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: June 11, 1999
(Date of earliest event reported)
PaineWebber Mortgage Acceptance Corporation IV (as depositor under the Sale and
Master Servicing Agreement, dated as of June 1, 1999, relating to the Fremont
Home Loan Owner Trust 1999-2, Home Loan Asset Backed Notes, Series 1999-2)
PaineWebber Mortgage Acceptance Corporation IV
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(Exact Name of Registrant as Specified in Charter)
Delaware 333-61785 06-1204982
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(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
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(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 713-2000
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(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
ITEM 5. Other Events
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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 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
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(99.1) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by PaineWebber
Incorporated in connection with
Fremont Home Loan Owner Trust 1999-2,
Home Loan Asset Backed Notes, Series
1999-2
(99.2) Structural Term Sheets, Collateral Term
Sheets and Computational Materials
prepared by Chase Securities Inc. in
connection with Fremont Home Loan Owner
Trust 1999-2, Home Loan Asset Backed
Notes, Series 1999-2
(99.3) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Credit Suisse
First Boston in connection with
Fremont Home Loan Owner Trust 1999-2,
Home Loan Asset Backed Notes, Series
1999-2
(99.4) Structural Term Sheets, Collateral Term
Sheets and Computational Materials
prepared by First Union Capital Markets
Corp. in connection with Fremont Home
Loan Owner Trust 1999-2, Home Loan
Asset Backed Notes, Series 1999-2
(99.5) Structural Term Sheets, Collateral Term
Sheets and Computational Materials
prepared by Banc One Capital Markets,
Inc. in connection with Fremont Home
Loan Owner Trust 1999-2, Home Loan
Asset Backed Notes, Series 1999-2
<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
June 14, 1999
By: 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 Owner
Trust 1999-2, Home Loan Asset Backed
Notes, Series 1999-2
(99.2) Structural Term Sheets, Collateral E
Term Sheets and Computational Materials
prepared by Chase Securities Inc. in
connection with Fremont Home Loan Owner
Trust 1999-2, Home Loan Asset Backed
Notes, Series 1999-2
(99.3) Structural Term Sheets, Collateral E
Term Sheets and Computational Materials
prepared by Credit Suisse First Boston
in connection with Fremont Home Loan
Owner Trust 1999-2, Home Loan Asset
Backed Notes, Series 1999-2
(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 Owner Trust 1999-2, Home Loan
Asset Backed Notes, Series 1999-2
(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 Owner Trust 1999-2, Home Loan
Asset Backed Notes, Series 1999-2
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FREMONT HOME LOAN OWNER TRUST 1999-2
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PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN OWNER TRUST 1999-2
DISCLAIMER
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The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") as one of the underwriters for the Fremont
Home Loan Owner Trust 1999-2, Home Loan Asset-Backed Notes, Series 1999-2,
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.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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PAINEWEBBER
<PAGE>
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FREMONT HOME LOAN OWNER TRUST 1999-2
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
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$500,000,000 (APPROXIMATE) OFFERING AMOUNT
FSA BOND INSURED
BOND SUMMARY*
<TABLE>
<CAPTION>
================== =============== ================ =========== ============ ============ ============ =================
Last Principal Expected
Approximate WAL Principal Window Maturity Ratings
Class Size Coupon (Years) Payment (Years) Date (Moody's/S&P)
- ------------------ --------------- ---------------- ----------- ------------ ------------ ------------ -----------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $79,679,885 Fixed 3.15 11/06 7.42 6/25/30 Aaa/AAA
A-2 $347,136,218 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
A-3 $73,183,897 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
================== =============== ================ =========== ============ ============ ============ =================
</TABLE>
*At a pricing scenario of 4% CPR increasing to 24% CPR over 12 months for the
fixed rate collateral and 27% CPR for the adjustable rate collateral and to
the Optional Redemption.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
(complete collateral tables on pages 13-32)
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POOL 1 POOL 2 POOL 3
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Number of Loans: 845 2,421 183
Current Balance: $70,707,966 $243,255,086 $54,478,825
Average Balance: $83,678 $100,477 $297,698
Minimum Balance: $14,816 $14,950 $240,909
Maximum Balance: $49,714 $302,921 $499,697
Wtd Average Coupon: 10.1516% 10.0286% 9.4874%
Wtd Average Original Term (months): 335 360 360
Wtd Average Seasoning (months): 4 2 2
Wtd Average Original Loan-To-Value: 74.86% 77.76% 79.24%
Amortization Type:
ARM loans (% of Statistical Pool - 100% 100%
Principal Balance)
Fixed loans (% of Statistical Pool 100% - -
Principal Balance)
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: - 2.83% 2.80%
Wtd Avg Subsequent Periodic Rate Cap: - 1.45% 1.44%
Wtd Avg Margin: - 6.29% 6.19%
Wtd Avg Life Cap: - 16.95% 16.35%
Wtd Avg Months to Roll: - 27.19 27.11
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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PAINEWEBBER
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS
PREPAYMENT SCENARIOS
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S-1 S-2 S-3 S-4 S-5 S-6
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Class A-1* 0% 50% 75% 100% 125% 150%
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Class A-2** 0% 15% 20% 27% 35% 45%
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Class A-3** 0% 15% 20% 27% 35% 45%
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* As a percentage of the Prepayment Assumption (4% CPR increasing to 24% CPR
over 12 months)
** CPR
TO OPTIONAL REDEMPTION:
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Class A-1 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 16.67 6.00 4.21 3.15 2.47 1.99
YIELD @ 100.00 7.34% 7.28% 7.24% 7.20% 7.16% 7.11%
DURATION 8.79 4.27 3.26 2.59 2.11 1.74
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.25 13.83 10.17 7.42 5.50 4.08
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Class A-2 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 20.82 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
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Class A-3 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 20.75 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
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<PAGE>
BOND SENSITIVITY TO PREPAYMENTS (continued)
TO MATURITY:
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Class A-1 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 16.67 6.43 4.60 3.51 2.80 2.31
YIELD @ 100.00 7.34% 7.30% 7.27% 7.25 7.22% 7.20%
DURATION 8.79 4.40 3.42 2.76 2.30 1.96
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 11/24 11/20 06/16 10/13 03/11
WINDOW (YEARS) 28.25 25.42 21.42 17.00 14.33 11.75
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Class A-2 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 20.88 5.36 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 09/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.25 21.67 16.25 12.08 8.83
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Class A-3 S-1 S-2 S-3 S-4 S-5 S-6
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AVERAGE LIFE 20.81 5.35 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 08/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.17 21.67 16.25 12.08 8.83
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<PAGE>
PRICING INFORMATION
PRICING SPEEDS: 4% CPR, increasing to 24% CPR over 12 months
(Fixed Rate Collateral)
27% CPR (Adjustable Rate Collateral)
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in July of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 Notes, the calendar month
immediately preceding the month in which the
relevant payment date occurs. For the Class A-2
and Class A-3 Notes, 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: 24 days for the Class A-1 Notes
0 days on the Class A-2 Notes and Class A-3 Notes
SETTLEMENT (CLOSING) DATE: On or about June 24, 1999
CUT-OFF DATE: June 1, 1999 (close of business)
MATURITY DATE: The Maturity Date for the Class A-1 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-1 Notes will
occur significantly earlier than the Maturity
Date.
The Maturity Date for the Class A-2 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-2 Notes will
occur significantly earlier than the Maturity
Date.
The Maturity Date for the Class A-3 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-3 Notes will
occur significantly earlier than the Maturity
Date.
OPTIONAL REDEMPTION DATE: The Optional Redemption Date is the first Payment
Date on which the aggregate Loan Balance of the
Home Equity Loans has declined to less than 10% of
the aggregate Loan Balance of the Home Equity
Loans as of the Cut-Off Date.
REDEMPTION PRICE: The Redemption Price will be an amount that will
at least pay in full accrued interest and
principal on the Notes and certain other expenses.
<PAGE>
PRICING INFORMATION (continued)
OPTIONAL REDEMPTION: The holders of Residual Interests exceeding in the
aggregate a 50% interest may, at their option
effect an early redemption of the Notes and
terminate the Trust on any Payment Date on or
after the Optional Redemption Date by purchasing
all of the Home Equity Loans at a price equal to
or greater than the Redemption Price. In addition,
the Note Insurer will have rights under limited
circumstances, to purchase the Home Equity Loans
and thereby effect a redemption of the Notes.
INITIAL TURBO: With respect to each class of Notes, 100% of the
excess cash flow from the related Pool of Home
Equity Loans will be used to accelerate such class
of Notes until the overcollateralization target
for such Class is reached. To the extent
necessary, after the overcollateralization target
with respect to each Class of Notes is reached,
100% of the excess cash flow from the related Pool
of Home Equity Loans will be available to
accelerate such Class of Notes to maintain the
then current overcollateralization target for such
Class. Any remaining excess cash flow may be used
to cover shortfalls incurred by the other Classes
of Notes due to delinquencies and losses that
occur in the other Pools. Excess cash flow may,
under certain circumstances, be deposited in the
Reserve Account (defined below).
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a servicing fee of 0.50% per annum
payable monthly, Note Insurer fees, and Indenture
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 Owner Trust 1999-2, Home Loan
Asset-Backed Notes, Series 1999-2.
OFFERING AMOUNT: Approximately $500,000,000
CERTIFICATES: Residual Interest (not offered)
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
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: Fairbanks Capital Corp.
OWNER TRUSTEE: Wilmington Trust Company
INDENTURE TRUSTEE: First Union National Bank
STATISTICAL CALCULATION DATE: The collateral described herein and in the
prospectus supplement represents the pool of Home
Equity Loans as of the Statistical Calculation
Date of May 25, 1999. It is anticipated that the
total unpaid principal balance of the collateral
pool conveyed to the Trust at closing will be
approximately $500,000,000.
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 87.24% (by Statistical Calculation
Date aggregate principal balance) of the Home
Equity Loans bear prepayment premiums.
<PAGE>
DESCRIPTION OF SECURITIES (continued)
HOME EQUITY LOANS: The Trust is comprised primarily of three pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will back the Class A-1 Notes, in that
payments on the Pool 1 Loans will generally be
used to make payments on the Class A-1 Notes.
Similarly, the second pool of loans ("Pool 2
Loans") will back the Class A-2 Notes and the
third pool of loans ("Pool 3 Loans") will back the
Class A-3 Notes.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of $70,707,966 as of the
Statistical Calculation Date. All 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. It is anticipated
that the Cut-off Date aggregate principal balance
of the Pool 1 Loans conveyed to the Trust at
closing will be approximately $79,679,885.
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of $243,255,086 as of the
Statistical Calculation Date. All of the Pool 2
Loans 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.
The original principal balance of each Pool 2 Loan
will not exceed the maximum loan amounts shown in
the table below. It is anticipated that the
Cut-off Date aggregate principal balance of the
Pool 2 Loans conveyed to the Trust at closing will
be approximately $347,136,218.
Maximum Loan Balances of Pool 2 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 3 LOANS: The Pool 3 Loans have an aggregate
principal balance of $54,478,825 as of the
Statistical Calculation Date. All of the Pool 3
Loans 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.
The original principal balance of each Pool 3 Loan
will exceed the maximum loan amounts shown in the
table above. It is anticipated that the Cut-off
Date aggregate principal balance of the Pool 3
Loans conveyed to the Trust at closing will be
approximately $73,183,897.
<PAGE>
DESCRIPTION OF SECURITIES (continued)
CREDIT ENHANCEMENT: Credit enhancement for each class of Notes will be
provided by the following:
EXCESS SPREAD: The weighted average coupon rate on
the Loans in each Pool is generally expected to be
higher than the sum of the servicing fee, the
trustee fee, the premium payable to the Note
Insurer, and the pass through rate on each class
of Notes, thus generating excess interest
collections which, along with prepayment premiums
collected on the Loans, will be available to fund
payments on the related class of Notes on each
Payment Date. Under certain circumstances, Excess
Spread from one loan Pool may be used to cover
shortfalls due to delinquencies or losses in other
loan Pools.
OVERCOLLATERALIZATION: Excess cash flow will be
applied, to the extent available, to make
accelerated payments of principal on the Notes;
such application will cause the aggregate
principal balance of the Notes to amortize more
rapidly than the Loans, resulting in
overcollateralization. Prior to the
Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-1,
Class A-2 and Class A-3 Notes is expected to build
to (i) [3.75]% of the Cut-off Date loan pool
principal balance of Pool 1, (ii) [4.50%] of the
Cut-off Date loan pool principal balance of Pool
2, and (iii) [4.50%] of the Cut-off Date loan pool
principal balance of Pool 3, respectively.
On or after the Overcollateralization Stepdown
Date, the Overcollateralization Amount for the
Class A-1, Class A-2, and Class A-3 Notes will be
permitted to decrease to (i) [7.50%] of the then
outstanding aggregate unpaid principal balance of
the Pool 1 Loans, (ii) [9.00%] of the then
outstanding aggregate unpaid principal balance of
the Pool 2 Loans, and (iii) [9.00%] of the then
outstanding aggregate unpaid principal balance of
the Pool 3 Loans, respectively, subject, in each
such case, to a floor of [0.50%] of the original
principal balance of each Pool of Loans (each such
percentage then in effect, the "O/C Target"). The
Overcollateralization Stepdown Date will be no
earlier than the 25th month following the Closing
Date and is subject to certain delinquency and
loan loss tests.
RESERVE ACCOUNT: Amounts required to be deposited
in the Reserve Account will be equal to the excess
of (i) the sum of the specified
overcollateralization targets for all classes of
Notes and (ii) the sum of the
overcollateralization amounts for all classes of
Notes.
<PAGE>
DESCRIPTION OF SECURITIES (continued)
CREDIT ENHANCEMENT
(continued): FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Financial Security
Assurance, Inc. ("the Note Insurer"). FSA will
unconditionally and irrevocably guarantee the
timely payment of interest and ultimate payment of
principal on the Notes (i.e. after any losses
reduce the overcollateralization to zero, FSA will
cover the excess, if any, of the Note principal
balance over the Pool balance). The Insured
Payments do not cover Realized Losses except to
the extent that the principal balance of the Notes
exceeds the Pool Principal 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
Notes would otherwise result therefrom. The FSA
Insurance Policy is not cancelable for any reason.
THE FSA INSURANCE POLICY IS NOT COVERED BY THE
PROPERTY/CASUALTY INSURANCE SECURITY FUND
SPECIFIED IN ARTICLE 76 OF THE NEW YORK INSURANCE
LAW.
NOTE RATE: CLASS A-1 NOTES: The Class A-1 Notes will bear
interest at a fixed rate of interest equal to [ %]
per annum. The interest rate on the Class A-1
notes will increase by 0.50% commencing on the
first day of the Accrual Period in which the
Optional Redemption Date occurs.
CLASS A-2 NOTES: The Class A-2 Note Rate will be
equal to the lesser of (x) the applicable Formula
Note Rate and (y) the Available Funds Cap.
CLASS A-3 NOTES: The Class A-3 Note Rate will be
equal to the lesser of (x) the applicable Formula
Note Rate and (y) the Available Funds Cap.
FORMULA NOTE RATE: The Formula Note Rate for the Class A-2 Notes for
any Payment Date will equal the lesser of (x) (i)
with respect to any Payment Date which occurs on
or prior to the Optional Redemption Date,
one-month LIBOR plus [ %] per annum, or (ii) with
respect to any Payment Date that occurs after the
Optional Redemption Date, one-month LIBOR plus [
%] per annum and (y) [13.00%] per annum.
The Formula Note Rate for the Class A-3 Notes for
any Payment Date will equal the lesser of (x) (i)
with respect to any Payment Date which occurs on
or prior to the Optional Redemption Date,
one-month LIBOR plus [ %] per annum, or (ii) with
respect to any Payment Date that occurs after the
Optional Redemption Date, one-month LIBOR plus [
%] per annum and (y) [13.00%] per annum.
<PAGE>
DESCRIPTION OF SECURITIES (continued)
AVAILABLE FUNDS CAP: The Available Funds Cap for the Class A-2 and
Class A-3 Notes will equal the annualized rate
equal to (i) the interest due on the related Pool
less such Pool's share of the servicing fee,
Master Servicing fee, the Indenture Trustee fee
and the premium payable to the Note Insurer, such
amount divided by the principal balance of the
applicable class of Notes. For any Payment Date on
or after July 2000, the Available Funds Cap for
the Class A-2 and Class A-3 Notes will be further
reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap
limits the Class A-2 or Class A-3 Note Rates
(i.e., the rate set by the Available Funds Cap is
less than the Formula Note Rate for the Class A-2
or Class A-3 Notes), 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 Note Rate,
until paid (such shortfall, together with such
accrued interest, the "Available Funds Cap Carry
Forward Amount").
The Insurance Policy for the Notes does not cover
the Available Funds Cap Carry Forward Amount; the
payment of such amount may be funded only from
excess cash flow remaining after (i) the payment
of interest and principal due on the Notes for
such Payment Date, if any (ii) reimbursement of
the Note Insurer, (iii) payment of accelerated
principal on the Notes to achieve the required O/C
Targets for such Payment Date and for required
deposits into the Reserve Account.
FEDERAL TAX ASPECTS: The trust will be an Owner Trust. No election will
be made to treat the Trust Estate or any portion
thereof as a REMIC for federal income tax
purposes. The Notes will be treated as
non-recourse debt obligations of the trust.
ERISA CONSIDERATIONS: Subject to the discussion in the Prospectus
Supplement and Prospectus, the Notes may be
purchased by employee benefit plans that are
subject to ERISA.
SMMEA ELIGIBILITY: The Notes 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
$1,000 thereafter.
<PAGE>
DESCRIPTION OF THE SERVICER
o Fairbanks Capital Corp. ("Fairbanks"), a Utah corporation, was formed on
February 24, 1989.
o Financial Security Assurance, Inc. owns a 25% share of Fairbanks Capital
Holding Corporation.
o Fairbanks commenced mortgage servicing operations in 1989 for its own
account and since 1994 has managed and serviced third-party mortgage loan
portfolios. Prior to 1998, Fairbanks primarily serviced portfolios of
non-performing or delinquent residential mortgage loans.
o Fairbanks is a FNMA approved seller/servicer and a FHLMC approved servicer
that is engaged in the servicing of first and second lien mortgage loans.
