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Filed Pursuant to Rule 424(b)(5)
Registration File No.: 333-34330
PROSPECTUS SUPPLEMENT
(To Prospectus dated November 13, 2000)
$365,896,100
(APPROXIMATE)
HARBORVIEW MORTGAGE LOAN TRUST 2000-2
MORTGAGE LOAN PASS-THROUGH CERTIFICATES, SERIES 2000-2
$185,113,000 CLASS A-1 FIXED INITIAL PASS-THROUGH RATE
$47,211,000 CLASS A-2 FIXED INITIAL PASS-THROUGH RATE
$118,930,000 CLASS A-3 FIXED INITIAL PASS-THROUGH RATE
NOTIONAL BALANCE CLASS X-1 FIXED PASS-THROUGH RATE
NOTIONAL BALANCE CLASS X-2 VARIABLE PASS-THROUGH RATE
$100 CLASS A-R WEIGHTED AVERAGE PASS-THROUGH RATE
$9,267,000 CLASS B-1 FIXED INITIAL PASS-THROUGH RATE
$2,780,000 CLASS B-2 FIXED INITIAL PASS-THROUGH RATE
$2,595,000 CLASS B-3 FIXED INITIAL PASS-THROUGH RATE
GREENWICH CAPITAL ACCEPTANCE, INC.
Depositor
GREENWICH CAPITAL FINANCIAL PRODUCTS, INC.
Seller
BANK OF AMERICA, N.A.
CENDANT MORTGAGE CORPORATION
MERRILL LYNCH CREDIT CORPORATION
WASHINGTON MUTUAL BANK, FA
Servicers
CONSIDER CAREFULLY THE RISK FACTORS BEGINNING ON PAGE S-10 IN THIS PROSPECTUS
SUPPLEMENT AND ON PAGE 6 IN THE PROSPECTUS.
The certificates represent obligations of the trust only and do not represent an
interest in or obligation of the depositor, the seller, any servicer, the
trustee or any of their affiliates. This prospectus supplement may be used to
offer and sell the certificates only if accompanied by the prospectus.
THE CERTIFICATES
o The certificates represent ownership interests in a trust consisting
primarily of adjustable-rate, first lien, residential mortgage loans
with an initial fixed-rate period of five years or seven years.
o The Class A-1, Class A-2, Class A-3, Class X-1, Class X-2 and Class A-R
Certificates will be senior certificates. The Class B-1, Class B-2,
Class B-3, Class B-4, Class B-5 and Class B-6 Certificates will be
subordinate certificates.
o Only the Class A-1, Class A-2, Class A-3, Class X-1, Class X-2, Class
A-R, Class B-1, Class B-2 and Class B-3 Certificates are being offered
by this prospectus supplement and the accompanying prospectus. The
Class B-4, Class B-5 and Class B-6 Certificates are not being offered
by this prospectus supplement and the accompanying prospectus.
o Each class of offered certificates will bear interest at the applicable
interest rate calculated as described in this prospectus supplement.
o The Class X-1 and Class X-2 Certificates will have no principal
balances and will bear interest at the rates described in this
prospectus supplement calculated on their respective notional balances.
CREDIT ENHANCEMENT
o Subordination -- The subordinate certificates will be subordinate in
right of certain payments to the senior certificates and may be
subordinate to certain other classes of subordinate certificates as
described in this prospectus supplement.
o Allocation of Losses -- Losses on the mortgage loans generally will be
allocated to the classes of subordinate certificates in reverse
numerical order until the principal balances of those classes are
reduced to zero. Thereafter, such losses will be allocated to the
classes of senior certificates as described in this prospectus
supplement
NEITHER THE SEC NOR ANY STATE SECURITIES COMMISSION HAS APPROVED THESE
SECURITIES OR DETERMINED THAT THIS PROSPECTUS SUPPLEMENT OR THE PROSPECTUS IS
ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
The offered certificates are being offered by Greenwich Capital
Markets, Inc. and Countrywide Securities Corporation from time to time in
negotiated transactions or otherwise at varying prices to be determined at the
time of sale. Proceeds to the depositor with respect to the offered certificates
are expected to be approximately 101.93%, before deducting issuance expenses
payable by the depositor, estimated to be approximately $530,000. See "Method of
Distribution" in this prospectus supplement.
