 0.04% of the Mortgage Loans in Pool III by aggregate
principal balance are Balloon Loans. 0.90% of the Mortgage Loans have no
information regarding a Balloon Payment, but the Mortgage Loans appear to
require monthly payments of principal that will fully amortize such Mortgage
Loans.
The weighted average amortized LTV (as defined herein) of the Mortgage
Loans included in Pool III is 81.12%.
91.28% of the Mortgage Loans in Pool III are indexed on the weekly average
of the one-year constant maturity treasury; 0.82% are indexed on the monthly
average of the one-year constant maturity treasury; 3.86% are indexed on the
weekly average of the three-year constant maturity treasury; 0.64% are indexed
on the monthly average of the three-year constant maturity treasury; 1.82% are
indexed on the auction average of the six-month treasury. Less than 1.58% have
indices other than the one-year constant maturity treasury; the three-year
constant maturity treasury, and the auction average of the six-month treasury.
92.06% of the Mortgage Loans in Pool III have annual interest rate and
annual payment adjustment frequencies. 3.91% of the Mortgage Loans in Pool III
have three-year interest rate and three-year payment adjustment frequencies.
2.35% of the Mortgage Loans in Pool III have semi-annual interest and semi-
annual payment adjustment frequencies. The Mortgage Loans in Pool III have a
weighted average margin of 2.947%. The margins for the Mortgage Loans in Pool
III range from 0.400% to 6.500%. 2.81% of the Mortgage Loans have a periodic
rate adjustment cap of 1.00%; 0.11% of the Mortgage Loans have a periodic rate
adjustment cap of 1.50%; 90.98% of the Mortgage Loans have a periodic rate
adjustment cap of 2.00%; 5.36% of the Mortgage Loans have no periodic rate
adjustment cap. The weighted average number of months until the next reset date
is approximately 9 months. The weighted average maximum stated Mortgage Rate
was 13.446%, with maximum stated Mortgage Rates that range from 3.250% to
26.260%. The weighted average minimum stated Mortgage Rate was 5.896%, with
minimum stated Mortgage Rates that range from 1.375% to 18.500%.
6.19% of the Mortgage Loans in Pool III by aggregate principal balances are
in Chapter 13 bankruptcy. 2.40% of the Mortgage Loans in Pool III have been
modified.
S-68
<PAGE>
The following tables describe the Pool III Mortgage Loans and the related
Mortgaged Properties as of the Cut-Off Date.
POOL III
GEOGRAPHIC DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
Alabama............... 2 $ 325,089.27 0.57%
Arizona............... 5 322,089.02 0.57
California............ 79 18,360,890.18 32.30
Colorado.............. 6 601,831.75 1.06
Connecticut........... 18 2,663,594.25 4.69
Delaware.............. 2 304,029.56 0.53
District of Columbia.. 2 751,146.50 1.32
Florida............... 46 2,338,701.36 4.11
Georgia............... 6 505,947.71 0.89
Hawaii................ 4 2,461,377.41 4.33
Idaho................. 1 276,069.40 0.49
Indiana............... 1 93,393.14 0.16
Kansas................ 1 84,563.17 0.15
Louisiana............. 9 662,173.47 1.16
Maine................. 1 73,871.55 0.13
Maryland.............. 5 1,192,260.19 2.10
Massachusetts......... 42 6,197,019.69 10.90
Michigan.............. 6 852,726.99 1.50
Minnesota............. 1 212,163.32 0.37
Mississippi........... 1 95,915.31 0.17
Missouri.............. 2 252,455.55 0.44
Nevada................ 5 1,006,844.98 1.77
New Jersey............ 56 6,686,676.29 11.76
New Mexico............ 4 264,577.34 0.47
New York.............. 36 4,504,249.65 7.92
North Carolina........ 3 445,758.53 0.78
Ohio.................. 1 223,481.63 0.39
Oklahoma.............. 2 215,134.25 0.38
Oregon................ 2 372,662.36 0.66
Pennsylvania.......... 8 797,501.00 1.40
Rhode Island.......... 1 132,075.74 0.23
South Carolina........ 2 290,487.15 0.51
Texas................. 16 1,857,978.20 3.27
Vermont............... 2 283,614.21 0.50
Virginia.............. 5 542,917.35 0.96
Washington............ 4 591,850.45 1.04
--- -------------- --------
TOTAL.............. 387 $56,843,117.92 100.00%*
=== ============== ========
* Percentages may not add to 100% due to rounding.
