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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: September 9, 1999
(Date of earliest event reported)
PaineWebber Mortgage Acceptance Corporation IV (as depositor under the Pooling
and Master Servicing Agreement, dated as of September 1, 1999, relating to the
Fremont Home Loan Trust 1999-3, Home Loan Asset Backed Certificates, Series
1999-3)
PaineWebber Mortgage Acceptance Corporation IV
- --------------------------------------------------------------------------------
(Exact Name of Registrant as Specified in Charter)
Delaware 333-79283 06-1204982
- --------------------------------------------------------------------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
1285 Avenue of the Americas
New York, New York 10019
- --------------------------------------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 713-2000
- --------------------------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
ITEM 5. Other Events
Attached as exhibits are certain Structural Term Sheets, Collateral
Term Sheets and Computational Materials (as defined in the no-action letter
dated May 20, 1994 issued by the Securities and Exchange Commission to Kidder,
Peabody Acceptance Corporation-I, Kidder, Peabody & Co. Incorporated and Kidder
Structured Asset Corporation (the "Kidder Letter") as modified by a no-action
letter (the "First PSA No-Action Letter") issued by the staff of the Commission
on May 27, 1994 to the Public Securities Association (the "PSA") and as further
modified by a no-action letter (the "Second PSA No-Action Letter") issued by the
staff of the Commission on March 9, 1995 to the PSA) prepared by PaineWebber
Incorporated, Chase Securities Inc., Credit Suisse First Boston, First Union
Capital Markets Corp, Deutsche Bank Securities, Inc. and Banc One Capital
Markets, Inc., as applicable, which are hereby filed pursuant to such letter.
<PAGE>
ITEM 7. Financial Statements and Exhibits
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99.1) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by PaineWebber
Incorporated in connection with
Fremont Home Loan Trust 1999-3, Home
Loan Asset Backed Certificates, Series
1999-3
(99.2) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Chase
Securities Inc. in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
(99.3) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Credit Suisse
First Boston in connection with
Fremont Home Loan Trust 1999-3, Home
Loan Asset Backed Certificates, Series
1999-3
(99.4) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by First Union
Capital Markets Corp. in connection
with Fremont Home Loan Trust
1999-3, Home Loan Asset Backed
Certificates, Series 1999-3
(99.5) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Banc One
Capital Markets, Inc. in connection
with Fremont Home Loan Trust
1999-3, Home Loan Asset Backed
Certificates, Series 1999-3
(99.6) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Deutsche Bank
Securities, Inc. in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
<PAGE>
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.
PAINEWEBBER MORTGAGE ACCEPTANCE
CORPORATION IV
September 10, 1999
By: /s/ Barbara Dawson
--------------------------------------
Name: Barbara Dawson
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99.1) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by PaineWebber
Incorporated in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
(99.2) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by Chase
Securities Inc. in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
(99.3) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by Credit Suisse
First Boston in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
(99.4) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by First Union
Capital Markets Corp. in connection
with Fremont Home Loan Trust
1999-3, Home Loan Asset Backed
Certificates, Series 1999-3
(99.5) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by Banc One
Capital Markets, Inc. in connection
with Fremont Home Loan Trust
1999-3, Home Loan Asset Backed
Certificates, Series 1999-3
(99.6) Structural Term Sheets, Collateral E
Term Sheets and Computational
Materials prepared by Deutsche Bank
Securities, Inc. in connection with
Fremont Home Loan Trust 1999-3,
Home Loan Asset Backed
Certificates, Series 1999-3
- --------------------------------------------------------------------------------
FREMONT HOME LOAN TRUST 1999-3
- --------------------------------------------------------------------------------
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
------------------------------
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as one of the underwriters for the Fremont Home
Loan Trust 1999-3, Home Loan Asset-Backed Certificates, Series 1999-3, and not
by or as agent for Fremont Investment & Loan or any of its affiliates
(collectively, the "Transferor" and "Master Servicer") or for PaineWebber
Mortgage Acceptance Corporation IV (the "Depositor"). Neither the Depositor nor
the Transferor has prepared, reviewed or participated in the preparation hereof,
nor are they responsible for the accuracy hereof and they have not authorized
the dissemination hereof. The analysis in this report is accurate to the best of
PW's knowledge and is based on information provided by the Transferor. PW makes
no representations as to the accuracy of such information provided by the
Transferor. THE INFORMATION HEREIN IS PRELIMINARY, AND WILL BE SUPERSEDED IN ITS
ENTIRETY BY THE APPLICABLE PROSPECTUS SUPPLEMENT AND PROSPECTUS AND BY ANY OTHER
INFORMATION SUBSEQUENTLY FILED WITH THE SECURITIES AND EXCHANGE COMMISSION.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber Logo
<PAGE>
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
$475,000,000 (APPROXIMATE) OFFERING AMOUNT
AMBAC BOND INSURED
<TABLE>
BOND SUMMARY*
<CAPTION>
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (YEARS) PAYMENT (YEARS) (MOODY'S/S&P)
------------ ----------- ------ ------- --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $ 13,934,637 Not Offered Hereby
<FN>
*At a pricing speed of 27% CPR and to the Optional Termination.
</FN>
</TABLE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 12-27)
<CAPTION>
POOL 1 POOL 2
<S> <C> <C>
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal
Balance): 91.78% 93.69%
Fixed loans (% of Statistical Pool Principal
Balance): 8.22% 6.31%
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
</TABLE>
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
TO MATURITY:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2 Certificates, the
period beginning on the prior payment date (or on
the Closing Date in the case of the first payment
date) and ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first Payment
Date on which the Aggregate Pool Balance has
declined to less than 10% of the sum of (x) the
aggregate balance of the Initial Loans as of the
Cut-Off Date and (y) the amount on deposit in the
Pre-funding Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination would
cause a payment to be made under the Certificate
Insurance Policy), at its option (and if such
option is not exercised by the Servicer, the
Certificate Insurer may, at its option) effect
an early termination of the Trust on any Payment
Date on or after the Optional Termination Date by
purchasing all of the Home Equity Loans at a price
equal to or greater than the Termination Price.
TERMINATION PRICE: The Termination Price will generally be an amount
equal to the greater of (i) the par amount of all
the loans and (ii) the fair market value of the
loans, and certain other expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each a
"Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing Fee
totaling 0.50% per annum payable monthly,
Certificate Insurer Fees and Trustee Fees.
ADVANCING: The Master Servicer is required to advance any
delinquent payment of interest and principal to the
extent such amounts are deemed to be recoverable
(the "Delinquency Advances"). The Servicer is
required to advance reasonable and customary
expense advances with respect to the loans (for
items such as taxes and insurance) to the extent
such advances are deemed to be recoverable
("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION
DATE: The loans described herein represent the portion of
the loans to be conveyed to the Trust at closing
(the "Initial Loans") that have been identified by
Fremont as of the statistical calculation date of
August 25, 1999. We anticipate that additional loans
will be conveyed to the issuer during the three
months following closing. In addition, other
loans may be substitute for the currently
identified loans.
It is anticipated that the total unpaid principal
balance of the collateral pool conveyed to the Trust
at closing will be approximately $366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately $122,957,000 will
be deposited in an account (the "Pre-Funding
Account") and will be used to acquire Subsequent
Loans. The "Pre-Funding Period" is the period
commencing on the Closing Date and ending generally
on the earlier to occur of (i) the date on which the
amount on deposit in the Pre-Funding Account with
respect to any pool of loans is less than $50,000
and (ii) December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each Pool,
will equal the principal balance of the Initial
Loans for such Pool as of the cut-off date and the
Pool's allocation of the Pre-Funding Account as of
the Cut-off Date.
CLASS B INTEREST: The Class B Certificates will receive interest
payments after the Senior Certificates have received
their monthly interest. To the extent of a shortfall
in one Pool to cover it's allocation of the Class B
Certificate's interest, cash flow can be crossed
from the other Pool to cover such shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1) all
Excess Spread remaining after payment of Senior
Principal and Interest and certain other amounts
and (2) all Overcollateralization Reduction Amounts
until the bond is retired in full (essentially
all cashflow not required by the Senior
Certificates). As the Subordination is reduced by
application of Excess Spread, the protection
provided by the accelerated amount of the
Class B Certificates to the Senior Certificates
will be replaced by Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date (after
allocation of collections in the waterfall) will
equal the excess, if any, of (1) the sum of (a) the
current Senior Certificate Balance and (b) the
current Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable at the
bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior Certificates")
will be provided by the following:
EXCESS SPREAD: The interest on the loans in each
Pool is generally expected to be higher than the
sum of the Master Servicing and Servicing Fee, the
Trustee Fee, the premium payable to the Certificate
Insurer, such Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread which
will be available a principal payments on the
related Senior Certificates on each Payment Date.
Under certain circumstances, Excess Spread from one
Pool may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess Spread
will be applied, to the extent available, to
make accelerated payments of principal on the
Senior Certificates; such application will cause
the principal balance of the Senior Certificates to
amortize more rapidly than the loans, resulting in
Overcollateralization. Overcollateralization/
Subordination will be calculated for each Pool as
the related Pool's current principal balance less
the related Senior Certificate's current principal
balance. The Class B Certificates (the
"Subordination") will be senior to the
overcollateralization, but subordinate to the Senior
Certificates. Each pool will be allocated a
portion of the Class B Certificates.
The initial Subordination will equal [2.85%] of the
related cut-off date pool balance. Prior to the
Stepdown Date, the Overcollateralization/
Subordination target will equal [5.15%] of the
related Final Pool Balance.
The Stepdown Date will be the later of (1) the
Payment Date in [April 2002] and (2) the date
that the Aggregate Pool Balance has been reduced
to 50% of the aggregate of the Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which will be
allocated to each Pool based on its current Pool
balance) will be equal to the greatest of:
a) [10.30%] times the current Aggregate Pool
Balance;
b) two times the difference between (i) 50% of
the 90+ delinquencies and (ii) four times
the monthly excess spread;
c) the sum of the three largest loans remaining
in the deal; and
d) 0.50% times the aggregate of the Final Pool
balances.