Delivery of the offered certificates (other than the Class A-R
Certificate) will be made in book-entry form through the facilities of The
Depository Trust Company, Clearstream, Luxembourg and the Euroclear System on or
about December 18, 2000.
GREENWICH CAPITAL MARKETS, INC. COUNTRYWIDE SECURITIES CORPORATION
December 15, 2000
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TABLE OF CONTENTS
PROSPECTUS SUPPLEMENT
Page
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Summary of Terms..................................S-3
Risk Factors.....................................S-10
The Mortgage Loans...............................S-17
The Seller and The Originators...................S-33
Servicing of Mortgage Loans......................S-43
The Pooling and Servicing Agreement
and the Servicing Contracts..................S-48
Description of the Certificates..................S-57
Yield, Prepayment and Maturity Considerations....S-77
Certain Material Federal Income Tax Consequences.S-92
State Taxes......................................S-98
ERISA Considerations.............................S-98
Legal Investment Considerations.................S-101
Method of Distribution..........................S-101
Legal Matters...................................S-102
Ratings.........................................S-102
Index of Defined Terms..........................S-104
PROSPECTUS
Page
----
Important Notice About Information in This
Prospectus and Each Accompanying
Prospectus Supplement............................ 5
Risk Factors...................................... 6
The Trust Fund.................................... 14
Use of Proceeds................................... 29
The Depositor..................................... 29
Mortgage Loan Program............................. 29
Description of the Certificates................... 32
Credit Enhancement................................ 41
Yield and Prepayment Considerations............... 50
The Pooling and Servicing Agreement............... 52
Certain Legal Aspects of the Mortgage Loans....... 68
Certain Material Federal Income Tax Consequences.. 79
REMIC Certificates................................ 92
State Tax Considerations..........................114
ERISA Considerations..............................114
Legal Investment..................................118
Method of Distribution............................119
Legal Matters.....................................120
Financial Information.............................121
Available Information.............................121
Ratings...........................................121
Index of Defined Terms............................122
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SUMMARY OF TERMS
o This summary highlights selected information from this document and does
not contain all of the information that you need to consider in making your
investment decision. To understand all of the terms of the offering of the
offered certificates, read carefully this entire document and the
accompanying prospectus.
o This summary provides an overview of certain calculations, cash flow
priorities and other information to aid your understanding and is qualified
by the full description of these calculations, cash flow priorities and
other information in this prospectus supplement and the accompanying
prospectus. Some of the information consists of forward-looking statements
relating to future economic performance or projections and other financial
items. Forward-looking statements are subject to a variety of risks and
uncertainties that could cause actual results to differ from the projected
results. Those risks and uncertainties include, among others, general
economic and business conditions, regulatory initiatives and compliance
with governmental regulations, and various other matters, all of which are
beyond our control. Accordingly, what actually happens may be very
different from what we predict in our forward-looking statements.
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OFFERED CERTIFICATES
On the closing date, HarborView Mortgage Loan Trust 2000-2 will issue twelve
classes of certificates. Only the Class A-1, Class A-2, Class A-3, Class X-1,
Class X-2, Class A-R, Class B-1, Class B-2 and Class B-3 Certificates are being
offered by this prospectus supplement and the accompanying prospectus. The
assets of the trust that will support the certificates will consist primarily of
a pool of adjustable rate, first lien, residential mortgage loans with an
initial fixed-rate period of five years or seven years and otherwise having the
characteristics described in this prospectus supplement.
The mortgage pool will consist of mortgage loans having an aggregate principal
balance of approximately $370,717,334 as of the cut-off date.
Except for the Class A-R Certificate, the offered certificates will be
book-entry securities clearing through The Depository Trust Company (in the
U.S.) or Clearstream, Luxembourg or Euroclear (in Europe) in minimum
denominations of $25,000. The Class A-R Certificate will be issued in fully
registered certificated form.