S-69
<PAGE>
POOL III
DISTRIBUTION OF AMORTIZED LTVS**
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZED LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
Unavailable........... 1 $ 12,400.32 0.02%
100.01% or greater.... 45 7,100,755.75 12.49
95.01 - 100........ 23 4,399,966.77 7.74
90.01 - 95.00...... 21 2,965,806.29 5.22
85.01 - 90.00...... 32 5,981,309.34 10.52
80.01 - 85.00...... 34 6,553,804.40 11.53
75.01 - 80.00...... 37 8,373,349.17 14.73
70.01 - 75.00...... 43 7,743,842.15 13.62
65.01 - 70.00...... 35 2,712,082.75 4.77
60.01 - 65.00...... 25 2,468,418.37 4.34
55.01 - 60.00...... 24 2,160,698.96 3.80
50.01 - 55.00...... 15 1,545,178.22 2.72
00.01 - 50.00...... 52 4,825,505.43 8.49
--- -------------- --------
TOTAL.............. 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** The amortized LTV of a Mortgage Loan is based on the Aggregate Principal
Balance as of the Cut-Off Date and an opinion of value, where available,
that was received subsequent to the origination of the Mortgage Loan, and
in most cases, in conjunction with the Sellers acquisition of the Mortgage
Loan. Approximately 74% of such opinions of value were received in 1996.
POOL III
DISTRIBUTION OF CURRENT DELINQUENCY
CURRENT DELINQUENCY NUMBER OF AGGREGATE % OF AGGREGATE
STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------- -------------- ----------------- ------------------
Current.............. 303 $46,315,992.16 81.48%
30 - 59 Days......... 65 7,439,218.31 13.09
60 - 89 Days......... 19 3,087,907.45 5.43
--- -------------- --------
TOTAL............. 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-70
<PAGE>
POOL III
DISTRIBUTION OF CURRENT MORTGAGE RATES
RANGE OF CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
6.00% or less..... 3 $ 363,056.88 0.64%
6.01 - 7.00...... 14 1,811,370.20 3.19
7.01 - 8.00....... 81 13,083,017.74 23.02
8.01 - 9.00....... 232 36,757,221.70 64.66
9.01 - 10.00...... 35 3,439,806.93 6.05
10.01 - 11.00..... 16 804,784.04 1.42
11.01 - 12.00..... 5 107,234.76 0.19
12.01 - 13.00..... 1 12,400.32 0.02
Non Accrual**..... N/A 464,225.35 0.82
-------------- -------------- --------
TOTAL.......... 387 $56,843,117.92 100.00%*
=== ============== ========
* Percentages may not add to 100% due to rounding.