RESERVE ACCOUNT: Amounts required to be deposited in
the Reserve Account will equal the excess of (i) the
sum of the specified Overcollateralization/
Subordination targets for both Pools over (ii) the sum
of the Overcollateralization/Subordination for both
Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Ambac Assurance Corp. ("the
Certificate Insurer"). Ambac will unconditionally and
irrevocably guarantee the timely payment of interest
and ultimate payment of principal on the Senior
Certificates (i.e. after any losses reduce the
Overcollateralization/Subordination to zero, Ambac
will cover the excess, if any, of the current Senior
Certificate Balance over the current Aggregate Pool
Balance). The Insured Payments do not cover Realized
Losses except to the extent that the aggregate
principal balance of the Senior Certificates exceeds
the Aggregate Pool Balance. Insured Payments do not
cover the Master Servicer's failure to make
Delinquency Advances except to the extent that a
shortfall of interest due on the Senior Certificates
would otherwise result therefrom. The Ambac Insurance
Policy is not cancelable for any reason. The Ambac
Insurance Policy is not covered by the
property/casualty insurance security fund specified in
Article 76 of the New York Insurance Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1 Pass-Through
Rate will be equal to the lesser of (x) the applicable
Formula Rate and (y) the applicable Available Funds
Cap.
CLASS A-2 CERTIFICATES: The Class A-2 Pass-Through
Rate will be equal to the lesser of (x) the applicable
Formula Rate and (y) the applicable Available Funds
Cap.
FORMULA RATE: The Formula Rate for the Class A-1 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or prior
to the Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to any
Payment Date that occurs after the Optional
Termination Date, one-month LIBOR plus [ %] per annum.
The Formula Rate for the Class A-2 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or prior
to the Optional Termination Date, one-month LIBOR plus
[ %] per annum, or (ii) with respect to any Payment
Date that occurs after the Optional Termination Date,
one-month LIBOR plus [ %] per annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior Certificates
will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's
share of the servicing fee, the Master Servicing fee,
the Trustee fee, such Pool's share of the Class B
monthly interest and the premium payable to the
Certificate Insurer, such amount divided by the
principal balance of the applicable Class of Senior
Certificates. For any Payment Date on or after October
2000, the Available Funds Cap for the Senior
Certificates will be further reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap
limits the Senior Certificate's Pass-Through Rate
(i.e., the rate set by the Available Funds Cap is less
than the Formula Rate for the Class A-1 or Class A-2
Certificates), the amount of any such shortfall will
be carried forward and be due and payable on future
Payment Dates and shall accrue interest at the
applicable Formula Rate, until paid (such shortfall,
together with such accrued interest, the "Available
Funds Cap Carry Forward Amount").
The Insurance Policy for the Senior Certificates does
not cover the Available Funds Cap Carry Forward
Amount; the payment of such amount may be funded only
from Excess Spread remaining after (i) the payment of
interest and principal due on the Senior Certificates
for such Payment Date, (ii) reimbursement of the
Certificate Insurer, (iii) payment of accelerated
principal on the Senior Certificates to achieve the
required overcollateralization targets for such
Payment Date, or for required deposits into the
Reserve Account, and (iv) the payment of interest and
principal due on the Class B Certificates for such
Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will be
treated as REMIC regular interests for tax purposes.
ERISA Considerations: The Senior Certificates are expected
to be ERISA eligible. The Subordinate Certificates
will NOT be ERISA eligible.
SMMEA Eligibility: The Certificates will NOT constitute
"mortgage-related securities" for purposes of SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and multiples of
$1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate mortgage loans.
- 1-4 Family residential properties, condominium units
and manufactured homes. - A substantial percentage of the
loans do not conform to FNMA or FHLMC underwriting
standards or to those standards typically applied by
banks or other lending institutions, particularly with
regard to a borrower's credit history. - Approximately
91.34% (by Statistical Calculation Date aggregate
principal balance) of the Home Equity Loans bear
prepayment premiums.
The Trust is comprised primarily of two pools of mortgage
loans. The first pool of loans ("Pool 1 Loans") will
support the Class A-1 Certificates, in that payments on
the Pool 1 Loans will generally be used to make payments
on the Class A-1 Certificates. Similarly, the second pool
of loans ("Pool 2 Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of approximately $250,394,077 as of the
Statistical Calculation Date and the Pre-funded Amount of
the Pool 1 Loans is expected to be approximately
$84,140,149. 91.78% of the Pool 1 Loans, by Statistical
Calculation Date aggregate principal balance, are
adjustable rate Loans that, after a period of six months,
one year, two years, three years, or five years following
the date of origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans, by
Statistical Calculation Date aggregate principal balance,
will bear interest at a fixed rate for the term of the
loan. The original principal balance of each Pool 1 Loan
will not exceed the maximum loan amounts shown in the
table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
-------------------------------------
NUMBER OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
------------------------------------------------------------
Continental United States Alaska or Hawaii
------------------------- ----------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of approximately $115,584,286 as of the
Statistical Calculation Date and the Pre-funded Amount of
the Pool 2 Loans is expected to be $38,816,126. 93.69% of
the Pool 2 Loans, by Statistical Calculation Date
aggregate principal balance, are adjustable rate Loans
that, after a period of six months, two years, three
years, or five years following the date of origination,
adjust semi-annually based upon six-month LIBOR. 6.31% of
the Pool 2 Loans, by Statistical Calculation Date
aggregate principal balance, will bear interest at a
fixed rate for the term of the loan. The original
principal balance of 45.83% of the Pool 2 Loans will
exceed the maximum loan amounts shown in the table above.
The original principal balance of 54.17% of the Pool 2
Loans will not exceed the maximum loan amounts shown in
the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or adjustable
rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately $4.1
billion in B&C quality mortgage loans.
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
<CAPTION>
- ------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
Rate Reset 2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 2 INFORMATION
<CAPTION>
- ------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
</TABLE>
FREMONT HOME LOAN OWNER TRUST, SERIES 1999-3
$475,000,000 (APPROXIMATE)
Subject to Revision
September 9, 1999 - Computational Materials
The analysis in this report is based on information provided by the Seller.
Chase Securities Inc. ("CSI") makes no representations as to the accuracy or
completeness of the information contained herein. The information contained
herein is qualified in its entirety by the information in the Prospectus and
Prospectus Supplement for this transaction. The information contained herein is
preliminary as of the date hereof, supersedes any previous information delivered
to you by CSI and will be superseded by the applicable final Prospectus and
Prospectus Supplement and any other information subsequently filed with the
Securities and Exchange Commission. These materials are subject to change,
completion, or amendment from time to time without notice, and CSI is under no
obligation to keep you advised of such changes. These materials are not intended
as an offer or solicitation with respect to the purchase or sale of any
security. Any investment decision with respect to the securities should be made
by you based upon the information contained in the final Prospectus Supplement
and Prospectus relating to the securities. You should consult your own counsel,
accountant, and other advisors as to the legal, tax, business, financial and
related aspects of a purchase of these securities.
The attached information contains certain tables and other statistical analyses
(the "Computational Materials") which have been prepared in reliance upon
information furnished by the Seller. They may not be provided 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 reflected therein.
As such, no assurance can be given as to the Computational Materials' accuracy,
appropriateness or completeness in any particular context; nor 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 weighted average lives, yields
and principal payment periods shown in the Computational Materials are based on
prepayment assumptions, and changes in such prepayment assumptions may
dramatically affect such weighted average lives, yields and principal payment
periods. In addition, it is possible that prepayments on the underlying assets
will occur at rates slower or faster than the rates shown in the attached
Computational Materials. Furthermore, unless otherwise provided, the
Computational Materials assume no losses on the underlying assets and no
interest shortfalls. 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 underlying 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. Neither CSI nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY CSI AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES. CSI IS ACTING AS UNDERWRITER AND NOT ACTING
AS AGENT FOR THE ISSUER IN CONNECTION WITH THE PROPOSED TRANSACTION.
[CHASE LOGO]
<PAGE>
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
$475,000,000 (APPROXIMATE) OFFERING AMOUNT
AMBAC BOND INSURED
BOND SUMMARY*
<TABLE>
<CAPTION>
- ------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (YEARS) PAYMENT (YEARS) (MOODY'S/S&P)
- ------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $13,934,637 Not Offered Hereby
- ------------------ --------------- --------------------- ------------------------ -------------- ----------------------
</TABLE>
*At a pricing speed of 27% CPR and to the Optional Termination.
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
(COMPLETE COLLATERAL TABLES ON PAGES 12-27)
<CAPTION>
- -------------------------------------------------------------- --------------------------- --------------------------
POOL 1 POOL 2
- -------------------------------------------------------------- --------------------------- --------------------------
<S> <C> <C>
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal Balance): 91.78% 93.69%
Fixed loans (% of Statistical Pool Principal Balance): 8.22% 6.31%
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
- -------------------------------------------------------------- --------------------------- --------------------------
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO]
<PAGE>
<TABLE>
BOND SENSITIVITY TO PREPAYMENTS
<CAPTION>
TO OPTIONAL TERMINATION:
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-1 0% 15% 20% 27% 35% 45%
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
- ----------------------------------------------------------------------------------------------------
<CAPTION>
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-2 0% 15% 20% 27% 35% 45%
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
- ----------------------------------------------------------------------------------------------------
<CAPTION>
TO MATURITY:
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-1 0% 15% 20% 27% 35% 45%
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
- ----------------------------------------------------------------------------------------------------
<CAPTION>
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-2 0% 15% 20% 27% 35% 45%
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
- ----------------------------------------------------------------------------------------------------
</TABLE>
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next
Business Day thereafter) commencing in
October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2
Certificates, the period beginning on the
prior payment date (or on the Closing Date
in the case of the first payment date) and
ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first
Payment Date on which the Aggregate Pool
Balance has declined to less than 10% of the
sum of (x) the aggregate balance of the
Initial Loans as of the Cut-Off Date and (y)
the amount on deposit in the Pre-funding
Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination
would cause a payment to be made under the
Certificate Insurance Policy), at its option
(and if such option is not exercised by the
Servicer, the Certificate Insurer may, at
its option) effect an early termination of
the Trust on any Payment Date on or after
the Optional Termination Date by purchasing
all of the Home Equity Loans at a price
equal to or greater than the Termination
Price.
TERMINATION PRICE: The Termination Price will generally be an
amount equal to the greater of (i) the par
amount of all the loans and (ii) the fair
market value of the loans, and certain other
expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each
a "Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing
Fee totaling 0.50% per annum payable
monthly, Certificate Insurer Fees and
Trustee Fees.