ADDITIONAL CERTIFICATES
In addition to the nine classes of offered certificates, the trust will issue
three other classes of certificates. These certificates will be designated the
Class B-4, Class B-5 and Class B-6 Certificates and are not being offered by
this prospectus supplement and the prospectus. Information about these classes
is being included because these classes provide credit enhancement for the
offered certificates. The Class B-4, Class B-5 and Class B-6 Certificates will
have original aggregate principal balances of approximately $2,038,000,
$1,297,000 and $1,486,234, respectively.
See "Description of the Certificates-- General", "--Book-Entry Certificates" and
"The Mortgage Loans" in this prospectus supplement and "The Trust Fund--The
Mortgage Loans--General" in the prospectus for additional information.
CUT-OFF DATE
December 1, 2000.
CLOSING DATE
On or about December 18, 2000.
SELLER
Greenwich Capital Financial Products, Inc.
600 Steamboat Road
Greenwich, Connecticut 06830
(203) 625-2700.
See "The Seller and the Originators" in this prospectus supplement for
additional information.
SERVICERS
Bank of America, N.A. will service all of the mortgage loans originated by it.
Cendant Mortgage Corporation initially will service approximately 90.99% of the
mortgage loans originated by Merrill Lynch Credit Corporation directly, and will
subservice approximately 2.70% of these mortgage loans on behalf of Merrill
Lynch Credit Corporation, as servicer. In addition, Merrill Lynch Credit
Corporation will service approximately 6.31% of the mortgage loans originated by
it directly until on or about March 1, 2001, following which Cendant Mortgage
Corporation will directly service such mortgage loans. These percentages are
measured by aggregate
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principal balance as of the cut-off date.
Washington Mutual Bank, FA will service all of the mortgage loans originated by
itself, Washington Mutual Bank and Washington Mutual Bank fsb.
See "Servicing of Mortgage Loans" in this prospectus supplement for additional
information.
THE DEPOSITOR
Greenwich Capital Acceptance, Inc.
600 Steamboat Road
Greenwich, Connecticut 06830
(203) 625-2700.
THE TRUSTEE
Bankers Trust Company of California, N.A.
See "The Pooling and Servicing Agreement and the Servicing Contracts--The
Trustee" in this prospectus supplement for additional information.
DESIGNATIONS
Each class of certificates will have different characteristics, some of which
are reflected in the following general designations.
o Offered Certificates
Class A-1, Class A-2, Class A-3, Class X-1, Class X-2, Class A-R, Class
B-1, Class B-2 and Class B-3 Certificates.
o Senior Certificates
Class A-1, Class A-2, Class A-3, Class X-1, Class X-2 and Class A-R
Certificates.
o Subordinate Certificates
Class B-1, Class B-2, Class B-3, Class B-4, Class B-5 and Class B-6
Certificates.
o Interest Only Certificates
Class X-1 and Class X-2 Certificates.
o Book-Entry Certificates
All classes of offered certificates other than the Class A-R Certificate.
o Residual Certificate
Class A-R Certificate.
MORTGAGE LOANS
A pool of conventional first lien mortgage loans with interest rates that adjust
based on various indices after an initial five-year or seven-year fixed-rate
period.
Approximately 11.39% of the mortgage loans require monthly payments of interest
only for a fixed period following origination.
SERVICER REMITTANCE DATE
Beginning in January 2001, each servicer will deposit in the distribution
account on or before the 18th day of each calendar month, amounts withdrawn from
the related collection account for distribution to certificateholders on the
related distribution date. If the 18th day of a month is not a business day,
then each servicer will make such remittance on the next business day.
DISTRIBUTION DATE
Beginning in January 2001, the trustee will make distributions on the
certificates on the business day immediately following the related servicer
remittance date.
