SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) NOVEMBER 24, 1997
MERRILL LYNCH MORTGAGE INVESTORS, INC.
(Exact name of registrant as specified in its charter)
DELAWARE 333-7569 13-3416059
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
250 Vesey Street, World Financial Center
NORTH TOWER, 10TH FLOOR, NEW YORK, NY 10281-1310
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (212) 449-0357
N/A
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
Item 5. OTHER EVENTS
This report and the attached exhibit is being filed pursuant to "no-action"
positions taken by the Securities and Exchange Commission with respect to
alternative means of satisfying the Registrant's reporting obligations under the
Securities Exchange Act of 1934, as amended, with respect to the Registrant's
Mortgage Loan Asset-Backed Certificates, Series 1997-FF3 (the "Certificates").
The Certificates were issued, and this report and exhibit are being filed,
pursuant to the terms of the Pooling and Servicing Agreement, dated as of
November 1, 1997 (the "Agreement"), among Merrill Lynch Mortgage Investors,
Inc., as depositor, First Franklin Financial Corporation, as master servicer,
Option One Mortgage Corporation, as servicer, and Texas Commerce Bank National
Association, as trustee (the "Trustee").
<PAGE>
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION
AND EXHIBITS.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials
<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 thereunto duly authorized.
MERRILL LYNCH MORTGAGE INVESTORS,
INC.
By: /S/ PETER J. CERWIN
Name: Peter J. Cerwin
Title: Vice President
Dated: November 24, 1997
<PAGE>
EXHIBIT INDEX
EXHIBIT
99.1 Computational Materials
EXHIBIT 99.1
First Franklin Financial Corporation
Mortgage Loan Asset Backed Certificates
Series 1997-FF3
Computational Materials
<PAGE>
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be superseded by the
applicable Prospectus Supplement and by any other information subsequently filed
with the Securities and Exchange Commission. The information herein may not be
provided by the addressees to any third party other than the addressee's legal,
tax, financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of any offer to buy nor shall
there be any sale of the securities discussed in this communication 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.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-5320.
Please be advised that asset-backed securities may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risk.
Investors should fully consider the risk of an investment in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
<TABLE>
<CAPTION>
EXPECTED AVG. LEGAL EXPECTED
CLASS RATINGS LIFE FINAL PAYMENT DAY
CLASS SIZE TRANCHE TYPE S&P/FITCH/DUFF TO CALL PAYMENT WINDOW COUNT
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $116,316,000 LIBOR Floater AAA 2.55 11/24/27 mo. 12/97-9/05 Act/360
Class A-2 $135,014,000 LIBOR Floater AAA 2.55 11/24/27 mo. 12/97-9/05 Act/360
Class M1 $19,506,000 LIBOR Floater AA 5.21 11/24/27 mo. 2/01-9/05 Act/360
Class M2 $19,506,000 LIBOR Floater A 5.17 11/24/27 mo. 1/01-9/05 Act/360
Class B $9,754,000 LIBOR Floater BBB 5.14 11/24/27 mo. 12/00-9/05 Act/360
Class R
</TABLE>
Mortgage Loan Seller & Master
Servicer: First Franklin Financial Corporation
Servicer: Option One
Depositor: Merrill Lynch Mortgage Investors
Trustee: Texas Commerce Bank, N.A.
Underwriters: Merrill Lynch & Co. (lead), PaineWebber
Prepayment Assumption: 25% CPR
Expected Pricing Date: Week of November 24, 1997
Expected Settlement Date: Week of December 3, 1997
Distribution Dates: The [25]th day of each month or, if such day
is not a business day, the next succeeding
business day, beginning on December [25],
1997
Registration: Holders of the Offered Certificates may hold
their interest in the Certificates through
DTC, Euroclear or CEDEL.
Optional Termination: At 10% of the Cut-Off Date Balance, the
Residual Holder may purchase the Mortgage
Loans (and any properties); if not exercised,
the Master Servicer or Servicer may exercise
such option at 5%. In the event the option is
exercised, the portion of the purchase price
allocable to each Class of Offered
Certificates will be, to the extent of
available funds, (i) 100% of the then
outstanding Class Certificate Balance, plus
(ii) one month's interest on the then
outstanding Class Certificate Balance at the
then applicable Pass-Through Rate, plus (iii)
any previously accrued but unpaid interest
theron, plus (iv) any related LIBOR Carryover
Amount.
Pass-Through Rate (Available
Funds): The Pass-Through Rate on each class of
Offered Certificates will be the lesser of:
i) the LIBOR Rate (1-month LIBOR plus the
applicable Pass-Through Margin) and ii) the
Available Funds Pass-Through Rate (the
weighted average mortgage rates minus the
servicing fee, master servicing fee and
trustee fee). The interest due will be net of
Relief Act Shortfalls.
LIBOR Carryover Amounts: If on any Distribution Date, the Pass-Through
Rate for a Class of Offered Certificates is
limited by the Available Funds Pass-Through
Rate, the "LIBOR Shortfall" and the aggregate
of such shortfalls from previous payment
dates, the "LIBOR Carryover Amount" together
with accrued interest at the Pass-Through
Rate will be carried forward to the next
Payment Date until paid. Payment will be made
from and to the limited extent of funds
available. The payment of LIBOR Carryover
Amounts is not rated.
Advancing: The Servicer will be obligated to make
Monthly Advances of delinquent principal and
interest (to the extent deemed recoverable)
and make Servicing Advances.
Prepayment Interest Shortfalls: The Servicer will be obligated to pay from
its own funds to cover Prepayment Interest
Shortfalls (but only to the extent of its
Servicing Fee).
Tax Status REMIC
ERISA Eligibility: The Class A Certificates will be ERISA
eligible. However, investors should consult
with their counsel with respect to the
consequences under ERISA and the Internal
Revenue Code of an ERISA Plan's acquisition
and ownership of such Certificates.