ADVANCING: The Master Servicer is required to advance
any delinquent payment of interest and
principal to the extent such amounts are
deemed to be recoverable (the "Delinquency
Advances"). The Servicer is required to
advance reasonable and customary expense
advances with respect to the loans (for
items such as taxes and insurance) to the
extent such advances are deemed to be
recoverable ("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation
IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION DATE: The loans described herein represent the
portion of the loans to be conveyed to the
Trust at closing (the "Initial Loans") that
have been identified by Fremont as of the
statistical calculation date of August 25,
1999. We anticipate that additional loans
will be conveyed to the issuer during the
three months following closing. In addition,
other loans may be substituted for the
currently identified loans.
It is anticipated that the total unpaid
principal balance of the collateral pool
conveyed to the Trust at closing will be
approximately $366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately
$122,957,000 will be deposited in an account
(the "Pre-Funding Account") and will be used
to acquire Subsequent Loans. The
"Pre-Funding Period" is the period
commencing on the Closing Date and ending
generally on the earlier to occur of (i) the
date on which the amount on deposit in the
Pre-Funding Account with respect to any pool
of loans is less than $50,000 and (ii)
December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each
Pool, will equal the principal balance of
the Initial Loans for such Pool as of the
cut-off date and the Pool's allocation of
the Pre-Funding Account as of the Cut-off
Date.
CLASS B INTEREST: The Class B Certificates will receive
interest payments after the Senior
Certificates have received their monthly
interest. To the extent of a shortfall in
one Pool to cover it's allocation of the
Class B Certificate's interest, cash flow
can be crossed from the other Pool to cover
such shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1)
all Excess Spread remaining after payment of
Senior Principal and Interest and certain
other amounts and (2) all
Overcollateralization Reduction Amounts
until the bond is retired in full
(essentially all cashflow not required by
the Senior Certificates). As the
Subordination is reduced by application of
Excess Spread, the protection provided by
the accelerated amount of the Class B
Certificates to the Senior Certificates will
be replaced by Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date
(after allocation of collections in the
waterfall) will equal the excess, if any, of
(1) the sum of (a) the current Senior
Certificate Balance and (b) the current
Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable
at the bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior
Certificates") will be provided by the
following:
EXCESS SPREAD: The interest on the loans in
each Pool is generally expected to be higher
than the sum of the Master Servicing and
Servicing Fee, the Trustee Fee, the premium
payable to the Certificate Insurer, such
Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread
which will be available as principal
payments on the related Senior Certificates
on each Payment Date. Under certain
circumstances, Excess Spread from one Pool
may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess
Spread will be applied, to the extent
available, to make accelerated payments of
principal on the Senior Certificates; such
application will cause the principal balance
of the Senior Certificates to amortize more
rapidly than the loans, resulting in
Overcollateralization.
Overcollateralization/Subordination will be
calculated for each Pool as the related
Pool's current principal balance less the
related Senior Certificate's current
principal balance. The Class B Certificates
(the "Subordination") will be senior to the
overcollateralization, but subordinate to
the Senior Certificates. Each pool will be
allocated a portion of the Class B
Certificates.
The initial Subordination will equal [2.85%]
of the related cut-off date pool balance.
Prior to the Stepdown Date, the
Overcollateralization/Subordination target
will equal [5.15%] of the related Final Pool
Balance.
The Stepdown Date will be the later of (1)
the Payment Date in [April 2002] and (2) the
date that the Aggregate Pool Balance has
been reduced to 50% of the aggregate of the
Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which
will be allocated to each Pool based on its
current Pool balance) will be equal to the
greatest of:
a) [10.30%] times the current Aggregate
Pool Balance;
b) two times the difference between (i)
50% of the 90+ delinquencies and (ii)
four times the monthly excess spread;
c) the sum of the three largest loans
remaining in the deal; and
d) 0.50% times the aggregate of the Final
Pool balances.
RESERVE ACCOUNT: Amounts required to be
deposited in the Reserve Account will equal
the excess of (i) the sum of the specified
Overcollateralization/Subordination targets
for both Pools over (ii) the sum of the
Overcollateralization/Subordination for both
Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A
financial guaranty policy issued by Ambac
Assurance Corp. ("the Certificate Insurer").
Ambac will unconditionally and irrevocably
guarantee the timely payment of interest and
ultimate payment of principal on the Senior
Certificates (i.e. after any losses reduce
the Overcollateralization/Subordination to
zero, Ambac will cover the excess, if any,
of the current Senior Certificate Balance
over the current Aggregate Pool Balance).
The Insured Payments do not cover Realized
Losses except to the extent that the
aggregate principal balance of the Senior
Certificates exceeds the Aggregate Pool
Balance. Insured Payments do not cover the
Master Servicer's failure to make
Delinquency Advances except to the extent
that a shortfall of interest due on the
Senior Certificates would otherwise result
therefrom. The Ambac Insurance Policy is not
cancelable for any reason. The Ambac
Insurance Policy is not covered by the
property/casualty insurance security fund
specified in Article 76 of the New York
Insurance Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
CLASS A-2 CERTIFICATES: The Class A-2
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
FORMULA RATE: The Formula Rate for the Class A-1
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
The Formula Rate for the Class A-2
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior
Certificates will equal the annualized rate
equal to (i) the interest due on the related
Pool less such Pool's share of the servicing
fee, the Master Servicing fee, the Trustee
fee, such Pool's share of the Class B
monthly interest and the premium payable to
the Certificate Insurer, such amount divided
by the principal balance of the applicable
Class of Senior Certificates. For any
Payment Date on or after October 2000, the
Available Funds Cap for the Senior
Certificates will be further reduced by
0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds
Cap limits the Senior Certificate's
Pass-Through Rate (i.e., the rate set by the
Available Funds Cap is less than the Formula
Rate for the Class A-1 or Class A-2
Certificates), the amount of any such
shortfall will be carried forward and be due
and payable on future Payment Dates and
shall accrue interest at the applicable
Formula Rate, until paid (such shortfall,
together with such accrued interest, the
"Available Funds Cap Carry Forward Amount").
The Insurance Policy for the Senior
Certificates does not cover the Available
Funds Cap Carry Forward Amount; the payment
of such amount may be funded only from
Excess Spread remaining after (i) the
payment of interest and principal due on the
Senior Certificates for such Payment Date,
(ii) reimbursement of the Certificate
Insurer, (iii) payment of accelerated
principal on the Senior Certificates to
achieve the required overcollateralization
targets for such Payment Date, or for
required deposits into the Reserve Account,
and (iv) the payment of interest and
principal due on the Class B Certificates
for such Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will
be treated as REMIC regular interests for
tax purposes.
ERISA CONSIDERATIONS: The Senior Certificates are expected to be
ERISA eligible. The Subordinate Certificates
will NOT be ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes
of SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and
multiples of $1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate
mortgage loans.
- 1-4 Family residential properties,
condominium units and manufactured homes.
- A substantial percentage of the loans do
not conform to FNMA or FHLMC underwriting
standards or to those standards typically
applied by banks or other lending
institutions, particularly with regard to a
borrower's credit history.
- Approximately 91.34% (by Statistical
Calculation Date aggregate principal
balance) of the Home Equity Loans bear
prepayment premiums.
The Trust is comprised primarily of two
pools of mortgage loans. The first pool of
loans ("Pool 1 Loans") will support the
Class A-1 Certificates, in that payments on
the Pool 1 Loans will generally be used to
make payments on the Class A-1 Certificates.
Similarly, the second pool of loans ("Pool 2
Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an
aggregate principal balance of approximately
$250,394,077 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 1 Loans is expected to be
approximately $84,140,149. 91.78% of the
Pool 1 Loans, by Statistical Calculation
Date aggregate principal balance, are
adjustable rate Loans that, after a period
of six months, one year, two years, three
years, or five years following the date of
origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans,
by Statistical Calculation Date aggregate
principal balance, will bear interest at a
fixed rate for the term of the loan. The
original principal balance of each Pool 1
Loan will not exceed the maximum loan
amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
- ----------------------- --------------------------------------------------------
NUMBER OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
CONTINENTAL UNITED STATES ALASKA OR HAWAII
------------------------------ -------------------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
- ----------------------- ------------------------------ -------------------------
POOL 2 LOANS: The Pool 2 Loans have an
aggregate principal balance of approximately
$115,584,286 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 2 Loans is expected to be
$38,816,126. 93.69% of the Pool 2 Loans, by
Statistical Calculation Date aggregate
principal balance, are adjustable rate Loans
that, after a period of six months, two
years, three years, or five years following
the date of origination, adjust
semi-annually based upon six-month LIBOR.
6.31% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal
balance, will bear interest at a fixed rate
for the term of the loan. The original
principal balance of 45.83% of the Pool 2
Loans will exceed the maximum loan amounts
shown in the table above. The original
principal balance of 54.17% of the Pool 2
Loans will not exceed the maximum loan
amounts shown in the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or
adjustable rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately
$4.1 billion in B&C quality mortgage loans.
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
- --------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 2 INFORMATION
<CAPTION>
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
</TABLE>
<PAGE>
CONTACTS
--------
GLOBAL SECURITIZED FINANCE SYNDICATE/SALES DESK
-------------------------- --------------------
Phone Phone
----- -----
NY: David Howard 212-834-5125 NY: Suzette Sands 212-834-4533
Peggy Wallace 212-834-5519 Jim Brucia 212-834-4533
Paul Park 212-834-5033 LN: David Schiff 011-44-17-817-3950
Paul Scialabba 212-834-5173
Lou Violante 212-834-5034
Jee Hong 212-834-5295
Joyce Huang 212-834-5529
ASSET-BACKED TRADING
--------------------
Phone
-----
NY: Brian McDonald 212-834-3720
Peter Basso 212-834-3721
- --------------------------------------------------------------------------------
FREMONT HOME LOAN TRUST 1999-3
- --------------------------------------------------------------------------------
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
$475,000,000 (APPROXIMATE) OFFERING AMOUNT
AMBAC BOND INSURED
<TABLE>
BOND SUMMARY*
<CAPTION>
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (YEARS) PAYMENT (YEARS) (MOODY'S/S&P)
<S> <C> <C> <C> <C> <C> <C>
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $13,934,637 Not Offered Hereby
<FN>
*At a pricing speed of 27% CPR and to the Optional Termination.