** Certain of the principal balance is Arrearage and does not accrue interest.
POOL III
STATED REMAINING TERM TO MATURITY DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
60 or less.. 5 $ 84,279.46 0.15%
61 - 120.... 14 431,272.67 0.76
121 - 180.... 18 550,218.03 0.97
181 - 240.... 66 5,435,267.22 9.56
241 - 300.... 167 18,978,165.09 33.39
301 - 360.... 117 31,363,915.45 55.18
--- -------------- --------
TOTAL..... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-71
<PAGE>
POOL III
DISTRIBUTION OF CURRENT PRINCIPAL BALANCES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
CURRENT PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
$ 1 - 50,000......... 79 $ 2,366,923.89 4.16%
50,001 -100,000............ 118 8,808,139.48 15.50
100,001 -150,000............ 83 9,927,373.16 17.46
150,001 -200,000............ 36 6,239,016.80 10.98
200,001 -250,000............ 17 3,778,134.64 6.65
250,001 -300,000............ 21 5,621,166.11 9.89
300,001 -350,000............ 7 2,231,825.08 3.93
350,001 or greater.......... 26 17,870,538.76 31.44
--- -------------- --------
TOTAL.................... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL III
DISTRIBUTION OF PROPERTY TYPES
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
1-4 Family...... 341 $51,863,988.56 91.24%
CO-OP........... 1 59,693.55 0.11
Condominium..... 38 4,755,154.15 8.37
MF Double Wide.. 2 53,658.37 0.09
MF Single Wide.. 5 110,623.29 0.19
--- -------------- --------
TOTAL........ 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
S-72
<PAGE>
POOL III
DISTRIBUTION OF OCCUPANCY STATUS
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Non-Owner Occupied.. 33 $ 3,210,505.08 5.65%
Other............... 22 1,782,537.85 3.14
Owner-Occupied...... 300 47,373,264.09 83.34
Second Home......... 2 168,951.93 0.30
Unknown............. 30 4,307,858.97 7.58
--- -------------- --------
TOTAL............ 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL III
DISTRIBUTION OF LOAN PURPOSE
NUMBER OF AGGREGATE % OF AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Home Improvement.. 2 $ 169,075.40 0.30%
Purchase.......... 226 28,664,119.65 50.43
Refinance......... 105 20,879,868.93 36.73
Relocation........ 29 3,837,622.86 6.75
Unknown........... 25 3,292,431.08 5.79
--- -------------- --------
TOTAL.......... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-73
<PAGE>
POOL III
DISTRIBUTION OF SEASONING
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS SEASONING MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Not Given or 0 4 $ 281,457.20 0.50%
1 - 12.......... 5 612,853.81 1.08
13 - 24.......... 54 15,961,649.46 28.08
25 - 36.......... 42 13,129,211.13 23.10
37 - 48.......... 17 1,778,533.18 3.13
49 - 60.......... 4 308,486.23 0.54
61 - 84.......... 23 3,111,935.07 5.47
85 - 120......... 170 16,966,992.77 29.85
121 or greater.... 68 4,691,999.07 8.25
--- -------------- --------
TOTAL.......... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL III
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MAXIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated maximum rate.. 72 $ 6,219,820.34 10.94%
10.00% or less.......... 9 904,392.55 1.59
10.00 + - 11.00......... 18 2,441,765.44 4.30
11.00 + - 12.00......... 30 6,201,516.63 10.91
12.00 + - 13.00......... 29 8,935,019.79 15.72
13.00 + - 14.00......... 87 18,410,739.85 32.39
14.00 + - 15.00......... 63 8,425,678.19 14.82
15.00 + - 16.00......... 30 2,319,055.63 4.08
16.00 + - 17.00......... 33 2,204,833.56 3.88
17.00 + - 18.00......... 9 466,844.06 0.82
18.00 + - 19.00......... 4 78,537.32 0.14
19.00 + or greater...... 3 234,914.56 0.41
--- -------------- --------
TOTAL................ 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-74
<PAGE>
POOL III
DISTRIBUTION OF MINIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MINIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated minimum rate.. 287 $47,356,496.44 83.31%
4.00% or less.......... 27 3,657,723.44 6.43
4.00 + - 5.00......... 10 1,019,132.31 1.79
5.00 + - 6.00......... 5 288,618.74 0.51
6.00 + - 7.00......... 12 1,361,307.38 2.39
7.00 + - 8.00......... 13 1,386,437.07 2.44
8.00 + - 9.00......... 5 564,230.18 0.99
9.00 + - 10.00......... 9 471,903.43 0.83
10.00 + - 11.00......... 9 294,921.59 0.52
11.00 + - 12.00......... 5 107,234.76 0.19
12.00 + or greater...... 5 335,112.58 0.59