o Fairbanks is currently servicing over 20,000 loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
State California 170 20,705,378 29.28
Florida 136 9,189,722 13.00
New York 60 6,117,642 8.65
Illinois 39 3,651,522 5.16
Washington 24 2,657,116 3.76
Ohio 46 2,589,098 3.66
Oregon 17 2,017,668 2.85
Georgia 26 1,986,215 2.81
New Jersey 20 1,832,151 2.59
Indiana 34 1,830,581 2.59
Pennsylvania 35 1,703,896 2.41
Michigan 40 1,651,734 2.34
Arizona 20 1,370,574 1.94
Massachusetts 14 1,360,025 1.92
Tennessee 16 1,088,175 1.54
Utah 10 1,054,974 1.49
Colorado 12 995,531 1.41
Nevada 7 936,812 1.32
Missouri 12 844,510 1.19
Idaho 9 805,430 1.14
North Carolina 10 760,627 1.08
Texas 9 728,705 1.03
Connecticut 8 709,600 1.00
South Carolina 9 522,271 0.74
Louisiana 6 470,053 0.66
Oklahoma 8 435,305 0.62
Mississippi 8 306,485 0.43
Wisconsin 6 297,514 0.42
Arkansas 5 283,413 0.40
Kentucky 5 279,857 0.40
New Mexico 2 238,756 0.34
New Hampshire 3 233,731 0.33
Virginia 5 221,904 0.31
Minnesota 2 184,480 0.26
Montana 2 156,505 0.22
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
State (continued) Kansas 2 80,000 0.11
Rhode Island 1 68,966 0.10
Hawaii 1 68,138 0.10
Maryland 1 65,553 0.09
Alaska 1 60,468 0.09
Iowa 1 48,302 0.07
West Virginia 1 39,678 0.06
Delaware 1 30,848 0.04
Maine 1 28,053 0.04
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Original LTV 15+% to 20% 2 44,427 0.06
20+% to 25% 2 84,887 0.12
25+% to 30% 7 377,753 0.53
30+% to 35% 14 530,914 0.75
35+% to 40% 17 889,237 1.26
40+% to 45% 15 562,387 0.80
45+% to 50% 23 1,102,260 1.56
50+% to 55% 15 837,717 1.18
55+% to 60% 59 3,555,120 5.03
60+% to 65% 53 3,151,830 4.46
65+% to 70% 120 9,273,703 13.12
70+% to 75% 139 12,248,030 17.32
75+% to 80% 227 21,750,383 30.76
80+% to 85% 83 9,641,887 13.64
85+% to 90% 67 6,528,192 9.23
90+% to 95% 2 129,239 0.18
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Coupon 7+ - 8% 8 1,680,932 2.38
8+ - 9% 133 15,493,134 21.91
9+ - 10% 232 21,314,305 30.14
10+ - 11% 231 18,476,111 26.13
11+ - 12% 122 7,698,826 10.89
12+ - 13% 76 3,921,499 5.55
13+ - 14% 40 2,027,183 2.87
14+ - 15% 3 95,976 0.14
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Balance 10K+ to 15K 1 14,816 0.02
15K+ to 20K 11 208,683 0.30
20K+ to 30K 79 2,091,083 2.96
30K+ to 40K 118 4,194,816 5.93
40K+ to 50K 100 4,513,991 6.38
50K+ to 100K 323 22,755,023 32.18
100K+ to 250K 182 26,255,982 37.13
250K+ to 500K 31 10,673,573 15.10
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Property Type Single Family 716 60,768,267 85.94
2-4 Family 73 6,125,163 8.66
Condo 35 2,545,718 3.60
Manufactured 21 1,268,817 1.79
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Loan Age 0 112 9,261,872 13.10
1 203 16,963,711 23.99
2 53 5,089,539 7.20
3 59 6,041,085 8.54
4 49 3,445,463 4.87
5 93 7,932,606 11.22
6 80 6,531,935 9.24
7 73 5,716,104 8.08
8 or more 123 9,725,650 13.75
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Remaining Term Less than 353 461 37,902,991 53.60
353 29 2,975,476 4.21
354 38 2,863,716 4.05
355 27 2,477,016 3.50
356 7 525,139 0.74
357 12 1,464,148 2.07
358 29 2,609,301 3.69
359 142 11,525,057 16.30
360 100 8,365,122 11.83
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Occupancy Owner Occupied 677 58,674,187 82.98
Non-Owner Occupied 168 12,033,779 17.02
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Credit Grade A 208 19,671,231 27.82
A- 224 21,505,418 30.41
B 198 16,309,669 23.07
C 162 10,743,605 15.19
C- 30 1,277,007 1.81
D 23 1,201,035 1.70
------ ----------- -------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
State California 571 77,067,764 31.68
Illinois 219 20,322,168 8.35
Florida 195 16,397,478 6.74
Washington 130 13,826,259 5.68
New York 109 11,458,179 4.71
New Jersey 100 10,882,898 4.47
Utah 97 10,629,763 4.37
Michigan 129 8,428,533 3.46
Ohio 102 7,084,279 2.91
Arizona 74 6,729,564 2.77
Oregon 59 6,395,039 2.63
Nevada 57 6,267,735 2.58
Colorado 62 5,373,107 2.21
Massachusetts 43 5,241,783 2.15
Indiana 68 4,715,236 1.94
Pennsylvania 46 2,853,601 1.17
Missouri 37 2,839,646 1.17
Wisconsin 38 2,688,842 1.11
Idaho 32 2,443,057 1.00
Connecticut 19 2,361,078 0.97
Georgia 29 2,313,079 0.95
Maine 22 2,219,987 0.91
North Carolina 22 2,031,686 0.84
Tennessee 21 1,530,147 0.63
Minnesota 21 1,509,229 0.62
Texas 12 1,288,159 0.53
Oklahoma 16 1,187,334 0.49
New Hampshire 16 1,080,055 0.44
Montana 15 1,068,238 0.44
Virginia 8 898,558 0.37
Maryland 5 555,518 0.23
Kansas 10 517,390 0.21
Arkansas 4 481,549 0.20
Delaware 3 474,608 0.20
South Carolina 6 414,465 0.17
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
State (continued) District of Columbia 4 393,685 0.16
Alaska 3 314,281 0.13
New Mexico 6 313,878 0.13
Hawaii 1 189,154 0.08
Nebraska 4 181,791 0.07
Vermont 1 86,800 0.04
Kentucky 2 70,216 0.03
Rhode Island 1 45,309 0.02
Mississippi 1 44,167 0.02
Iowa 1 39,794 0.02
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Original LTV 15+% to 20% 2 62,929 0.03
20+% to 25% 2 177,166 0.07
25+% to 30% 6 408,532 0.17
30+% to 35% 8 364,249 0.15
35+% to 40% 11 583,489 0.24
40+% to 45% 16 1,461,946 0.60
45+% to 50% 32 2,031,968 0.84
50+% to 55% 46 3,921,717 1.61
55+% to 60% 80 6,177,901 2.54
60+% to 65% 148 11,968,820 4.92
65+% to 70% 249 20,517,955 8.43
70+% to 75% 380 37,290,516 15.33
75+% to 80% 803 83,845,455 34.47
80+% to 85% 356 39,963,830 16.43
85+% to 90% 281 34,372,363 14.13
90+% to 95% 1 106,250 0.04
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Coupon 7+ - 8% 50 6,841,301 2.81
8+ - 9% 372 44,158,832 18.15
9+ - 10% 805 86,777,915 35.67
10+ - 11% 745 68,438,766 28.13
11+ - 12% 331 28,167,049 11.58
12+ - 13% 104 7,958,725 3.27
13+ - 14% 14 912,497 0.38
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Balance 10K+ to 15K 2 29,950 0.01
15K+ to 20K 2 33,410 0.01
20K+ to 30K 45 1,180,381 0.49
30K+ to 40K 143 5,101,469 2.10
40K+ to 50K 224 10,206,553 4.20
50K+ to 100K 978 72,005,113 29.60
100K+ to 250K 1,021 153,036,227 62.91
250K+ to 500K 6 1,661,983 0.68
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Property Type Single Family 2,082 210,161,053 86.40
2-4 Family 208 21,580,114 8.87
Condo 114 10,209,816 4.20
Manufactured 17 1,304,103 0.54
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Loan Age 0 818 84,037,221 34.55
1 870 91,245,138 37.51
2 167 16,440,476 6.76
3 72 6,525,026 2.68
4 73 7,379,349 3.03
5 99 9,135,642 3.76
6 99 9,105,562 3.74
7 89 8,473,449 3.48
8 or more 134 10,913,223 4.49
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Remaining Term Less than 353 140 11,306,906 4.65
353 89 8,473,449 3.48
354 99 9,105,562 3.74
355 98 9,068,105 3.73
356 72 7,341,929 3.02
357 72 6,491,938 2.67
358 165 16,314,802 6.71
359 869 91,182,673 37.48
360 817 83,969,721 34.52
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Occupancy Owner Occupied 2,064 216,168,827 88.87
Non-Owner Occupied 357 27,086,259 11.13
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Credit Grade A 344 35,375,880 14.54
A- 756 85,112,779 34.99
B 650 66,507,138 27.34
C 496 42,418,160 17.44
C- 108 8,573,534 3.52
D 67 5,267,595 2.17
------ ------------ -------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE
(5/25/99)
POOL 2 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Margin 3.50+ - 3.75% 1 82,252 0.03
3.75+ - 4.00% 3 302,034 0.12
4.00+ - 4.25% 4 524,551 0.22
4.25+ - 4.50% 4 263,922 0.11
4.50+ - 4.75% 5 573,038 0.24
4.75+ - 5.00% 6 544,726 0.22
5.00+ - 5.25% 12 1,368,108 0.56
5.25+ - 5.50% 174 18,311,606 7.53
5.50+ - 5.75% 107 12,733,619 5.23
5.75+ - 6.00% 516 58,256,809 23.95
6.00+ - 6.25% 652 67,913,233 27.92
6.25+ - 6.50% 183 19,677,189 8.09
6.50+ - 6.75% 288 25,964,580 10.67
6.75+ - 7.00% 113 9,197,317 3.78
7.00+ - 7.25% 133 10,695,834 4.40
7.25+ - 7.50% 67 4,868,260 2.00
7.50+ - 7.75% 72 5,459,859 2.24
7.75+ - 8.00% 40 3,108,534 1.28
8.00+ - 8.25% 14 1,300,865 0.53
8.25+ - 8.50% 17 1,313,975 0.54
8.50+ - 8.75% 3 337,362 0.14
8.75+ - 9.00% 1 63,573 0.03
9.00+ - 9.25% 3 167,953 0.07
9.25+ - 9.50% 2 163,202 0.07
Over 10.00% 1 62,681 0.03
------ ------------ -------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Rate Reset 1999/07 4 345,120 0.14
1999/08 11 1,246,904 0.51
1999/09 23 2,641,751 1.09
1999/10 53 5,901,642 2.43
1999/11 38 3,804,581 1.56
1999/12 16 1,228,683 0.51
2000/01 14 1,416,719 0.58
2000/04 1 25,751 0.01
2000/05 1 52,861 0.02
2000/06 8 782,886 0.32
2000/07 12 970,491 0.40
2000/08 21 1,424,457 0.59
2000/09 37 2,927,477 1.20
2000/10 54 5,340,409 2.20
2000/11 75 7,049,254 2.90
2000/12 107 10,173,203 4.18
2001/01 45 4,307,001 1.77
2001/02 75 6,826,771 2.81
2001/03 83 8,898,646 3.66
2001/04 502 53,876,470 22.15
2001/05 409 43,454,704 17.86
2001/06 2 123,547 0.05
2001/07 1 127,538 0.05
2001/08 3 139,771 0.06
2001/09 9 632,538 0.26
2001/10 17 1,238,379 0.51
2001/11 19 1,540,225 0.63
2001/12 8 524,498 0.22
2002/01 5 510,031 0.21
2002/02 2 65,003 0.03
2002/03 32 2,746,357 1.13
2002/04 282 27,885,128 11.46
2002/05 247 25,078,632 10.31
2003/05 2 83,189 0.03
2004/02 2 122,559 0.05
2004/04 79 8,251,735 3.39
2004/05 122 11,490,176 4.72
------ ------------ -------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Life Cap 12+ - 13% 1 137,468 0.06
13+ - 14% 2 123,386 0.05
14+ - 15% 66 9,123,088 3.75
15+ - 16% 402 47,363,632 19.47
16+ - 17% 822 87,232,348 35.86
17+ - 18% 713 65,441,044 26.9
18+ - 19% 307 25,854,555 10.63
19+ - 20% 98 7,321,569 3.01
20+ - 21% 10 657,997 0.27
------ ------------ -------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Life Floor 7+ - 8% 52 6,964,686 2.86
8+ - 9% 385 45,840,497 18.84
9+ - 10% 814 87,865,516 36.12
10+ - 11% 733 66,956,373 27.53
11+ - 12% 323 27,299,861 11.22
12+ - 13% 102 7,572,875 3.11
13+ - 14% 12 755,277 0.31
------ ------------ -------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
State California 108 32,608,711 59.86
Illinois 11 3,567,128 6.55
Washington 10 2,825,937 5.19
Florida 10 2,717,748 4.99
New York 7 2,113,649 3.88
New Jersey 7 2,014,847 3.70
Colorado 5 1,531,687 2.81
Michigan 4 1,317,579 2.42
Ohio 5 1,306,263 2.40
Utah 3 809,616 1.49
Arizona 2 643,750 1.18
Maryland 2 580,291 1.07
Maine 1 300,000 0.55
Connecticut 1 296,162 0.54
Massachusetts 1 278,665 0.51
Indiana 1 275,349 0.51
Oregon 1 274,891 0.50
New Mexico 1 258,523 0.47
Montana 1 256,500 0.47
Vermont 1 252,000 0.46
New Hampshire 1 249,529 0.46
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Original LTV 50+% to 55% 1 349,845 0.64
55+% to 60% 7 1,996,507 3.66
60+% to 65% 5 1,571,842 2.89
65+% to 70% 12 3,462,267 6.36
70+% to 75% 26 7,898,493 14.50
75+% to 80% 70 20,927,396 38.41
80+% to 85% 31 9,187,992 16.87
85+% to 90% 31 9,084,482 16.68
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Coupon 7+ - 8% 6 1,826,361 3.35
8+ - 9% 71 21,531,677 39.52
9+ - 10% 60 17,639,626 32.38
10+ - 11% 36 10,577,861 19.42
11+ - 12% 6 1,773,925 3.26
12+ - 13% 4 1,129,375 2.07
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Current Balance 100K+ to 250K 21 5,154,434 9.46
250K+ to 500K 162 49,324,390 90.54
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Property Type Single Family 179 53,180,734 97.62
Condo 3 948,246 1.74
2-4 Family 1 349,845 0.64
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Loan Age 0 55 16,182,125 29.70
1 73 21,573,809 39.60
2 15 4,379,906 8.04
3 4 1,221,763 2.24
4 4 1,190,776 2.19
5 8 2,469,226 4.53
6 6 1,866,513 3.43
7 7 2,187,498 4.02
8 or more 11 3,407,210 6.25
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Remaining Term Less than 353 11 3,407,210 6.25
353 7 2,187,498 4.02
354 6 1,866,513 3.43
355 8 2,469,226 4.53
356 4 1,190,776 2.19
357 4 1,221,763 2.24
358 15 4,379,906 8.04
359 73 21,573,809 39.60
360 55 16,182,125 29.70
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Occupancy Owner Occupied 179 53,269,960 97.78
Non-Owner Occupied 4 1,208,865 2.22
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- -----------------------------------------------------------------------
Credit Grade A 37 10,989,757 20.17
A- 81 24,373,860 44.74
B 45 13,497,205 24.78
C 15 4,214,105 7.74
C- 4 1,109,772 2.04
D 1 294,125 0.54
------ ----------- -------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Margin 3.75+ - 4.00% 1 278,022 0.51
4.50+ - 4.75% 2 618,783 1.14
5.25+ - 5.50% 17 5,101,689 9.36
5.50+ - 5.75% 13 4,182,526 7.68
5.75+ - 6.00% 54 15,970,761 29.32
6.00+ - 6.25% 38 11,206,918 20.57
6.25+ - 6.50% 17 4,993,374 9.17
6.50+ - 6.75% 23 7,070,962 12.98
6.75+ - 7.00% 9 2,515,355 4.62
7.00+ - 7.25% 5 1,450,562 2.66
7.50+ - 7.75% 1 245,000 0.45
8.00+ - 8.25% 1 294,125 0.54
8.75+ - 9.00% 1 258,523 0.47
9.25+ - 9.50% 1 292,224 0.54
------ ----------- -------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Rate Reset 1999/07 1 268,135 0.49
1999/09 2 631,240 1.16
1999/10 7 2,087,118 3.83
1999/11 4 1,223,032 2.24
2000/01 3 858,976 1.58
2000/07 1 297,131 0.55
2000/08 1 327,951 0.60
2000/09 3 917,136 1.68
2000/10 2 609,697 1.12
2000/11 3 1,109,132 2.04
2000/12 8 2,476,730 4.55
2001/01 2 574,934 1.06
2001/02 7 2,210,619 4.06
2001/03 7 2,021,947 3.71
2001/04 44 13,116,545 24.08
2001/05 27 8,115,148 14.90
2001/09 1 294,492 0.54
2001/10 1 275,349 0.51
2001/11 1 358,967 0.66
2002/03 1 262,164 0.48
2002/04 20 5,853,647 10.74
2002/05 18 5,213,817 9.57
2004/04 8 2,178,980 4.00
2004/05 11 3,195,936 5.87
------ ----------- -------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (continued)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Life Cap 14+ - 15% 9 2,862,103 5.25
15+ - 16% 75 22,623,815 41.53
16+ - 17% 62 18,180,481 33.37
17+ - 18% 31 9,133,125 16.76
18+ - 19% 3 840,175 1.54
19+ - 20% 3 839,125 1.54
------ ----------- -------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
- ------------------------------------------------------------------------
Life Floor 7+ - 8% 6 1,826,361 3.35
8+ - 9% 72 21,888,898 40.18
9+ - 10% 63 18,387,589 33.75
10+ - 11% 36 10,696,677 19.63
11+ - 12% 2 549,925 1.01
12+ - 13% 4 1,129,375 2.07
------ ----------- -------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
TERM SHEET DATED JUNE 11, 1999 (SUBJECT TO REVISION)
FREMONT HOME LOAN OWNER TRUST, SERIES 1999-2, $500,000,000 (APPROXIMATE)
FREMONT HOME LOAN OWNER TRUST, SERIES 1999-2
$500,000,000 (APPROXIMATE)
Subject to Revision
June 11, 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.
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.
[Graphic Omitted] CHASE LOGO
<PAGE>
- ------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- ------------------------------------------------------------------------------
$500,000,000 (APPROXIMATE) OFFERING AMOUNT
FSA BOND INSURED
BOND SUMMARY*
================================================================================
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW MATURITY RATINGS
CLASS SIZE COUPON (YEARS) PAYMENT (YEARS) DATE (MOODY'S/S&P)
- --------------------------------------------------------------------------------
A-1 $79,679,885 Fixed 3.15 11/06 7.42 6/25/30 Aaa/AAA
A-2 $347,136,218 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
A-3 $73,183,897 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
================================================================================
*At a pricing scenario of 4% CPR increasing to 24% CPR over 12 months for the
fixed rate collateral and 27% CPR for the adjustable rate collateral and to the
Optional Redemption.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 13-32)
================================================================================
POOL 1 POOL 2 POOL 3
- --------------------------------------------------------------------------------
Number of Loans: 845 2,421 183
Current Balance: $70,707,966 $243,255,086 $54,478,825
Average Balance: $83,678 $100,477 $297,698
Minimum Balance: $14,816 $14,950 $240,909
Maximum Balance: $49,714 $302,921 $499,697
Wtd Average Coupon: 10.1516% 10.0286% 9.4874%
Wtd Average Original Term (months): 335 360 360
Wtd Average Seasoning (months): 4 2 2
Wtd Average Original Loan-To-Value: 74.86% 77.76% 79.24%
Amortization Type:
ARM loans (% of Statistical Pool - 100% 100%
Principal Balance)
Fixed loans (% of Statistical Pool 100% - -
Principal Balance)
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: - 2.83% 2.80%
Wtd Avg Subsequent Periodic Rate Cap: - 1.45% 1.44%
Wtd Avg Margin: - 6.29% 6.19%
Wtd Avg Life Cap: - 16.95% 16.35%
Wtd Avg Months to Roll: - 27.19 27.11
================================================================================
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS
PREPAYMENT SCENARIOS
================================================================================
S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
Class A-1* 0% 50% 75% 100% 125% 150%
Class A-2** 0% 15% 20% 27% 35% 45%
Class A-3** 0% 15% 20% 27% 35% 45%
================================================================================
* As a percentage of the Prepayment Assumption (4% CPR increasing to 24% CPR
over 12 months)
** CPR
TO OPTIONAL REDEMPTION:
================================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 16.67 6.00 4.21 3.15 2.47 1.99
YIELD @ 100.00 7.34% 7.28% 7.24% 7.20% 7.16% 7.11%
DURATION 8.79 4.27 3.26 2.59 2.11 1.74
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.25 13.83 10.17 7.42 5.50 4.08
================================================================================
================================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 20.82 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
================================================================================
================================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 20.75 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
================================================================================
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY:
================================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 16.67 6.43 4.60 3.51 2.80 2.31
YIELD @ 100.00 7.34% 7.30% 7.27% 7.25 7.22% 7.20%
DURATION 8.79 4.40 3.42 2.76 2.30 1.96
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 11/24 11/20 06/16 10/13 03/11
WINDOW (YEARS) 28.25 25.42 21.42 17.00 14.33 11.75
================================================================================
================================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 20.88 5.36 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 09/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.25 21.67 16.25 12.08 8.83
================================================================================
================================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------------------------------------------------------------------------------
AVERAGE LIFE 20.81 5.35 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 08/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.17 21.67 16.25 12.08 8.83
================================================================================
<PAGE>
PRICING INFORMATION
PRICING SPEEDS: 4% CPR, increasing to 24% CPR over 12 months
(Fixed Rate Collateral) 27% CPR (Adjustable Rate
Collateral)
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in July of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 Notes, the calendar month
immediately preceding the month in which the
relevant payment date occurs. For the Class A-2
and Class A-3 Notes, 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: 24 days for the Class A-1 Notes 0 days on the
Class A-2 Notes and Class A-3 Notes
SETTLEMENT (CLOSING) DATE: On or about June 24, 1999
CUT-OFF DATE: June 1, 1999 (close of business)
MATURITY DATE: The Maturity Date for the Class A-1 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-1 Notes will
occur significantly earlier than the Maturity
Date.
The Maturity Date for the Class A-2 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-2 Notes will
occur significantly earlier than the Maturity
Date.
The Maturity Date for the Class A-3 Notes is July
25, 2030, although it is anticipated that the
actual maturity date for the Class A-3 Notes will
occur significantly earlier than the Maturity
Date.
OPTIONAL REDEMPTION DATE: The Optional Redemption Date is the first Payment
Date on which the aggregate Loan Balance of the
Home Equity Loans has declined to less than 10% of
the aggregate Loan Balance of the Home Equity
Loans as of the Cut-Off Date.
REDEMPTION PRICE: The Redemption Price will be an amount that will
at least pay in full accrued interest and
principal on the Notes and certain other expenses.
<PAGE>
PRICING INFORMATION (CONTINUED)
OPTIONAL REDEMPTION: The holders of Residual Interests exceeding in the
aggregate a 50% interest may, at their option
effect an early redemption of the Notes and
terminate the Trust on any Payment Date on or
after the Optional Redemption Date by purchasing
all of the Home Equity Loans at a price equal to
or greater than the Redemption Price. In addition,
the Note Insurer will have rights under limited
circumstances, to purchase the Home Equity Loans
and thereby effect a redemption of the Notes.
INITIAL TURBO: With respect to each class of Notes, 100% of the
excess cash flow from the related Pool of Home
Equity Loans will be used to accelerate such class
of Notes until the overcollateralization target
for such Class is reached. To the extent
necessary, after the overcollateralization target
with respect to each Class of Notes is reached,
100% of the excess cash flow from the related Pool
of Home Equity Loans will be available to
accelerate such Class of Notes to maintain the
then current overcollateralization target for such
Class. Any remaining excess cash flow may be used
to cover shortfalls incurred by the other Classes
of Notes due to delinquencies and losses that
occur in the other Pools. Excess cash flow may,
under certain circumstances, be deposited in the
Reserve Account (defined below).
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a servicing fee of 0.50% per annum
payable monthly, Note Insurer fees, and Indenture
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 Owner Trust 1999-2, Home Loan
Asset-Backed Notes, Series 1999-2.
OFFERING AMOUNT: Approximately $500,000,000
CERTIFICATES: Residual Interest (not offered)
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc. Chase Securities
Inc. Credit Suisse First Boston 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: Fairbanks Capital Corp.
OWNER TRUSTEE: Wilmington Trust Company
INDENTURE TRUSTEE: First Union National Bank
STATISTICAL CALCULATION DATE: The collateral described herein and in the
prospectus supplement represents the pool of Home
Equity Loans as of the Statistical Calculation
Date of May 25, 1999. It is anticipated that the
total unpaid principal balance of the collateral
pool conveyed to the Trust at closing will be
approximately $500,000,000.
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 87.24% (by Statistical Calculation
Date aggregate principal balance) of the Home
Equity Loans bear prepayment premiums.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
HOME EQUITY LOANS: The Trust is comprised primarily of three pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will back the Class A-1 Notes, in that
payments on the Pool 1 Loans will generally be
used to make payments on the Class A-1 Notes.