SMMEA Eligibility: The Class A and MI Certificates will
constitute "mortgage related securities" for
the purposes of SMMEA so long as they are
rated in at least the second highest rating
category by a Rating Agency. The Class M2 and
B Certificates will not constitute "mortgage
related securities".
Credit Enhancement: Class A Credit Enhancement
1. Excess cash
2. Subordination of Class M-1, M-2, and B
certificates, totaling 16.25% of the original
mortgage loan amount and
overcollateralization initially 0% and
building up to 2.0% of the original loan
amount.
Class M-1, M-2, and B Credit Enhancement
1. Excess cash
2. Class M-1 is enhanced by 9.75% in
subordinate certificates and O/C initially 0%
and building up to 2.0%;
3. Class M-2 is enhanced by 3.25% in
subordinate certificates and O/C initially 0%
and building up to 2.0%;
4. Class B is enhanced by O/C initially 0%
and building up to 2.0%.
Overcollateralization: 1. Before the stepdown date,
overcollateralization initially 0%, builds to
2.0% of the original mortgage loan amount
(subject to performance triggers);
2. On and after the stepdown date building to
4.0% of the outstanding mortgage loan balance
(subject to performance triggers);
3. Step down overcollateralization amount
subject to floors of 0.50% of the original
mortgage loan amount (subject to performance
triggers).
Application of Realized Losses: If the bonds outstanding exceed the Mortgage
Loans outstanding, the Class Certificate
Balance of the Class of Subordinated
Certificates then outstanding with the
highest numerical Class designation
(beginning with the Class B Certificates)
will be reduced by the amount of such excess.
Collateral: Adjustable rate, first lien Residential
Mortgage Loans
Total Collateral Amount (as
of 11/1/97): $300,096,194
Servicing Fees: Subservicer: 40 bps, Master Servicer 10 bps
Interest Accrual: Interest will accrue from the Distribution
Date in the month immediately preceding the
month in which such Distribution Date occurs
through the day before such Distribution Date
(or, in the case of the first Distribution
Date, from the Closing Date).
Payment Delay: 0 days
Coupon Step Up: If the 10% Optional Termination is not
exercised, the Pass-Through Margin of the
Class A Certificates will double and the
Pass-Through Margin on the Class M1, M2 and B
Certificates will increase by 50%.
DISTRIBUTIONS OF CASHFLOW
Interest Cashflow Priority: 1) to the Trustee, the Trustee Fee
2) to Class A Certificate holders, the
related Interest Distribution Amount plus the
Class A Carry Forward Amount;
3) to the Class M-1 Certificate holders, to
the extent of the Interest Remittance Amount
then remaining, the Class M1 Interest
Distribution Amount;
4) to the Class M-2 Certificate holders, to
the extent of the Interest Remittance Amount
then remaining, the Class M2 Interest
Distribution Amount;
5) to the Class B Certificate holders, to the
extent of the Interest Remittance Amount then
remaining, the Class B Interest Distribution
Amount; and
6) Build overcollateralization to the target
level (except in the first period where the
mortgage accrual will match the number of
days in the first bond accrual period).
7) Unpaid interest shortfalls and
reimbursements of principal writedowns on
mezzanine and subordinate bonds.
8) To fund the aggregate amount of LIBOR
Carryover Amount, among all Classes of
offered certificates in proportion to the
respective LIBOR Carryover Amounts for each
such class in the same priority order as
interest distributions.
9) To the retained Certificate holders.
Principal Cashflow Priority:
Collections of Principal before the Stepdown
Date, or during a trigger event, will be
allocated in the following priority: To the
Class A Certificate holders, 100% of the
Principal Distribution Amount until the Class
A Certificate Balance has been reduced to
zero; all principal relating to the Sub-Pool
I Mortgage Loans and Sub-Pool II Mortgage
Loans will be paid to the Class A-1
Certificates and Class A-2 Certificates,
respectively, together with the Extra
Principal Amount, which will be paid to the
Class A-1 and Class A-2 Certificates in the
same proportion as the Sub-Pool I and
Sub-Pool II Principal Distribution Amounts.
Collections of Principal on and after the
stepdown date (and if no trigger event is in
effect) will be allocated in the following
priority (cont.): Pay Class A-1, A-2, M-1,
M-2, and B pro-rata in accordance with
enhancement targets equal to 2.0 times the
initial enhancement for each class:
TARGETED % Target Credit
OF POOL Enhancement
Class A 63.5% 36.5%
Class M-1 13.0 23.5
Class M-2 13.0 10.5
Class B 6.5 4.0
Overcollateralization 4.0
100.0%
Stepdown Date
Stepdown Date is the earlier to occur of (i)
the later of (x) the Distribution Date in
December 2000 and (y) when credit enhancement
reaches its target level and (ii) when the
Class A Certificates are retired in full.
Trigger Events
[To be finalized with the rating agencies]
AVERAGE LIFE SENSITIVITY (TO CALL)
<TABLE>
<CAPTION>
CPR
0% 15% 20% 25% 30% 35% 40%
Avg.Life(yrs.)/
Expected final
(mos.)
CLASS
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 20.09/ 4.42/1 3.28/1 2.55/9 2.02/ 1.60/ 1.25/
348 60 20 4 76 64 54
Class A-2 20.07/ 4.41/1 3.28/1 2.55/9 2.02/ 1.60/ 1.25/
348 60 20 4 76 64 54
Class M-1 27.10/ 8.73/1 6.49/1 5.21/9 4.57/ 4.41/ 4.42/
348 60 20 4 76 64 54
Class M-2 27.10/ 8.73/1 6.49/1 5.17/9 4.42/ 4.03/ 3.87/
348 60 20 4 76 64 54
Class B 27.09/ 8.71/1 6.48/1 5.14/9 4.34/ 3.87/ 3.58/
348 60 20 4 76 64 54
</TABLE>
AVERAGE LIFE SENSITIVITY (TO MATURITY)
<TABLE>
<CAPTION>
CPR
0% 15% 20% 25% 30% 35% 40%
--
Avg.Life
(yrs.)/
Expected
final
(mos.)