--- -------------- --------
TOTAL................ 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL III
DISTRIBUTION OF MARGINS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
0.001 to 1.000%... 3 $ 167,866.80 0.30%
1.001 to 2.000.... 23 1,126,754.38 1.98
2.001 to 3.000.... 279 42,136,923.64 74.13
3.001 to 4.000.... 76 13,055,087.73 22.97
4.001 to 5.000.... 3 249,374.04 0.44
5.001 or greater.. 3 107,111.33 0.19
--- -------------- --------
TOTAL.......... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-75
<PAGE>
POOL III
RATE CHANGE FREQUENCY
RATE CHANGE NUMBER OF AGGREGATE % OF AGGREGATE
FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
1 Month...... 3 $ 213,966.63 0.38%
1 Year....... 323 52,328,260.02 92.06
2 Year....... 1 155,005.37 0.27
3 Month...... 1 205,630.19 0.36
3 Year....... 37 2,221,809.92 3.91
5 Year....... 9 257,624.74 0.45
6 Month...... 13 1,460,821.05 2.57
--- -------------- --------
TOTAL..... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
<TABLE>
<CAPTION>
POOL III
PAYMENT CHANGE FREQUENCY
PAYMENT CHANGE NUMBER OF AGGREGATE % OF AGGREGATE
FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- ----------------- ----------------- ----------------
<S> <C> <C> <C>
1 Year................... 327 $52,747,856.84 92.80%
10 Year................... 1 75,769.24 0.13
2 Year................... 1 155,005.37 0.27
3 Year................... 38 2,300,820.29 4.05
5 Year................... 9 226,091.86 0.40
6 Month.................. 11 1,337,574.32 2.35
--- -------------- --------
TOTAL.................. 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
S-76
<PAGE>
POOL III
NEGATIVE AMORTIZATION LIMIT
<TABLE>
<CAPTION>
NEGATIVE NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZATION LIMIT MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
No negative amortization.. 378 $56,053,069.70 98.61%
110.0000%................. 1 99,885.50 0.18
125.0000.................. 4 400,426.85 0.70
Unlimited................. 4 289,735.87 0.51
--- -------------- --------
TOTAL.................. 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL III
PERIODIC RATE CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
RATE CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%... 46 $ 3,048,317.69 5.36%
1.0000.... 13 1,597,739.32 2.81
1.5000.... 1 62,886.43 0.11
2.0000.... 323 51,718,421.27 90.98
2.5000.... 1 107,558.98 0.19
3.0000.... 1 104,247.37 0.18
5.0000.... 2 203,946.86 0.36
--- -------------- --------
TOTAL... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL III
PERIODIC PAYMENT CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
PAYMENT CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%...... 384 $56,466,052.30 99.34%
7.5000....... 3 377,065.62 0.66
--- -------------- --------
TOTAL..... 387 $56,843,117.92 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
S-77
<PAGE>
POOL IV
The Mortgage Loans in Pool IV consist of 147 loans under which the related
Mortgaged Properties are located in 28 states, as set forth herein. The
Mortgage Loans in Pool IV have an aggregate principal balance of $19,098,571.98,
the minimum principal balance of any of such Mortgage Loans is $10,989.39, the
maximum principal balance thereof is $1,365,468.38 and the average principal
balance of such Mortgage Loans is approximately $129,922.26. The current
Mortgage Rates on the Mortgage Loans in Group IV range from 7.250% to 21.000%,
and the weighted average current Mortgage Rate is 9.679% and the weighted
average margin was 3.743%. Certain of the principal balance, $27,374.65, is
Arrearage (as defined herein) and does not accrue interest.
The Mortgage Loans in Pool IV have remaining terms to stated maturity from
12 months to 358 months, a weighted average remaining term to stated maturity of
310 months and a weighted average seasoning of 41 months. No Mortgage Loan in
Pool IV has a stated maturity later than October 1, 2026. 97.03% of the
Mortgage Loans in Pool IV by aggregate principal balance require monthly
payments of principal that will fully amortize such Mortgage Loans by their
respective maturity dates. 1.70% of the Mortgage Loans in Pool IV by aggregate
principal balance Balloon Loans. 1.26% of the Mortgage Loans have no
information regarding a Balloon Payment, but the Mortgage Loans appear to
require monthly payments of principal that will fully amortize such Mortgage
Loans.