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INTEREST PAYMENTS ON THE CERTIFICATES
Class A-1, Class A-2, Class A-3, Class B-1, Class B-2 and Class B-3
Interest on the Class A-1, Class A-2, Class A-3, Class B-1, Class B-2 and Class
B-3 Certificates for any specified distribution date will be calculated at the
applicable annual rate described below:
o on any distribution date on or prior to the distribution date in August
2005, the lesser of the fixed rate applicable to such class and the
weighted average of the interest rates of the mortgage loans less the sum
of the rates at which the trustee fee and the servicing fee are calculated;
and
o on each distribution date thereafter, the lesser of:
(A) the weighted average of (1) the fixed interest rates for any mortgage
loans with respect to which an initial fixed-rate period is
continuing, minus the sum of the rates at which the trustee fee and
the servicing fee are calculated and (2) the underlying indices for
all mortgage loans other than those referenced in clause (1) above
plus (x) 2.25% in the case of one-year CMT indexed mortgage loans or
(y) 1.10% in the case of six-month LIBOR indexed mortgage loans; and
(B) the weighted average of the interest rates of the mortgage loans less
the sum of the rates at which the trustee fee and the servicing fee
are calculated.
The fixed rates applicable to the Class A-1, Class A-2, Class A-3, Class B-1,
Class B-2 and Class B-3 Certificates on or prior to the distribution date in
August 2005 are 6.86%, 6.97%, 7.135%, 7.46%, 7.50% and 7.50%, respectively.
Class X-1
Interest on the Class X-1 Certificates for any distribution date will be
calculated at a rate equal to the lesser of (A) 1.70% and (B) an annual rate
equal to (1) the rate calculated as (x) the weighted average of the interest
rates of the mortgage loans less the sum of the rates at which the trustee fee
and the servicing fee are calculated less (y) the weighted average of the
interest rates of the certificates (other than the Class X-1 and Class X-2
Certificates), multiplied by (2) a fraction of which (x) the numerator is the
aggregate principal balance of the mortgage loans for such distribution date and
(y) the denominator is the principal balance of the Class A-2 Certificates for
such distribution date (before distributions on the Class A-2 Certificates on
such distribution date).
Class X-2
Interest on the Class X-2 Certificates will be calculated at an annual rate
equal to:
o the weighted average of the interest rates of the mortgage loans less the
sum of the rates at which the trustee fee and the servicing fee are
calculated
less
o the weighted average of the interest rates of the certificates (other than
the Class X-2 Certificates).
Class A-R
Interest on the Class A-R Certificate will be calculated at a rate equal to the
weighted average of the interest rates of the mortgage loans less the sum of the
rates at which the trustee fee and the servicing fee are calculated.
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General
Interest on the offered certificates will accrue on the basis of a 360-day year
composed of twelve 30-day months.
The interest accrual period with respect to the offered certificates will be the
calendar month immediately preceding the month in which such distribution date
occurs.
See "Description of the Certificates--Pass-Through Rates" in this prospectus
supplement.
PRINCIPAL PAYMENTS ON THE CERTIFICATES
Principal will be paid to holders of the offered certificates (other than the
Class X-1 and Class X-2 Certificates) on each distribution date in the amounts
described in this prospectus supplement under "Description of the
Certificates--Principal".
PAYMENT PRIORITIES
On each distribution date, the trustee will apply the amounts available for
distribution generally in the following order of priority:
o interest on the senior certificates;
o principal of the Class A-R Certificate;
o principal of the Class A-1, Class A-2 and Class A-3 Certificates,
sequentially;
o interest on, and then principal of, each class of subordinated certificates
in the order of their numerical class designations, beginning with the
Class B-1 Certificates; and
o any remaining available funds to the Class A-R Certificate.
See "Description of the Certificates" in this prospectus supplement for
additional information.
ADVANCES
Each servicer is required to make cash advances to cover delinquent payments of
principal and interest in respect of the mortgage loans that it services unless
it reasonably believes that the cash advances are not recoverable from future
payments on the related mortgage loans. Advances are intended to maintain a
regular flow of scheduled interest and principal payments on the certificates
and are not intended to guarantee or insure against losses. Each servicer is
also required to make certain servicing related advances.
See "The Pooling and Servicing Agreement and the Servicing Contracts--Advances"
in this prospectus supplement for additional information.