</FN>
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE/FIRST BOSTON
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 12-27)
POOL 1 POOL 2
------ ------
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal 91.78% 93.69%
Balance):
Fixed loans (% of Statistical Pool Principal 8.22% 6.31%
Balance):
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
TO MATURITY:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2 Certificates, the
period beginning on the prior payment date (or on
the Closing Date in the case of the first payment
date) and ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first Payment
Date on which the Aggregate Pool Balance has
declined to less than 10% of the sum of (x) the
aggregate balance of the Initial Loans as of the
Cut-Off Date and (y) the amount on deposit in the
Pre-funding Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination would
cause a payment to be made under the Certificate
Insurance Policy), at its option (and if such
option is not exercised by the Servicer, the
Certificate Insurer may, at its option) effect an
early termination of the Trust on any Payment Date
on or after the Optional Termination Date by
purchasing all of the Home Equity Loans at a price
equal to or greater than the Termination Price.
TERMINATION PRICE: The Termination Price will generally be an amount
equal to the greater of (i) the par amount of all
the loans and (ii) the fair market value of the
loans, and certain other expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each a
"Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing Fee
totaling 0.50% per annum payable monthly,
Certificate Insurer Fees and Trustee Fees.
ADVANCING: The Master Servicer is required to advance any
delinquent payment of interest and principal to the
extent such amounts are deemed to be recoverable
(the "Delinquency Advances"). The Servicer is
required to advance reasonable and customary
expense advances with respect to the loans (for
items such as taxes and insurance) to the extent
such advances are deemed to be recoverable
("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION
DATE: The loans described herein represent the portion of
the loans to be conveyed to the Trust at closing
(the "Initial Loans") that have been identified by
Fremont as of the statistical calculation date of
August 25, 1999. We anticipate that additional
loans will be conveyed to the issuer during the
three months following closing. In addition, other
loans may be substituted for the currently
identified loans.
It is anticipated that the total unpaid principal
balance of the collateral pool conveyed to the
Trust at closing will be approximately
$366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately $122,957,000
will be deposited in an account (the "Pre-Funding
Account") and will be used to acquire Subsequent
Loans. The "Pre-Funding Period" is the period
commencing on the Closing Date and ending generally
on the earlier to occur of (i) the date on which
the amount on deposit in the Pre-Funding Account
with respect to any pool of loans is less than
$50,000 and (ii) December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each Pool,
will equal the principal balance of the Initial
Loans for such Pool as of the cut-off date and the
Pool's allocation of the Pre-Funding Account as of
the Cut-off Date.
CLASS B INTEREST: The Class B Certificates will receive interest
payments after the Senior Certificates have
received their monthly interest. To the extent of a
shortfall in one Pool to cover it's allocation of
the Class B Certificate's interest, cash flow can
be crossed from the other Pool to cover such
shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1) all
Excess Spread remaining after payment of Senior
Principal and Interest and certain other amounts
and (2) all Overcollateralization Reduction Amounts
until the bond is retired in full (essentially all
cashflow not required by the Senior Certificates).
As the Subordination is reduced by application of
Excess Spread, the protection provided by the
accelerated amount of the Class B Certificates to
the Senior Certificates will be replaced by
Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date (after
allocation of collections in the waterfall) will
equal the excess, if any, of (1) the sum of (a) the
current Senior Certificate Balance and (b) the
current Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable at the
bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior Certificates")
will be provided by the following:
EXCESS SPREAD: The interest on the loans in each
Pool is generally expected to be higher than the
sum of the Master Servicing and Servicing Fee, the
Trustee Fee, the premium payable to the Certificate
Insurer, such Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread which
will be available as principal payments on the
related Senior Certificates on each Payment Date.
Under certain circumstances, Excess Spread from one
Pool may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess Spread
will be applied, to the extent available, to make
accelerated payments of principal on the Senior
Certificates; such application will cause the
principal balance of the Senior Certificates to
amortize more rapidly than the loans, resulting in
Overcollateralization.
Overcollateralization/Subordination will be
calculated for each Pool as the related Pool's
current principal balance less the related Senior
Certificate's current principal balance. The Class
B Certificates (the "Subordination") will be senior
to the overcollateralization, but subordinate to
the Senior Certificates. Each pool will be
allocated a portion of the Class B Certificates.
The initial Subordination will equal [2.85%] of the
related cut-off date pool balance. Prior to the
Stepdown Date, the Overcollateralization /
Subordination target will equal [5.15%] of the
related Final Pool Balance.
The Stepdown Date will be the later of (1) the
Payment Date in [April 2002] and (2) the date that
the Aggregate Pool Balance has been reduced to 50%
of the aggregate of the Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which will be
allocated to each Pool based on its current Pool
balance) will be equal to the greatest of:
a) [10.30%] times the current Aggregate Pool
Balance;
b) two times the difference between (i) 50% of
the 90+ delinquencies and (ii) four times
the monthly excess spread;
c) the sum of the three largest loans
remaining in the deal; and
d) 0.50% times the aggregate of the Final Pool
balances.
RESERVE ACCOUNT: Amounts required to be deposited
in the Reserve Account will equal the excess of (i)
the sum of the specified Overcollateralization /
Subordination targets for both Pools over (ii) the
sum of the Overcollateralization/Subordination for
both Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Ambac Assurance Corp.
("the Certificate Insurer"). Ambac will
unconditionally and irrevocably guarantee the
timely payment of interest and ultimate payment of
principal on the Senior Certificates (i.e. after
any losses reduce the Overcollateralization /
Subordination to zero, Ambac will cover the excess,
if any, of the current Senior Certificate Balance
over the current Aggregate Pool Balance). The
Insured Payments do not cover Realized Losses
except to the extent that the aggregate principal
balance of the Senior Certificates exceeds the
Aggregate Pool Balance. Insured Payments do not
cover the Master Servicer's failure to make
Delinquency Advances except to the extent that a
shortfall of interest due on the Senior
Certificates would otherwise result therefrom. The
Ambac Insurance Policy is not cancelable for any
reason. The Ambac Insurance Policy is not covered
by the property/casualty insurance security fund
specified in Article 76 of the New York Insurance
Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1 Pass-Through
Rate will be equal to the lesser of (x) the
applicable Formula Rate and (y) the applicable
Available Funds Cap.
CLASS A-2 CERTIFICATES: The Class A-2 Pass-Through
Rate will be equal to the lesser of (x) the
applicable Formula Rate and (y) the applicable
Available Funds Cap.
FORMULA RATE: The Formula Rate for the Class A-1 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or
prior to the Optional Termination Date, one-month
LIBOR plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the Optional
Termination Date, one-month LIBOR plus [ %] per
annum.
The Formula Rate for the Class A-2 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or
prior to the Optional Termination Date, one-month
LIBOR plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the Optional
Termination Date, one-month LIBOR plus [ %] per
annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior Certificates
will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's
share of the servicing fee, the Master Servicing
fee, the Trustee fee, such Pool's share of the
Class B monthly interest and the premium payable to
the Certificate Insurer, such amount divided by the
principal balance of the applicable Class of Senior
Certificates. For any Payment Date on or after
October 2000, the Available Funds Cap for the
Senior Certificates will be further reduced by
0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap
limits the Senior Certificate's Pass-Through Rate
(i.e., the rate set by the Available Funds Cap is
less than the Formula Rate for the Class A-1 or
Class A-2 Certificates), the amount of any such
shortfall will be carried forward and be due and
payable on future Payment Dates and shall accrue
interest at the applicable Formula Rate, until paid
(such shortfall, together with such accrued
interest, the "Available Funds Cap Carry Forward
Amount").
The Insurance Policy for the Senior Certificates
does not cover the Available Funds Cap Carry
Forward Amount; the payment of such amount may be
funded only from Excess Spread remaining after (i)
the payment of interest and principal due on the
Senior Certificates for such Payment Date, (ii)
reimbursement of the Certificate Insurer, (iii)
payment of accelerated principal on the Senior
Certificates to achieve the required
overcollateralization targets for such Payment
Date, or for required deposits into the Reserve
Account, and (iv) the payment of interest and
principal due on the Class B Certificates for such
Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will be
treated as REMIC regular interests for tax purposes
ERISA CONSIDERATIONS: The Senior Certificates are expected to be ERISA
eligible. The Subordinate Certificates will NOT be
ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes of
SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and multiples of
$1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate mortgage
loans.
- 1-4 Family residential properties, condominium
units and manufactured homes.
- A substantial percentage of the loans do not
conform to FNMA or FHLMC underwriting standards or
to those standards typically applied by banks or
other lending institutions, particularly with
regard to a borrower's credit history.
- Approximately 91.34% (by Statistical Calculation
Date aggregate principal balance) of the Home
Equity Loans bear prepayment premiums.
The Trust is comprised primarily of two pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will support the Class A-1 Certificates, in
that payments on the Pool 1 Loans will generally be
used to make payments on the Class A-1
Certificates. Similarly, the second pool of loans
("Pool 2 Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of approximately $250,394,077 as
of the Statistical Calculation Date and the
Pre-funded Amount of the Pool 1 Loans is expected
to be approximately $84,140,149. 91.78% of the Pool
1 Loans, by Statistical Calculation Date aggregate
principal balance, are adjustable rate Loans that,
after a period of six months, one year, two years,
three years, or five years following the date of
origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans, by
Statistical Calculation Date aggregate principal
balance, will bear interest at a fixed rate for the
term of the loan. The original principal balance of
each Pool 1 Loan will not exceed the maximum loan
amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
-------------------------------------
NUMBER OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
--------------- -------------------------------------
Continental United States Alaska or Hawaii
------------------------- ----------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of approximately $115,584,286 as
of the Statistical Calculation Date and the
Pre-funded Amount of the Pool 2 Loans is expected
to be $38,816,126. 93.69% of the Pool 2 Loans, by
Statistical Calculation Date aggregate principal
balance, are adjustable rate Loans that, after a
period of six months, two years, three years, or
five years following the date of origination,
adjust semi-annually based upon six-month LIBOR.