CLASS
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 20.13/3 4.76/3 3.56/2 2.78/2 2.21/1 1.75/1 1.35/1
59 14 59 10 73 45 23
Class A-2 20.11/3 4.76/3 3.56/2 2.78/2 2.21/1 1.75/1 1.35/1
59 14 59 10 73 45 23
Class M-1 27.19/3 9.56/2 7.17/2 5.76/1 5.03/1 4.78/1 5.07/1
58 74 16 72 41 18 00
Class M-2 27.18/3 9.44/2 7.06/1 5.63/1 4.80/1 4.34/1 4.14/9
57 52 96 55 27 06 0
Class B 27.14/3 9.00/2 6.70/1 5.32/1 4.49/1 3.99/8 3.68/7
54 06 57 24 01 4 1
</TABLE>
<PAGE>
MORTGAGE LOAN CHARACTERISTICS
The following summarizes the characteristics
of the Mortgage Loans (percentages are based
on the aggregate Scheduled Principal Balances
as of November 1, 1997)
Aggregate Current Principal Balances $300,096,194.01
Average Current Principal Balances $148,709.71
Range of Current Principal Balances $22,329.60 - $675,000.00
Average Original Principal Balances $148,827.29
Range of Original Principal Balances Min - $22,350.00
Max - $675,000.00
Mortgage Interest Rates
Weighted Average By Type of Index
Six Month LIBOR 8.555%
2/28/LIBOR 9.253%
1/29/LIBOR 8.762%
Gross Margin Range
Six Month LIBOR 3.375% - 6.875%
2/28/LIBOR 3.375% - 7.500%
1/29/LIBOR 3.500% - 8.000%
Current Weighted Average 9.129%
Mortgage Interest Rate
Range of Current Mortgage 6.625% - 12.750%
Interest Rates
Weighted Average Gross Margin 5.003%
Range of Gross Margin 3.375% - 8.000%
Weighted Average Maximum
Lifetime Mortgage Interest Rate 15.129%
Range of Maximum Lifetime 12.625% - 18.750%
Mortgage Interest Rates
Weighted Average Lifetime 9.129%
Minimum Mortgage Interest Rate
Range of Minimum Lifetime 6.625% - 12.750%
Mortgage Interest Rates
Weighted Average 78.9%
Loan-to-Value Ratio
Weighted Average Original 360
Amortization Term
Weighted Average Remaining 359
Amortization Term
Weighted Average Initial 2.720%
Periodic Cap
Range of Initial Periodic Cap 1.00%-3.00%
Weighted Average Periodic Cap 1.00%
Weighted Average Months to 19.66
Interest Roll
Range of Months to Interest Roll 1-25
Weighted Average Interest 6
Roll Frequency
Weighted Average FICO Score 631 *
Range of FICO Score 439 - 802
Mortgaged Premises
Single-family dwellings 76.24%
Planned unit development 14.57%
Two-to-four family dwellings 2.58%
Manufactured Homes 0.49%
Condominiums 6.12%
Max Zip Code Concentration (%) 0.79%
Max Zip Code Concentration (zip) 95023
Max Zip Code Concentration (state) CA
* Excluding 19 loans which do not have an
available score.
<PAGE>
MORTGAGE LOAN CHARACTERISTICS - SUB-POOL I
The following summarizes the characteristics
of the Mortgage Loans (percentages are based
on the Sub-Pool I Scheduled Principal
Balances as of November 1, 1997)
Aggregate Current Principal Balances $138,884,976.92
Average Current Principal Balances $134,578.47
Range of Current Principal Balances $75,120.00-$213,988.45
Average Original Principal Balances $134,673.85
Range of Original Principal Balances $75,120.00-$214,200.00
Mortgage Interest Rates
Weighted Average By Type of Index
Six Month LIBOR 8.445%
2/28/LIBOR 9.276%
1/29/LIBOR 8.814%
Gross Margin Range
Six Month LIBOR 3.375% - 6.750%
2/28/LIBOR 3.375% - 7.375%
1/29/LIBOR 3.500% - 7.125%
Current Weighted Average Mortgage
Interest Rate 9.162%
Range of Current Mortgage Interest Rates 6.625% - 12.375%
Weighted Average Gross Margin 5.005%
Range of Gross Margin 3.375% - 7.375%
Weighted Average Maximum Lifetime
Mortgage Interest Rate 15.162%
Range of Maximum Lifetime Mortgage
Interest Rates 12.625%
Weighted Average Lifetime Minimum
Mortgage Interest Rate 9.162%
Range of Minimum Lifetime Mortgage
Interest Rates 6.625% - 12.375%
Weighted Average Loan-to-Value Ratio 79.6%
Weighted Average Original
Amortization Term 360
Weighted Average Remaining
Amortization Term 359
Weighted Average Initial Periodic Cap 2.739%
Range of Initial Periodic Cap 1.0% - 3.0%
Weighted Average Periodic Cap 1.0%
Weighted Average Months to Interest Roll 19.98
Range of Months to Interest Roll 2-25
Weighted Average Interest Roll Frequency 6
Weighted Average FICO Score 633
Range of FICO Score 502 - 802
Mortgaged Premises
Single-family dwellings 100%
Max Zip Code Concentration (%) 0.91%
Max Zip Code Concentration (zip) 95023
Max Zip Code Concentration (state) CA
<PAGE>
MORTGAGE LOAN CHARACTERISTICS - SUB-POOL
II
The following summarizes the characteristics
of the Mortgage Loans (percentages are based
on the Sub-Pool II Scheduled Principal
Balances as of November 1, 1997)
Aggregate Current Principal Balances $161,211,217.09
Average Current Principal Balances $163,500.22
Range of Current Principal Balances $22,329.60 - $675,000.00
Average Original Principal Balances $163,641.03
Range of Original Principal Balances $22,350.00 - $675,000.00
Mortgage Interest Rates
Weighted Average By Type of Index
Six Month LIBOR 8.651%
2/28/LIBOR 9.232%
1/29/LIBOR 8.725%
Gross Margin Range
Six Month LIBOR 4.000% - 6.875%
2/28/LIBOR 3.375% - 7.500%
1/29/LIBOR 3.500% - 8.000%
Current Weighted Average Mortgage
Interest Rate 9.101%
Range of Current Mortgage Interest Rates 6.625% - 12.750%