The weighted average amortized LTV (as defined herein) of the Mortgage
Loans included in Pool IV is 74.90%.
79.85% of the Mortgage Loans in Pool IV are indexed on six-month LIBOR
rate; 0.50% are indexed on one-month LIBOR; 16.59% are indexed on Prime Rate;
3.06% are indexed on the six-month CD rate from the secondary market.
82.09% of the Mortgage Loans in Pool IV have semi-annual interest rate and
semi-annual payment adjustment frequencies. 6.68% of the Mortgage Loans in Pool
IV have monthly interest rate and monthly payment adjustment frequencies. 4.18%
of the Mortgage Loans in Pool IV have monthly interest rate and annual payment
adjustment frequencies. 2.80% of the Mortgage Loans in Pool IV have annual
interest rate and annual payment adjustment frequencies. 1.98% of the Mortgage
Loans in Pool IV have daily interest rate and monthly payment adjustment
frequencies. The Mortgage Loans in Pool IV have a weighted average margin of
3.743%. The margins for the Mortgage Loans in Pool IV range from -6.000% to
15.000%. 49.02% of the Mortgage Loans in Pool IV have a periodic rate
adjustment cap of 1.00%; 11.23% of the Mortgage Loans have a periodic rate
adjustment cap of 1.25%; 3.16% of the Mortgage Loans have a periodic rate
adjustment cap of 1.50%; 6.56% of the Mortgage Loans have a periodic rate
adjustment cap of 2.00%; 30.03% of the Mortgage Loans have no periodic rate
adjustment cap. The weighted average number of months until the next reset date
is approximately 3 months. The weighted average maximum stated Mortgage Rate
was 14.770%, with maximum stated Mortgage Rates that range from 9.250% to
55.000%. The weighted average minimum stated Mortgage Rate was 8.087%, with
minimum stated Mortgage Rates that range from 4.400% to 21.000%.
3.16% of the Mortgage Loans in Pool IV by aggregate principal balance are
in Chapter 13 bankruptcy. 10.87% of the Mortgage Loans in Pool IV have been
modified.
S-78
<PAGE>
The following tables describe the Pool IV Mortgage Loans and the related
Mortgaged Properties as of the Cut-Off Date.
POOL IV
GEOGRAPHIC DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
Alabama......... 1 $ 85,084.12 0.45%
Arizona......... 1 70,461.20 0.37
California...... 61 10,826,181.22 56.69
Colorado........ 1 218,425.81 1.14
Connecticut..... 10 759,065.27 3.97
Delaware........ 1 56,327.66 0.29
Florida......... 3 163,063.50 0.85
Georgia......... 4 353,214.35 1.85
Hawaii.......... 2 1,438,292.01 7.53
Idaho........... 2 302,466.79 1.58
Kentucky........ 1 49,084.83 0.26
Louisiana....... 1 23,243.93 0.12
Maryland........ 1 36,637.03 0.19
Massachusetts... 14 1,197,713.59 6.27
Mississippi..... 1 44,205.93 0.23
Missouri........ 1 33,462.26 0.18
Nevada.......... 1 506,242.65 2.65
New Hampshire... 2 147,628.80 0.77
New Jersey...... 2 114,024.11 0.60
New York........ 8 746,955.99 3.91
North Carolina.. 1 17,404.95 0.09
Oklahoma........ 1 25,463.24 0.13
Oregon.......... 10 646,932.10 3.39
Rhode Island.... 6 409,216.97 2.14
Texas........... 6 356,469.63 1.87
Utah............ 1 195,103.22 1.02
Virginia........ 1 57,362.04 0.30
Washington...... 3 218,838.78 1.15
--- -------------- --------
TOTAL........ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-79
<PAGE>
POOL IV
DISTRIBUTION OF AMORTIZED LTVS**