6.31% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal balance, will
bear interest at a fixed rate for the term of the
loan. The original principal balance of 45.83% of
the Pool 2 Loans will exceed the maximum loan
amounts shown in the table above. The original
principal balance of 54.17% of the Pool 2 Loans
will not exceed the maximum loan amounts shown in
the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or adjustable
rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately $4.1
billion in B&C quality mortgage loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 2 INFORMATION
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.5
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Marketing Memorandum- 9/9/99 3:00 PM
Fremont Home Loan Trust 1999-3
- --------------------------------------------------------------------------------
MARKETING MEMORANDUM
9/9/99 3:00 PM
FREMONT HOME LOAN TRUST 1999-3
$325,000,000 CLASS A-1, ASSET BACKED Certificates, SERIES 1999-3
$150,000,000 CLASS A-2, ASSET BACKED Certificates, SERIES 1999-3
$13,934,637 CLASS B, ASSET BACKED Certificates, SERIES 1999-3
The attached Marketing Memorandum (the "Marketing Memorandum") is privileged and
confidential and is intended for use by the addressee only. This Marketing
Memorandum is furnished to you solely by First Union Capital Markets Corp. and
PaineWebber Incorporated (the "Underwriters") and not by the issuer of the
certificates identified above (the "Certificates") or any other party. The
Marketing Memorandum is based upon information made available to the
Underwriters. Neither the Underwriters, the issuer of the Certificates, nor any
other party makes any representation to the accuracy or completeness of the
information therein. 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 to any third party other than the addressee's legal,
tax, financial and/or accounting advisors for the purpose of evaluating such
information.
No assurance can be given as to the accuracy, appropriateness or completeness of
the Marketing Memorandum in any particular context; or as to whether the
Marketing Memorandum reflects future performance. This Marketing Memorandum
should not be construed as either a prediction or as legal, tax, and financial
or accounting advice.
Any yields or weighted average lives shown in the Marketing Memorandum are based
on prepayment and other assumptions. Actual experience may dramatically affect
such yields or weighted average lives. The principal amount and designation of
any security described in the Marketing Memorandum are subject to change prior
to issuance.
Although a registration statement (including the prospectus) relating to the
Certificates has been filed with the Securities and Exchange Commission and is
effective, the final prospectus supplement relating to the Certificates has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or a solicitation of an offer to buy nor shall
there be any sale of the Offered Certificates 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 Offered
Certificates for definitive terms of the Offered Certificates and the
collateral.
Please be advised that the Certificates 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 risks.
Investors should fully consider the risk of an investment in the Certificates.
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>
- --------------------------------------------------------------------------------
FREMONT HOME LOAN TRUST 1999-3
- --------------------------------------------------------------------------------
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
------------------------------
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
$475,000,000 (APPROXIMATE) OFFERING AMOUNT
AMBAC BOND INSURED
<TABLE>
BOND SUMMARY*
<CAPTION>
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (YEARS) PAYMENT (YEARS) (MOODY'S/S&P)
<S> <C> <C> <C> <C> <C> <C>
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $ 13,934,637 Not Offered Hereby
<FN>
*At a pricing speed of 27% CPR and to the Optional Termination.
</FN>
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT SUISSE/FIRST BOSTON
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 12-27)
POOL 1 POOL 2
------ ------
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal
Balance): 91.78% 93.69%
Fixed loans (% of Statistical Pool Principal
Balance): 8.22% 6.31%
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
- --------------------------------------------------------------------------------
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
- --------------------------------------------------------------------------------
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
TO MATURITY:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
- --------------------------------------------------------------------------------
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
- --------------------------------------------------------------------------------
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2 Certificates, the
period beginning on the prior payment date (or on
the Closing Date in the case of the first payment
date) and ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first Payment
Date on which the Aggregate Pool Balance has
declined to less than 10% of the sum of (x) the
aggregate balance of the Initial Loans as of the
Cut-Off Date and (y) the amount on deposit in the
Pre-funding Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination would
cause a payment to be made under the Certificate
Insurance Policy), at its option (and if such
option is not exercised by the Servicer, the
Certificate Insurer may, at its option) effect an
early termination of the Trust on any Payment Date
on or after the Optional Termination Date by
purchasing all of the Home Equity Loans at a price
equal to or greater than the Termination Price.
TERMINATION PRICE: The Termination Price will generally be an amount
equal to the greater of (i) the par amount of all
the loans and (ii) the fair market value of the
loans, and certain other expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each a
"Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing Fee
totaling 0.50% per annum payable monthly,
Certificate Insurer Fees and Trustee Fees.
ADVANCING: The Master Servicer is required to advance any
delinquent payment of interest and principal to the
extent such amounts are deemed to be recoverable
(the "Delinquency Advances"). The Servicer is
required to advance reasonable and customary
expense advances with respect to the loans (for
items such as taxes and insurance) to the extent
such advances are deemed to be recoverable
("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION
DATE: The loans described herein represent the portion of
the loans to be conveyed to the Trust at closing
(the "Initial Loans") that have been identified by
Fremont as of the statistical calculation date of
August 25, 1999. We anticipate that additional
loans will be conveyed to the issuer during the
three months following closing. In addition, other
loans may be substituted for the currently
identified loans.
It is anticipated that the total unpaid principal
balance of the collateral pool conveyed to the
Trust at closing will be approximately
$366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately $122,957,000
will be deposited in an account (the "Pre-Funding
Account") and will be used to acquire Subsequent
Loans. The "Pre-Funding Period" is the period
commencing on the Closing Date and ending generally
on the earlier to occur of (i) the date on which
the amount on deposit in the Pre-Funding Account
with respect to any pool of loans is less than
$50,000 and (ii) December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each Pool,
will equal the principal balance of the Initial
Loans for such Pool as of the cut-off date and the
Pool's allocation of the Pre-Funding Account as of
the Cut-off Date.
CLASS B INTEREST: The Class B Certificates will receive interest
payments after the Senior Certificates have
received their monthly interest. To the extent of a
shortfall in one Pool to cover it's allocation of
the Class B Certificate's interest, cash flow can
be crossed from the other Pool to cover such
shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1) all
Excess Spread remaining after payment of Senior
Principal and Interest and certain other amounts
and (2) all Overcollateralization Reduction Amounts
until the bond is retired in full (essentially all
cashflow not required by the Senior Certificates).
As the Subordination is reduced by application of
Excess Spread, the protection provided by the
accelerated amount of the Class B Certificates to
the Senior Certificates will be replaced by
Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date (after
allocation of collections in the waterfall) will
equal the excess, if any, of (1) the sum of (a) the
current Senior Certificate Balance and (b) the
current Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable at the
bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior Certificates")
will be provided by the following:
EXCESS SPREAD: The interest on the loans in each
Pool is generally expected to be higher than the
sum of the Master Servicing and Servicing Fee, the
Trustee Fee, the premium payable to the Certificate
Insurer, such Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread which
will be available as principal payments on the
related Senior Certificates on each Payment Date.
Under certain circumstances, Excess Spread from one
Pool may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess Spread
will be applied, to the extent available, to make
accelerated payments of principal on the Senior
Certificates; such application will cause the
principal balance of the Senior Certificates to
amortize more rapidly than the loans, resulting in
Overcollateralization. Overcollateralization /
Subordination will be calculated for each Pool as
the related Pool's current principal balance less
the related Senior Certificate's current principal
balance. The Class B Certificates (the
"Subordination") will be senior to the
overcollateralization, but subordinate to the
Senior Certificates. Each pool will be allocated a
portion of the Class B Certificates.
The initial Subordination will equal [2.85%] of the
related cut-off date pool balance. Prior to the
Stepdown Date, the Overcollateralization /
Subordination target will equal [5.15%] of the
related Final Pool Balance.
The Stepdown Date will be the later of (1) the
Payment Date in [April 2002] and (2) the date that
the Aggregate Pool Balance has been reduced to 50%
of the aggregate of the Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which will be
allocated to each Pool based on its current Pool
balance) will be equal to the greatest of:
a) [10.30%] times the current Aggregate Pool
Balance;
b) two times the difference between (i) 50% of
the 90+ delinquencies and (ii) four times
the monthly excess spread;
c) the sum of the three largest loans remaining
in the deal; and
d) 0.50% times the aggregate of the Final Pool
balances.
RESERVE ACCOUNT: Amounts required to be deposited
in the Reserve Account will equal the excess of (i)
the sum of the specified Overcollateralization /
Subordination targets for both Pools over (ii) the
sum of the Overcollateralization/Subordination for
both Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Ambac Assurance Corp.
("the Certificate Insurer"). Ambac will
unconditionally and irrevocably guarantee the
timely payment of interest and ultimate payment of
principal on the Senior Certificates (i.e. after
any losses reduce the Overcollateralization /
Subordination to zero, Ambac will cover the excess,
if any, of the current Senior Certificate Balance
over the current Aggregate Pool Balance). The
Insured Payments do not cover Realized Losses
except to the extent that the aggregate principal
balance of the Senior Certificates exceeds the
Aggregate Pool Balance. Insured Payments do not
cover the Master Servicer's failure to make
Delinquency Advances except to the extent that a
shortfall of interest due on the Senior
Certificates would otherwise result therefrom. The
Ambac Insurance Policy is not cancelable for any
reason. The Ambac Insurance Policy is not covered
by the property/casualty insurance security fund
specified in Article 76 of the New York Insurance
Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1 Pass-Through
Rate will be equal to the lesser of (x) the
applicable Formula Rate and (y) the applicable
Available Funds Cap.
CLASS A-2 CERTIFICATES: The Class A-2 Pass-Through
Rate will be equal to the lesser of (x) the
applicable Formula Rate and (y) the applicable
Available Funds Cap.
FORMULA RATE: The Formula Rate for the Class A-1 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or
prior to the Optional Termination Date, one-month
LIBOR plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the Optional
Termination Date, one-month LIBOR plus [ %] per
annum.
The Formula Rate for the Class A-2 Certificates for
any Payment Date will equal the lesser of (i) with
respect to any Payment Date which occurs on or
prior to the Optional Termination Date, one-month
LIBOR plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the Optional
Termination Date, one-month LIBOR plus [ %] per
annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior Certificates
will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's
share of the servicing fee, the Master Servicing
fee, the Trustee fee, such Pool's share of the
Class B monthly interest and the premium payable to
the Certificate Insurer, such amount divided by the
principal balance of the applicable Class of Senior
Certificates. For any Payment Date on or after
October 2000, the Available Funds Cap for the
Senior Certificates will be further reduced by
0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap
limits the Senior Certificate's Pass-Through Rate
(i.e., the rate set by the Available Funds Cap is
less than the Formula Rate for the Class A-1 or
Class A-2 Certificates), the amount of any such
shortfall will be carried forward and be due and
payable on future Payment Dates and shall accrue
interest at the applicable Formula Rate, until paid
(such shortfall, together with such accrued
interest, the "Available Funds Cap Carry Forward
Amount").