Weighted Average Gross Margin 5.000%
Range of Gross Margin 3.375% - 8.000%
Weighted Average Maximum Lifetime
Mortgage Interest Rate 15.101%
Range of Maximum Lifetime
Mortgage Interest Rates 12.625% - 18.750%
Weighted Average Lifetime Minimum
Mortgage Interest Rate 9.101%
Range of Minimum Lifetime
Mortgage Interest Rates 6.625% - 12.750%
Weighted Average Loan-to-Value Ratio 78.3%
Weighted Average Original Amortization Term 360
Weighted Average Remaining Amortization Term 359
Weighted Average Initial Periodic Cap 2.703%
Range of Initial Periodic Cap 1%-3%
Weighted Average Periodic Cap 1.0%
Weighted Average Months to Interest Roll 19.38
Range of Months to Interest Roll 1-24
Weighted Average Interest Roll Frequency 6
Weighted Average FICO Score 630*
Range of FICO Score 439 - 794
Mortgaged Premises
Single-family dwellings 55.75%
Planned unit developments 27.13%
Two-to-four family dwellings 4.81%
Manufactured Homes 0.91%
Condominiums 11.40%
Max Zip Code Concentration (%) 1.18%
Max Zip Code Concentration (zip) 92688
Max Zip Code Concentration (state) CA
* Excluding 19 loans which do not have an
available score.
<PAGE>
THE MORTGAGE LOAN POOL
General: All the Mortgage Loans will be originated or
acquired by the Seller generally in
accordance with its mortgage loan program as
described in the Prospectus Supplement. As a
general matter, the Mortgage Loan Seller's
underwriting standards are primarily intended
to assess the ability and willingness of the
borrower to repay the debt and to evaluate
the adequacy of the mortgaged property as
collateral for the mortgage loan. All of the
Mortgage Loans were underwritten with a view
toward the resale thereof in the secondary
mortgage market. The Mortgage Loan Seller
considers, among other things, a mortgagor's
credit history, repayment ability and debt
service to income ratio, as well as the
value, type and use of the mortgaged
property.
The Mortgage Loans generally bear higher
rates of interest than mortgage loans that
are originated in accordance with FNMA and
FHLMC standards, and may experience rates of
delinquencies and foreclosures that are
higher, and that may be substantially higher,
than those experienced by portfolios of
mortgage loans underwritten in a more
traditional manner.
Substantially all of the Mortgage Loans
originated by the Mortgage Loan Seller are
based on loan application packages submitted
through mortgage brokerage companies.
Underwriting Standards: The Mortgage Loan Seller has two underwriting
programs, the Standard Program and the Direct
Access Program and three documentation
programs within each, the Full Documentation
Program, the Limited Income Verification
Program ("LIV") and the No Income
Verification Program ("NIV"). The mortgage
loan programs utilize various risk categories
to grade the likelihood that the applicant
will satisfy the repayment conditions of the
loan. These risk categories establish the
maximum permitted LTV and loan amount, given
the occupancy status of the mortgaged
property and the applicant's credit history
and Debt Ratio. Under the Standard Program,
the risk categories are defined by letter
grade, A1, A-, B, C and D. The Direct Access
Program, in contrast, makes use of Credit
Bureau Risk Scores. A Credit Bureau Risk
Score is a statistical ranking of likely
future credit performance developed the Fair,
Isaac & Company and the three national credit
repositories -- Equifax, Trans Union and
Experion (formerly TRW). The Credit Bureau
Risk Scores available from the three national
credit repositories are calculated by the
assignment of weightings to the most
predictive data collected by the credit
repositories and range from the 400s to the
800s. The Credit Bureau Risk Score is used as
an aid to, not a substitute for, the
underwriter's judgment.
The Credit Bureau Risk Score, along with LTV,
is an important tool in assessing the
creditworthiness of a Direct Access borrower.
However, these two factors are not the only
considerations in underwriting a Direct
Access loan. The Mortgage Loan Seller's
underwriting staff fully reviews each Direct
Access loan to determine whether the Mortgage
Loan Seller's guidelines for income, assets,
employment and collateral are met. The
Mortgage Loan Seller's guidelines under the
direct Access Program generally have the
following criteria for borrower eligibility
for the specified Credit Bureau Risk Score
range:
"* 620": collections, charge-offs, or
judgments not affecting title with individual
balances of $1,000 or less may remain open
after the funding of the loan unless the time
elapsed since the collection, charge-off, or
judgment exceeds three years. No liens or
judgments affecting title may remain open
after the funding of the loan. The maximum
LTV of 90% is permitted for owner occupied
single family property. The maximum LTV
generally is reduced by 5% on a mortgaged
property consisting of 2-4 units and
condominium properties and reduced by 5-10%
on properties with rural characteristics.