OPTIONS TO CALL THE CLASS A-1, CLASS A-2, CLASS A-3 AND CLASS B-1 CERTIFICATES
General
The Class A-1, Class A-2, Class A-3 and Class B-1 Certificates will be subject
to call options. Each of these options may be exercised only on an
all-or-nothing basis with respect to each such class of certificates during the
option period.
Option Period
The option period will be the five business day period ending on the
distribution date in June 2005.
Purchase Price
The outstanding principal balance of each applicable class of certificates after
distributions on the distribution date in August 2005, plus accrued and unpaid
interest at the applicable pass-through rate on the outstanding principal
balance of those
S-7
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certificates immediately prior to that distribution date.
See "The Pooling and Servicing Agreement and the Servicing Contracts--Call
Option Affecting the Class A-1, Class A-2 and Class A-3 Certificates" in this
prospectus supplement for additional information.
OPTIONAL TERMINATION
The holder of the Class A-R Certificate may purchase all of the assets in the
trust and retire all outstanding certificates when the aggregate principal
balance of the mortgage loans and any real estate owned by the trust is 10% or
less of the aggregate principal balance of the mortgage loans as of the cut-off
date.
See "The Pooling and Servicing Agreement and the Servicing Contracts--
Termination" in this prospectus supplement for additional information.
CREDIT ENHANCEMENT
The senior certificates will have a prior right of payment over the subordinated
certificates. Among the classes of subordinated certificates, the Class B-1
Certificates will have the highest payment priority and the Class B-6
Certificates will have the lowest payment priority.
Subordination is designed to provide the holders of certificates with a higher
payment priority with protection against most losses realized when the remaining
unpaid principal balance on a mortgage loan exceeds the amount of proceeds
recovered upon the liquidation of that mortgage loan. In general, this loss
protection is accomplished by allocating the realized losses, first, among the
subordinated certificates, beginning with the subordinated certificates with the
lowest payment priority and, second, to the classes of senior certificates.
However, special hazard losses, bankruptcy losses, and fraud losses realized on
the mortgage loans in excess of the amounts set forth in this prospectus
supplement are allocated simultaneously to the classes of senior certificates
and to the subordinated certificates in the manner specified in this prospectus
supplement under "Description of the Certificates--Allocation of Losses".
In addition, until the distribution date in January 2011, the subordinate
certificates will be locked out from receipt of any principal unless the senior
certificates are paid down to zero or the credit enhancement provided by the
subordinate certificates has, among other things, doubled prior to that date and
certain performance triggers have been satisfied. After that time and subject to
certain performance triggers, the subordinate certificates will receive their
pro rata share of scheduled principal and increasing portions of principal
prepayments over time.
See "Description of the Certificates--Principal", "--Allocation of Losses" and
"--Subordination of the Subordinate Certificates" in this prospectus supplement.
RATINGS
It is a condition to the issuance of the offered certificates that the senior
certificates be rated "AAA", that the Class B-1 Certificates be rated at least
"AA", that the Class B-2 Certificates be rated at least "A" and that the Class
B-3 Certificates be rated at least "BBB" by both Standard & Poor's Ratings
Services, a division of The McGraw-Hill Companies, and Fitch, Inc.
A rating is not a recommendation to buy, sell or hold securities and it may be
lowered or withdrawn at any time by the rating agencies.
S-8
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See "Ratings" in this prospectus supplement for additional information.
TAX STATUS
In the opinion of Brown & Wood LLP, for federal income tax purposes, the trust
(exclusive of the rights in respect of the additional collateral) will comprise
several "real estate mortgage investment conduits" or REMICs organized in a
tiered REMIC structure. The offered certificates (other than the Class A-R
Certificate) will constitute "regular interests" in the upper tier REMIC. The
Class A-R Certificate will represent the sole class of "residual interests" in
each REMIC created under the pooling and servicing agreement.
The offered certificates (other than the Class A-R Certificate) generally will
be treated as newly originated debt instruments for federal income tax purposes.
Beneficial owners of the offered certificates (other than the Class A-R
Certificate) will be required to report income on the offered certificates in
accordance with the accrual method of accounting.