Similarly, the second pool of loans ("Pool 2
Loans") will back the Class A-2 Notes and the
third pool of loans ("Pool 3 Loans") will back the
Class A-3 Notes.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of $70,707,966 as of the
Statistical Calculation Date. All 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. It is anticipated
that the Cut-off Date aggregate principal balance
of the Pool 1 Loans conveyed to the Trust at
closing will be approximately $79,679,885.
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of $243,255,086 as of the
Statistical Calculation Date. All of the Pool 2
Loans 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.
The original principal balance of each Pool 2 Loan
will not exceed the maximum loan amounts shown in
the table below. It is anticipated that the
Cut-off Date aggregate principal balance of the
Pool 2 Loans conveyed to the Trust at closing will
be approximately $347,136,218.
MAXIMUM LOAN BALANCES OF POOL 2 LOANS
-------------------------------------
==================================================
NUMBER
OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
--------------------------------------------------
Continental Alaska or
United States Hawaii
--------------------------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
==================================================
POOL 3 LOANS: The Pool 3 Loans have an aggregate
principal balance of $54,478,825 as of the
Statistical Calculation Date. All of the Pool 3
Loans 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.
The original principal balance of each Pool 3 Loan
will exceed the maximum loan amounts shown in the
table above. It is anticipated that the Cut-off
Date aggregate principal balance of the Pool 3
Loans conveyed to the Trust at closing will be
approximately $73,183,897.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT: Credit enhancement for each class of Notes will be
provided by the following:
EXCESS SPREAD: The weighted average coupon rate on
the Loans in each Pool is generally expected to be
higher than the sum of the servicing fee, the
trustee fee, the premium payable to the Note
Insurer, and the pass through rate on each class
of Notes, thus generating excess interest
collections which, along with prepayment premiums
collected on the Loans, will be available to fund
payments on the related class of Notes on each
Payment Date. Under certain circumstances, Excess
Spread from one loan Pool may be used to cover
shortfalls due to delinquencies or losses in other
loan Pools.
OVERCOLLATERALIZATION: Excess cash flow will be
applied, to the extent available, to make
accelerated payments of principal on the Notes;
such application will cause the aggregate
principal balance of the Notes to amortize more
rapidly than the Loans, resulting in
overcollateralization. Prior to the
Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-1,
Class A-2 and Class A-3 Notes is expected to build
to (i) [3.75]% of the Cut-off Date loan pool
principal balance of Pool 1, (ii) [4.50%] of the
Cut-off Date loan pool principal balance of Pool
2, and (iii) [4.50%] of the Cut-off Date loan pool
principal balance of Pool 3, respectively.
On or after the Overcollateralization Stepdown
Date, the Overcollateralization Amount for the
Class A-1, Class A-2, and Class A-3 Notes will be
permitted to decrease to (i) [7.50%] of the then
outstanding aggregate unpaid principal balance of
the Pool 1 Loans, (ii) [9.00%] of the then
outstanding aggregate unpaid principal balance of
the Pool 2 Loans, and (iii) [9.00%] of the then
outstanding aggregate unpaid principal balance of
the Pool 3 Loans, respectively, subject, in each
such case, to a floor of [0.50%] of the original
principal balance of each Pool of Loans (each such
percentage then in effect, the "O/C Target"). The
Overcollateralization Stepdown Date will be no
earlier than the 25th month following the Closing
Date and is subject to certain delinquency and
loan loss tests.
RESERVE ACCOUNT: Amounts required to be deposited
in the Reserve Account will be equal to the excess
of (i) the sum of the specified
overcollateralization targets for all classes of
Notes and (ii) the sum of the
overcollateralization amounts for all classes of
Notes.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT
(CONTINUED): FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Financial Security
Assurance, Inc. ("the Note Insurer"). FSA will
unconditionally and irrevocably guarantee the
timely payment of interest and ultimate payment of
principal on the Notes (i.e. after any losses
reduce the overcollateralization to zero, FSA will
cover the excess, if any, of the Note principal
balance over the Pool balance). The Insured
Payments do not cover Realized Losses except to
the extent that the principal balance of the Notes
exceeds the Pool Principal 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
Notes would otherwise result therefrom. The FSA
Insurance Policy is not cancelable for any reason.
THE FSA INSURANCE POLICY IS NOT COVERED BY THE
PROPERTY/CASUALTY INSURANCE SECURITY FUND
SPECIFIED IN ARTICLE 76 OF THE NEW YORK INSURANCE
LAW.
NOTE RATE: CLASS A-1 NOTES: The Class A-1 Notes will bear
interest at a fixed rate of interest equal to [ %]
per annum. The interest rate on the Class A-1
notes will increase by 0.50% commencing on the
first day of the Accrual Period in which the
Optional Redemption Date occurs.
CLASS A-2 NOTES: The Class A-2 Note Rate will be
equal to the lesser of (x) the applicable Formula
Note Rate and (y) the Available Funds Cap.
CLASS A-3 NOTES: The Class A-3 Note Rate will be
equal to the lesser of (x) the applicable Formula
Note Rate and (y) the Available Funds Cap.
FORMULA NOTE RATE: The Formula Note Rate for the Class A-2 Notes for
any Payment Date will equal the lesser of (x) (i)
with respect to any Payment Date which occurs on
or prior to the Optional Redemption Date,
one-month LIBOR plus [ %] per annum, or (ii) with
respect to any Payment Date that occurs after the
Optional Redemption Date, one-month LIBOR plus [
%] per annum and (y) [13.00%] per annum.
The Formula Note Rate for the Class A-3 Notes for
any Payment Date will equal the lesser of (x) (i)
with respect to any Payment Date which occurs on
or prior to the Optional Redemption Date,
one-month LIBOR plus [ %] per annum, or (ii) with
respect to any Payment Date that occurs after the
Optional Redemption Date, one-month LIBOR plus [
%] per annum and (y) [13.00%] per annum.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
AVAILABLE FUNDS CAP: The Available Funds Cap for the Class A-2 and
Class A-3 Notes will equal the annualized rate
equal to (i) the interest due on the related Pool
less such Pool's share of the servicing fee,
Master Servicing fee, the Indenture Trustee fee
and the premium payable to the Note Insurer, such
amount divided by the principal balance of the
applicable class of Notes. For any Payment Date on
or after July 2000, the Available Funds Cap for
the Class A-2 and Class A-3 Notes will be further
reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If,on any Payment Date, the Available Funds Cap
limits the Class A-2 or Class A-3 Note Rates
(i.e., the rate set by the Available Funds Cap is
less than the Formula Note Rate for the Class A-2
or Class A-3 Notes), 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 Note Rate,
until paid (such shortfall, together with such
accrued interest, the "Available Funds Cap Carry
Forward Amount").
The Insurance Policy for the Notes does not cover
the Available Funds Cap Carry Forward Amount; the
payment of such amount may be funded only from
excess cash flow remaining after (i) the payment
of interest and principal due on the Notes for
such Payment Date, if any (ii) reimbursement of
the Note Insurer, (iii) payment of accelerated
principal on the Notes to achieve the required O/C
Targets for such Payment Date and for required
deposits into the Reserve Account.
FEDERAL TAX ASPECTS: The trust will be an Owner Trust. No election will
be made to treat the Trust Estate or any portion
thereof as a REMIC for federal income tax
purposes. The Notes will be treated as
non-recourse debt obligations of the trust.
ERISA CONSIDERATIONS: Subject to the discussion in the Prospectus
Supplement and Prospectus, the Notes may be
purchased by employee benefit plans that are
subject to ERISA.
SMMEA ELIGIBILITY: The Notes 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
$1,000 thereafter.
<PAGE>
DESCRIPTION OF THE SERVICER
o Fairbanks Capital Corp. ("Fairbanks"), a Utah corporation, was formed on
February 24, 1989.
o Financial Security Assurance, Inc. owns a 25% share of Fairbanks Capital
Holding Corporation.
o Fairbanks commenced mortgage servicing operations in 1989 for its own
account and since 1994 has managed and serviced third-party mortgage loan
portfolios. Prior to 1998, Fairbanks primarily serviced portfolios of
non-performing or delinquent residential mortgage loans.
o Fairbanks is a FNMA approved seller/servicer and a FHLMC approved servicer
that is engaged in the servicing of first and second lien mortgage loans.
o Fairbanks is currently servicing over 20,000 loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
State California 170 20,705,378 29.28
Florida 136 9,189,722 13.00
New York 60 6,117,642 8.65
Illinois 39 3,651,522 5.16
Washington 24 2,657,116 3.76
Ohio 46 2,589,098 3.66
Oregon 17 2,017,668 2.85
Georgia 26 1,986,215 2.81
New Jersey 20 1,832,151 2.59
Indiana 34 1,830,581 2.59
Pennsylvania 35 1,703,896 2.41
Michigan 40 1,651,734 2.34
Arizona 20 1,370,574 1.94
Massachusetts 14 1,360,025 1.92
Tennessee 16 1,088,175 1.54
Utah 10 1,054,974 1.49
Colorado 12 995,531 1.41
Nevada 7 936,812 1.32
Missouri 12 844,510 1.19
Idaho 9 805,430 1.14
North Carolina 10 760,627 1.08
Texas 9 728,705 1.03
Connecticut 8 709,600 1.00
South Carolina 9 522,271 0.74
Louisiana 6 470,053 0.66
Oklahoma 8 435,305 0.62
Mississippi 8 306,485 0.43
Wisconsin 6 297,514 0.42
Arkansas 5 283,413 0.40
Kentucky 5 279,857 0.40
New Mexico 2 238,756 0.34
New Hampshire 3 233,731 0.33
Virginia 5 221,904 0.31
Minnesota 2 184,480 0.26
Montana 2 156,505 0.22
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
State (continued) Kansas 2 80,000 0.11
Rhode Island 1 68,966 0.10
Hawaii 1 68,138 0.10
Maryland 1 65,553 0.09
Alaska 1 60,468 0.09
Iowa 1 48,302 0.07
West Virginia 1 39,678 0.06
Delaware 1 30,848 0.04
Maine 1 28,053 0.04
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Original LTV 15+% to 20% 2 44,427 0.06
20+% to 25% 2 84,887 0.12
25+% to 30% 7 377,753 0.53
30+% to 35% 14 530,914 0.75
35+% to 40% 17 889,237 1.26
40+% to 45% 15 562,387 0.80
45+% to 50% 23 1,102,260 1.56
50+% to 55% 15 837,717 1.18
55+% to 60% 59 3,555,120 5.03
60+% to 65% 53 3,151,830 4.46
65+% to 70% 120 9,273,703 13.12
70+% to 75% 139 12,248,030 17.32
75+% to 80% 227 21,750,383 30.76
80+% to 85% 83 9,641,887 13.64
85+% to 90% 67 6,528,192 9.23
90+% to 95% 2 129,239 0.18
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Coupon 7+ - 8% 8 1,680,932 2.38
8+ - 9% 133 15,493,134 21.91
9+ - 10% 232 21,314,305 30.14
10+ - 11% 231 18,476,111 26.13
11+ - 12% 122 7,698,826 10.89
12+ - 13% 76 3,921,499 5.55
13+ - 14% 40 2,027,183 2.87
14+ - 15% 3 95,976 0.14
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Balance 10K+ to 15K 1 14,816 0.02
15K+ to 20K 11 208,683 0.30
20K+ to 30K 79 2,091,083 2.96
30K+ to 40K 118 4,194,816 5.93
40K+ to 50K 100 4,513,991 6.38
50K+ to 100K 323 22,755,023 32.18
100K+ to 250K 182 26,255,982 37.13
250K+ to 500K 31 10,673,573 15.10
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Property Type Single Family 716 60,768,267 85.94
2-4 Family 73 6,125,163 8.66
Condo 35 2,545,718 3.60
Manufactured 21 1,268,817 1.79
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Loan Age 0 112 9,261,872 13.10
1 203 16,963,711 23.99
2 53 5,089,539 7.20
3 59 6,041,085 8.54
4 49 3,445,463 4.87
5 93 7,932,606 11.22
6 80 6,531,935 9.24
7 73 5,716,104 8.08
8 or more 123 9,725,650 13.75
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Remaining Term Less than 353 461 37,902,991 53.60
353 29 2,975,476 4.21
354 38 2,863,716 4.05
355 27 2,477,016 3.50
356 7 525,139 0.74
357 12 1,464,148 2.07
358 29 2,609,301 3.69
359 142 11,525,057 16.30
360 100 8,365,122 11.83
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Occupancy Owner Occupied 677 58,674,187 82.98
Non-Owner Occupied 168 12,033,779 17.02
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Credit Grade A 208 19,671,231 27.82
A- 224 21,505,418 30.41
B 198 16,309,669 23.07
C 162 10,743,605 15.19
C- 30 1,277,007 1.81
D 23 1,201,035 1.70
------ ----------- ------
845 $70,707,966 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
State California 571 77,067,764 31.68
Illinois 219 20,322,168 8.35
Florida 195 16,397,478 6.74
Washington 130 13,826,259 5.68
New York 109 11,458,179 4.71
New Jersey 100 10,882,898 4.47
Utah 97 10,629,763 4.37
Michigan 129 8,428,533 3.46
Ohio 102 7,084,279 2.91
Arizona 74 6,729,564 2.77
Oregon 59 6,395,039 2.63
Nevada 57 6,267,735 2.58
Colorado 62 5,373,107 2.21
Massachusetts 43 5,241,783 2.15
Indiana 68 4,715,236 1.94
Pennsylvania 46 2,853,601 1.17
Missouri 37 2,839,646 1.17
Wisconsin 38 2,688,842 1.11
Idaho 32 2,443,057 1.00
Connecticut 19 2,361,078 0.97
Georgia 29 2,313,079 0.95
Maine 22 2,219,987 0.91
North Carolina 22 2,031,686 0.84
Tennessee 21 1,530,147 0.63
Minnesota 21 1,509,229 0.62
Texas 12 1,288,159 0.53
Oklahoma 16 1,187,334 0.49
New Hampshire 16 1,080,055 0.44
Montana 15 1,068,238 0.44
Virginia 8 898,558 0.37
Maryland 5 555,518 0.23
Kansas 10 517,390 0.21
Arkansas 4 481,549 0.20
Delaware 3 474,608 0.20
South Carolina 6 414,465 0.17
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
State (continued) District of Columbia 4 393,685 0.16
Alaska 3 314,281 0.13
New Mexico 6 313,878 0.13
Hawaii 1 189,154 0.08
Nebraska 4 181,791 0.07
Vermont 1 86,800 0.04
Kentucky 2 70,216 0.03
Rhode Island 1 45,309 0.02
Mississippi 1 44,167 0.02
Iowa 1 39,794 0.02
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Original LTV 15+% to 20% 2 62,929 0.03
20+% to 25% 2 177,166 0.07
25+% to 30% 6 408,532 0.17
30+% to 35% 8 364,249 0.15
35+% to 40% 11 583,489 0.24
40+% to 45% 16 1,461,946 0.60
45+% to 50% 32 2,031,968 0.84
50+% to 55% 46 3,921,717 1.61
55+% to 60% 80 6,177,901 2.54
60+% to 65% 148 11,968,820 4.92
65+% to 70% 249 20,517,955 8.43
70+% to 75% 380 37,290,516 15.33
75+% to 80% 803 83,845,455 34.47
80+% to 85% 356 39,963,830 16.43
85+% to 90% 281 34,372,363 14.13
90+% to 95% 1 106,250 0.04
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Coupon 7+ - 8% 50 6,841,301 2.81
8+ - 9% 372 44,158,832 18.15
9+ - 10% 805 86,777,915 35.67
10+ - 11% 745 68,438,766 28.13
11+ - 12% 331 28,167,049 11.58
12+ - 13% 104 7,958,725 3.27
13+ - 14% 14 912,497 0.38
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Balance 10K+ to 15K 2 29,950 0.01
15K+ to 20K 2 33,410 0.01
20K+ to 30K 45 1,180,381 0.49
30K+ to 40K 143 5,101,469 2.10
40K+ to 50K 224 10,206,553 4.20
50K+ to 100K 978 72,005,113 29.60
100K+ to 250K 1,021 153,036,227 62.91
250K+ to 500K 6 1,661,983 0.68
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Property Type Single Family 2,082 210,161,053 86.40
2-4 Family 208 21,580,114 8.87
Condo 114 10,209,816 4.20
Manufactured 17 1,304,103 0.54
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Loan Age 0 818 84,037,221 34.55
1 870 91,245,138 37.51
2 167 16,440,476 6.76
3 72 6,525,026 2.68
4 73 7,379,349 3.03
5 99 9,135,642 3.76
6 99 9,105,562 3.74
7 89 8,473,449 3.48
8 or more 134 10,913,223 4.49
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Remaining Term Less than 353 140 11,306,906 4.65
353 89 8,473,449 3.48
354 99 9,105,562 3.74
355 98 9,068,105 3.73
356 72 7,341,929 3.02
357 72 6,491,938 2.67
358 165 16,314,802 6.71
359 869 91,182,673 37.48
360 817 83,969,721 34.52
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Occupancy Owner Occupied 2,064 216,168,827 88.87
Non-Owner Occupied 357 27,086,259 11.13
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Credit Grade A 344 35,375,880 14.54
A- 756 85,112,779 34.99
B 650 66,507,138 27.34
C 496 42,418,160 17.44
C- 108 8,573,534 3.52
D 67 5,267,595 2.17
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Margin 3.50+ - 3.75% 1 82,252 0.03
3.75+ - 4.00% 3 302,034 0.12
4.00+ - 4.25% 4 524,551 0.22
4.25+ - 4.50% 4 263,922 0.11
4.50+ - 4.75% 5 573,038 0.24
4.75+ - 5.00% 6 544,726 0.22
5.00+ - 5.25% 12 1,368,108 0.56
5.25+ - 5.50% 174 18,311,606 7.53
5.50+ - 5.75% 107 12,733,619 5.23
5.75+ - 6.00% 516 58,256,809 23.95
6.00+ - 6.25% 652 67,913,233 27.92
6.25+ - 6.50% 183 19,677,189 8.09
6.50+ - 6.75% 288 25,964,580 10.67
6.75+ - 7.00% 113 9,197,317 3.78
7.00+ - 7.25% 133 10,695,834 4.40
7.25+ - 7.50% 67 4,868,260 2.00
7.50+ - 7.75% 72 5,459,859 2.24
7.75+ - 8.00% 40 3,108,534 1.28
8.00+ - 8.25% 14 1,300,865 0.53
8.25+ - 8.50% 17 1,313,975 0.54
8.50+ - 8.75% 3 337,362 0.14
8.75+ - 9.00% 1 63,573 0.03
9.00+ - 9.25% 3 167,953 0.07
9.25+ - 9.50% 2 163,202 0.07
Over 10.00% 1 62,681 0.03
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Rate Reset 1999/07 4 345,120 0.14
1999/08 11 1,246,904 0.51
1999/09 23 2,641,751 1.09
1999/10 53 5,901,642 2.43
1999/11 38 3,804,581 1.56
1999/12 16 1,228,683 0.51
2000/01 14 1,416,719 0.58
2000/04 1 25,751 0.01
2000/05 1 52,861 0.02
2000/06 8 782,886 0.32
2000/07 12 970,491 0.40
2000/08 21 1,424,457 0.59
2000/09 37 2,927,477 1.20
2000/10 54 5,340,409 2.20
2000/11 75 7,049,254 2.90
2000/12 107 10,173,203 4.18
2001/01 45 4,307,001 1.77
2001/02 75 6,826,771 2.81
2001/03 83 8,898,646 3.66
2001/04 502 53,876,470 22.15
2001/05 409 43,454,704 17.86
2001/06 2 123,547 0.05
2001/07 1 127,538 0.05
2001/08 3 139,771 0.06
2001/09 9 632,538 0.26
2001/10 17 1,238,379 0.51
2001/11 19 1,540,225 0.63
2001/12 8 524,498 0.22
2002/01 5 510,031 0.21
2002/02 2 65,003 0.03
2002/03 32 2,746,357 1.13
2002/04 282 27,885,128 11.46
2002/05 247 25,078,632 10.31
2003/05 2 83,189 0.03
2004/02 2 122,559 0.05
2004/04 79 8,251,735 3.39
2004/05 122 11,490,176 4.72
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Life Cap 12+ - 13% 1 137,468 0.06
13+ - 14% 2 123,386 0.05
14+ - 15% 66 9,123,088 3.75
15+ - 16% 402 47,363,632 19.47
16+ - 17% 822 87,232,348 35.86
17+ - 18% 713 65,441,044 26.9
18+ - 19% 307 25,854,555 10.63
19+ - 20% 98 7,321,569 3.01
20+ - 21% 10 657,997 0.27
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Life Floor 7+ - 8% 52 6,964,686 2.86
8+ - 9% 385 45,840,497 18.84
9+ - 10% 814 87,865,516 36.12
10+ - 11% 733 66,956,373 27.53
11+ - 12% 323 27,299,861 11.22
12+ - 13% 102 7,572,875 3.11
13+ - 14% 12 755,277 0.31
------ ----------- ------
2,421 $243,255,086 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
State California 108 32,608,711 59.86
Illinois 11 3,567,128 6.55
Washington 10 2,825,937 5.19
Florida 10 2,717,748 4.99
New York 7 2,113,649 3.88
New Jersey 7 2,014,847 3.70
Colorado 5 1,531,687 2.81
Michigan 4 1,317,579 2.42
Ohio 5 1,306,263 2.40
Utah 3 809,616 1.49
Arizona 2 643,750 1.18
Maryland 2 580,291 1.07
Maine 1 300,000 0.55
Connecticut 1 296,162 0.54
Massachusetts 1 278,665 0.51
Indiana 1 275,349 0.51
Oregon 1 274,891 0.50
New Mexico 1 258,523 0.47
Montana 1 256,500 0.47
Vermont 1 252,000 0.46
New Hampshire 1 249,529 0.46
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Original LTV 50+% to 55% 1 349,845 0.64
55+% to 60% 7 1,996,507 3.66
60+% to 65% 5 1,571,842 2.89
65+% to 70% 12 3,462,267 6.36
70+% to 75% 26 7,898,493 14.50
75+% to 80% 70 20,927,396 38.41
80+% to 85% 31 9,187,992 16.87
85+% to 90% 31 9,084,482 16.68
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Coupon 7+ - 8% 6 1,826,361 3.35
8+ - 9% 71 21,531,677 39.52
9+ - 10% 60 17,639,626 32.38
10+ - 11% 36 10,577,861 19.42
11+ - 12% 6 1,773,925 3.26
12+ - 13% 4 1,129,375 2.07
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Current Balance 100K+ to 250K 21 5,154,434 9.46
250K+ to 500K 162 49,324,390 90.54
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Property Type Single Family 179 53,180,734 97.62
Condo 3 948,246 1.74
2-4 Family 1 349,845 0.64
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Loan Age 0 55 16,182,125 29.70
1 73 21,573,809 39.60
2 15 4,379,906 8.04
3 4 1,221,763 2.24
4 4 1,190,776 2.19
5 8 2,469,226 4.53
6 6 1,866,513 3.43
7 7 2,187,498 4.02
8 or more 11 3,407,210 6.25
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Remaining Term Less than 353 11 3,407,210 6.25