LTVs for non-owner occupied properties and
second homes are limited to 80%. The Debt
Ratio generally may not exceed 50% or, if the
LTV does not exceed 80% the Debt Ratio may
not exceed 60%.
"600-619": collections, charge-offs, or
judgments not affecting title with individual
balances of $1,000 or less may remain open
after the funding of the loan unless the time
elapsed since the collection, charge-off, or
judgment exceeds three years. No liens or
judgments affecting title may remain open
after the funding of the loan. A maximum LTV
of 90% is permitted for a purchase,
rate/term, or debt consolidation transaction
and 85% for a cash-out transaction on an
owner occupied single family property. The
maximum LTV generally is reduced by 5% on a
mortgaged property consisting of 2-4 units
and condominium properties and reduced by
5-10% on properties with rural
characteristics. LTVs for non-owner occupied
properties and second homes are limited to
80%. The Debt Ratio generally may not exceed
55% or, if the LTV does not exceed 75% the
Debt Ratio may not exceed 60%.
"570-599": collections, charge-offs, or
judgments not affecting title with individual
balances of $1,500 or less may remain open
after the funding of the loan unless the time
elapsed since the collection, charge-off, or
judgment exceeds two years. No liens or
judgments affecting title may remain open
after the funding of the loan. A maximum LTV
of 85% is permitted for a purchase,
rate/term, or debt consolidation transaction
and 80% for a cash-out transaction on an
owner occupied single family property. The
maximum LTV generally is reduced by 5% on a
mortgaged property consisting of 2-4 units
and condominium properties and reduced by
5-10% on properties with rural
characteristics. LTVs for non-owner occupied
properties are limited to 70% and second
homes are limited to 75%. Generally, Debt
Ratios must be 50% or less, but this may
increase to 55% and 60% at reduced LTVs. Debt
Ratios greater than 55% require a
predetermined minimum monthly gross income.
"550-569": Collections, charge-offs, or
judgments not affecting title with individual
balances of $2,500 or less may remain open
after the funding of the loan unless the time
elapsed since the collection, charge-off, or
judgment exceeds 12 months. No liens or
judgments affecting title may remain open
after the funding of the loan. A maximum LTV
of 80% is permitted for a purchase,
rate/term, or debt consolidation transaction
and 75% for a cash-out transaction on an
owner occupied single family property. The
maximum LTV generally is reduced by 5% on a
mortgaged property consisting of 2-4 units
and condominium properties and reduced by
5-10% on properties with rural
characteristics. LTVs for non-owner occupied
properties and second homes are limited to
65%. Debt Ratios must be 60% or less. Debt
Ratios greater than 55% require a
predetermined minimum monthly gross income.
The Mortgage Loan Seller's guidelines under
the Standard Program generally have the
following categories and criteria for grading
the potential likelihood that an applicant
will satisfy the repayment obligations of a
mortgage loan:
"A1": Within the A1 risk category, the
applicant must have demonstrated steady
employment over the last two years. The
applicant must have generally repaid
installment and revolving debt according to
its terms with a maximum of 25% of total
credit no more than 30 days delinquent in the
past 12 months. A maximum of one 30- day late
payment and no 60-day late payments within
the last 12 months are permitted on an
existing mortgage loan for LTVs up to and
including 80% (no 30 day late payments are
permitted for LTVs greater than 80%).
Collections, charge-offs, or judgments not
affecting title with individual balances of
$500 of less may remain open after the
funding of the loan. No liens or judgments
affecting title to the property may remain
open after the funding of the loan. No
bankruptcy, discharge or notice of default
filings may have occurred during the
preceding three years. The mortgaged property
must be in at least average condition. A
maximum LTV of 90% is permitted for an owner
occupied single family property. The maximum
LTV generally is reduced by 5% on a mortgaged
property consisting of two-to-four units and
condominium properties and reduced by 5-10%
on properties with rural characteristics.
LTVs for non-owner occupied properties and
second homes are limited to 80%. The Debt
Ratio generally may not exceed 45%.
"A-": Within the A- risk category, the
applicant must have demonstrated steady
employment over the last two years. The
applicant generally must have repaid
installment and revolving debt according to
its terms with a maximum of 50% of total
credit no more than 30 days delinquent in the
last 12 months, except for isolated minor
occurrences up to 60 days delinquent. A
maximum of two 30-day late payments within
the last 12 months are permitted on an
existing mortgage loan. Collections,
charge-offs, or judgments not affecting title
with balances of $1,000 or less may remain
open after the funding of the loan unless the
time elapsed since the occurrence exceeds
three years. No liens or judgments affecting
title to the property may remain open. No
bankruptcy discharge may have occurred during
the preceding two years while no notice of
default filing may have occurred during the
preceding three years. The mortgage property
must be in at least average condition. A
maximum LTV of 90% is permitted for a
purchase and 85% for a refinance mortgage
loan on an owner occupied single family
property. The maximum LTV generally is
reduced by 5% on a mortgaged property
consisting of two-to-four units and
condominium properties and reduced by 5-10%
on properties with rural characteristics.
LTVs for non-owner occupied properties
generally are limited to 80% purchase, 75%
refinance, and second homes are limited to
80% purchase or refinance. Generally, the
Debt Ratio may not exceed 47%, however, this
may be allowed to increase to 55% based on
reduced LTVs. Debt Ratios greater than 50%
require a predetermined minimum monthly gross
income.
"B": Within the B risk category, the
applicant must have demonstrated steady
employment over the last two years. The
applicant must have generally repaid
installment and revolving debt according to
its terms with a maximum of one 90-day late
payment permitted on any account in the last
12 months. A maximum of four 30- day late
payments and no 60-day late payments, or
three 30-day late payments and one 60-day
late payment within the last 12 months are
permitted on an existing mortgage loan. No
bankruptcy, discharge or notice of default
filings may have occurred during the
preceding two years. For LTVs of 75% and
less, the bankruptcy may have been discharged
at least 12 months (instead of 24 months).