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZED LTV RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------------- -------------- ----------------- ------------------
100.01% or greater.... 11 $ 1,447,073.91 7.58%
95.01 -100.00........ 4 434,606.66 2.28
90.01 - 95 .0 0..... 6 613,073.26 3.21
85.01 - 90 .0 0..... 10 1,347,434.08 7.06
80.01 - 85 .0 0..... 12 2,063,794.50 10.81
75.01 - 80 .0 0..... 20 2,813,424.87 14.73
70.01 - 75 .0 0..... 18 2,032,413.05 10.64
65.01 - 70 .0 0..... 15 1,902,596.96 9.96
60.01 - 65 .0 0..... 14 2,722,630.95 14.26
55.01 - 60 .0 0..... 5 516,523.19 2.70
50.01 - 55 .0 0..... 8 1,272,912.52 6.66
00.01 - 50 .0 0..... 21 1,786,483.22 9.35
Unavailable........... 3 145,604.81 0.76
--- -------------- --------
TOTAL.............. 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** The amortized LTV of a Mortgage Loan is based on the Aggregate Principal
Balance as of the Cut-Off Date and an opinion of value, where available,
that was received subsequent to the origination of the Mortgage Loan, and
in most cases, in conjunction with the Sellers acquisition of the Mortgage
Loan. Approximately 32% of such opinions of value were received in 1996.
POOL IV
DISTRIBUTION OF CURRENT DELINQUENCY
CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
DELINQUENCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Current............. 119 $16,376,131.98 85.74%
30 - 59 Days........ 23 2,237,590.21 11.72
60 - 89 Days........ 5 484,849.79 2.54
--- -------------- --------
TOTAL............ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-80
<PAGE>
POOL IV
DISTRIBUTION OF CURRENT MORTGAGE RATES
RANGE OF CURRENT NUMBER OF AGGREGATE % OF AGGREGATE
MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
7.01 - 8.00%...... 4 $ 506,771.68 2.65%
8.01 - 9.00....... 33 8,232,795.95 43.11
9.01 - 10.00...... 39 4,517,209.57 23.65
10.01 - 11.00..... 32 2,849,220.14 14.92
11.01 - 12.00..... 21 1,855,752.49 9.72
12.01 - 13.00..... 8 674,715.97 3.53
13.01 - 14.00..... 6 296,095.10 1.55
14.01 - 15.00..... 2 46,355.95 0.24
15.01 or greater.. 2 92,280.48 0.48
Non Accrual**..... N/A 27,374.64 0.14
-------------- -------------- --------
TOTAL.......... 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
** Certain of the principal balance is Arrearage and does not accrue interest.
POOL IV
STATED REMAINING TERM TO MATURITY DISTRIBUTION
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
Not Given or 0.. 7 $ 407,589.89 2.13%
60 or less..... 7 339,045.24 1.78
61 - 120....... 10 402,796.65 2.11
121 - 180....... 15 868,760.04 4.55
181 - 240....... 2 158,314.90 0.83
241 - 300....... 15 1,575,424.90 8.25
301 - 360....... 91 15,346,640.36 80.35
--- -------------- --------
TOTAL........ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-81
<PAGE>
POOL IV
DISTRIBUTION OF PRINCIPAL BALANCES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
$ 1 - 50,000. 34 $ 1,029,743.79 5.39%
50,001 -100,000.... 56 4,152,198.56 21.74
100,001 -150,000.... 21 2,670,450.34 13.98
150,001 -200,000.... 15 2,525,375.74 13.22
200,001 -250,000.... 5 1,106,580.82 5.79
250,001 -300,000.... 3 831,449.94 4.35
300,001 -350,000.... 3 963,450.45 5.04
350,001 or greater.. 10 5,819,322.34 30.47
--- -------------- --------
TOTAL............ 147 $19,098,571.98 100.00%*
=== ============== ========
* Percentages may not add to 100% due to rounding.