353 7 2,187,498 4.02
354 6 1,866,513 3.43
355 8 2,469,226 4.53
356 4 1,190,776 2.19
357 4 1,221,763 2.24
358 15 4,379,906 8.04
359 73 21,573,809 39.60
360 55 16,182,125 29.70
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Occupancy Owner Occupied 179 53,269,960 97.78
Non-Owner Occupied 4 1,208,865 2.22
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Credit Grade A 37 10,989,757 20.17
A- 81 24,373,860 44.74
B 45 13,497,205 24.78
C 15 4,214,105 7.74
C- 4 1,109,772 2.04
D 1 294,125 0.54
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Margin 3.75+ - 4.00% 1 278,022 0.51
4.50+ - 4.75% 2 618,783 1.14
5.25+ - 5.50% 17 5,101,689 9.36
5.50+ - 5.75% 13 4,182,526 7.68
5.75+ - 6.00% 54 15,970,761 29.32
6.00+ - 6.25% 38 11,206,918 20.57
6.25+ - 6.50% 17 4,993,374 9.17
6.50+ - 6.75% 23 7,070,962 12.98
6.75+ - 7.00% 9 2,515,355 4.62
7.00+ - 7.25% 5 1,450,562 2.66
7.50+ - 7.75% 1 245,000 0.45
8.00+ - 8.25% 1 294,125 0.54
8.75+ - 9.00% 1 258,523 0.47
9.25+ - 9.50% 1 292,224 0.54
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Rate Reset 1999/07 1 268,135 0.49
1999/09 2 631,240 1.16
1999/10 7 2,087,118 3.83
1999/11 4 1,223,032 2.24
2000/01 3 858,976 1.58
2000/07 1 297,131 0.55
2000/08 1 327,951 0.60
2000/09 3 917,136 1.68
2000/10 2 609,697 1.12
2000/11 3 1,109,132 2.04
2000/12 8 2,476,730 4.55
2001/01 2 574,934 1.06
2001/02 7 2,210,619 4.06
2001/03 7 2,021,947 3.71
2001/04 44 13,116,545 24.08
2001/05 27 8,115,148 14.90
2001/09 1 294,492 0.54
2001/10 1 275,349 0.51
2001/11 1 358,967 0.66
2002/03 1 262,164 0.48
2002/04 20 5,853,647 10.74
2002/05 18 5,213,817 9.57
2004/04 8 2,178,980 4.00
2004/05 11 3,195,936 5.87
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Life Cap 14+ - 15% 9 2,862,103 5.25
15+ - 16% 75 22,623,815 41.53
16+ - 17% 62 18,180,481 33.37
17+ - 18% 31 9,133,125 16.76
18+ - 19% 3 840,175 1.54
19+ - 20% 3 839,125 1.54
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
================================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------------------------------------------------------------------------
Life Floor 7+ - 8% 6 1,826,361 3.35
8+ - 9% 72 21,888,898 40.18
9+ - 10% 63 18,387,589 33.75
10+ - 11% 36 10,696,677 19.63
11+ - 12% 2 549,925 1.01
12+ - 13% 4 1,129,375 2.07
------ ----------- ------
183 $54,478,825 100.00%
================================================================================
- --------------------------------------------------------------------------------
FREMONT HOME LOAN OWNER TRUST 1999-2
- --------------------------------------------------------------------------------
PRELIMINARY BACKGROUND INFORMATION
- ------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
- ------------------------------------------------------------------------------
$500,000,000 (APPROXIMATE) OFFERING AMOUNT
FSA BOND INSURED
- --------------------------------------------------------------------------------
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW MATURITY RATINGS
CLASS SIZE COUPON (YEARS) PAYMENT (YEARS) DATE (MOODY'S/S&P)
- -------------------------------------------------------------------------------
A-1 $79,679,885 Fixed 3.15 11/06 7.42 6/25/30 Aaa/AAA
A-2 $347,136,218 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
A-3 $73,183,897 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
===============================================================================
*At a pricing scenario of 4% CPR increasing to 24% CPR over 12 months for the
fixed rate collateral and 27% CPR for the adjustable rate collateral and to the
Optional Redemption.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 13-32)
- -------------------------------------------------------------------------------
POOL 1 POOL 2 POOL 3
- -------------------------------------------------------------------------------
Number of Loans: 845 2,421 183
Current Balance: $70,707,966 $243,255,086 $54,478,825
Average Balance: $83,678 $100,477 $297,698
Minimum Balance: $14,816 $14,950 $240,909
Maximum Balance: $499,714 $302,921 $499,697
Wtd Average Coupon: 10.1516% 10.0286% 9.4874%
Wtd Average Original Term (months): 335 360 360
Wtd Average Seasoning (months): 4 2 2
Wtd Average Original Loan-To-Value: 74.86% 77.76% 79.24%
Amortization Type:
ARM loans (% of Statistical Pool - 100% 100%
Principal Balance)
Fixed loans (% of Statistical Pool 100% - -
Principal Balance)
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: - 2.83% 2.80%
Wtd Avg Subsequent Periodic Rate Cap: - 1.45% 1.44%
Wtd Avg Margin: - 6.29% 6.19%
Wtd Avg Life Cap: - 16.95% 16.35%
Wtd Avg Months to Roll: - 27.19 27.11
- --------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
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, solication 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 : FIRST
SUISSE : BOSTON
- ------------------------------------------------------------------------------
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS
PREPAYMENT SCENARIOS
- --------------------------------------------------------------------------------
S-1 S-2 S-3 : S-4 : S-5 S-6
- ---------------------------------------------------:--------:-------------------
Class A-1* 0% 50% 75% : 100% : 125% 150%
- ---------------------------------------------------:--------:-------------------
Class A-2** 0% 15% 20% : 27% : 35% 45%
- ---------------------------------------------------:--------:-------------------
Class A-3** 0% 15% 20% : 27% : 35% 45%
- --------------------------------------------------------------------------------
* As a percentage of the Prepayment Assumption (4% CPR increasing to 24%
CPR over 12 months)
** CPR
TO OPTIONAL REDEMPTION:
- ------------------------------------------------------------------------------
Class A-1 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 16.67 6.00 4.21 : 3.15 : 2.47 1.99
YIELD @ 100.00 7.34% 7.28% 7.24% : 7.20% : 7.16% 7.11%
DURATION 8.79 4.27 3.26 : 2.59 : 2.11 1.74
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 09/27 04/13 08/09 : 11/06 : 12/04 07/03
WINDOW (YEARS) 28.25 13.83 10.17 : 7.42 : 5.50 4.08
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Class A-2 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 20.82 5.00 3.71 : 2.69 : 2.00 1.47
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 03/28 04/13 08/09 : 11/06 : 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 : 7.42 : 5.50 4.08
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Class A-3 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 20.75 5.00 3.71 : 2.69 : 2.00 1.47
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 03/28 04/13 08/09 : 11/06 : 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 : 7.42 : 5.50 4.08
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY:
- ------------------------------------------------------------------------------
Class A-1 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 16.67 6.43 4.60 : 3.51 : 2.80 2.31
YIELD @ 100.00 7.34% 7.30% 7.27% : 7.25 : 7.22% 7.20%
DURATION 8.79 4.40 3.42 : 2.76 : 2.30 1.96
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 09/27 11/24 11/20 : 06/16 : 10/13 03/11
WINDOW (YEARS) 28.25 25.42 21.42 : 17.00 : 14.33 11.75
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Class A-2 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 20.88 5.36 4.02 : 2.91 : 2.16 1.58
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 05/29 09/25 02/21 : 09/15 : 07/11 04/08
WINDOW (YEARS) 29.92 26.25 21.67 : 16.25 : 12.08 8.83
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
Class A-3 S-1 S-2 S-3 : S-4 : S-5 S-6
: :
AVERAGE LIFE 20.81 5.35 4.02 : 2.91 : 2.16 1.58
FIRST PAY 07/99 07/99 07/99 : 07/99 : 07/99 07/99
LAST PAY 05/29 08/25 02/21 : 09/15 : 07/11 04/08
WINDOW (YEARS) 29.92 26.17 21.67 : 16.25 : 12.08 8.83
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
<PAGE>
PRICING INFORMATION
PRICING SPEEDS: 4% CPR, increasing to 24% CPR over 12 months (Fixed Rate
Collateral) 27% CPR (Adjustable Rate Collateral)
PAYMENT DATE: The 25th day of each month (or the next Business Day
thereafter) commencing in July of 1999.
INTEREST ACCRUAL
PERIOD: For the Class A-1 Notes, the calendar month immediately
preceding the month in which the relevant payment date
occurs. For the Class A-2 and Class A-3 Notes, 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: 24 days for the Class A-1 Notes
0 days on the Class A-2 Notes and Class A-3 Notes
SETTLEMENT (CLOSING)
DATE: On or about June 24, 1999
CUT-OFF DATE: June 1, 1999 (close of business)
MATURITY DATE: The Maturity Date for the Class A-1 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-1 Notes will occur
significantly earlier than the Maturity Date.
The Maturity Date for the Class A-2 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-2 Notes will occur
significantly earlier than the Maturity Date.
The Maturity Date for the Class A-3 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-3 Notes will occur
significantly earlier than the Maturity Date.
OPTIONAL REDEMPTION
DATE: The Optional Redemption Date is the first Payment Date
on which the aggregate Loan Balance of the Home Equity
Loans has declined to less than 10% of the aggregate
Loan Balance of the Home Equity Loans as of the Cut-Off
Date.
REDEMPTION PRICE: The Redemption Price will be an amount that will at
least pay in full accrued interest and principal on the
Notes and certain other expenses.
<PAGE>
PRICING INFORMATION (CONTINUED)
OPTIONAL REDEMPTION: The holders of Residual Interests exceeding in the
aggregate a 50% interest may, at their option effect an
early redemption of the Notes and terminate the Trust on
any Payment Date on or after the Optional Redemption
Date by purchasing all of the Home Equity Loans at a
price equal to or greater than the Redemption Price. In
addition, the Note Insurer will have rights under
limited circumstances, to purchase the Home Equity Loans
and thereby effect a redemption of the Notes.
INITIAL TURBO: With respect to each class of Notes, 100% of the excess
cash flow from the related Pool of Home Equity Loans
will be used to accelerate such class of Notes until the
overcollateralization target for such Class is reached.
To the extent necessary, after the overcollateralization
target with respect to each Class of Notes is reached,
100% of the excess cash flow from the related Pool of
Home Equity Loans will be available to accelerate such
Class of Notes to maintain the then current
overcollateralization target for such Class. Any
remaining excess cash flow may be used to cover
shortfalls incurred by the other Classes of Notes due to
delinquencies and losses that occur in the other Pools.
Excess cash flow may, under certain circumstances, be
deposited in the Reserve Account (defined below).
SERVICING/OTHER FEES: The collateral is subject to certain fees, including a
servicing fee of 0.50% per annum payable monthly, Note
Insurer fees, and Indenture 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 Owner Trust 1999-2, Home Loan Asset-
Backed Notes, Series 1999-2.
OFFERING AMOUNT: Approximately $500,000,000
CERTIFICATES: Residual Interest (not offered)
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
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: Fairbanks Capital Corp.
OWNER TRUSTEE: Wilmington Trust Company
INDENTURE TRUSTEE: First Union National Bank
STATISTICAL CALCULATION
DATE: The collateral described herein and in the prospectus
supplement represents the pool of Home Equity Loans as
of the Statistical Calculation Date of May 25, 1999. It
is anticipated that the total unpaid principal balance
of the collateral pool conveyed to the Trust at closing
will be approximately $500,000,000.
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 87.24% (by Statistical Calculation Date
aggregate principal balance) of the Home Equity Loans
bear prepayment premiums.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
HOME EQUITY LOANS: The Trust is comprised primarily of three pools of
mortgage loans. The first pool of loans ("Pool 1 Loans")
will back the Class A-1 Notes, in that payments on the
Pool 1 Loans will generally be used to make payments on
the Class A-1 Notes. Similarly, the second pool of loans
("Pool 2 Loans") will back the Class A-2 Notes and the
third pool of loans ("Pool 3 Loans") will back the Class
A-3 Notes.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of $70,707,966 as of the Statistical
Calculation Date. All 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. It is anticipated that the Cut-off Date
aggregate principal balance of the Pool 1 Loans conveyed
to the Trust at closing will be approximately
$79,679,885.
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of $243,255,086 as of the Statistical
Calculation Date. All of the Pool 2 Loans 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. The original principal balance of each Pool 2
Loan will not exceed the maximum loan amounts shown in
the table below. It is anticipated that the Cut-off Date
aggregate principal balance of the Pool 2 Loans conveyed
to the Trust at closing will be approximately
$347,136,218.
MAXIMUM LOAN BALANCES OF POOL 2 LOANS
-------------------------------------
Number of Units Maximum Loan Amount of First Mortgage
--------------- -------------------------------------
Continental Alaska or
United States Hawaii
-------------------------------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
POOL 3 LOANS: The Pool 3 Loans have an aggregate principal
balance of $54,478,825 as of the Statistical Calculation
Date. All of the Pool 3 Loans 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. The original
principal balance of each Pool 3 Loan will exceed the
maximum loan amounts shown in the table above. It is
anticipated that the Cut-off Date aggregate principal
balance of the Pool 3 Loans conveyed to the Trust at
closing will be approximately $73,183,897.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT: Credit enhancement for each class of Notes will be
provided by the following:
EXCESS SPREAD: The weighted average coupon rate on the
Loans in each Pool is generally expected to be higher
than the sum of the servicing fee, the trustee fee, the
premium payable to the Note Insurer, and the pass
through rate on each class of Notes, thus generating
excess interest collections which, along with prepayment
premiums collected on the Loans, will be available to
fund payments on the related class of Notes on each
Payment Date. Under certain circumstances, Excess Spread
from one loan Pool may be used to cover shortfalls due
to delinquencies or losses in other loan Pools.
OVERCOLLATERALIZATION: Excess cash flow will be applied,
to the extent available, to make accelerated payments of
principal on the Notes; such application will cause the
aggregate principal balance of the Notes to amortize
more rapidly than the Loans, resulting in
overcollateralization. Prior to the
Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-1, Class
A-2 and Class A-3 Notes is expected to build to (i)
[3.75]% of the Cut-off Date loan pool principal balance
of Pool 1, (ii) [4.50%] of the Cut-off Date loan pool
principal balance of Pool 2, and (iii) [4.50%] of the
Cut-off Date loan pool principal balance of Pool 3,
respectively.
On or after the Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-1, Class
A-2, and Class A-3 Notes will be permitted to decrease
to (i) [7.50%] of the then outstanding aggregate unpaid
principal balance of the Pool 1 Loans, (ii) [9.00%] of
the then outstanding aggregate unpaid principal balance
of the Pool 2 Loans, and (iii) [9.00%] of the then
outstanding aggregate unpaid principal balance of the
Pool 3 Loans, respectively, subject, in each such case,
to a floor of [0.50%] of the original principal balance
of each Pool of Loans (each such percentage then in
effect, the "O/C Target"). The Overcollateralization
Stepdown Date will be no earlier than the 25th month
following the Closing Date and is subject to certain
delinquency and loan loss tests.
RESERVE ACCOUNT: Amounts required to be deposited in the
Reserve Account will be equal to the excess of (i) the
sum of the specified overcollateralization targets for
all classes of Notes and (ii) the sum of the
overcollateralization amounts for all classes of Notes.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT
(CONTINUED): FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Financial Security Assurance,
Inc. ("the Note Insurer"). FSA will unconditionally and
irrevocably guarantee the timely payment of interest and
ultimate payment of principal on the Notes (i.e. after
any losses reduce the overcollateralization to zero, FSA
will cover the excess, if any, of the Note principal
balance over the Pool balance). The Insured Payments do
not cover Realized Losses except to the extent that the
principal balance of the Notes exceeds the Pool
Principal 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 Notes would otherwise result therefrom. The FSA
Insurance Policy is not cancelable for any reason. THE
FSA INSURANCE POLICY IS NOT COVERED BY THE
PROPERTY/CASUALTY INSURANCE SECURITY FUND SPECIFIED IN
ARTICLE 76 OF THE NEW YORK INSURANCE LAW.
NOTE RATE: CLASS A-1 NOTES: The Class A-1 Notes will bear interest
at a fixed rate of interest equal to [ %] per annum. The
interest rate on the Class A-1 notes will increase by
0.50% commencing on the first day of the Accrual Period
in which the Optional Redemption Date occurs.
CLASS A-2 NOTES: The Class A-2 Note Rate will be equal
to the lesser of (x) the applicable Formula Note Rate
and (y) the Available Funds Cap.
CLASS A-3 NOTES: The Class A-3 Note Rate will be equal
to the lesser of (x) the applicable Formula Note Rate
and (y) the Available Funds Cap.
FORMULA NOTE RATE: The Formula Note Rate for the Class A-2 Notes for any
Payment Date will equal the lesser of (x) (i) with
respect to any Payment Date which occurs on or prior to
the Optional Redemption Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date that
occurs after the Optional Redemption Date, one-month
LIBOR plus [ %] per annum and (y) [13.00%] per annum.
The Formula Note Rate for the Class A-3 Notes for any
Payment Date will equal the lesser of (x) (i) with
respect to any Payment Date which occurs on or prior to
the Optional Redemption Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date that
occurs after the Optional Redemption Date, one-month
LIBOR plus [ %] per annum and (y) [13.00%] per annum.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
AVAILABLE FUNDS CAP: The Available Funds Cap for the Class A-2 and Class A-3
Notes will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's share
of the servicing fee, Master Servicing fee, the
Indenture Trustee fee and the premium payable to the
Note Insurer, such amount divided by the principal
balance of the applicable class of Notes. For any
Payment Date on or after July 2000, the Available Funds
Cap for the Class A-2 and Class A-3 Notes will be
further reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap limits
the Class A-2 or Class A-3 Note Rates (i.e., the rate
set by the Available Funds Cap is less than the Formula
Note Rate for the Class A-2 or Class A-3 Notes), 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 Note Rate,
until paid (such shortfall, together with such accrued
interest, the "Available Funds Cap Carry Forward
Amount").
The Insurance Policy for the Notes does not cover the
Available Funds Cap Carry Forward Amount; the
payment of such amount may be funded only from excess
cash flow remaining after (i) the payment of interest
and principal due on the Notes for such Payment Date, if
any (ii) reimbursement of the Note Insurer, (iii)
payment of accelerated principal on the Notes to achieve
the required O/C Targets for such Payment Date and for
required deposits into the Reserve Account.
FEDERAL TAX ASPECTS: The trust will be an Owner Trust. No election will be
made to treat the Trust Estate or any portion thereof as
a REMIC for federal income tax purposes. The Notes will
be treated as non-recourse debt obligations of the
trust.
ERISA CONSIDERATIONS: Subject to the discussion in the Prospectus Supplement
and Prospectus, the Notes may be purchased by employee
benefit plans that are subject to ERISA.
SMMEA ELIGIBILITY: The Notes 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 $1,000
thereafter.