Collections, charge-offs, or judgments not
affecting title with balances of $1,500 or
less may remain open after the funding of the
loan unless the time elapsed since the
occurrence exceeds two years. No liens or
judgments affecting title to the property may
remain open after the funding of the loan.
The mortgaged property must be in at least
average condition. A maximum LTV of 80% is
permitted for an owner occupied single family
property. The maximum LTV generally is
reduced by 5% on a mortgaged property
consisting of two-to-four units and
condominium properties and reduced by 5-10%
on properties with rural characteristics.
LTVs for non-owner occupied properties
generally are limited to 70% and second homes
are limited to 75%. Generally, the Debt Ratio
must be 50% or less, but this may increase to
60% at reduced LTVs. Debt Ratios greater than
50% require a predetermined minimum monthly
gross income.
"C": Within the C risk category, the
applicant must have demonstrated steady
employment over the last 12 months. The
applicant may have experienced significant
credit problems in the past. Consumer credit
derogatory items may not exceed one 120-day
delinquent on any account in the last 12
months. A maximum of six 30-day, two 60-day,
and one 90-day late payments within the last
12 months are permitted on an existing
mortgage loan. An existing mortgage loan is
not required to be current at the time the
application is submitted, however, an
existing mortgage loan can be no more than 90
days delinquent at the time of loan closing.
No notice of foreclosure filing may have
occurred during the preceding 12 months. For
LTVs of greater than 70%, no bankruptcy
filing or discharge may have occurred during
the preceding 12 months. For LTVs of 70% or
less, any Chapter 7 bankruptcy must have been
discharged prior to loan closing; however, a
Chapter 13 may be paid at closing provided a
mortgage pay history reflects no more than
two 30-day late payments since the bankruptcy
filing and the payments to the bankruptcy
trustee have been made timely. Collections,
charge-offs, or judgments not affecting title
with balances of $2,500 or less may remain
open after the funding of the loan unless the
time elapsed since the occurrence exceeds two
years. No liens or judgments affecting title
to the property may remain open after the
funding of the loan. The mortgaged property
must be in at least average condition. A
maximum LTV of 80% is permitted for an owner
occupied single family property, while 65%
LTV is permitted for non-owner occupied
properties or second homes. The maximum LTV
generally is reduced by 5% on a mortgaged
property consisting of two-to-four units and
reduced by 5-10% on properties with rural
characteristics. LTVs for condominium units
generally are restricted to 70% LTV.
Generally, the Debt Ratio must be 55% or
less, but this may increase to 60% at reduced
LTVs. Debt Ratios greater than 50% require a
predetermined minimum monthly gross income.
"D": Within the D risk category, the
applicant may have experienced significant
credit problems in the past. An existing
mortgage loan is not required to be current
at the time the application is submitted,
however, an existing mortgage loan can be no
more than 120 days delinquent at the time of
loan closing. Notice of foreclosure filings
must be consummated prior to loan closing. An
open Notice of Default (NOD) may be paid
through loan proceeds on an owner occupied
primary residence only to a maximum 65% LTV.
Any Chapter 7 bankruptcy must have been
discharged prior to loan closing; however, a
Chapter 13 bankruptcy may be paid at closing
provided a mortgage pay history reflects no
more than four 30-day late payments since the
bankruptcy filing and the payments to the
bankruptcy trustee have been made timely.
Collections, charge-offs, or judgments not
affecting title may remain open after the
funding of the loan. All liens and judgments
affecting title to the property must be paid
in full at closing. The mortgaged property
must be in at least average condition. A
maximum LTV of 70% is permitted for an owner
occupied single family property only. The
maximum LTV generally is reduced by 5% on a
mortgaged property consisting of two-to-four
units and condominium properties. Generally,
the Debt Ratio may not exceed 60%. Debt
Ratios greater than 50% require a
predetermined minimum monthly gross income.
For all of the above, collections,
charge-offs, judgments and liens not
affecting title may remain open for LTVs *
75%.
Prospectus: The Certificates are being offered pursuant
to a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus").
Complete information with respect to the
Certificates and the Collateral is contained
in the Prospectus. The foregoing is qualified
in its entirety by the information appearing
in the Prospectus. To the extend that the
foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in
all respects. Sales of the Certificates may
not be consummated unless the purchaser has
received the Prospectus.