The Insurance Policy for the Senior Certificates
does not cover the Available Funds Cap Carry
Forward Amount; the payment of such amount may be
funded only from Excess Spread remaining after (i)
the payment of interest and principal due on the
Senior Certificates for such Payment Date, (ii)
reimbursement of the Certificate Insurer, (iii)
payment of accelerated principal on the Senior
Certificates to achieve the required
overcollateralization targets for such Payment
Date, or for required deposits into the Reserve
Account, and (iv) the payment of interest and
principal due on the Class B Certificates for such
Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will be
treated as REMIC regular interests for tax purposes
ERISA CONSIDERATIONS: The Senior Certificates are expected to be ERISA
eligible. The Subordinate Certificates will NOT be
ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes of
SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and multiples of
$1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate mortgage
loans.
- 1-4 Family residential properties, condominium
units and manufactured homes.
- A substantial percentage of the loans do not
conform to FNMA or FHLMC underwriting standards or
to those standards typically applied by banks or
other lending institutions, particularly with
regard to a borrower's credit history.
- Approximately 91.34% (by Statistical Calculation
Date aggregate principal balance) of the Home
Equity Loans bear prepayment premiums.
The Trust is comprised primarily of two pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will support the Class A-1 Certificates, in
that payments on the Pool 1 Loans will generally be
used to make payments on the Class A-1
Certificates. Similarly, the second pool of loans
("Pool 2 Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of approximately $250,394,077 as
of the Statistical Calculation Date and the
Pre-funded Amount of the Pool 1 Loans is expected
to be approximately $84,140,149. 91.78% of the Pool
1 Loans, by Statistical Calculation Date aggregate
principal balance, are adjustable rate Loans that,
after a period of six months, one year, two years,
three years, or five years following the date of
origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans, by
Statistical Calculation Date aggregate principal
balance, will bear interest at a fixed rate for the
term of the loan. The original principal balance of
each Pool 1 Loan will not exceed the maximum loan
amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
-------------------------------------
Number of Units Maximum Loan Amount of First Mortgage
--------------- -------------------------------------
Continental United States Alaska or Hawaii
------------------------- ----------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of approximately $115,584,286 as
of the Statistical Calculation Date and the
Pre-funded Amount of the Pool 2 Loans is expected
to be $38,816,126. 93.69% of the Pool 2 Loans, by
Statistical Calculation Date aggregate principal
balance, are adjustable rate Loans that, after a
period of six months, two years, three years, or
five years following the date of origination,
adjust semi-annually based upon six-month LIBOR.
6.31% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal balance, will
bear interest at a fixed rate for the term of the
loan. The original principal balance of 45.83% of
the Pool 2 Loans will exceed the maximum loan
amounts shown in the table above. The original
principal balance of 54.17% of the Pool 2 Loans
will not exceed the maximum loan amounts shown in
the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or adjustable
rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately $4.1
billion in B&C quality mortgage loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 2 INFORMATION
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
---------------------------------------------------------------------
FREMONT HOME LOAN TRUST 1999-3
---------------------------------------------------------------------
BANC ONE CAPITAL MARKETS, INC.
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
- --------------------------------------------------------------------------------
THE ANALYSIS ABOVE HAS BEEN PREPARED SOLELY FOR INFORMATIONAL PURPOSES AND IS
NOT AN OFFER TO BUY OR SELL OR A SOLICITATION OF AN OFFER TO BUY OR SELL ANY
SECURITY OR INSTRUMENT OR TO PARTICIPATE IN ANY PARTICULAR TRADING STRATEGY.
BANC ONE CAPITAL MARKETS, INC. ("BOCM") AND OTHERS ASSOCIATED WITH IT MAY HAVE
POSITIONS IN, AND MAY EFFECT TRANSACTIONS IN SECURITIES AND INSTRUMENTS OF THE
ISSUER MENTIONED HEREIN AND MAY ALSO PERFORM OR SEEK TO PERFORM INVESTMENT
BANKING SERVICES FOR THE ISSUER OF SUCH SECURITIES AND INSTRUMENTS. THE
INFORMATION PROVIDED ABOVE IS BASED ON OR DERIVED FROM INFORMATION PROVIDED BY
THE ISSUER. NO REPRESENTATION IS MADE THAT IT IS ACCURATE OR COMPLETE. BOCM
MAKES NO REPRESENTATIONS THAT THE ABOVE REFERENCED SECURITY WILL ACTUALLY
PERFORM AS DESCRIBED IN ANY SCENARIO PRESENTED. THIS MATERIAL SUPERSEDES ANY
PREVIOUS MATERIALS DISTRIBUTED AND WILL BE SUPERSEDED BY THE INFORMATION IN THE
FINAL PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
$475,000,000 (APPROXIMATE) OFFERING AMOUNT
AMBAC BOND INSURED
BOND SUMMARY*
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW RATINGS
CERTIFICATES SIZE COUPON (YEARS)PAYMENT (YEARS) (MOODY'S/S&P)
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $13,934,637 Not Offered
Hereby
- --------------------------------------------------------------------------------
*At a pricing speed of 27% CPR and to the Optional Termination.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 12-27)
POOL 1 POOL 2
------ ------
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool 91.78% 93.69%
Principal Balance):
Fixed loans (% of Statistical Pool 8.22% 6.31%
Principal Balance):
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
CPR
CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
TO MATURITY:
CPR
CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
CLASS A-2 CPR
0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next Business Day
thereafter) commencing in October of 1999.
INTEREST ACCRUAL For the Class A-1 and Class A-2 Certificates, the
PERIOD: period beginning on the prior payment date (or on the
Closing Date in the case of the first payment date) and
ending on the day prior to the relevant payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING)
DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION The Optional Termination Date is the first Payment Date
DATE: on which the Aggregate Pool Balance has declined to
less than 10% of the sum of (x) the aggregate balance
of the Initial Loans as of the Cut-Off Date and (y) the
amount on deposit in the Pre-funding Account as of the
Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the Certificate
Insurer, if such termination would cause a payment to
be made under the Certificate Insurance Policy), at its
option (and if such option is not exercised by the
Servicer, the Certificate Insurer may, at its option)
effect an early termination of the Trust on any Payment
Date on or after the Optional Termination Date by
purchasing all of the Home Equity Loans at a price
equal to or greater than the Termination Price.
TERMINATION PRICE: The Termination Price will generally be an amount equal
to the greater of (i) the par amount of all the loans
and (ii) the fair market value of the loans, and
certain other expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each a "Pool")
principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees, including a
Master Servicing and Servicing Fee totaling 0.50% per
annum payable monthly, Certificate Insurer Fees and
Trustee Fees.
ADVANCING: The Master Servicer is required to advance any
delinquent payment of interest and principal to the
extent such amounts are deemed to be recoverable (the
"Delinquency Advances"). The Servicer is required to
advance reasonable and customary expense advances with
respect to the loans (for items such as taxes and
insurance) to the extent such advances are deemed to be
recoverable ("Servicer Advances").
<PAGE>
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan Asset-Backed
Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER Fremont Investment & Loan (a Fremont General Company)
SERVICER: Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL
CALCULATION DATE: The loans described herein represent the portion of the
loans to be conveyed to the Trust at closing (the
"Initial Loans") that have been identified by Fremont
as of the statistical calculation date of August 25,
1999. We anticipate that additional loans will be
conveyed to the issuer during the three months
following closing. In addition, other loans may be
substituted for the currently identified loans.
It is anticipated that the total unpaid principal
balance of the collateral pool conveyed to the Trust at
closing will be approximately $366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately $122,957,000 will be
deposited in an account (the "Pre-Funding Account") and
will be used to acquire Subsequent Loans. The
"Pre-Funding Period" is the period commencing on the
Closing Date and ending generally on the earlier to
occur of (i) the date on which the amount on deposit in
the Pre-Funding Account with respect to any pool of
loans is less than $50,000 and (ii) December 21st,
1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each Pool, will
equal the principal balance of the Initial Loans for
such Pool as of the cut-off date and the Pool's
allocation of the Pre-Funding Account as of the Cut-off
Date.
CLASS B INTEREST: The Class B Certificates will receive interest payments
after the Senior Certificates have received their
monthly interest. To the extent of a shortfall in one
Pool to cover it's allocation of the Class B
Certificate's interest, cash flow can be crossed from
the other Pool to cover such shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1) all Excess
Spread remaining after payment of Senior Principal and
Interest and certain other amounts and (2) all
Overcollateralization Reduction Amounts until the bond
is retired in full (essentially all cashflow not
required by the Senior Certificates). As the
Subordination is reduced by application of Excess
Spread, the protection provided by the accelerated
amount of the Class B Certificates to the Senior
Certificates will be replaced by Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date (after
allocation of collections in the waterfall) will equal
the excess, if any, of (1) the sum of (a) the current
Senior Certificate Balance and (b) the current Class B
Certificate balance over (2) the current Aggregate Pool
Balance. The Class B writedowns cannot exceed the
current Class B Certificate Balance and will be
reimbursable at the bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior Certificates") will
be provided by the following:
EXCESS SPREAD: The interest on the loans in each Pool is generally
expected to be higher than the sum of the Master
Servicing and Servicing Fee, the Trustee Fee, the
premium payable to the Certificate Insurer, such Pool's
allocable share of the Class B interest, and the
interest on such Senior Certificates, thus generating
Excess Spread which will be available as principal
payments on the related Senior Certificates on each
Payment Date. Under certain circumstances, Excess
Spread from one Pool may be used to cover shortfalls
due to delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/ Excess Spread will be applied, to the extent available,
SUBORDINATION: to make accelerated payments of principal on the Senior
Certificates; such application will cause the principal
balance of the Senior Certificates to amortize more
rapidly than the loans, resulting in
Overcollateralization. Overcollateralization/
Subordination will be calculated for each Pool as the
related Pool's current principal balance less the
related Senior Certificate's current principal balance.
The Class B Certificates (the "Subordination") will be
senior to the overcollateralization, but subordinate to
the Senior Certificates. Each pool will be allocated a
portion of the Class B Certificates.
The initial Subordination will equal [2.85%] of the
related cut-off date pool balance. Prior to the
Stepdown Date, the Overcollateralization/Subordination
target will equal [5.15%] of the related Final Pool
Balance.