S-82
<PAGE>
POOL IV
DISTRIBUTION OF PROPERTY TYPES
NUMBER OF AGGREGATE % OF AGGREGATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------------- -------------- ----------------- ------------------
1-4 Family...... 134 $18,533,641.97 97.04%
Condominium..... 10 437,331.71 2.29
MF Double Wide.. 1 63,558.06 0.33
MF Single Wide.. 2 64,040.24 0.34
--- -------------- --------
TOTAL........ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL IV
DISTRIBUTION OF OCCUPANCY STATUS
NUMBER OF AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- -------------- ----------------- ------------------
Non-Owner Occupied.. 7 $ 791,826.14 4.15%
Other............... 9 703,805.18 3.69
Owner-Occupied...... 103 14,780,227.33 77.39
Second Home......... 9 536,435.48 2.81
Unknown............. 19 2,286,277.85 11.97
--- -------------- --------
TOTAL............ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL IV
DISTRIBUTION OF LOAN PURPOSE
NUMBER OF AGGREGATE % OF AGGREGATE
LOAN PURPOSE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Home Improvement.. 3 $ 316,956.92 1.66%
Purchase.......... 76 9,127,613.04 47.79
Refinance......... 49 8,226,250.86 43.07
Relocation........ 1 163,484.35 0.86
Unknown........... 18 1,264,266.81 6.62
--- -------------- --------
TOTAL.......... 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-83
<PAGE>
POOL IV
DISTRIBUTION OF SEASONING
NUMBER OF AGGREGATE % OF AGGREGATE
MONTHS SEASONING MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Not Given or 0.... 5 $ 343,919.82 1.80%
1 - 12.......... 9 1,528,379.70 8.00
13 - 24.......... 32 5,084,319.08 26.62
25 - 36.......... 46 7,067,495.30 37.01
37 - 48.......... 1 957,439.35 5.01
49 - 60.......... 4 203,683.92 1.07
61 - 84.......... 9 1,170,844.70 6.13
85 - 120......... 31 2,363,149.95 12.37
121 or greater.... 10 379,340.16 1.99
--- -------------- --------
TOTAL.......... 147 $19,098,571.98 100.00%*
=== ============== ========
- -----------------
* Percentages may not add to 100% due to rounding.
POOL IV
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MAXIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated maximum rate 26 $ 1,468,895.32 7.69%
10.00% or less.......... 1 26,343.42 0.14
10.00 + - 11.00......... 11 2,361,569.77 12.37
11.00 + - 12.00......... 17 3,692,164.88 19.33
12.00 + - 13.00......... 8 1,486,205.69 7.78
13.00 + - 14.00......... 8 1,773,997.97 9.29
14.00 + - 15.00......... 17 2,865,035.81 15.00
15.00 + - 16.00......... 21 2,384,348.87 12.48
16.00 + - 17.00......... 5 585,101.76 3.06
17.00 + - 18.00......... 8 573,511.89 3.00
18.00 + - 19.00......... 5 310,782.90 1.63
19.00 + or greater...... 20 1,570,613.70 8.22
--- -------------- --------
TOTAL................ 147 $19,098,571.98 100.00%*
=== ============== ========
- --------------------
* Percentages may not add to 100% due to rounding.