<PAGE>
PRINCIPAL BALANCES AT ORIGINATION
% OF
AGGREGATE AGGREGATE
NUMBER ORIGINAL ORIGINAL
RANGE OF ORIGINATION DATE PRINCIPAL OF LOANS PRINCIPAL PRINCIPAL
BALANCES
$ 0.01- 25,000.00 4 $ 95,750 0.03
25,000.01- 50,000.00 68 2,845,140 0.95
50,000.01- 75,000.00 223 14,401,525 4.80
75,000.01- 100,000.00 312 27,521,828 9.16
100,000.01- 125,000.00 308 34,742,114 11.57
125,000.01- 150,000.00 317 43,308,486 14.42
150,000.01- 175,000.00 207 33,535,354 11.17
175,000.01- 200,000.00 189 35,452,763 11.80
200,000.01- 225,000.00 112 23,690,832 7.89
225,000.01- 250,000.00 71 16,917,411 5.63
250,000.01- 275,000.00 53 13,917,374 4.63
275,000.01- 300,000.00 45 12,978,075 4.32
300,000.01- 325,000.00 30 9,359,968 3.12
325,000.01- 350,000.00 26 8,827,900 2.94
350,000.01- 375,000.00 17 6,150,900 2.05
375,000.01- 400,000.00 10 3,893,250 1.30
400,000.01- 425,000.00 5 2,071,000 0.69
425,000.01- 450,000.00 3 1,320,000 0.44
450,000.01- 500,000.00 10 4,730,250 1.57
500,000.01- 550,000.00 4 2,096,750 0.70
550,000.01- 600,000.00 2 1,156,800 0.39
600,000.01- 650,000.00 1 645,000 0.21
650,000.01- 700,000.00 1 675,000 0.22
----- ------------- --------
Total 2,018 $300,333,470 100.00%
<PAGE>
PRINCIPAL BALANCES AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
RANGE OF CUT-OFF DATE PRINICPAL OF LOANS CUT-OFF DATE THE CUT-OFF DATE
BALANCES
$0.01 - 25,000.00 4 $ 95,672 0.03
25,000.01- 50,000.00 68 2,842,876 0.95
50,000.01- 75,000.00 223 14,389,556 4.79
75,000.01- 100,000.00 312 27,503,008 9.16
100,000.01- 125,000.00 309 34,839,119 11.61
125,000.01- 150,000.00 316 43,146,673 14.38
150,000.01- 175,000.00 207 33,508,172 11.17
175,000.01- 200,000.00 189 35,432,478 11.81
200,000.01- 225,000.00 112 23,675,116 7.89
225,000.01- 250,000.00 71 16,905,959 5.63
250,000.01- 275,000.00 53 13,908,842 4.63
275,000.01- 300,000.00 45 12,952,027 4.32
300,000.01- 325,000.00 30 9,353,320 3.12
325,000.01- 350,000.00 26 8,821,945 2.94
350,000.01- 375,000.00 17 6,147,175 2.05
375,000.01- 400,000.00 10 3,890,496 1.3
400,000.01- 425,000.00 5 2,069,555 0.69
425,000.01- 450,000.00 3 1,317,846 0.44
450,000.01- 500,000.00 10 4,725,745 1.57
500,000.01+ 8 4,570,614 1.52
----- ------------ ------
Total 2,018 $300,096,194 100.00%
<PAGE>
PROPERTY TYPES
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
PROPERTY TYPE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Single Family 1,562 $228,771,339 76.24
Planned Unit Development 252 43,737,393 14.57
Deminimus PUD 0 0 0
Condo 141 18,376,779 6.12
Two- to Four-Family 47 7,747,013 2.58
Manufactured Housing 16 1,463,670 0.49
Total 2,018 $300,096,194 100.00%
<PAGE>
OCCUPANCY STATUS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
OCCUPANCY OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Non Owner-Occupied 115 $ 11,067,183 3.69
Owner-Occupied 1,903 289,029,011 96.31
----- ------------ --------
Total 2,018 $300,096,194 100.00%
<PAGE>
MORTGAGE RATES AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
RANGE OF MORTGAG RATES OF LOANS CUT-OFF DATE THE CUT-OFF DATE
6.500- 6.999 5 $ 1,328,906 0.44
7.000- 7.499 7 1,310,275 0.44
7.500- 7.999 91 16,169,979 5.39
8.000- 8.499 296 47,204,353 15.73
8.500- 8.999 512 78,715,586 26.23
9.000- 9.499 358 51,654,295 17.21
9.500- 9.999 411 61,540,350 20.51
10.000-10.499 162 21,596,416 7.20
10.500-10.999 106 12,574,267 4.19
11.000-11.499 38 4,753,517 1.58
11.500-11.999 19 2,161,558 0.72
12.000-12.499 8 777,663 0.26
12.500-12.999 5 309,029 0.10
----- ------------- -------
Total 2,018 $300,096,194 100.00%
<PAGE>
ORIGINAL LOAN-TO-VALUE RATIOS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
RANGE OF ORIGINAL LOAN-TO-VALUE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
RATIOS
10.01-20.00 1 $ 74,955 0.02
20.01-30.00 7 389,780 0.13
30.01-40.00 9 477,955 0.16
40.01-50.00 28 2,543,629 0.85
50.01-60.00 81 9,447,003 3.15
60.01-70.00 237 31,296,638 10.43
70.01-80.00 1,159 173,585,353 57.84
80.01-90.00 496 82,280,881 27.42
------ ------------ ------
Total 2,018 $300,096,194 100.00%
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
STATE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Alabama 5 $ 549,346 0.18
Arizona 92 9,961,491 3.32
California 1,068 184,642,658 61.52
Colorado 85 10,722,658 3.57
Florida 3 205,821 0.07
Georgia 1 78,237 0.03
Idaho 9 980,883 0.33
Illinois 11 2,062,793 0.69
Indiana 6 420,881 0.14
Michigan 23 2,329,602 0.78
Minnesota 1 109,600 0.04
Montana 1 63,977 0.02
New Mexico 40 4,989,721 1.66
Nevada 43 4,820,144 1.61
Ohio 6 654,026 0.22
Oregon 232 28,005,651 9.33
Utah 179 22,580,134 7.52
Washington 200 25,665,968 8.55
Wisconsin 13 1,252,603 0.42