The Stepdown Date will be the later of (1) the Payment
Date in [April 2002] and (2) the date that the
Aggregate Pool Balance has been reduced to 50% of the
aggregate of the Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which will be
allocated to each Pool based on its current Pool
balance) will be equal to the greatest of:
a) [10.30%] times the current Aggregate Pool
Balance;
b) two times the difference between (i) 50% of
the 90+ delinquencies and (ii) four times
the monthly excess spread;
c) the sum of the three largest loans remaining
in the deal; and
d) 0.50% times the aggregate of the Final Pool
balances.
RESERVE ACCOUNT: Amounts required to be deposited in
the Reserve Account will equal the excess of (i) the
sum of the specified Overcollateralization/
Subordination targets for both Pools over (ii) the sum
of the Overcollateralization/Subordination for both
Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Ambac Assurance Corp. ("the
Certificate Insurer"). Ambac will unconditionally and
irrevocably guarantee the timely payment of interest
and ultimate payment of principal on the Senior
Certificates (i.e. after any losses reduce the
Overcollateralization/Subordination to zero, Ambac will
cover the excess, if any, of the current Senior
Certificate Balance over the current Aggregate Pool
Balance). The Insured Payments do not cover Realized
Losses except to the extent that the aggregate
principal balance of the Senior Certificates exceeds
the Aggregate Pool Balance. Insured Payments do not
cover the Master Servicer's failure to make Delinquency
Advances except to the extent that a shortfall of
interest due on the Senior Certificates would otherwise
result therefrom. The Ambac Insurance Policy is not
cancelable for any reason. The Ambac Insurance Policy
is not covered by the property/casualty insurance
security fund specified in Article 76 of the New York
Insurance Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1 Pass-Through Rate
will be equal to the lesser of (x) the applicable
Formula Rate and (y) the applicable Available Funds
Cap.
CLASS A-2 CERTIFICATES: The Class A-2 Pass-Through Rate
will be equal to the lesser of (x) the applicable
Formula Rate and (y) the applicable Available Funds
Cap.
FORMULA RATE: The Formula Rate for the Class A-1 Certificates for any
Payment Date will equal the lesser of (i) with respect
to any Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date
that occurs after the Optional Termination Date,
one-month LIBOR plus [ %] per annum.
The Formula Rate for the Class A-2 Certificates for any
Payment Date will equal the lesser of (i) with respect
to any Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date
that occurs after the Optional Termination Date,
one-month LIBOR plus [ %] per annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior Certificates
will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's share
of the servicing fee, the Master Servicing fee, the
Trustee fee, such Pool's share of the Class B monthly
interest and the premium payable to the Certificate
Insurer, such amount divided by the principal balance
of the applicable Class of Senior Certificates. For any
Payment Date on or after October 2000, the Available
Funds Cap for the Senior Certificates will be further
reduced by 0.50%.
AVAILABLE FUNDS CAP If, on any Payment Date, the Available Funds Cap limits
CARRY FORWARD the Senior Certificate's Pass-Through Rate (i.e., the
AMOUNT: rate set by the Available Funds Cap is less than the
Formula Rate for the Class A-1 or Class A-2
Certificates), the amount of any such shortfall will be
carried forward and be due and payable on future
Payment Dates and shall accrue interest at the
applicable Formula Rate, until paid (such shortfall,
together with such accrued interest, the "Available
Funds Cap Carry Forward Amount").
The Insurance Policy for the Senior Certificates does
not cover the Available Funds Cap Carry Forward Amount;
the payment of such amount may be funded only from
Excess Spread remaining after (i) the payment of
interest and principal due on the Senior Certificates
for such Payment Date, (ii) reimbursement of the
Certificate Insurer, (iii) payment of accelerated
principal on the Senior Certificates to achieve the
required overcollateralization targets for such Payment
Date, or for required deposits into the Reserve
Account, and (iv) the payment of interest and principal
due on the Class B Certificates for such Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will be treated
as REMIC regular interests for tax purposes
ERISA CONSIDERATIONS: The Senior Certificates are expected to be ERISA
eligible. The Subordinate Certificates will NOT be
ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute "mortgage-related
securities" for purposes of SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC, Euroclear,
and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and multiples of
$1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate mortgage loans.
- 1-4 Family residential properties, condominium units
and manufactured homes.
- A substantial percentage of the loans do not conform
to FNMA or FHLMC underwriting standards or to those
standards typically applied by banks or other lending
institutions, particularly with regard to a borrower's
credit history.
- Approximately 91.34% (by Statistical Calculation Date
aggregate principal balance) of the Home Equity Loans
bear prepayment premiums.
The Trust is comprised primarily of two pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will support the Class A-1 Certificates, in
that payments on the Pool 1 Loans will generally be
used to make payments on the Class A-1 Certificates.
Similarly, the second pool of loans ("Pool 2 Loans")
will generally be used to make payments on the Class
A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of approximately $250,394,077 as of
the Statistical Calculation Date and the Pre-funded
Amount of the Pool 1 Loans is expected to be
approximately $84,140,149. 91.78% of the Pool 1 Loans,
by Statistical Calculation Date aggregate principal
balance, are adjustable rate Loans that, after a period
of six months, one year, two years, three years, or
five years following the date of origination, adjust
semi-annually based upon six-month LIBOR. 8.22% of the
Pool 1 Loans, by Statistical Calculation Date aggregate
principal balance, will bear interest at a fixed rate
for the term of the loan. The original principal
balance of each Pool 1 Loan will not exceed the maximum
loan amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
-------------------------------------
Number of Units Maximum Loan Amount of First Mortgage
--------------- -------------------------------------
Continental United States Alaska or Hawaii
------------------------- ----------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
- --------------------------------------------------------------------------------
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of approximately $115,584,286 as of
the Statistical Calculation Date and the Pre-funded
Amount of the Pool 2 Loans is expected to be
$38,816,126. 93.69% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal balance, are
adjustable rate Loans that, after a period of six
months, two years, three years, or five years following
the date of origination, adjust semi-annually based
upon six-month LIBOR. 6.31% of the Pool 2 Loans, by
Statistical Calculation Date aggregate principal
balance, will bear interest at a fixed rate for the
term of the loan. The original principal balance of
45.83% of the Pool 2 Loans will exceed the maximum loan
amounts shown in the table above. The original
principal balance of 54.17% of the Pool 2 Loans will
not exceed the maximum loan amounts shown in the table
above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or
adjustable rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately
$4.1 billion in B&C quality mortgage loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of 1 75,824 0.03
Columbia
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ------------ ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01-$100,000.00 1,020 75,671,096 30.22
$100,000.01-$250,000.00 1,073 158,556,078 63.32
$250,000.01-$500,000.00 3 819,508 0.33
------ ------------ ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured 32 2,401,214 0.96
Housing
------ ------------ ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ------------ ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ------------ ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
<PAGE>
POOL 2 INFORMATION
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ------------ ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ------------ ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01-$100,000.00 253 18,708,028 16.19
$100,000.01-$250,000.00 293 46,875,749 40.56
$250,000.01-$500,000.00 148 46,353,630 40.10
------ ------------ -------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured 8 767,873 0.66
Housing
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ - ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ------------ -------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ------------ ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ------------ ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ------------ ------
789 $115,584,286 100.00%
- --------------------------------------------------------------------------------
FREMONT HOME LOAN TRUST 1999-3
- --------------------------------------------------------------------------------
Deutsche Banc Alex. Brown
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by Deutsche
Bank Securities Inc.("DBS") as one of the underwriters for the Fremont Home Loan
Trust 1999-3, Home Loan Asset-Backed Certificates, Series 1999-3, and not by or
as agent for Fremont Investment & Loan or any of its affiliates (collectively,
the "Transferor" and "Master Servicer") or for PaineWebber Mortgage Acceptance
Corporation IV (the "Depositor"). Neither the Depositor nor the Transferor has
prepared, reviewed or participated in the preparation hereof, nor are they
responsible for the accuracy hereof and they have not authorized the
dissemination hereof. The analysis in this report is accurate to the best of
DBS's knowledge and is based on information provided by the Transferor. DBS
makes no representations as to the accuracy of such information provided by the
Transferor. THE INFORMATION HEREIN IS PRELIMINARY, AND WILL BE SUPERSEDED IN ITS
ENTIRETY BY THE APPLICABLE PROSPECTUS SUPPLEMENT AND PROSPECTUS AND BY ANY OTHER
INFORMATION SUBSEQUENTLY FILED WITH THE SECURITIES AND EXCHANGE COMMISSION.
All opinions and conclusions in this report reflect DBS's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, DBS does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. DBS (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to herein,
and may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, DBS may make a market in the securities
referred to herein. Neither the information nor the opinions expressed shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. Finally, DBS has not addressed the legal, accounting and tax
implications of the analysis with respect to you and DBS strongly urges you to
seek advice from your counsel, accountant and tax advisor.
- --------------------------------------------------------------------------------
<PAGE>
Deutsche Banc Alex Brown@
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- --------------------------------------------------------------------------------
<TABLE>
FREMONT HOME LOAN TRUST 1999-3
------------------------------
$475,000,000 (approximate) Offering Amount
Ambac Bond Insured
Bond Summary*
<CAPTION>
- ------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
Last Principal Expected
Approximate WAL Principal Window Ratings
Certificates Size Coupon (Years) Payment (Years) (Moody's/S&P)
- ------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $13,934,637 Not Offered Hereby
- ------------------ --------------- --------------------- ------------------------ -------------- ----------------------
</TABLE>
*At a pricing speed of 27% CPR and to the Optional Termination.
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
(complete collateral tables on pages 12-27)
<CAPTION>
- -------------------------------------------------------------- --------------------------- --------------------------
POOL 1 POOL 2
- -------------------------------------------------------------- --------------------------- --------------------------
<S> <C> <C>
Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal Balance): 91.78% 93.69%
Fixed loans (% of Statistical Pool Principal Balance): 8.22% 6.31%
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
- -------------------------------------------------------------- --------------------------- --------------------------
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
<PAGE>
<TABLE>
BOND SENSITIVITY TO PREPAYMENTS
<CAPTION>
TO OPTIONAL TERMINATION:
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-1 0% 15% 20% 27% 35% 45%
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
- ----------------------------------------------------------------------------------------------------
<CAPTION>
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-2 0% 15% 20% 27% 35% 45%
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
- ----------------------------------------------------------------------------------------------------
<CAPTION>
TO MATURITY:
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-1 0% 15% 20% 27% 35% 45%
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
- ----------------------------------------------------------------------------------------------------
<CAPTION>
CPR
- ----------------------------------------------------------------------------------------------------
CLASS A-2 0% 15% 20% 27% 35% 45%
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
- ----------------------------------------------------------------------------------------------------
</TABLE>
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next
Business Day thereafter) commencing in
October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2
Certificates, the period beginning on the
prior payment date (or on the Closing Date
in the case of the first payment date) and
ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first
Payment Date on which the Aggregate Pool
Balance has declined to less than 10% of the
sum of (x) the aggregate balance of the
Initial Loans as of the Cut-Off Date and (y)
the amount on deposit in the Pre-funding
Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination
would cause a payment to be made under the
Certificate Insurance Policy), at its option
(and if such option is not exercised by the
Servicer, the Certificate Insurer may, at
its option) effect an early termination of
the Trust on any Payment Date on or after
the Optional Termination Date by purchasing
all of the Home Equity Loans at a price
equal to or greater than the Termination
Price.