S-84
<PAGE>
POOL IV
DISTRIBUTION OF MINIMUM MORTGAGE RATES
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MINIMUM MORTGAGE RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------ -------------- ----------------- ------------------
No stated minimum rate.. 59 $ 8,924,190.01 46.73%
4.00 + - 5.00%........ 19 2,725,266.18 14.27
5.00 + - 6.00......... 5 341,493.05 1.79
6.00 + - 7.00......... 2 131,538.22 0.69
7.00 + - 8.00......... 14 1,701,530.88 8.91
8.00 + - 9.00......... 8 1,744,196.69 9.13
9.00 + - 10.00......... 16 1,605,860.11 8.41
10.00 + - 11.00......... 4 547,280.06 2.87
11.00 + - 12.00......... 7 519,936.26 2.72
12.00 + or greater...... 13 857,280.52 4.49
--- -------------- --------
TOTAL................ 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
POOL IV
DISTRIBUTION OF MARGINS
RANGE OF NUMBER OF AGGREGATE % OF AGGREGATE
MARGINS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------ -------------- ----------------- ------------------
Negative.......... 1 $ 41,122.54 0.22%
0.000%............ 2 54,041.98 0.28
0.001 to 1.000.... 7 571,110.73 2.99
1.001 to 2.000.... 19 1,110,144.51 5.81
2.001 to 3.000.... 19 5,303,437.66 27.77
3.001 to 4.000.... 25 4,043,205.25 21.17
4.001 to 5.000.... 57 5,966,095.60 31.24
5.001 to 6.000.... 12 1,703,699.94 8.92
6.001 to 7.000.... 2 190,189.36 1.00
7.001 or greater.. 3 115,524.41 0.60
--- -------------- --------
TOTAL.......... 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
* Percentages may not add to 100% due to rounding.
S-85
<PAGE>
POOL IV
RATE CHANGE FREQUENCY
RATE CHANGE NUMBER OF AGGREGATE % OF AGGREGATE
FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------- -------------- ----------------- ------------------
1 Month....... 25 $ 2,074,359.46 10.86%
1 Year........ 8 534,930.15 2.80
3 Month....... 1 53,129.34 0.28
3 Year........ 3 71,503.48 0.37
5 Year........ 1 36,637.03 0.19
6 Month....... 100 15,747,617.37 82.45
Daily......... 7 378,285.37 1.98
None/Unknown.. 2 202,109.78 1.06
--- -------------- --------
TOTAL....... 147 $19,098,571.98 100.00%*
=== ============== ========
- ---------------------
* Percentages may not add to 100% due to rounding.
POOL IV
PAYMENT CHANGE FREQUENCY
NUMBER OF AGGREGATE % OF AGGREGATE
PAYMENT CHANGE FREQUENCY MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------------- -------------- ----------------- -----------------
1 Month.................. 28 $ 1,682,564.03 8.81
1 Year................... 14 1,507,120.73 7.89
3 Month.................. 1 53,129.34 0.28
3 Year................... 3 71,503.48 0.37
5 Year................... 2 107,098.23 0.56
6 Month.................. 99 15,677,156.17 82.09
--- -------------- --------
TOTAL.................. 147 $19,098,571.98 100.00%*
=== ============== ========
* Percentages may not add to 100% due to rounding.
S-86
<PAGE>
POOL IV
NEGATIVE AMORTIZATION LIMIT
<TABLE>
<CAPTION>
NEGATIVE NUMBER OF AGGREGATE % OF AGGREGATE
AMORTIZATION LIMIT MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
No Negative Amortization.. 132 $17,649,525.05 92.41%
110.0000%................. 1 354,098.74 1.85
125.0000.................. 4 444,091.84 2.33
Unlimited................. 10 650,856.35 3.41
--- -------------- --------
TOTAL.................. 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL IV
PERIODIC RATE CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
RATE CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ---------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%... 59 $ 5,735,457.33 30.03%
1.0000.... 53 9,362,186.83 49.02
1.2500.... 19 2,144,557.31 11.23
1.5000.... 4 603,289.47 3.16
2.0000.... 12 1,253,081.04 6.56
--- -------------- --------
TOTAL... 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
POOL IV
PERIODIC PAYMENT CAP
<TABLE>
<CAPTION>
PERIODIC NUMBER OF AGGREGATE % OF AGGREGATE
PAYMENT CAP MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------- -------------- ----------------- ------------------
<S> <C> <C> <C>
0.0000%...... 143 $18,654,480.14 97.67%
7.5000....... 4 444,091.84 2.33
--- -------------- --------
TOTAL..... 147 $19,098,571.98 100.00%*
=== ============== ========
- ------------------------
</TABLE>
* Percentages may not add to 100% due to rounding.
S-87