<PAGE>
DESCRIPTION OF THE SERVICER
o Fairbanks Capital Corp. ("Fairbanks"), a Utah corporation, was formed on
February 24, 1989.
o Financial Security Assurance, Inc. owns a 25% share of Fairbanks Capital
Holding Corporation.
o Fairbanks commenced mortgage servicing operations in 1989 for its own
account and since 1994 has managed and serviced third-party mortgage loan
portfolios. Prior to 1998, Fairbanks primarily serviced portfolios of
non-performing or delinquent residential mortgage loans.
o Fairbanks is a FNMA approved seller/servicer and a FHLMC approved servicer
that is engaged in the servicing of first and second lien mortgage loans.
o Fairbanks is currently servicing over 20,000 loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
State California 170 20,705,378 29.28
Florida 136 9,189,722 13.00
New York 60 6,117,642 8.65
Illinois 39 3,651,522 5.16
Washington 24 2,657,116 3.76
Ohio 46 2,589,098 3.66
Oregon 17 2,017,668 2.85
Georgia 26 1,986,215 2.81
New Jersey 20 1,832,151 2.59
Indiana 34 1,830,581 2.59
Pennsylvania 35 1,703,896 2.41
Michigan 40 1,651,734 2.34
Arizona 20 1,370,574 1.94
Massachusetts 14 1,360,025 1.92
Tennessee 16 1,088,175 1.54
Utah 10 1,054,974 1.49
Colorado 12 995,531 1.41
Nevada 7 936,812 1.32
Missouri 12 844,510 1.19
Idaho 9 805,430 1.14
North Carolina 10 760,627 1.08
Texas 9 728,705 1.03
Connecticut 8 709,600 1.00
South Carolina 9 522,271 0.74
Louisiana 6 470,053 0.66
Oklahoma 8 435,305 0.62
Mississippi 8 306,485 0.43
Wisconsin 6 297,514 0.42
Arkansas 5 283,413 0.40
Kentucky 5 279,857 0.40
New Mexico 2 238,756 0.34
New Hampshire 3 233,731 0.33
Virginia 5 221,904 0.31
Minnesota 2 184,480 0.26
Montana 2 156,505 0.22
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
State (continued) Kansas 2 80,000 0.11
Rhode Island 1 68,966 0.10
Hawaii 1 68,138 0.10
Maryland 1 65,553 0.09
Alaska 1 60,468 0.09
Iowa 1 48,302 0.07
West Virginia 1 39,678 0.06
Delaware 1 30,848 0.04
Maine 1 28,053 0.04
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Original LTV 15+% to 20% 2 44,427 0.06
20+% to 25% 2 84,887 0.12
25+% to 30% 7 377,753 0.53
30+% to 35% 14 530,914 0.75
35+% to 40% 17 889,237 1.26
40+% to 45% 15 562,387 0.80
45+% to 50% 23 1,102,260 1.56
50+% to 55% 15 837,717 1.18
55+% to 60% 59 3,555,120 5.03
60+% to 65% 53 3,151,830 4.46
65+% to 70% 120 9,273,703 13.12
70+% to 75% 139 12,248,030 17.32
75+% to 80% 227 21,750,383 30.76
80+% to 85% 83 9,641,887 13.64
85+% to 90% 67 6,528,192 9.23
90+% to 95% 2 129,239 0.18
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Coupon 7+ - 8% 8 1,680,932 2.38
8+ - 9% 133 15,493,134 21.91
9+ - 10% 232 21,314,305 30.14
10+ - 11% 231 18,476,111 26.13
11+ - 12% 122 7,698,826 10.89
12+ - 13% 76 3,921,499 5.55
13+ - 14% 40 2,027,183 2.87
14+ - 15% 3 95,976 0.14
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Balance 10K+ to 15K 1 14,816 0.02
15K+ to 20K 11 208,683 0.30
20K+ to 30K 79 2,091,083 2.96
30K+ to 40K 118 4,194,816 5.93
40K+ to 50K 100 4,513,991 6.38
50K+ to 100K 323 22,755,023 32.18
100K+ to 250K 182 26,255,982 37.13
250K+ to 500K 31 10,673,573 15.10
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Property Type Single Family 716 60,768,267 85.94
2-4 Family 73 6,125,163 8.66
Condo 35 2,545,718 3.60
Manufactured 21 1,268,817 1.79
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Loan Age 0 112 9,261,872 13.10
1 203 16,963,711 23.99
2 53 5,089,539 7.20
3 59 6,041,085 8.54
4 49 3,445,463 4.87
5 93 7,932,606 11.22
6 80 6,531,935 9.24
7 73 5,716,104 8.08
8 or more 123 9,725,650 13.75
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Remaining Term Less than 353 461 37,902,991 53.60
353 29 2,975,476 4.21
354 38 2,863,716 4.05
355 27 2,477,016 3.50
356 7 525,139 0.74
357 12 1,464,148 2.07
358 29 2,609,301 3.69
359 142 11,525,057 16.30
360 100 8,365,122 11.83
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Occupancy Owner Occupied 677 58,674,187 82.98
Non-Owner Occupied 168 12,033,779 17.02
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Credit Grade A 208 19,671,231 27.82
A- 224 21,505,418 30.41
B 198 16,309,669 23.07
C 162 10,743,605 15.19
C- 30 1,277,007 1.81
D 23 1,201,035 1.70
------ ----------- ------
845 $70,707,966 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE
(5/25/99)
POOL 2 INFORMATION
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
State California 571 77,067,764 31.68
Illinois 219 20,322,168 8.35
Florida 195 16,397,478 6.74
Washington 130 13,826,259 5.68
New York 109 11,458,179 4.71
New Jersey 100 10,882,898 4.47
Utah 97 10,629,763 4.37
Michigan 129 8,428,533 3.46
Ohio 102 7,084,279 2.91
Arizona 74 6,729,564 2.77
Oregon 59 6,395,039 2.63
Nevada 57 6,267,735 2.58
Colorado 62 5,373,107 2.21
Massachusetts 43 5,241,783 2.15
Indiana 68 4,715,236 1.94
Pennsylvania 46 2,853,601 1.17
Missouri 37 2,839,646 1.17
Wisconsin 38 2,688,842 1.11
Idaho 32 2,443,057 1.00
Connecticut 19 2,361,078 0.97
Georgia 29 2,313,079 0.95
Maine 22 2,219,987 0.91
North Carolina 22 2,031,686 0.84
Tennessee 21 1,530,147 0.63
Minnesota 21 1,509,229 0.62
Texas 12 1,288,159 0.53
Oklahoma 16 1,187,334 0.49
New Hampshire 16 1,080,055 0.44
Montana 15 1,068,238 0.44
Virginia 8 898,558 0.37
Maryland 5 555,518 0.23
Kansas 10 517,390 0.21
Arkansas 4 481,549 0.20
Delaware 3 474,608 0.20
South Carolina 6 414,465 0.17
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE
(5/25/99)
POOL 2 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
State (continued) District of Columbia 4 393,685 0.16
Alaska 3 314,281 0.13
New Mexico 6 313,878 0.13
Hawaii 1 189,154 0.08
Nebraska 4 181,791 0.07
Vermont 1 86,800 0.04
Kentucky 2 70,216 0.03
Rhode Island 1 45,309 0.02
Mississippi 1 44,167 0.02
Iowa 1 39,794 0.02
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Original LTV 15+% to 20% 2 62,929 0.03
20+% to 25% 2 177,166 0.07
25+% to 30% 6 408,532 0.17
30+% to 35% 8 364,249 0.15
35+% to 40% 11 583,489 0.24
40+% to 45% 16 1,461,946 0.60
45+% to 50% 32 2,031,968 0.84
50+% to 55% 46 3,921,717 1.61
55+% to 60% 80 6,177,901 2.54
60+% to 65% 148 11,968,820 4.92
65+% to 70% 249 20,517,955 8.43
70+% to 75% 380 37,290,516 15.33
75+% to 80% 803 83,845,455 34.47
80+% to 85% 356 39,963,830 16.43
85+% to 90% 281 34,372,363 14.13
90+% to 95% 1 106,250 0.04
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Coupon 7+ - 8% 50 6,841,301 2.81
8+ - 9% 372 44,158,832 18.15
9+ - 10% 805 86,777,915 35.67
10+ - 11% 745 68,438,766 28.13
11+ - 12% 331 28,167,049 11.58
12+ - 13% 104 7,958,725 3.27
13+ - 14% 14 912,497 0.38
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Balance 10K+ to 15K 2 29,950 0.01
15K+ to 20K 2 33,410 0.01
20K+ to 30K 45 1,180,381 0.49
30K+ to 40K 143 5,101,469 2.10
40K+ to 50K 224 10,206,553 4.20
50K+ to 100K 978 72,005,113 29.60
100K+ to 250K 1,021 153,036,227 62.91
250K+ to 500K 6 1,661,983 0.68
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICA
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Property Type Single Family 2,082 210,161,053 86.40
2-4 Family 208 21,580,114 8.87
Condo 114 10,209,816 4.20
Manufactured 17 1,304,103 0.54
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Loan Age 0 818 84,037,221 34.55
1 870 91,245,138 37.51
2 167 16,440,476 6.76
3 72 6,525,026 2.68
4 73 7,379,349 3.03
5 99 9,135,642 3.76
6 99 9,105,562 3.74
7 89 8,473,449 3.48
8 or more 134 10,913,223 4.49
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Remaining Term Less than 353 140 11,306,906 4.65
353 89 8,473,449 3.48
354 99 9,105,562 3.74
355 98 9,068,105 3.73
356 72 7,341,929 3.02
357 72 6,491,938 2.67
358 165 16,314,802 6.71
359 869 91,182,673 37.48
360 817 83,969,721 34.52
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Occupancy Owner Occupied 2,064 216,168,827 88.87
Non-Owner Occupied 357 27,086,259 11.13
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Credit Grade A 344 35,375,880 14.54
A- 756 85,112,779 34.99
B 650 66,507,138 27.34
C 496 42,418,160 17.44
C- 108 8,573,534 3.52
D 67 5,267,595 2.17
------ ----------- ------
2,421 $243,255,086 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Margin 3.50+ - 3.75% 1 82,252 0.03
3.75+ - 4.00% 3 302,034 0.12
4.00+ - 4.25% 4 524,551 0.22
4.25+ - 4.50% 4 263,922 0.11
4.50+ - 4.75% 5 573,038 0.24
4.75+ - 5.00% 6 544,726 0.22
5.00+ - 5.25% 12 1,368,108 0.56
5.25+ - 5.50% 174 18,311,606 7.53
5.50+ - 5.75% 107 12,733,619 5.23
5.75+ - 6.00% 516 58,256,809 23.95
6.00+ - 6.25% 652 67,913,233 27.92
6.25+ - 6.50% 183 19,677,189 8.09
6.50+ - 6.75% 288 25,964,580 10.67
6.75+ - 7.00% 113 9,197,317 3.78
7.00+ - 7.25% 133 10,695,834 4.40
7.25+ - 7.50% 67 4,868,260 2.00
7.50+ - 7.75% 72 5,459,859 2.24
7.75+ - 8.00% 40 3,108,534 1.28
8.00+ - 8.25% 14 1,300,865 0.53
8.25+ - 8.50% 17 1,313,975 0.54
8.50+ - 8.75% 3 337,362 0.14
8.75+ - 9.00% 1 63,573 0.03
9.00+ - 9.25% 3 167,953 0.07
9.25+ - 9.50% 2 163,202 0.07
Over 10.00% 1 62,681 0.03
------ ------------ ------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Rate Reset 1999/07 4 345,120 0.14
1999/08 11 1,246,904 0.51
1999/09 23 2,641,751 1.09
1999/10 53 5,901,642 2.43
1999/11 38 3,804,581 1.56
1999/12 16 1,228,683 0.51
2000/01 14 1,416,719 0.58
2000/04 1 25,751 0.01
2000/05 1 52,861 0.02
2000/06 8 782,886 0.32
2000/07 12 970,491 0.40
2000/08 21 1,424,457 0.59
2000/09 37 2,927,477 1.20
2000/10 54 5,340,409 2.20
2000/11 75 7,049,254 2.90
2000/12 107 10,173,203 4.18
2001/01 45 4,307,001 1.77
2001/02 75 6,826,771 2.81
2001/03 83 8,898,646 3.66
2001/04 502 53,876,470 22.15
2001/05 409 43,454,704 17.86
2001/06 2 123,547 0.05
2001/07 1 127,538 0.05
2001/08 3 139,771 0.06
2001/09 9 632,538 0.26
2001/10 17 1,238,379 0.51
2001/11 19 1,540,225 0.63
2001/12 8 524,498 0.22
2002/01 5 510,031 0.21
2002/02 2 65,003 0.03
2002/03 32 2,746,357 1.13
2002/04 282 27,885,128 11.46
2002/05 247 25,078,632 10.31
2003/05 2 83,189 0.03
2004/02 2 122,559 0.05
2004/04 79 8,251,735 3.39
2004/05 122 11,490,176 4.72
------ ----------- ------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Life Cap 12+ - 13% 1 137,468 0.06
13+ - 14% 2 123,386 0.05
14+ - 15% 66 9,123,088 3.75
15+ - 16% 402 47,363,632 19.47
16+ - 17% 822 87,232,348 35.86
17+ - 18% 713 65,441,044 26.9
18+ - 19% 307 25,854,555 10.63
19+ - 20% 98 7,321,569 3.01
20+ - 21% 10 657,997 0.27
------ ----------- ------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Life Floor 7+ - 8% 52 6,964,686 2.86
8+ - 9% 385 45,840,497 18.84
9+ - 10% 814 87,865,516 36.12
10+ - 11% 733 66,956,373 27.53
11+ - 12% 323 27,299,861 11.22
12+ - 13% 102 7,572,875 3.11
13+ - 14% 12 755,277 0.31
------ ----------- ------
2,421 $243,255,086 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
State California 108 32,608,711 59.86
Illinois 11 3,567,128 6.55
Washington 10 2,825,937 5.19
Florida 10 2,717,748 4.99
New York 7 2,113,649 3.88
New Jersey 7 2,014,847 3.70
Colorado 5 1,531,687 2.81
Michigan 4 1,317,579 2.42
Ohio 5 1,306,263 2.40
Utah 3 809,616 1.49
Arizona 2 643,750 1.18
Maryland 2 580,291 1.07
Maine 1 300,000 0.55
Connecticut 1 296,162 0.54
Massachusetts 1 278,665 0.51
Indiana 1 275,349 0.51
Oregon 1 274,891 0.50
New Mexico 1 258,523 0.47
Montana 1 256,500 0.47
Vermont 1 252,000 0.46
New Hampshire 1 249,529 0.46
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Original LTV 50+% to 55% 1 349,845 0.64
55+% to 60% 7 1,996,507 3.66
60+% to 65% 5 1,571,842 2.89
65+% to 70% 12 3,462,267 6.36
70+% to 75% 26 7,898,493 14.50
75+% to 80% 70 20,927,396 38.41
80+% to 85% 31 9,187,992 16.87
85+% to 90% 31 9,084,482 16.68
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Coupon 7+ - 8% 6 1,826,361 3.35
8+ - 9% 71 21,531,677 39.52
9+ - 10% 60 17,639,626 32.38
10+ - 11% 36 10,577,861 19.42
11+ - 12% 6 1,773,925 3.26
12+ - 13% 4 1,129,375 2.07
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Current Balance 100K+ to 250K 21 5,154,434 9.46
250K+ to 500K 162 49,324,390 90.54
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Property Type Single Family 179 53,180,734 97.62
Condo 3 948,246 1.74
2-4 Family 1 349,845 0.64
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Loan Age 0 55 16,182,125 29.70
1 73 21,573,809 39.60
2 15 4,379,906 8.04
3 4 1,221,763 2.24
4 4 1,190,776 2.19
5 8 2,469,226 4.53
6 6 1,866,513 3.43
7 7 2,187,498 4.02
8 or more 11 3,407,210 6.25
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Remaining Term Less than 353 11 3,407,210 6.25
353 7 2,187,498 4.02
354 6 1,866,513 3.43
355 8 2,469,226 4.53
356 4 1,190,776 2.19
357 4 1,221,763 2.24
358 15 4,379,906 8.04
359 73 21,573,809 39.60
360 55 16,182,125 29.70
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Occupancy Owner Occupied 179 53,269,960 97.78
Non-Owner Occupied 4 1,208,865 2.22
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Credit Grade A 37 10,989,757 20.17
A- 81 24,373,860 44.74
B 45 13,497,205 24.78
C 15 4,214,105 7.74
C- 4 1,109,772 2.04
D 1 294,125 0.54
------ ----------- ------
183 $54,478,825 100.00%
- -----------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Margin 3.75+ - 4.00% 1 278,022 0.51
4.50+ - 4.75% 2 618,783 1.14
5.25+ - 5.50% 17 5,101,689 9.36
5.50+ - 5.75% 13 4,182,526 7.68
5.75+ - 6.00% 54 15,970,761 29.32
6.00+ - 6.25% 38 11,206,918 20.57
6.25+ - 6.50% 17 4,993,374 9.17
6.50+ - 6.75% 23 7,070,962 12.98
6.75+ - 7.00% 9 2,515,355 4.62
7.00+ - 7.25% 5 1,450,562 2.66
7.50+ - 7.75% 1 245,000 0.45
8.00+ - 8.25% 1 294,125 0.54
8.75+ - 9.00% 1 258,523 0.47
9.25+ - 9.50% 1 292,224 0.54
------ ----------- ------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Rate Reset 1999/07 1 268,135 0.49
1999/09 2 631,240 1.16
1999/10 7 2,087,118 3.83
1999/11 4 1,223,032 2.24
2000/01 3 858,976 1.58
2000/07 1 297,131 0.55
2000/08 1 327,951 0.60
2000/09 3 917,136 1.68
2000/10 2 609,697 1.12
2000/11 3 1,109,132 2.04
2000/12 8 2,476,730 4.55
2001/01 2 574,934 1.06
2001/02 7 2,210,619 4.06
2001/03 7 2,021,947 3.71
2001/04 44 13,116,545 24.08
2001/05 27 8,115,148 14.90
2001/09 1 294,492 0.54
2001/10 1 275,349 0.51
2001/11 1 358,967 0.66
2002/03 1 262,164 0.48
2002/04 20 5,853,647 10.74
2002/05 18 5,213,817 9.57
2004/04 8 2,178,980 4.00
2004/05 11 3,195,936 5.87
------ ----------- ------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Life Cap 14+ - 15% 9 2,862,103 5.25
15+ - 16% 75 22,623,815 41.53
16+ - 17% 62 18,180,481 33.37
17+ - 18% 31 9,133,125 16.76
18+ - 19% 3 840,175 1.54
19+ - 20% 3 839,125 1.54
------ ----------- ------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
Aggregate Field Description Count Balance$ Pool%
Life Floor 7+ - 8% 6 1,826,361 3.35
8+ - 9% 72 21,888,898 40.18
9+ - 10% 63 18,387,589 33.75
10+ - 11% 36 10,696,677 19.63
11+ - 12% 2 549,925 1.01
12+ - 13% 4 1,129,375 2.07
------ ----------- ------
183 $54,478,825 100.00%
- ------------------------------------------------------------------------
MARKETING MEMORANDUM
6/11/99 11:00 AM
FREMONT HOME LOAN OWNER TRUST 1999-2
$79,679,885 CLASS A-1, ASSET BACKED NOTES, SERIES 1999-2
$347,136,218 CLASS A-2, ASSET BACKED NOTES, SERIES 1999-2
$73,183,897 CLASS A-3, ASSET BACKED NOTES, SERIES 1999-2
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 notes
identified above (the "Notes") or any other party. The Marketing Memorandum is
based upon information made available to the Underwriters. Neither the
Underwriters, the issuer of the Notes, 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
Notes has been filed with the Securities and Exchange Commission and is
effective, the final prospectus supplement relating to the Notes 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 Notes 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 Notes for
definitive terms of the Offered Notes and the collateral.
Please be advised that the Notes 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 Notes.
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.
[GRAPHIC OMITTED]
First Union Capital Markets Corp.
<PAGE>
MARKETING MEMORANDUM - 6/11/99 11:00 AM
FREMONT HOME LOAN OWNER TRUST 1999-2
- --------------------------------------------------------------------------------
FIRST UNION CAPITAL MARKETS CORP.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. Information
contained herein does not purport to be complete and is subject to the same
qualifications and assumptions and should be considered by investors only in the
light of the same warnings, lack of assurances and representations and other
precautionary matters, as disclosed in the offering circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the prospectus supplement.
- --------------------------------------------------------------------------------
<TABLE>
$500,000,000 (APPROXIMATE) OFFERING AMOUNT
FSA BOND INSURED
BOND SUMMARY*
=========================================================================================================
<CAPTION>
LAST PRINCIPAL EXPECTED
APPROXIMATE WAL PRINCIPAL WINDOW MATURITY RATINGS
CLASS SIZE COUPON (YEARS) PAYMENT (YEARS) DATE (MOODY'S/S&P)
- ----- ----------- ------ ------- --------- --------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $79,679,885 Fixed 3.15 11/06 7.42 6/25/30 Aaa/AAA
A-2 $347,136,218 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
A-3 $73,183,897 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
=========================================================================================================
<FN>
*At a pricing scenario of 4% CPR increasing to 24% CPR over 12 months for the fixed rate collateral and
27% CPR for the adjustable rate collateral and to the Optional Redemption.
</FN>
</TABLE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
--------------------------
(COMPLETE COLLATERAL TABLES ON PAGES 13-32)
=======================================================================================================
<CAPTION>
POOL 1 POOL 2 POOL 3
------ ------ ------
<S> <C> <C> <C>
Number of Loans: 845 2,421 183
Current Balance: $70,707,966 $243,255,086 $54,478,825
Average Balance: $83,678 $100,477 $297,698
Minimum Balance: $14,816 $14,950 $240,909
Maximum Balance: $49,714 $302,921 $499,697
Wtd Average Coupon: 10.1516% 10.0286% 9.4874%
Wtd Average Original Term (months): 335 360 360
Wtd Average Seasoning (months): 4 2 2
Wtd Average Original Loan-To-Value: 74.86% 77.76% 79.24%
Amortization Type:
ARM loans (% of Statistical Pool Principal Balance) - 100% 100%
Fixed loans (% of Statistical Pool Principal Balance) 100% - -
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: - 2.83% 2.80%
Wtd Avg Subsequent Periodic Rate Cap: - 1.45% 1.44%
Wtd Avg Margin: - 6.29% 6.19%
Wtd Avg Life Cap: - 16.95% 16.35%
Wtd Avg Months to Roll: - 27.19 27.11
=======================================================================================================
</TABLE>
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS
PREPAYMENT SCENARIOS
==============================================================
S-1 S-2 S-3 S-4 S-5 S-6
--- --- --- --- --- ---
Class A-1* 0% 50% 75% 100% 125% 150%
Class A-2** 0% 15% 20% 27% 35% 45%
Class A-3** 0% 15% 20% 27% 35% 45%
==============================================================
* As a percentage of the Prepayment Assumption (4% CPR
increasing to 24% CPR over 12 months)
** CPR
TO OPTIONAL REDEMPTION:
==========================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 16.67 6.00 4.21 3.15 2.47 1.99
YIELD @ 100.00 7.34% 7.28% 7.24% 7.20% 7.16% 7.11%
DURATION 8.79 4.27 3.26 2.59 2.11 1.74
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.25 13.83 10.17 7.42 5.50 4.08
==========================================================================
==========================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.82 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
==========================================================================
==========================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.75 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
==========================================================================
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY:
==========================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 16.67 6.43 4.60 3.51 2.80 2.31
YIELD @ 100.00 7.34% 7.30% 7.27% 7.25 7.22% 7.20%
DURATION 8.79 4.40 3.42 2.76 2.30 1.96
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 11/24 11/20 06/16 10/13 03/11
WINDOW (YEARS) 28.25 25.42 21.42 17.00 14.33 11.75
==========================================================================
==========================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.88 5.36 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 09/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.25 21.67 16.25 12.08 8.83
==========================================================================
==========================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.81 5.35 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 08/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.17 21.67 16.25 12.08 8.83
==========================================================================
<PAGE>
PRICING INFORMATION
PRICING SPEEDS: 4% CPR, increasing to 24% CPR over 12 months
(Fixed Rate Collateral) 27% CPR (Adjustable Rate
Collateral)
PAYMENT DATE: The 25th day of each month (or the next Business
Day thereafter) commencing in July of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 Notes, the calendar month
immediately preceding the month in which the
relevant payment date occurs. For the Class A-2
and Class A-3 Notes, 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: 24 days for the Class A-1 Notes 0 days on the
Class A-2 Notes and Class A-3 Notes
SETTLEMENT (CLOSING) DATE: On or about June 24, 1999
CUT-OFF DATE: June 1, 1999 (close of business)
MATURITY DATE: The Maturity Date for the Class A-1 Notes is
July 25, 2030, although it is anticipated that
the actual maturity date for the Class A-1 Notes
will occur significantly earlier than the
Maturity Date.