TERMINATION PRICE: The Termination Price will generally be an
amount equal to the greater of (i) the par
amount of all the loans and (ii) the fair
market value of the loans, and certain other
expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each
a "Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing
Fee totaling 0.50% per annum payable
monthly, Certificate Insurer Fees and
Trustee Fees.
ADVANCING: The Master Servicer is required to advance
any delinquent payment of interest and
principal to the extent such amounts are
deemed to be recoverable (the "Delinquency
Advances"). The Servicer is required to
advance reasonable and customary expense
advances with respect to the loans (for
items such as taxes and insurance) to the
extent such advances are deemed to be
recoverable ("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc Alex. Brown
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation
IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION DATE: The loans described herein represent the
portion of the loans to be conveyed to the
Trust at closing (the "Initial Loans") that
have been identified by Fremont as of the
statistical calculation date of August 25,
1999. We anticipate that additional loans
will be conveyed to the issuer during the
three months following closing. In addition,
other loans may be substituted for the
currently identified loans.
It is anticipated that the total unpaid
principal balance of the collateral pool
conveyed to the Trust at closing will be
approximately $366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately
$122,957,000 will be deposited in an account
(the "Pre-Funding Account") and will be used
to acquire Subsequent Loans. The
"Pre-Funding Period" is the period
commencing on the Closing Date and ending
generally on the earlier to occur of (i) the
date on which the amount on deposit in the
Pre-Funding Account with respect to any pool
of loans is less than $50,000 and (ii)
December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each
Pool, will equal the principal balance of
the Initial Loans for such Pool as of the
cut-off date and the Pool's allocation of
the Pre-Funding Account as of the Cut-off
Date.
CLASS B INTEREST: The Class B Certificates will receive
interest payments after the Senior
Certificates have received their monthly
interest. To the extent of a shortfall in
one Pool to cover it's allocation of the
Class B Certificate's interest, cash flow
can be crossed from the other Pool to cover
such shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1)
all Excess Spread remaining after payment of
Senior Principal and Interest and certain
other amounts and (2) all
Overcollateralization Reduction Amounts
until the bond is retired in full
(essentially all cashflow not required by
the Senior Certificates). As the
Subordination is reduced by application of
Excess Spread, the protection provided by
the accelerated amount of the Class B
Certificates to the Senior Certificates will
be replaced by Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date
(after allocation of collections in the
waterfall) will equal the excess, if any, of
(1) the sum of (a) the current Senior
Certificate Balance and (b) the current
Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable
at the bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior
Certificates") will be provided by the
following:
EXCESS SPREAD: The interest on the loans in
each Pool is generally expected to be higher
than the sum of the Master Servicing and
Servicing Fee, the Trustee Fee, the premium
payable to the Certificate Insurer, such
Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread
which will be available as principal
payments on the related Senior Certificates
on each Payment Date. Under certain
circumstances, Excess Spread from one Pool
may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess
Spread will be applied, to the extent
available, to make accelerated payments of
principal on the Senior Certificates; such
application will cause the principal balance
of the Senior Certificates to amortize more
rapidly than the loans, resulting in
Overcollateralization.
Overcollateralization/Subordination will be
calculated for each Pool as the related
Pool's current principal balance less the
related Senior Certificate's current
principal balance. The Class B Certificates
(the "Subordination") will be senior to the
overcollateralization, but subordinate to
the Senior Certificates. Each pool will be
allocated a portion of the Class B
Certificates.
The initial Subordination will equal [2.85%]
of the related cut-off date pool balance.
Prior to the Stepdown Date, the
Overcollateralization/Subordination target
will equal [5.15%] of the related Final Pool
Balance.
The Stepdown Date will be the later of (1)
the Payment Date in [April 2002] and (2) the
date that the Aggregate Pool Balance has
been reduced to 50% of the aggregate of the
Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which
will be allocated to each Pool based on its
current Pool balance) will be equal to the
greatest of:
a) [10.30%] times the current Aggregate
Pool Balance;
b) two times the difference between (i)
50% of the 90+ delinquencies and (ii)
four times the monthly excess spread;
c) the sum of the three largest loans
remaining in the deal; and
d) 0.50% times the aggregate of the Final
Pool balances.
RESERVE ACCOUNT: Amounts required to be
deposited in the Reserve Account will equal
the excess of (i) the sum of the specified
Overcollateralization/Subordination targets
for both Pools over (ii) the sum of the
Overcollateralization/Subordination for both
Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A
financial guaranty policy issued by Ambac
Assurance Corp. ("the Certificate Insurer").
Ambac will unconditionally and irrevocably
guarantee the timely payment of interest and
ultimate payment of principal on the Senior
Certificates (i.e. after any losses reduce
the Overcollateralization/Subordination to
zero, Ambac will cover the excess, if any,
of the current Senior Certificate Balance
over the current Aggregate Pool Balance).
The Insured Payments do not cover Realized
Losses except to the extent that the
aggregate principal balance of the Senior
Certificates exceeds the Aggregate Pool
Balance. Insured Payments do not cover the
Master Servicer's failure to make
Delinquency Advances except to the extent
that a shortfall of interest due on the
Senior Certificates would otherwise result
therefrom. The Ambac Insurance Policy is not
cancelable for any reason. The Ambac
Insurance Policy is not covered by the
property/casualty insurance security fund
specified in Article 76 of the New York
Insurance Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
CLASS A-2 CERTIFICATES: The Class A-2
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
FORMULA RATE: The Formula Rate for the Class A-1
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
The Formula Rate for the Class A-2
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior
Certificates will equal the annualized rate
equal to (i) the interest due on the related
Pool less such Pool's share of the servicing
fee, the Master Servicing fee, the Trustee
fee, such Pool's share of the Class B
monthly interest and the premium payable to
the Certificate Insurer, such amount divided
by the principal balance of the applicable
Class of Senior Certificates. For any
Payment Date on or after October 2000, the
Available Funds Cap for the Senior
Certificates will be further reduced by
0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds
Cap limits the Senior Certificate's
Pass-Through Rate (i.e., the rate set by the
Available Funds Cap is less than the Formula
Rate for the Class A-1 or Class A-2
Certificates), the amount of any such
shortfall will be carried forward and be due
and payable on future Payment Dates and
shall accrue interest at the applicable
Formula Rate, until paid (such shortfall,
together with such accrued interest, the
"Available Funds Cap Carry Forward Amount").
The Insurance Policy for the Senior
Certificates does not cover the Available
Funds Cap Carry Forward Amount; the payment
of such amount may be funded only from
Excess Spread remaining after (i) the
payment of interest and principal due on the
Senior Certificates for such Payment Date,
(ii) reimbursement of the Certificate
Insurer, (iii) payment of accelerated
principal on the Senior Certificates to
achieve the required overcollateralization
targets for such Payment Date, or for
required deposits into the Reserve Account,
and (iv) the payment of interest and
principal due on the Class B Certificates
for such Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will
be treated as REMIC regular interests for
tax purposes
ERISA CONSIDERATIONS: The Senior Certificates are expected to be
ERISA eligible. The Subordinate Certificates
will NOT be ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes
of SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and
multiples of $1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate
mortgage loans.
- 1-4 Family residential properties,
condominium units and manufactured homes.
- A substantial percentage of the loans do
not conform to FNMA or FHLMC underwriting
standards or to those standards typically
applied by banks or other lending
institutions, particularly with regard to a
borrower's credit history.
- Approximately 91.34% (by Statistical
Calculation Date aggregate principal
balance) of the Home Equity Loans bear
prepayment premiums.
The Trust is comprised primarily of two
pools of mortgage loans. The first pool of
loans ("Pool 1 Loans") will support the
Class A-1 Certificates, in that payments on
the Pool 1 Loans will generally be used to
make payments on the Class A-1 Certificates.
Similarly, the second pool of loans ("Pool 2
Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an
aggregate principal balance of approximately
$250,394,077 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 1 Loans is expected to be
approximately $84,140,149. 91.78% of the
Pool 1 Loans, by Statistical Calculation
Date aggregate principal balance, are
adjustable rate Loans that, after a period
of six months, one year, two years, three
years, or five years following the date of
origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans,
by Statistical Calculation Date aggregate
principal balance, will bear interest at a
fixed rate for the term of the loan. The
original principal balance of each Pool 1
Loan will not exceed the maximum loan
amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
- ----------------------- --------------------------------------------------------
NUMBER OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
Continental United States Alaska or Hawaii
------------------------------ -------------------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
- ----------------------- ------------------------------ -------------------------
POOL 2 LOANS: The Pool 2 Loans have an
aggregate principal balance of approximately
$115,584,286 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 2 Loans is expected to be
$38,816,126. 93.69% of the Pool 2 Loans, by
Statistical Calculation Date aggregate
principal balance, are adjustable rate Loans
that, after a period of six months, two
years, three years, or five years following
the date of origination, adjust
semi-annually based upon six-month LIBOR.
6.31% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal
balance, will bear interest at a fixed rate
for the term of the loan. The original
principal balance of 45.83% of the Pool 2
Loans will exceed the maximum loan amounts
shown in the table above. The original
principal balance of 54.17% of the Pool 2
Loans will not exceed the maximum loan
amounts shown in the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or
adjustable rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately
$4.1 billion in B&C quality mortgage loans.
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
<CAPTION>
POOL 1 INFORMATION
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
- --------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
<CAPTION>
POOL 2 INFORMATION
- -------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
- --------------------------------------------------------------------------------------------------------
</TABLE>
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