----- ------------ -------
Total 2,018 $300,096,194 100.00%
<PAGE>
PURPOSE OF THE MORTGAGE LOAN PROGRAMS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
LOAN PURPOSE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Cashout 534 $ 71,376,686 23.79
Purchase 1,185 182,585,821 60.84
Refinance 299 46,133,687 15.37
----- ------------ ------
Total 2,018 $300,096,194 100.00%
<PAGE>
MORTGAGE LOAN PROGRAMS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
DOCUMENTATION OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Full Documentation Program 1,690 $251,724,435 83.88
Limited Income Verification 66 10,219,613 3.41
No Income Verification 262 38,152,146 12.71
--- ---------- ------
Total 2,018 $300,096,194 100.00%
<PAGE>
MORTGAGE LOAN RISK CATEGORIES
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
RISK CATEGORIES OF LOANS CUT-OFF DATE THE CUT-OFF DATE
Direct Access 1,299 $196,093,393 65.34
A1 200 33,988,418 11.33
A- 231 36,186,329 12.06
B 143 18,517,167 6.17
C 106 11,293,339 3.76
D 39 4,017,548 1.34
-- ---------- -------
Total 2,018 $300,096,194 100.00%
<PAGE>
CREDIT BUREAU RISK SCORE FOR DIRECT ACCESS LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
CREDIT BUREAU RISK SCORE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
541 - 560 11 $ 1,622,225 0.83
561 - 580 57 7,600,180 3.88
581 - 600 86 11,892,314 6.06
601 - 620 192 28,721,943 14.65
621 - 640 231 36,875,113 18.8
641 - 660 246 38,385,480 19.58
661 - 680 181 28,675,067 14.62
681 - 700 98 14,214,905 7.25
701 - 720 74 10,288,722 5.25
721 - 740 53 7,555,909 3.85
741 - 760 45 6,785,333 3.46
761 - 780 14 2,170,138 1.11
781 - 800 9 1,122,331 0.57
801 - 820 2 183,733 0.09
- -------- ----
Total 1,299 $196,093,393 100.00%
<PAGE>
MAXIMUM MORTGAGE RATES
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
MAXIMUM MORTGAGE RATE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
12.500-12.999 5 $ 1,328,906 0.44
13.000-13.499 7 1,310,275 0.44
13.500-13.999 91 16,169,979 5.39
14.000- 14.499 296 47,204,353 15.73
14.500- 14.999 512 78,715,586 26.23
15.000- 15.499 358 51,654,295 17.21
15.500-15.999 411 61,540,350 20.51
16.000- 16.499 162 21,596,416 7.20
16.500-16.999 106 12,574,267 4.19
17.000-17.499 38 4,753,517 1.58
17.500- 17.999 19 2,161,558 0.72
18.000-18.499 8 777,663 0.26
18.500- 18.999 5 309,029 0.1
- --------
Total 2,018 $300,096,194 100.00%
<PAGE>
MINIMUM MORTGAGE RATES
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
MINIMUM MORTGAGE RATES OF LOANS CUT-OFF DATE THE CUT-OFF DATE
6.500-6.999 5 $ 1,328,906 0.44
7.000-7.499 7 1,310,275 0.44
7.500-7.999 91 16,169,979 5.39
8.000-8.499 296 47,204,353 15.73
8.500-8.999 512 78,715,586 26.23
9.000-9.499 358 51,654,295 17.21
9.500-9.999 411 61,540,350 20.51
10.000-10.499 162 21,596,416 7.20
10.500-10.999 106 12,574,267 4.19
11.000-11.499 38 4,753,517 1.58
11.500-11.999 19 2,161,558 0.72
12.000-12.499 8 777,663 0.26
12.500-12.999 5 309,029 0.10
- -------- ------
Total 2,018 $300,096,194 100.00%
<PAGE>
GROSS MARGIN
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
GROSS MARGIN OF LOANS CUT-OFF DATE THE CUT-OFF DATE
3.250-3.499 4 $1,065,422 0.36
3.500-3.749 15 2,727,305 0.91
3.750-3.999 57 8,624,809 2.87
4.000-4.249 217 34,298,341 11.43
4.250-4.499 181 26,349,996 8.78
4.500-4.749 239 35,754,561 11.91
4.750-4.999 226 36,359,525 12.12
5.000-5.249 256 41,133,466 13.71
5.250-5.499 228 32,297,293 10.76
5.500-5.749 206 30,803,400 10.26
5.750-5.999 143 18,988,344 6.33
6.000-6.249 87 11,385,242 3.79
6.250-6.499 72 9,507,371 3.17
6.500-6.749 44 5,673,332 1.89
6.750-6.999 22 3,208,998 1.07
7.000-7.249 11 1,176,457 0.39
7.250-7.499 7 563,747 0.19
7.500-7.749 2 125,000 0.04
8.000-8.249 1 53,585 0.02
- ------- ----
Total 2,018 $300,096,194 100.00%
<PAGE>
NEXT ADJUSTMENT DATES FOR THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL PRINCIPAL
BALANCE BALANCE
OUTSTANDING AS OUTSTANDING AS
NUMBER OF THE OF
MONTH OF NEXT ADJUSTMENT DATE OF LOANS CUT-OFF DATE THE CUT-OFF DATE
12/1/97 1 $ 483,771 0.16
1/1/98 4 370,100 0.12
2/1/98 5 1,134,060 0.38
3/1/98 22 2,965,479 0.99
4/1/98 21 2,776,893 0.93
5/1/98 34 5,540,418 1.85
6/1/98 7 1,287,065 0.43
7/1/98 7 1,576,100 0.53
8/1/98 17 3,068,048 1.02
9/1/98 94 15,701,392 5.23
10/1/98 95 15,932,976 5.31
11/1/98 104 19,033,457 6.34
1/1/99 1 159,205 0.05
3/1/99 1 101,724 0.03
4/1/99 1 83,760 0.03
5/1/99 4 728,095 0.24
6/1/99 34 4,400,489 1.47
7/1/99 40 5,415,154 1.80
8/1/99 94 12,077,792 4.02
9/1/99 505 72,100,396 24.03
10/1/99 463 68,536,796 22.84
11/1/99 463 66,474,274 22.15
12/1/99 1 148,750 0.05
- -------- ----
Total 2,018 $300,096,194 100.00%
<PAGE>
COMPUTATIONAL
MATERIALS