The Maturity Date for the Class A-2 Notes is
July 25, 2030, although it is anticipated that
the actual maturity date for the Class A-2 Notes
will occur significantly earlier than the
Maturity Date.
The Maturity Date for the Class A-3 Notes is
July 25, 2030, although it is anticipated that
the actual maturity date for the Class A-3 Notes
will occur significantly earlier than the
Maturity Date.
OPTIONAL REDEMPTION DATE: The Optional Redemption Date is the first
Payment Date on which the aggregate Loan Balance
of the Home Equity Loans has declined to less
than 10% of the aggregate Loan Balance of the
Home Equity Loans as of the Cut-Off Date.
REDEMPTION PRICE: The Redemption Price will be an amount that will
at least pay in full accrued interest and
principal on the Notes and certain other
expenses.
<PAGE>
PRICING INFORMATION (CONTINUED)
OPTIONAL REDEMPTION: The holders of Residual Interests exceeding in
the aggregate a 50% interest may, at their
option effect an early redemption of the Notes
and terminate the Trust on any Payment Date on
or after the Optional Redemption Date by
purchasing all of the Home Equity Loans at a
price equal to or greater than the Redemption
Price. In addition, the Note Insurer will have
rights under limited circumstances, to purchase
the Home Equity Loans and thereby effect a
redemption of the Notes.
INITIAL TURBO: With respect to each class of Notes, 100% of the
excess cash flow from the related Pool of Home
Equity Loans will be used to accelerate such
class of Notes until the overcollateralization
target for such Class is reached. To the extent
necessary, after the overcollateralization
target with respect to each Class of Notes is
reached, 100% of the excess cash flow from the
related Pool of Home Equity Loans will be
available to accelerate such Class of Notes to
maintain the then current overcollateralization
target for such Class. Any remaining excess cash
flow may be used to cover shortfalls incurred by
the other Classes of Notes due to delinquencies
and losses that occur in the other Pools. Excess
cash flow may, under certain circumstances, be
deposited in the Reserve Account (defined
below).
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a servicing fee of 0.50% per annum
payable monthly, Note Insurer fees, and
Indenture 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 Owner Trust 1999-2, Home Loan
Asset-Backed Notes, Series 1999-2.
OFFERING AMOUNT: Approximately $500,000,000
CERTIFICATES: Residual Interest (not offered)
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
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: Fairbanks Capital Corp.
OWNER TRUSTEE: Wilmington Trust Company
INDENTURE TRUSTEE: First Union National Bank
STATISTICAL CALCULATION DATE: The collateral described herein and in the
prospectus supplement represents the pool of
Home Equity Loans as of the Statistical
Calculation Date of May 25, 1999. It is
anticipated that the total unpaid principal
balance of the collateral pool conveyed to the
Trust at closing will be approximately
$500,000,000.
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 87.24% (by Statistical
Calculation Date aggregate principal balance) of
the Home Equity Loans bear prepayment premiums.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
HOME EQUITY LOANS: The Trust is comprised primarily of three pools
of mortgage loans. The first pool of loans
("Pool 1 Loans") will back the Class A-1 Notes,
in that payments on the Pool 1 Loans will
generally be used to make payments on the Class
A-1 Notes. Similarly, the second pool of loans
("Pool 2 Loans") will back the Class A-2 Notes
and the third pool of loans ("Pool 3 Loans")
will back the Class A-3 Notes.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of $70,707,966 as of the
Statistical Calculation Date. All 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. It is anticipated
that the Cut-off Date aggregate principal
balance of the Pool 1 Loans conveyed to the
Trust at closing will be approximately
$79,679,885.
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of $243,255,086 as of the
Statistical Calculation Date. All of the Pool 2
Loans 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.
The original principal balance of each Pool 2
Loan will not exceed the maximum loan amounts
shown in the table below. It is anticipated that
the Cut-off Date aggregate principal balance of
the Pool 2 Loans conveyed to the Trust at
closing will be approximately $347,136,218.
MAXIMUM LOAN BALANCES OF POOL 2 LOANS
================================================
Maximum Loan Amount
of First Mortgage
-------------------------------
Number Continental Alaska
of Units United States or Hawaii
-------- ------------- ---------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
================================================
POOL 3 LOANS: The Pool 3 Loans have an aggregate
principal balance of $54,478,825 as of the
Statistical Calculation Date. All of the Pool 3
Loans 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.
The original principal balance of each Pool 3
Loan will exceed the maximum loan amounts shown
in the table above. It is anticipated that the
Cut-off Date aggregate principal balance of the
Pool 3 Loans conveyed to the Trust at closing
will be approximately $73,183,897.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT: Credit enhancement for each class of Notes will
be provided by the following:
EXCESS SPREAD: The weighted average coupon rate
on the Loans in each Pool is generally expected
to be higher than the sum of the servicing fee,
the trustee fee, the premium payable to the Note
Insurer, and the pass through rate on each class
of Notes, thus generating excess interest
collections which, along with prepayment
premiums collected on the Loans, will be
available to fund payments on the related class
of Notes on each Payment Date. Under certain
circumstances, Excess Spread from one loan Pool
may be used to cover shortfalls due to
delinquencies or losses in other loan Pools.
OVERCOLLATERALIZATION: Excess cash flow will be
applied, to the extent available, to make
accelerated payments of principal on the Notes;
such application will cause the aggregate
principal balance of the Notes to amortize more
rapidly than the Loans, resulting in
overcollateralization. Prior to the
Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-1,
Class A-2 and Class A-3 Notes is expected to
build to (i) [3.75]% of the Cut-off Date loan
pool principal balance of Pool 1, (ii) [4.50%]
of the Cut-off Date loan pool principal balance
of Pool 2, and (iii) [4.50%] of the Cut-off Date
loan pool principal balance of Pool 3,
respectively.
On or after the Overcollateralization Stepdown
Date, the Overcollateralization Amount for the
Class A-1, Class A-2, and Class A-3 Notes will
be permitted to decrease to (i) [7.50%] of the
then outstanding aggregate unpaid principal
balance of the Pool 1 Loans, (ii) [9.00%] of the
then outstanding aggregate unpaid principal
balance of the Pool 2 Loans, and (iii) [9.00%]
of the then outstanding aggregate unpaid
principal balance of the Pool 3 Loans,
respectively, subject, in each such case, to a
floor of [0.50%] of the original principal
balance of each Pool of Loans (each such
percentage then in effect, the "O/C Target").
The Overcollateralization Stepdown Date will be
no earlier than the 25th month following the
Closing Date and is subject to certain
delinquency and loan loss tests.
RESERVE ACCOUNT: Amounts required to be
deposited in the Reserve Account will be equal
to the excess of (i) the sum of the specified
overcollateralization targets for all classes of
Notes and (ii) the sum of the
overcollateralization amounts for all classes of
Notes.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT
(CONTINUED): FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Financial Security
Assurance, Inc. ("the Note Insurer"). FSA will
unconditionally and irrevocably guarantee the
timely payment of interest and ultimate payment
of principal on the Notes (i.e. after any losses
reduce the overcollateralization to zero, FSA
will cover the excess, if any, of the Note
principal balance over the Pool balance). The
Insured Payments do not cover Realized Losses
except to the extent that the principal balance
of the Notes exceeds the Pool Principal 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 Notes would otherwise result
therefrom. The FSA Insurance Policy is not
cancelable for any reason. THE FSA INSURANCE
POLICY IS NOT COVERED BY THE PROPERTY/CASUALTY
INSURANCE SECURITY FUND SPECIFIED IN ARTICLE 76
OF THE NEW YORK INSURANCE LAW.
NOTE RATE: CLASS A-1 NOTES: The Class A-1 Notes will bear
interest at a fixed rate of interest equal to [
%] per annum. The interest rate on the Class A-1
notes will increase by 0.50% commencing on the
first day of the Accrual Period in which the
Optional Redemption Date occurs.
CLASS A-2 NOTES: The Class A-2 Note Rate will be
equal to the lesser of (x) the applicable
Formula Note Rate and (y) the Available Funds
Cap.
CLASS A-3 NOTES: The Class A-3 Note Rate will be
equal to the lesser of (x) the applicable
Formula Note Rate and (y) the Available Funds
Cap.
FORMULA NOTE RATE: The Formula Note Rate for the Class A-2 Notes
for any Payment Date will equal the lesser of
(x) (i) with respect to any Payment Date which
occurs on or prior to the Optional Redemption
Date, one-month LIBOR plus [ %] per annum, or
(ii) with respect to any Payment Date that
occurs after the Optional Redemption Date,
one-month LIBOR plus [ %] per annum and (y)
[13.00%] per annum.
The Formula Note Rate for the Class A-3 Notes
for any Payment Date will equal the lesser of
(x) (i) with respect to any Payment Date which
occurs on or prior to the Optional Redemption
Date, one-month LIBOR plus [ %] per annum, or
(ii) with respect to any Payment Date that
occurs after the Optional Redemption Date,
one-month LIBOR plus [ %] per annum and (y)
[13.00%] per annum.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
AVAILABLE FUNDS CAP: The Available Funds Cap for the Class A-2 and
Class A-3 Notes will equal the annualized rate
equal to (i) the interest due on the related
Pool less such Pool's share of the servicing
fee, Master Servicing fee, the Indenture Trustee
fee and the premium payable to the Note Insurer,
such amount divided by the principal balance of
the applicable class of Notes. For any Payment
Date on or after July 2000, the Available Funds
Cap for the Class A-2 and Class A-3 Notes will
be further reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds Cap
limits the Class A-2 or Class A-3 Note Rates
(i.e., the rate set by the Available Funds Cap
is less than the Formula Note Rate for the Class
A-2 or Class A-3 Notes), 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 Note Rate,
until paid (such shortfall, together with such
accrued interest, the "Available Funds Cap Carry
Forward Amount").
The Insurance Policy for the Notes does not
cover the Available Funds Cap Carry Forward
Amount; the payment of such amount may be funded
only from excess cash flow remaining after (i)
the payment of interest and principal due on the
Notes for such Payment Date, if any (ii)
reimbursement of the Note Insurer, (iii) payment
of accelerated principal on the Notes to achieve
the required O/C Targets for such Payment Date
and for required deposits into the Reserve
Account.
FEDERAL TAX ASPECTS: The trust will be an Owner Trust. No election
will be made to treat the Trust Estate or any
portion thereof as a REMIC for federal income
tax purposes. The Notes will be treated as
non-recourse debt obligations of the trust.
ERISA CONSIDERATIONS: Subject to the discussion in the Prospectus
Supplement and Prospectus, the Notes may be
purchased by employee benefit plans that are
subject to ERISA.
SMMEA ELIGIBILITY: The Notes 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 $1,000 thereafter.
<PAGE>
DESCRIPTION OF THE SERVICER
o FAIRBANKS CAPITAL CORP. ("FAIRBANKS"), A UTAH CORPORATION, WAS FORMED ON
FEBRUARY 24, 1989.
o FINANCIAL SECURITY ASSURANCE, INC. OWNS A 25% SHARE OF FAIRBANKS CAPITAL
HOLDING CORPORATION.
o FAIRBANKS COMMENCED MORTGAGE SERVICING OPERATIONS IN 1989 FOR ITS OWN ACCOUNT
AND SINCE 1994 HAS MANAGED AND SERVICED THIRD-PARTY MORTGAGE LOAN PORTFOLIOS.
PRIOR TO 1998, FAIRBANKS PRIMARILY SERVICED PORTFOLIOS OF NON-PERFORMING OR
DELINQUENT RESIDENTIAL MORTGAGE LOANS.
o FAIRBANKS IS A FNMA APPROVED SELLER/SERVICER AND A FHLMC APPROVED SERVICER
THAT IS ENGAGED IN THE SERVICING OF FIRST AND SECOND LIEN MORTGAGE LOANS.
o FAIRBANKS IS CURRENTLY SERVICING OVER 20,000 LOANS.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 1
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 170 20,705,378 29.28
Florida 136 9,189,722 13.00
New York 60 6,117,642 8.65
Illinois 39 3,651,522 5.16
Washington 24 2,657,116 3.76
Ohio 46 2,589,098 3.66
Oregon 17 2,017,668 2.85
Georgia 26 1,986,215 2.81
New Jersey 20 1,832,151 2.59
Indiana 34 1,830,581 2.59
Pennsylvania 35 1,703,896 2.41
Michigan 40 1,651,734 2.34
Arizona 20 1,370,574 1.94
Massachusetts 14 1,360,025 1.92
Tennessee 16 1,088,175 1.54
Utah 10 1,054,974 1.49
Colorado 12 995,531 1.41
Nevada 7 936,812 1.32
Missouri 12 844,510 1.19
Idaho 9 805,430 1.14
North Carolina 10 760,627 1.08
Texas 9 728,705 1.03
Connecticut 8 709,600 1.00
South Carolina 9 522,271 0.74
Louisiana 6 470,053 0.66
Oklahoma 8 435,305 0.62
Mississippi 8 306,485 0.43
Wisconsin 6 297,514 0.42
Arkansas 5 283,413 0.40
Kentucky 5 279,857 0.40
New Mexico 2 238,756 0.34
New Hampshire 3 233,731 0.33
Virginia 5 221,904 0.31
Minnesota 2 184,480 0.26
Montana 2 156,505 0.22
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State (continued) Kansas 2 80,000 0.11
Rhode Island 1 68,966 0.10
Hawaii 1 68,138 0.10
Maryland 1 65,553 0.09
Alaska 1 60,468 0.09
Iowa 1 48,302 0.07
West Virginia 1 39,678 0.06
Delaware 1 30,848 0.04
Maine 1 28,053 0.04
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 15+% to 20% 2 44,427 0.06
20+% to 25% 2 84,887 0.12
25+% to 30% 7 377,753 0.53
30+% to 35% 14 530,914 0.75
35+% to 40% 17 889,237 1.26
40+% to 45% 15 562,387 0.80
45+% to 50% 23 1,102,260 1.56
50+% to 55% 15 837,717 1.18
55+% to 60% 59 3,555,120 5.03
60+% to 65% 53 3,151,830 4.46
65+% to 70% 120 9,273,703 13.12
70+% to 75% 139 12,248,030 17.32
75+% to 80% 227 21,750,383 30.76
80+% to 85% 83 9,641,887 13.64
85+% to 90% 67 6,528,192 9.23
90+% to 95% 2 129,239 0.18
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 8 1,680,932 2.38
8+ - 9% 133 15,493,134 21.91
9+ - 10% 232 21,314,305 30.14
10+ - 11% 231 18,476,111 26.13
11+ - 12% 122 7,698,826 10.89
12+ - 13% 76 3,921,499 5.55
13+ - 14% 40 2,027,183 2.87
14+ - 15% 3 95,976 0.14
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 10K+ to 15K 1 14,816 0.02
15K+ to 20K 11 208,683 0.30
20K+ to 30K 79 2,091,083 2.96
30K+ to 40K 118 4,194,816 5.93
40K+ to 50K 100 4,513,991 6.38
50K+ to 100K 323 22,755,023 32.18
100K+ to 250K 182 26,255,982 37.13
250K+ to 500K 31 10,673,573 15.10
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 716 60,768,267 85.94
2-4 Family 73 6,125,163 8.66
Condo 35 2,545,718 3.60
Manufactured 21 1,268,817 1.79
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 112 9,261,872 13.10
1 203 16,963,711 23.99
2 53 5,089,539 7.20
3 59 6,041,085 8.54
4 49 3,445,463 4.87
5 93 7,932,606 11.22
6 80 6,531,935 9.24
7 73 5,716,104 8.08
8 or more 123 9,725,650 13.75
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 461 37,902,991 53.60
353 29 2,975,476 4.21
354 38 2,863,716 4.05
355 27 2,477,016 3.50
356 7 525,139 0.74
357 12 1,464,148 2.07
358 29 2,609,301 3.69
359 142 11,525,057 16.30
360 100 8,365,122 11.83
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 677 58,674,187 82.98
Non-Owner Occupied 168 12,033,779 17.02
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 208 19,671,231 27.82
A- 224 21,505,418 30.41
B 198 16,309,669 23.07
C 162 10,743,605 15.19
C 30 1,277,007 1.81
D 23 1,201,035 1.70
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 571 77,067,764 31.68
Illinois 219 20,322,168 8.35
Florida 195 16,397,478 6.74
Washington 130 13,826,259 5.68
New York 109 11,458,179 4.71
New Jersey 100 10,882,898 4.47
Utah 97 10,629,763 4.37
Michigan 129 8,428,533 3.46
Ohio 102 7,084,279 2.91
Arizona 74 6,729,564 2.77
Oregon 59 6,395,039 2.63
Nevada 57 6,267,735 2.58
Colorado 62 5,373,107 2.21
Massachusetts 43 5,241,783 2.15
Indiana 68 4,715,236 1.94
Pennsylvania 46 2,853,601 1.17
Missouri 37 2,839,646 1.17
Wisconsin 38 2,688,842 1.11
Idaho 32 2,443,057 1.00
Connecticut 19 2,361,078 0.97
Georgia 29 2,313,079 0.95
Maine 22 2,219,987 0.91
North Carolina 22 2,031,686 0.84
Tennessee 21 1,530,147 0.63
Minnesota 21 1,509,229 0.62
Texas 12 1,288,159 0.53
Oklahoma 16 1,187,334 0.49
New Hampshire 16 1,080,055 0.44
Montana 15 1,068,238 0.44
Virginia 8 898,558 0.37
Maryland 5 555,518 0.23
Kansas 10 517,390 0.21
Arkansas 4 481,549 0.20
Delaware 3 474,608 0.20
South Carolina 6 414,465 0.17
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State (continued) District of Columbia 4 393,685 0.16
Alaska 3 314,281 0.13
New Mexico 6 313,878 0.13
Hawaii 1 189,154 0.08
Nebraska 4 181,791 0.07
Vermont 1 86,800 0.04
Kentucky 2 70,216 0.03
Rhode Island 1 45,309 0.02
Mississippi 1 44,167 0.02
Iowa 1 39,794 0.02
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 15+% to 20% 2 62,929 0.03
20+% to 25% 2 177,166 0.07
25+% to 30% 6 408,532 0.17
30+% to 35% 8 364,249 0.15
35+% to 40% 11 583,489 0.24
40+% to 45% 16 1,461,946 0.60
45+% to 50% 32 2,031,968 0.84
50+% to 55% 46 3,921,717 1.61
55+% to 60% 80 6,177,901 2.54
60+% to 65% 148 11,968,820 4.92
65+% to 70% 249 20,517,955 8.43
70+% to 75% 380 37,290,516 15.33
75+% to 80% 803 83,845,455 34.47
80+% to 85% 356 39,963,830 16.43
85+% to 90% 281 34,372,363 14.13
90+% to 95% 1 106,250 0.04
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 50 6,841,301 2.81
8+ - 9% 372 44,158,832 18.15
9+ - 10% 805 86,777,915 35.67
10+ - 11% 745 68,438,766 28.13
11+ - 12% 331 28,167,049 11.58
12+ - 13% 104 7,958,725 3.27
13+ - 14% 14 912,497 0.38
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 10K+ to 15K 2 29,950 0.01
15K+ to 20K 2 33,410 0.01
20K+ to 30K 45 1,180,381 0.49
30K+ to 40K 143 5,101,469 2.10
40K+ to 50K 224 10,206,553 4.20
50K+ to 100K 978 72,005,113 29.60
100K+ to 250K 1,021 153,036,227 62.91
250K+ to 500K 6 1,661,983 0.68
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 2,082 210,161,053 86.40
2-4 Family 208 21,580,114 8.87
Condo 114 10,209,816 4.20
Manufactured 17 1,304,103 0.54
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 818 84,037,221 34.55
1 870 91,245,138 37.51
2 167 16,440,476 6.76
3 72 6,525,026 2.68
4 73 7,379,349 3.03
5 99 9,135,642 3.76
6 99 9,105,562 3.74
7 89 8,473,449 3.48
8 or more 134 10,913,223 4.49
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 140 11,306,906 4.65
353 89 8,473,449 3.48
354 99 9,105,562 3.74
355 98 9,068,105 3.73
356 72 7,341,929 3.02
357 72 6,491,938 2.67
358 165 16,314,802 6.71
359 869 91,182,673 37.48
360 817 83,969,721 34.52
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 2,064 216,168,827 88.87
Non-Owner Occupied 357 27,086,259 11.13
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 344 35,375,880 14.54
A- 756 85,112,779 34.99
B 650 66,507,138 27.34
C 496 42,418,160 17.44
C- 108 8,573,534 3.52
D 67 5,267,595 2.17
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Margin 3.50+ - 3.75% 1 82,252 0.03
3.75+ - 4.00% 3 302,034 0.12
4.00+ - 4.25% 4 524,551 0.22
4.25+ - 4.50% 4 263,922 0.11
4.50+ - 4.75% 5 573,038 0.24
4.75+ - 5.00% 6 544,726 0.22
5.00+ - 5.25% 12 1,368,108 0.56
5.25+ - 5.50% 174 18,311,606 7.53
5.50+ - 5.75% 107 12,733,619 5.23
5.75+ - 6.00% 516 58,256,809 23.95
6.00+ - 6.25% 652 67,913,233 27.92
6.25+ - 6.50% 183 19,677,189 8.09
6.50+ - 6.75% 288 25,964,580 10.67
6.75+ - 7.00% 113 9,197,317 3.78
7.00+ - 7.25% 133 10,695,834 4.40
7.25+ - 7.50% 67 4,868,260 2.00
7.50+ - 7.75% 72 5,459,859 2.24
7.75+ - 8.00% 40 3,108,534 1.28
8.00+ - 8.25% 14 1,300,865 0.53
8.25+ - 8.50% 17 1,313,975 0.54
8.50+ - 8.75% 3 337,362 0.14
8.75+ - 9.00% 1 63,573 0.03
9.00+ - 9.25% 3 167,953 0.07
9.25+ - 9.50% 2 163,202 0.07
Over 10.00% 1 62,681 0.03
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Rate Reset 1999/07 4 345,120 0.14
1999/08 11 1,246,904 0.51