See "Certain Material Federal Income Tax Consequences" in this prospectus
supplement and "Certain Material Federal Income Tax Consequences" in the
prospectus for additional information.
ERISA CONSIDERATIONS
Subject to satisfaction of certain conditions, ERISA Plans may purchase the
offered certificates other than the Class A-R Certificate.
See "ERISA Considerations" in this prospectus supplement and in the prospectus.
LEGAL INVESTMENT CONSIDERATIONS
The senior certificates and Class B-1 Certificates will be "mortgage related
securities" for purposes of the Secondary Mortgage Market Enhancement Act of
1984, or SMMEA, as long as they are rated in one of the two highest rating
categories by at least one nationally recognized statistical rating
organization. The Class B-2 and Class B-3 Certificates will not be rated in one
of the two highest rating categories by a nationally recognized statistical
rating organization and, therefore, will not be "mortgage related securities"
for purposes of SMMEA.
See "Legal Investment Considerations" in this prospectus supplement and "Legal
Investment" in the prospectus.
S-9
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RISK FACTORS
The following information, which you should carefully consider,
identifies certain significant sources of risk associated with an investment in
the certificates. You should also carefully consider the information set forth
under "Risk Factors" in the prospectus.
UNPREDICTABILITY OF
PREPAYMENTS AND
EFFECT ON YIELDS.................... Borrowers may prepay their mortgage
loans in whole or in part at any time.
We cannot predict the rate at which
borrowers will repay their mortgage
loans. A prepayment of a mortgage loan
generally will result in a prepayment on
the offered certificates.
o If you purchase your certificates at
a discount and principal is repaid
slower than you anticipate, then your
yield may be lower than you
anticipate.
o If you purchase your certificates at
a premium and principal is repaid
faster than you anticipate, then your
yield may be lower than you
anticipate.
o If you purchase the Class X-1 or
Class X-2 Certificates and principal
of the mortgage loans is repaid at an
extremely rapid rate, you may not
recover your initial investment.
o The rate of prepayments on the
mortgage loans will be sensitive to
prevailing interest rates. Generally,
if prevailing interest rates decline
significantly below the interest
rates on the mortgage loans, the
mortgage loans are more likely to
prepay than if prevailing rates
remain above the interest rates on
the mortgage loans. Conversely, if
prevailing interest rates rise
significantly, prepayments on the
mortgage loans are likely to
decrease.
o The seller is required to purchase
from the trust any mortgage loan in
the event certain breaches of
representations and warranties occur
and are not cured. In addition, each
servicer must commence foreclosure
proceedings in respect of mortgage
loans that it services if such
mortgage loans become 90 days or more
delinquent, subject to certain
limitations and conditions described
in this prospectus supplement. This
will have the same effect on the
holders of the offered certificates
as a prepayment of the mortgage
loans.
o If the rate of default and the amount
of losses on the mortgage loans are
higher than you expect, then your
yield may be lower than you expect.
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o The priorities governing payments of
principal will have the effect of
accelerating the rate of principal
payments to holders of the classes of
senior certificates relative to the
classes of subordinate certificates.
See "Yield, Prepayment and Maturity
Considerations" in this prospectus
supplement for a description of factors
that may influence the rate and timing
of prepayments on the mortgage loans.
POTENTIAL INADEQUACY OF
CREDIT ENHANCEMENT FOR
THE OFFERED CERTIFICATES............ Credit enhancement will be provided for
the certificates, first, by the right of
the holders of certificates to receive
payments before the classes subordinated
to them and, second, by the allocation
of realized losses on the mortgage loans
to the subordinated classes in the
reverse order of their numerical class
designations. This first form of credit
enhancement uses collections on the
mortgage loans otherwise payable to
holders of subordinated classes to pay
interest or principal due on more senior
classes. Collections otherwise payable
to subordinated classes represent the
sole source of funds from which this
type of credit enhancement is provided.