1999/09 23 2,641,751 1.09
1999/10 53 5,901,642 2.43
1999/11 38 3,804,581 1.56
1999/12 16 1,228,683 0.51
2000/01 14 1,416,719 0.58
2000/04 1 25,751 0.01
2000/05 1 52,861 0.02
2000/06 8 782,886 0.32
2000/07 12 970,491 0.40
2000/08 21 1,424,457 0.59
2000/09 37 2,927,477 1.20
2000/10 54 5,340,409 2.20
2000/11 75 7,049,254 2.90
2000/12 107 10,173,203 4.18
2001/01 45 4,307,001 1.77
2001/02 75 6,826,771 2.81
2001/03 83 8,898,646 3.66
2001/04 502 53,876,470 22.15
2001/05 409 43,454,704 17.86
2001/06 2 123,547 0.05
2001/07 1 127,538 0.05
2001/08 3 139,771 0.06
2001/09 9 632,538 0.26
2001/10 17 1,238,379 0.51
2001/11 19 1,540,225 0.63
2001/12 8 524,498 0.22
2002/01 5 510,031 0.21
2002/02 2 65,003 0.03
2002/03 32 2,746,357 1.13
2002/04 282 27,885,128 11.46
2002/05 247 25,078,632 10.31
2003/05 2 83,189 0.03
2004/02 2 122,559 0.05
2004/04 79 8,251,735 3.39
2004/05 122 11,490,176 4.72
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Cap 12+ - 13% 1 137,468 0.06
13+ - 14% 2 123,386 0.05
14+ - 15% 66 9,123,088 3.75
15+ - 16% 402 47,363,632 19.47
16+ - 17% 822 87,232,348 35.86
17+ - 18% 713 65,441,044 26.9
18+ - 19% 307 25,854,555 10.63
19+ - 20% 98 7,321,569 3.01
20+ - 21% 10 657,997 0.27
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Floor 7+ - 8% 52 6,964,686 2.86
8+ - 9% 385 45,840,497 18.84
9+ - 10% 814 87,865,516 36.12
10+ - 11% 733 66,956,373 27.53
11+ - 12% 323 27,299,861 11.22
12+ - 13% 102 7,572,875 3.11
13+ - 14% 12 755,277 0.31
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 108 32,608,711 59.86
Illinois 11 3,567,128 6.55
Washington 10 2,825,937 5.19
Florida 10 2,717,748 4.99
New York 7 2,113,649 3.88
New Jersey 7 2,014,847 3.70
Colorado 5 1,531,687 2.81
Michigan 4 1,317,579 2.42
Ohio 5 1,306,263 2.40
Utah 3 809,616 1.49
Arizona 2 643,750 1.18
Maryland 2 580,291 1.07
Maine 1 300,000 0.55
Connecticut 1 296,162 0.54
Massachusetts 1 278,665 0.51
Indiana 1 275,349 0.51
Oregon 1 274,891 0.50
New Mexico 1 258,523 0.47
Montana 1 256,500 0.47
Vermont 1 252,000 0.46
New Hampshire 1 249,529 0.46
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 0+% to 55% 1 349,845 0.64
5+% to 60% 7 1,996,507 3.66
0+% to 65% 5 1,571,842 2.89
5+% to 70% 12 3,462,267 6.36
0+% to 75% 26 7,898,493 14.50
5+% to 80% 70 20,927,396 38.41
0+% to 85% 31 9,187,992 16.87
5+% to 90% 31 9,084,482 16.68
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 6 1,826,361 3.35
8+ - 9% 71 21,531,677 39.52
9+ - 10% 60 17,639,626 32.38
10+ - 11% 36 10,577,861 19.42
11+ - 12% 6 1,773,925 3.26
12+ - 13% 4 1,129,375 2.07
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 100K+ to 250K 21 5,154,434 9.46
250K+ to 500K 162 49,324,390 90.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 179 53,180,734 97.62
Condo 3 948,246 1.74
2-4 Family 1 349,845 0.64
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 55 16,182,125 29.70
1 73 21,573,809 39.60
2 15 4,379,906 8.04
3 4 1,221,763 2.24
4 4 1,190,776 2.19
5 8 2,469,226 4.53
6 6 1,866,513 3.43
7 7 2,187,498 4.02
8 or more 11 3,407,210 6.25
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 11 3,407,210 6.25
353 7 2,187,498 4.02
354 6 1,866,513 3.43
355 8 2,469,226 4.53
356 4 1,190,776 2.19
357 4 1,221,763 2.24
358 15 4,379,906 8.04
359 73 21,573,809 39.60
360 55 16,182,125 29.70
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 179 53,269,960 97.78
Non-Owner Occupied 4 1,208,865 2.22
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 37 10,989,757 20.17
A- 81 24,373,860 44.74
B 45 13,497,205 24.78
C 15 4,214,105 7.74
C 4 1,109,772 2.04
D 1 294,125 0.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Margin 3.75+ - 4.00% 1 278,022 0.51
4.50+ - 4.75% 2 618,783 1.14
5.25+ - 5.50% 17 5,101,689 9.36
5.50+ - 5.75% 13 4,182,526 7.68
5.75+ - 6.00% 54 15,970,761 29.32
6.00+ - 6.25% 38 11,206,918 20.57
6.25+ - 6.50% 17 4,993,374 9.17
6.50+ - 6.75% 23 7,070,962 12.98
6.75+ - 7.00% 9 2,515,355 4.62
7.00+ - 7.25% 5 1,450,562 2.66
7.50+ - 7.75% 1 245,000 0.45
8.00+ - 8.25% 1 294,125 0.54
8.75+ - 9.00% 1 258,523 0.47
9.25+ - 9.50% 1 292,224 0.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Rate Reset 1999/07 1 268,135 0.49
1999/09 2 631,240 1.16
1999/10 7 2,087,118 3.83
1999/11 4 1,223,032 2.24
2000/01 3 858,976 1.58
2000/07 1 297,131 0.55
2000/08 1 327,951 0.60
2000/09 3 917,136 1.68
2000/10 2 609,697 1.12
2000/11 3 1,109,132 2.04
2000/12 8 2,476,730 4.55
2001/01 2 574,934 1.06
2001/02 7 2,210,619 4.06
2001/03 7 2,021,947 3.71
2001/04 44 13,116,545 24.08
2001/05 27 8,115,148 14.90
2001/09 1 294,492 0.54
2001/10 1 275,349 0.51
2001/11 1 358,967 0.66
2002/03 1 262,164 0.48
2002/04 20 5,853,647 10.74
2002/05 18 5,213,817 9.57
2004/04 8 2,178,980 4.00
2004/05 11 3,195,936 5.87
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS
AS OF THE STATISTICAL CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Cap 14+ - 15% 9 2,862,103 5.25
15+ - 16% 75 22,623,815 41.53
16+ - 17% 62 18,180,481 33.37
17+ - 18% 31 9,133,125 16.76
18+ - 19% 3 840,175 1.54
19+ - 20% 3 839,125 1.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Floor 7+ - 8% 6 1,826,361 3.35
8+ - 9% 72 21,888,898 40.18
9+ - 10% 63 18,387,589 33.75
10+ - 11% 36 10,696,677 19.63
11+ - 12% 2 549,925 1.01
12+ - 13% 4 1,129,375 2.07
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
--------------------------------------------------
FREMONT HOME LOAN OWNER TRUST 1999-2
--------------------------------------------------
BANC ONE CAPITAL MARKETS, INC.
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN OWNER TRUST 1999-2
- --------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
- --------------------------------------------------------------------------------
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>
<TABLE>
$500,000,000 (APPROXIMATE) OFFERING AMOUNT
FSA BOND INSURED
BOND SUMMARY*
=========================================================================================================
<CAPTION>
Last Principal Excepted
Approximate WAL Principal Window Maturity Ratings
Class Size Coupon (Years) Payment (Years) Date (Moody's/S&P)
- ----- ----------- ------ ------- --------- --------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $79,679,885 Fixed 3.15 11/06 7.42 6/25/30 Aaa/AAA
A-2 $347,136,218 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
A-3 $73,183,897 Floater 2.69 11/06 7.42 6/25/30 Aaa/AAA
=========================================================================================================
<FN>
*At a pricing scenario of 4% CPR increasing to 24% CPR over 12 months for the fixed rate
collateral and 27% CPR for the adjustable rate collateral and to the Optional Redemption.
</FN>
</TABLE>
<TABLE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
(COMPLETE COLLATERAL TABLES ON PAGES 13-32)
=======================================================================================================
<CAPTION>
POOL 1 POOL 2 POOL 3
------ ------ ------
<S> <C> <C> <C>
Number of Loans: 845 2,421 183
Current Balance: $70,707,966 $243,255,086 $54,478,825
Average Balance: $83,678 $100,477 $297,698
Minimum Balance: $14,816 $14,950 $240,909
Maximum Balance: $49,314 $302,921 $499,697
Wtd Average Coupon: 10.1516% 10.0286% 9.4874%
Wtd Average Original Term (months): 335 360 360
Wtd Average Seasoning (months): 4 2 2
Wtd Avenge Original Loan-To-Value: 74.86% 77.76% 79.24%
Amortization Type:
ARM loans (% of Statistical Pool Principal Balance) - 100% 100%
Fixed loans (% of Statistical Pool Principal Balance) 100% - -
ARM Summary Information:
Wtd Avg Initial Periodic Rate Gap: - 2.83% 2.80%
Wtd Avg Subsequent Periodic Rate Cap: - 1.45% 1.44%
Wtd Avg Margin: 6.29% 6.19%
Wtd Avg Life Cap: - 16.95% 16.35%
Wtd Avg Months to Roll: - 27.19 27.11
=======================================================================================================
</TABLE>
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS
PREPAYMENT SCENARIOS
==============================================================
S-1 S-2 S-3 S-4 S-5 S-6
--- --- --- --- --- ---
Class A-1* 0% 50% 75% 100% 125% 150%
Class A-2** 0% 15% 20% 27% 35% 45%
Class A-3** 0% 15% 20% 27% 35% 45%
==============================================================
* As a percentage of the Prepayment Assumption (4% CPR
increasing to 24% CPR over 12 months)
** CPR
TO OPTIONAL REDEMPTION:
==========================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 16.67 6.00 4.21 3.15 2.47 1.99
YIELD @ 100.00 7.34% 7.28% 7.24% 7.20% 7.16% 7.11%
DURATION 8.79 4.27 3.26 2.59 2.11 1.74
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.25 13.83 10.17 7.42 5.50 4.08
==========================================================================
==========================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.82 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
==========================================================================
==========================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.75 5.00 3.71 2.69 2.00 1.47
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 03/28 04/13 08/09 11/06 12/04 07/03
WINDOW (YEARS) 28.75 13.83 10.17 7.42 5.50 4.08
==========================================================================
<PAGE>
BOND SENSITIVITY TO PREPAYMENTS (CONTINUED)
TO MATURITY:
==========================================================================
CLASS A-1 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 16.67 6.43 4.60 3.51 2.80 2.31
YIELD @ 100.00 7.34% 7.30% 7.27% 7.25% 7.22% 7.20%
DURATION 8.79 4.40 3.42 2.76 2.30 1.96
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 09/27 11/24 11/20 06/16 10/13 03/11
WINDOW (YEARS) 28.25 25.42 21.42 17.00 14.33 11.75
==========================================================================
==========================================================================
CLASS A-2 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.88 5.36 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 09/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.25 21.67 16.25 12.08 8.83
==========================================================================
==========================================================================
CLASS A-3 S-1 S-2 S-3 S-4 S-5 S-6
- --------- --- --- --- --- --- ---
AVERAGE LIFE 20.81 5.35 4.02 2.91 2.16 1.58
FIRST PAY 07/99 07/99 07/99 07/99 07/99 07/99
LAST PAY 05/29 08/25 02/21 09/15 07/11 04/08
WINDOW (YEARS) 29.92 26.16 21.67 16.25 12.08 8.83
==========================================================================
<PAGE>
PRICING INFORMATION
PRICING SPEEDS:..........4% CPR, increasing to 24% CPR over 12 months (Fixed
Rate Collateral) 27% CPR (Adjustable Rate Collateral)
PAYMENT DATE:............The 25th day of each month (or the next Business Day
thereafter) commencing in July of 1999.
INTEREST ACCRUAL
PERIOD:..................For the Class A-1 Notes, the calendar month immediately
preceding the month in which the relevant payment date
occurs. For the Class A-2 and Class A-3 Notes, 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:...........24 days for the Class A-1 Notes 0 days on the Class A-2
Notes and Class A-3 Notes
SETTLEMENT (CLOSING)
DATE:....................On or about June 24, 1999
CUT-OFF DATE:............June 1, 1999 (close of business)
MATURITY DATE:...........The Maturity Date for the Class A-1 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-1 Notes will occur
significantly earlier than the Maturity Date.
The Maturity Date for the Class A-2 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-i Notes will occur for
significantly earlier than the Maturity Date.
The Maturity Date for the Class A-3 Notes is July 25,
2030, although it is anticipated that the actual
maturity date for the Class A-3 Notes will occur
significantly earlier than the Maturity Date.
OPTIONAL REDEMPTION
DATE:....................The Optional Redemption Date is the first Payment Date
on which the aggregate Loan Balance of the Home Equity
Loans has declined to less than 10% of the aggregate
Loan Balance of the Home Equity Loans as of the Cut-Off
Date.
REDEMPTION PRICE:........The Redemption Price will be an amount that will at
least pay in full accrued interest and principal on the
Notes and certain other expenses.
<PAGE>
PRICING INFORMATION (CONTINUED)
OPTIONAL REDEMPTION:.....The holders of Residual Interests exceeding in the
aggregate a 50% interest may, at their option effect an
early redemption of the Notes and terminate the Trust
on any Payment Date on or after the Optional Redemption
Date by purchasing all of the Home Equity Loans at a
price equal to or greater than the Redemption Price. In
addition, the Note Insurer will have rights under
limited circumstances, to purchase the Home Equity
Loans and thereby effect a redemption of the Notes.
INITIAL TURBO:...........With respect to each class of Notes, 100% of the excess
cash flow from the related Pool of Home Equity Loans
will be used to accelerate such class of Notes until
the overcollateralization target for such Class is
reached. To the extent necessary, after the
overcollateralization target with respect to each Class
of Notes is reached, 100% of the excess cash flow from
the related Pool of Home Equity Loans will be available
to accelerate such Class of Notes to maintain the then
current overcollateralization target for such Class.
Any remaining excess cash flow may be used to cover
shortfalls incurred by the other Classes of Notes due
to delinquencies and losses that occur in the other
Pools. Excess cash flow may, under certain
circumstances, be deposited in the Reserve Account
(defined below).
SERVICING/OTHER FEES:....The collateral is subject to certain fees, including a
servicing fee of 0.50% per annum payable monthly, Note
Insurer fees, and Indenture 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 Owner Trust 1999-2, Loan Asset-Backed
Notes, Home Series 1999-2.
OFFERING AMOUNT:.........Approximately $500,000,000
CERTIFICATES:............Residual Interest (not offered)
LEAD UNDERWRITER:........PaineWebber Incorporated
CO-UNDERWRITERS:.........Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
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:................Fairbanks Capital Corp.
OWNER TRUSTEE:...........Wilmington Trust Company
INDENTURE TRUSTEE:.......First Union National Bank
STATISTICAL CALCULATION
DATE:....................The collateral described herein and in the prospectus
supplement represents the pool of Home Equity Loans as
of the Statistical Calculation Date of May 25, 1999. It
is anticipated that the total unpaid principal balance
of the collateral pool conveyed to the Trust at closing
will be approximately $500,000,000.
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 87.24% (by Statistical Calculation Date
aggregate principal balance) of the Home Equity Loans
bear prepayment premiums.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
HOME EQUITY LOANS:.......The Trust is comprised primarily of three pools of
mortgage loans. The first pool of loans ("Pool 1
Loans") will back the Class A-i Notes, in that payments
on the Pool 1 Loans will generally be used to make
payments on the Class A- 1 Notes. Similarly, the second
pool of loans ("Pool 2 Loans") will back the Class A-2
Notes and the third pool of loans ("Pool 3 Loans") will
back the Class A-3 Notes.
POOL 1 LOANS: The Pool 1 Loans have an aggregate
principal balance of $70,707,966 as of the Statistical
Calculation Date. All 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. It is anticipated that the Cut-off
Date aggregate principal balance of the Pool 1 Loans
conveyed to the Trust at closing will be approximately
$79,679,885.
POOL 2 LOANS: The Pool 2 Loans have an aggregate
principal balance of $243,255,086 as of the Statistical
Calculation Date. All of the Pool 2 Loans 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. The original principal balance of
each Pool 2 Loan will not exceed the maximum loan
amounts shown in the table below. It is anticipated
that the Cut-off Date aggregate principal balance of
the Pool 2 Loans conveyed to the Trust at closing will
be approximately $347,136,218.
=================================================
NUMBR MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
OF UNITS ------------------------------------
-------- CONTINENTAL ALASKA OR
UNITED STATES HAWAII
------------- ---------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
==================================================
POOL 3 LOANS: The Pool 3 Loans have an aggregate
principal balance of $54,478,825 as of the Statistical
Calculation Date. All of the Pool 3 Loans 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. The original principal balance of
each Pool 3 Loan will exceed the maximum loan amounts
shown in the table above. It is anticipated that the
Cut-off Date aggregate principal balance of the Pool 3
Loans conveyed to the Trust at closing will be
approximately $73,183,897.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT:......Credit enhancement for each class of Notes will be
provided by the following:
EXCESS SPREAD: The weighted average coupon rate on the
Loans in each Pool is generally expected to be higher
than the sum of the servicing fee, the trustee fee, the
premium payable to the Note Insurer, and the pass
through rate on each class of Notes, thus generating
excess interest collections which, along with
prepayment premiums collected on the Loans, will be
available to fund payments on the related class of
Notes on each Payment Date. Under certain
circumstances, Excess Spread from one loan Pool may be
used to cover shortfalls due to delinquencies or losses
in other loan Pools.
OVERCOLLATERALIZATION: Excess cash flow will be
applied, to the extent available, to make accelerated
payments of principal on the Notes; such application
will cause the aggregate principal balance of the Notes
to amortize more rapidly than the Loans, resulting in
overcollateralization. Prior to the
Overcollateralization Stepdown Date, the
Overcollateralization Amount for the Class A-i, Class
A-2 and Class A-3 Notes is expected to build to (i)
[3.75]% of the Cut-off Date loan pool principal balance
of Pool 1, (ii) [4.50%] of the Cut-off Date loan pool
principal balance of Pool 2, and (iii) [4.50%] of the
Cut-off Date loan pool principal balance of Pool 3,
respectively.
On or after the Overcollateralization Stepdown Date,
the Overcollateralization Amount for the Class A-i,
Class A-2, and Class A-3 Notes will be permitted to
decrease to (i) [7.50%] of the then outstanding
aggregate unpaid principal balance of the Pool I Loans,
(ii) [9.00%] of the then outstanding aggregate unpaid
principal balance of the Pool 2 Loans, and (iii)
[9.00%] of the then outstanding aggregate unpaid
principal balance of the Pool 3 Loans, respectively,
subject, in each such case, to a floor of [0.50%] of
the original principal balance of each Pool of Loans
(each such percentage then in effect, the "0/C
Target"). The Overcollateralization Stepdown Date will
be no earlier than the 25th month following the Closing
Date and is subject to certain delinquency and loan
loss tests.
RESERVE ACCOUNT: Amounts required to be deposited in
the Reserve Account will be equal to the excess of (i)
the sum of the specified overcollateralization targets
for all classes of Notes and (ii) the sum of the
overcollateralization amounts for all classes of Notes.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
CREDIT ENHANCEMENT
(CONTINUED):.............FINANCIAL GUARANTY INSURANCE POLICY: A financial
guaranty policy issued by Financial Security Assurance,
Inc. ("the Note Insurer"). FSA will unconditionally and
irrevocably guarantee the timely payment of interest
and ultimate payment of principal on the Notes (i.e.
after any losses reduce the overcollateralization to
zero, FSA will cover the excess, if any, of the Note
principal balance over the Pool balance). The Insured
Payments do not cover Realized Losses except to the
extent that the principal balance of the Notes exceeds
the Pool Principal 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 Notes would otherwise result
therefrom. The FSA Insurance Policy is not cancelable
for any reason. THE FSA INSURANCE POLICY IS NOT COVERED
BY THE PROPERTY/CASUALTY INSURANCE SECURITY FUND
SPECIFIED IN ARTICLE 76 OF THE NEW YORK INSURANCE LAW.
NOTE RATE:...............CLASS A-1 NOTES: The Class A-1 Notes will bear interest
at a fixed rate of interest equal to [ %] per annum.
The interest rate on the Class A-1 notes will increase
by 0.50% commencing on the first day of the Accrual
Period in which the Optional Redemption Date occurs.
CLASS A-2 NOTES: The Class A-2 Note Rate will be equal
to the lesser of (x) the applicable Formula Note Rate
and (y) the Available Funds Cap.
CLASS A-3 NOTES: The Class A-3 Note Rate will be equal
to the lesser of (x) the applicable Formula Note Rate
and (y) the Available Funds Cap.
FORMULA NOTE RATE:.......The Formula Note Rate for the Class A-2 Notes for any
Payment Date will equal the lesser of (x) (i) with
respect to any Payment Date which occurs on or prior to
the Optional Redemption Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date
that occurs after the Optional Redemption Date,
one-month LIBOR plus [ %] per annum and (y) [13.00%]
per annum.
The Formula Note Rate for the Class A-3 Notes for any
Payment Date will equal the lesser of (x) (i) with
respect to any Payment Date which occurs on or prior to
the Optional Redemption Date, one-month LIBOR plus [ %]
per annum, or (ii) with respect to any Payment Date
that occurs after the Optional Redemption Date,
one-month LIBOR plus [ %] per annum and (y) [13.00%]
per annum.
<PAGE>
DESCRIPTION OF SECURITIES (CONTINUED)
AVAILABLE FUNDS CAP:.....The Available Funds Cap for the Class A-2 and Class A-3
Notes will equal the annualized rate equal to (i) the
interest due on the related Pool less such Pool's share
of the servicing fee, Master Servicing fee, the
Indenture Trustee fee and the premium payable to the
Note Insurer, such amount divided by the principal
balance of the applicable class of Notes. For any
Payment Date on or after July 2000, the Available Funds
Cap for the Class A-2 and Class A-3 Notes will be
further reduced by 0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT:....If, on any Payment Date, the Available Funds Cap limits
the Class A-2 or Class A-3 Note Rates (i.e., the rate
set by the Available Funds Cap is less than the Formula
Note Rate for the Class A-2 or Class A-3 Notes), 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 Note
Rate, until paid (such shortfall, together with such
accrued interest, the "Available Funds Cap Carry
Forward Amount").
The Insurance Policy for the Notes does not cover the
Available Funds Cap Carry Forward Amount; the payment
of such amount may be funded only from excess cash flow
remaining after (i) the payment of interest and
principal due on the Notes for such Payment Date, if
any (ii) reimbursement of the Note Insurer, (iii)
payment of accelerated principal on the Notes to
achieve the required 0/C Targets for such Payment Date
and for required deposits into the Reserve Account.
FEDERAL TAX ASPECTS:.....The trust will be an Owner Trust. No election will be
made to treat the Trust Estate or any portion thereof
as a REMIC for federal income tax purposes. The Notes
will be treated as non-recourse debt obligations of the
trust.
ERISA CONSIDERATION:.....Subject to the discussion in the Prospectus Supplement
and Prospectus, the Notes may be purchased by employee
benefit plans that are subject to ERISA.
SMMEA ELIGIBILITY:.......The Notes 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
$1,000 thereafter.
<PAGE>
DESCRIPTION OF THE SERVICER (CONTINUED)
o Fairbanks Capital Corp. ("Fairbanks"), a Utah corporation, was formed on
February 24, 1989.
o Financial Security Assurance, Inc. owns a 25% share of Fairbanks Capital
Holding Corporation.
o Fairbanks commenced mortgage servicing operations in 1989 for its own account
and since 1994 has managed and serviced third-party mortgage loan portfolios.
Prior to 1998, Fairbanks primarily serviced portfolios of non-performing or
delinquent residential mortgage loans.
o Fairbanks is a FNMA approved seller/servicer and a FHLMC approved servicer
that is engaged in the servicing of first and second lien mortgage loans.
o Fairbanks is currently servicing over 20,000 loans.
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 1
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 170 20,705,378 29.28
Florida 136 9,189,722 13.00
New York 60 6,117,642 8.65
Illinois 39 3,651,522 5.16
Washington 24 2,657,116 3.76
Ohio 46 2,589,098 3.66
Oregon 17 2,017,668 2.85
Georgia 26 1,986,215 2.81
New Jersey 20 1,832,151 2.59
Indiana 34 1,830,581 2.59
Pennsylvania 35 1,703,896 2.41
Michigan 40 1,651,734 2.34
Arizona 20 1,370,574 1.94
Massachusetts 14 1,360,025 1.92
Tennessee 16 1,088,175 1.54
Utah 10 1,054,974 1.49
Colorado 12 995,531 1.41
Nevada 7 936,812 1.32
Missouri 12 844,510 1.19
Idaho 9 805,530 1.14
North Carolina 10 760,627 1.08
Texas 9 728,705 1.03
Connecticut 8 709,600 1.00
South Carolina 9 522,271 0.74
Louisiana 6 470,053 0.66
Oklahoma 8 435,305 0.62
Mississippi 8 306,485 0.43
Wisconsin 6 297,514 0.42
Arkansas 5 283,413 0.40
Kentucky 5 279,857 0.40
New Mexico 2 238,756 0.34
New Hampshire 3 233,731 0.33
Virginia 5 221,904 0.31
Minnesota 2 184,480 0.26
Montana 2 156,505 0.22
=============================================================================
<PAGE>
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State (continued) Kansas 2 80,000 0.11
Rhode Island 1 68,966 0.10
Hawaii 1 68,138 0.10
Maryland 1 65,553 0.09
Alaska 1 60,468 0.09
Iowa 1 48,302 0.07
West Virginia 1 39,678 0.06
Delaware 1 30,848 0.04
Maine 1 28,053 0.04
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 15+% to 20% 2 44,427 0.06
20%% to 25% 2 84,887 0.12
25+% to 30% 7 377,753 0.53
30+% to 35% 14 530,914 0.75
35+% to 40% 17 889,237 1.26
40+% to 45% 15 562,387 0.80
45+% to 50% 23 1,102,260 1.56
50+% to 55% 15 837,717 1.18
55+% to 60% 59 3,555,120 5.03
60+% to 65% 53 3,151,830 4.46
65+% to 70% 120 9,273,703 13.12
70+% to 75% 139 12,248,030 17.32
75+% to 80% 227 21,750,383 30.76
80+% to 85% 83 9,641,887 13.64
85+% to 90% 67 6,528,192 9.23
90+% to 95% 2 129,239 0.18
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 8 1,680,932 2.38
8+ - 9% 133 15,493,134 21.91
9+ - 10% 232 21,314,305 30.14
10+ - 11% 231 18,476,111 26.13
11+ - 12% 122 7,698,826 10.89
12+ - 13% 76 3,921,499 5.55
13+ - 14% 40 2,027,183 2.87
14+ - 15% 3 95,976 0.14
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 10K+ to 15K 1 14,816 0.02
15K+ to 20K 11 208,683 0.30
20K+ to 30K 79 2,091,083 2.96
30K+ to 40K 118 4,194,816 5.93
40K+ to 50K 100 4,513,991 6.38
50K+ to 100K 323 22,755,023 32.18
100K+ to 250K 182 26,255,982 37.13
250K+ to 500K 31 10,673.573 15.10
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 716 60,768,267 85.94
2-4 Family 73 6,125,163 8.66
Condo 35 2,545,718 3.60
Manufactured 21 1,268,817 1.79
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 112 9,261,872 13.10
1 203 16,963,711 23.99
2 53 5,089,539 7.20
3 59 6,041,085 8.54
4 49 3,455,463 4.87
5 93 7,932,606 11.22
6 80 6,531,935 9.24
7 73 5,716,104 8.08
8 or more 123 9,725,650 13.75
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 461 37,902,991 53.60
353 29 2,975,476 4.21
354 38 2,863,716 4.05
355 27 2,477,016 3.50
356 7 525,139 0.74
357 12 1,464,148 2.07
358 29 2,609,301 3.69
359 142 11,525,057 16.30
360 100 8,365,122 11.83
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
POOL 1 (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 677 58,674,187 82.98
Non-Owner Occupied 168 12,033,779 17.02
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 208 19,671,231 27.82
A- 224 21,505,418 30.41
B 198 16,309,669 23.07
C 162 10,743,605 15.19
C- 30 1,277,077 1.81
D 23 1,201,035 1.70
--- ----------- ------
845 $70,707,966 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATIONS DATE (5/25/99)
POOL 2 INFORMATION
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 571 77,067,764 31.68
Illinois 219 20,322,168 8.35
Florida 195 16,397,478 6.74
Washington 130 13,826,259 5.68
New York 109 11,458,179 4.71
New Jersey 100 10,882,898 4.47
Utah 97 10,629,763 4.37
Michigan 129 8,428,533 3.46
Ohio 102 7,084,279 2.91
Arizona 74 6,729,564 2.77
Oregon 59 6,395,039 2.63
Nevada 57 6,267,735 2.58
Colorado 62 5,373,107 2.21
Massachusetts 43 5,241,783 2.15
Indiana 68 4,715,236 1.94
Pennsylvania 46 2,853,601 1.17
Missouri 37 2,839,646 1.17
Wisconsin 38 2,688,842 1.11
Idaho 32 2,443,057 1.00
Connecticut 19 2,361,078 0.97
Georgia 29 2,313,079 0.95
Maine 22 2,219,987 0.91
North Carolina 22 2,031,686 0.84
Tennessee 21 1,530,147 0.63
Minnesota 21 1,509,229 0.62
Texas 12 1,288,159 0.53
Oklahoma 16 1,187,334 0.49
New Hampshire 16 1,080,055 0.44
Montana 15 1,068,238 0.44
Virginia 8 898,558 0.37
Maryland 5 555,518 0.23
Kansas 10 517,390 0.21
Arkansas 4 481,549 0.20
Delaware 3 476,608 0.20
South Carolina 6 414,465 0.17
=============================================================================
<PAGE>
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State (continued) District of Columbia 4 393,685 0.16
Alaska 3 314,281 0.13
New Mexico 6 313,878 0.13
Hawaii 1 189,154 0.08
Nebraska 4 181,791 0.07
Vermont 1 86,800 0.04
Kentucky 2 70,216 0.03
Rhode Island 1 45,309 0.02
Mississippi 1 44,167 0.02
Iowa 1 39,794 0.02
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 15+% to 20% 2 62,929 0.03
20+% to 25% 2 177,166 0.07
25+% to 30% 6 408,532 0.17
30+% to 35% 8 364,249 0.15
35+% to 40% 11 583,489 0.24
40+% to 45% 16 1,461,946 0.60
45+% to 50% 32 2,031,968 0.84
50+% to 55% 46 3,921,717 1.61
55+% to 60% 80 6,177,901 2.54
60+% to 65% 148 11,968,820 4.92
65+% to 70% 249 20,517,955 8.43
70+% to 75% 380 37,290,516 15.33
75+% to 80% 803 83,845,455 34.47
80+% to 85% 356 39,963,830 16.43
85+% to 90% 281 34,372,363 14.13
90+% to 95% 1 106,250 0.04
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 50 6,841,301 2.81
8+ - 9% 372 44,158,832 18.15
9+ - 10% 805 86,777,915 35.67
10+ - 11% 745 68,438,766 28.13
11+ - 12% 331 28,167,049 11.58
12+ - 13% 104 7,958,725 3.27
13+ - 14% 14 912,497 0.38
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 10K+ to 15K 2 29,950 0.01
15K+ to 20K 2 33,410 0.01
20K+ to 30K 45 1,180,381 0.49
30K+ to 40K 143 5,101,469 2.10
40K+ to 50K 224 10,206,553 4.20
50K+ to 100K 978 72,005,113 29.60
100K+ to 250K 1,021 153,036,227 62.91
250K+ to 500K 6 1,661,983 0.68
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 2,082 210,161,053 86.40
2-4 family 208 21,580,114 8.87
Condo 114 10,209,816 4.20
Manufactured 17 1,304,103 0.54
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 818 84,037,221 34.55
1 870 91,245,138 37.51
2 167 16,440,476 6.76
3 72 6,525,026 2.68
4 73 7,379,349 3.03
5 99 9,135,642 3.76
6 99 9,105,562 3.74
7 89 8,473,449 3.48
8 or more 134 10,913,223 4.49
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 140 11,306,906 4.65
353 89 8,473,449 3.48
354 99 9,105,562 3.74
355 98 9,068,105 3.73
356 72 7,341,929 3.02
357 72 6,491,938 2.67
358 165 16,314,802 6.71
359 869 91,182,673 37.48
360 817 83,969,721 34.52
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 2,064 216,168,827 88.87
Non-Owner Occupied 357 27,086,259 11.13
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 344 35,375,880 14.54
A- 756 85,112,779 34.99
B 650 66,507,138 27.34
C 496 42,418,160 17.44
C- 108 8,573,534 3.52
D 67 5,267,595 2.17
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Margin 3.50+ - 3.75% 1 82,252 0.03
3.75+ - 4.00% 3 302,034 0.12
4.00+ - 4.25% 4 524,551 0.22
4.25+ - 4.50% 4 263,922 0.11
4.50+ - 4.75% 5 573,038 0.24
4.75+ - 5.00% 6 544,726 0.22
5.00+ - 5.25% 12 1,368,108 0.56
5.25+ - 5.50% 174 18,311,606 7.53
5.50+ - 5.75% 107 12,733,619 5.23
5.75+ - 6.00% 516 58,256,809 23.95
6.00+ - 6.25% 652 67,913,233 27.92
6.25+ - 6.50% 183 19,677,189 8.09
6.50+ - 6.75% 288 25,964,580 10.67
6.75+ - 7.00% 113 9,197,317 3.78
7.00+ - 7.25% 133 10,695,834 4.40
7.25+ - 7.50% 67 4,868,260 2.00
7.50+ - 7.75% 72 5,459,859 2.24
7.75+ - 8.00% 40 3,108,534 1.28
8.00+ - 8.25% 14 1.300,865 0.53
8.25+ - 8.50% 17 1,313,975 0.54
8.50+ - 8.75% 3 337,362 0.14
8.75+ - 9.00% 1 63,573 0.03
9.00+ - 9.25% 3 167,953 0.07
9.25+ - 9.50% 2 163,202 0.07
Over 10.00% 1 62,681 0.03
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Rate Reset 1999/07 4 345,120 0.14
1999/08 11 1,246,904 0.51
1999/09 23 2,641,751 1.09
1999/10 53 5,901,642 2.43
1999/11 38 3,804,581 1.56
1999/12 16 1,228,683 0.51
2000/01 14 1,416,719 0.58
2000/04 1 25,751 0.01
2000/05 1 52,861 0.02
2000/06 8 782,886 0.32
2000/07 12 970,491 0.40
2000/08 21 1,424,457 0.59
2000/09 37 2,927,477 1.20
2000/10 54 5,340,409 2.20
2000/11 75 7,049,254 2.90
2000/12 107 10,173,203 4.18
2001/01 45 4,307,001 1.77
2001/02 75 6,826,771 2.81
2001/03 83 8,898,646 3.66
2001/04 502 53,876,470 22.15
2001/05 409 43,454,704 17.86
2001/06 2 123,547 0.05
2001/07 1 127,538 0.05
2001/08 3 139,771 0.06
2001/09 9 632,538 0.26
2001/10 17 1,238,379 0.51
2001/11 19 1,540,225 0.63
2001/12 8 524,498 0.22
2002/01 5 510,031 0.21
2002/02 2 65,003 0.03
2002/03 32 2,746,357 1.13
2002/04 282 27,885,128 11.46
2002/05 247 25,078,632 10.31
2003/05 2 83,189 0.03
2004/02 2 122,559 0.05
2004/04 79 8,251,735 3.39
2004/05 122 11,490,176 4.72
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 2 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Cap 12+ - 13% 1 137,468 0.06
13+ - 14% 2 123,386 0.05
14+ - 15% 66 9,123,088 3.75
15+ - 16% 402 47,363,632 19.47
16+ - 17% 822 87,232,348 35.86
17+ - 18% 713 65,441,044 26.9
18+ - 19% 307 25,854,555 10.63
19+ - 20% 98 7,321,569 3.01
20+ - 21% 10 657,997 0.27
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Floor 7+ - 8% 52 6,964,686 2.86
8+ - 9% 385 45,840,497 18.84
9+ - 10% 814 87,865,516 36.12
10+ - 11% 733 66,956,373 27.53
11+ - 12% 323 27,299,861 11.22
12+ - 13% 102 7,572,875 3.11
13+ - 14% 12 755,277 0.31
----- ------------ ------
2,421 $243,255,086 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
State California 108 32,608,711 59.86
Illinois 11 3,567,128 6.55
Washington 10 2,825,937 5.19
Florida 10 2,717,748 4.99
New York 7 2,113,649 3.88
New Jersey 7 2,014,847 3.70
Colorado 5 1,531,687 2.81
Michigan 4 1,317.579 2.42
Ohio 5 1,306,263 2.40
Utah 3 809,616 1.49
Arizona 2 643,750 1.18
Maryland 2 580,291 1.07
Maine 1 300,000 0.55
Connecticut 1 296,162 0.54
Massachusetts 1 278,665 0.51
Indiana 1 275,349 0.51
Oregon 1 274,891 0.50
New Mexico 1 258,523 0.47
Montana 1 256,500 0.47
Vermont 1 252,000 0.46
New Hampshire 1 249,529 0.46
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Original LTV 50+% to 55% 1 349,845 0.64
55+% to 60% 7 1,996,507 3.66
60+% to 65% 5 1,571,842 2.89
65+% to 70% 12 3,462,267 6.36
70+% to 75% 26 7,898,493 14.50
75+% to 80% 70 20,927,396 38.41
80+% to 85% 31 9,187,992 16.87
85+% to 90% 31 9,084,482 16.68
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Coupon 7+ - 8% 6 1,826,361 3.35
8+ - 9% 71 21,531,677 39.52
9+ - 10% 60 17,639,626 32.38
10+ - 11% 36 10,577,861 19.42
11+ - 12% 6 1,773,925 3.26
12+ - 13% 4 1,129,375 2.07
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Current Balance 100K+ to 250K 21 5,154,434 9.46
250K+ to 500K 162 49,324,390 90.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Property Type Single Family 179 53,180,734 97.62
Condo 3 948,246 1.74
2-4 Family 1 349,845 0.64
--- ----------- ------
183 $54,478,825 100.00%
==============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Loan Age 0 55 16,182,125 29.70
1 73 21,573,809 39.60
2 15 4,379,906 8.04
3 4 1,221,763 2.24
4 4 1,190,776 2.19
5 8 2,469,226 4.53
6 6 1,866,513 3.43
7 7 2,187,498 4.02
8 or more 11 3,407,210 6.25
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Remaining Term Less than 353 11 3,407,210 6.25
353 7 2,187,498 4.02
354 6 1,866,513 3.43
355 8 2,469,226 4.53
356 4 1,190,776 2.19
357 4 1,221,763 2.24
358 15 4,379,906 8.04
359 73 21,573,809 39.60
360 55 16,182,125 29.70
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Occupancy Owner Occupied 179 53,269,960 97.78
Non-Owner Occupied 4 1,208,865 2.22
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Credit Grade A 37 10,989,757 20.17
A- 81 24,373,860 44.74
B 45 13,497,205 24.78
C 15 4,214,105 7.74
C- 4 1,109,772 2.04
D 1 294,125 0.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Margin 3.75+ - 4.00% 1 278,022 0.51
4.50+ - 4.75% 2 618,783 1.14
5.25+ - 5.50% 17 5,101,689 9.36
5.50+ - 5.75% 13 4,182,526 7.68
5.75+ - 6.00% 54 15,970,761 29.32
6.00+ - 6.25% 38 11,206,918 20.57
6.25+ - 6.50% 17 4,993,374 9.17
6.50+ - 6.75% 23 7,070,962 12.98
6.75+ - 7.00% 9 2,515,355 4.62
7.00+ - 7.25% 5 1,450,562 2.66
7.50+ - 7.75% 1 245,000 0.45
8.00+ - 8.25% 1 294,125 0.54
8.75+ - 9.00% 1 258,523 0.47
9.25+ - 9.50% 1 292,224 0.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Rate Reset 1999/07 1 268,135 0.49
1999/09 2 631,240 1.16
1999/10 7 2,087,118 3.83
1999/11 4 1,223,032 2.24
2000/01 3 858,976 1.58
2000/07 1 297,131 0.55
2000/08 1 327,951 0.60
2000/09 3 917,136 1.68
2000/10 2 609,697 1.12
2000/11 3 1,109,132 2.04
2000/12 8 2,476,730 4.55
2001/01 2 574,934 1.06
2001/02 7 2,210,619 4.06
2001/03 7 2,021,947 3.71
2001/04 44 13,116,545 24.08
2001/05 27 8,115,148 14.90
2001/09 1 294,492 0.54
2001/10 1 275,349 0.51
2001/11 1 358,967 0.66
2002/03 1 262,164 0.48
2002/04 20 5,853,647 10.74
2002/05 18 5,213,817 9.57
2004/04 8 2,178,980 4.00
2004/05 11 3,195,936 5.87
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
<PAGE>
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL
CALCULATION DATE (5/25/99)
POOL 3 INFORMATION (CONTINUED)
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Cap 14+ - 15% 9 2,862,103 5.25
15+ - 16% 75 22,623,815 41.53
16+ - 17% 62 18,180,481 33.37
17+ - 18% 31 9,133,125 16.76
18+ - 19% 3 840,175 1.54
19+ - 20% 3 839,125 1.54
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
=============================================================================
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
- --------------- ----------- ----- -------- -----
Life Floor 7+ - 8% 6 1,826,361 3.35
8+ - 9% 72 21,888,898 40.18
9+ - 10% 63 18,387,589 33.75
10+ - 11% 36 10,696,677 19.63
11+ - 12% 2 549,925 1.01
12+ - 13% 4 1,129,375 2.07
--- ----------- ------
183 $54,478,825 100.00%
=============================================================================