Except as described below, realized
losses are allocated, first, to the
subordinated certificates in the reverse
order of their priority of payment,
beginning with the subordinated
certificates with the lowest payment
priority, until the principal amount of
each such class has been reduced to zero
and, second, to the classes of senior
certificates on a pro rata basis until
their respective principal amounts are
reduced to zero. Accordingly, if the
aggregate principal balance of each
subordinated class were to be reduced to
zero, delinquencies and defaults on the
mortgage loans would reduce the amount
of funds available for monthly
distributions to holders of the senior
certificates. Furthermore, the
subordinated classes of certificates
will provide only limited protection
against certain categories of losses
such as special hazard losses,
bankruptcy losses and fraud losses as
specified in this prospectus supplement.
Once the specified loss amounts have
been exceeded, holders of the senior
certificates will bear their
proportionate share of any losses
realized on the mortgage loans. Among
the classes of subordinated
certificates, the Class B-1 Certificates
have the highest payment priority and
the Class B-6 Certificates have the
lowest payment priority.
See "Description of the Certificates--
Allocation of Losses" and
"--Subordination of the Subordinate
Certificates" in this prospectus
supplement for additional information.
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INTEREST PAYMENTS MAY
BE INSUFFICIENT..................... When a mortgage loan is prepaid in full,
the borrower is charged interest only up
to the date on which payment is made,
rather than for an entire month. This
may result in a shortfall in interest
collections available for payment on the
next distribution date. Each servicer is
required to cover the shortfall in
interest collections that are
attributable to prepayments on the loans
that it services but only to the extent
of the related servicing fee. In
addition, certain shortfalls in interest
collections arising from the application
of the Soldiers' and Sailors' Civil
Relief Act of 1940 will not be covered
by any servicer.
Any uncovered interest shortfall may
adversely affect the yield on your
investment.
CERTAIN FEATURES OF
THE MORTGAGE LOANS MAY
RESULT IN LOSSES.................... The mortgage loans contain features that
create additional risks to investors,
including those described below.
o Approximately 1.61% of the aggregate
principal balance as of the cut-off
date of the mortgage loans had
principal balances greater than
$1,000,000 as of that date. In
addition, there are only 963 mortgage
loans. Because of the large principal
balances, a default on a single
mortgage loan may affect the
performance of the certificates,
which might not be true if the
mortgage pool included a greater
number of smaller balance loans.
o The security for approximately 5.89%
of the aggregate principal balance as
of the cut-off date of the mortgage
loans includes securities, mutual
funds or other assets in addition to
a one- to four-family residence. If
the additional collateral is
excluded, the ratio of the principal
balance of each such loan to the
value of the related residence is
higher, and may be substantially
higher. Because of special tax rules
and applicable state anti-deficiency
laws, the trust may not be able to
make use of the value of the
additional collateral if the borrower
defaults. In addition, the market
value of any additional collateral
will change from time to time and may
not equal the market value at the
time the loan was made. As a result,
if a borrower under one of these
mortgage loans defaults, the trust
may suffer a loss.
o Approximately 11.39% of the aggregate
principal balance as of the cut-off
date of the mortgage loans require
the borrowers to make monthly
payments only of accrued
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interest for a fixed period following
origination. After such interest-only
period, the borrower's monthly
payment will be recalculated to cover
both interest and principal so that
the mortgage loan will be paid in
full by its final payment date. If
the monthly payment increases, the
borrowers may not be able to pay the
increased amount and may default or
may refinance the loan to avoid the
higher payment. Because no principal
payments will be made on the mortgage
loans for a period of time,
certificateholders will receive
smaller principal distributions than
they would have received if the
borrowers were required to make
monthly payments of interest and
principal for the lives of the
mortgage loans. This slower rate of
principal distributions may reduce
the return on an investment in an
offered certificate that is purchased
at a discount to its principal
amount.
DELAY IN RECEIPT OF
LIQUIDATION PROCEEDS;
LIQUIDATION PROCEEDS
MAY BE LESS THAN
MORTGAGE LOAN BALANCE............... Substantial delays could be encountered
in connection with the liquidation of
delinquent mortgage loans. Further,
liquidation expenses such as legal fees,
real estate taxes and maintenance and
preservation expenses may reduce the
portion of liquidation proceeds payable
to you. If a mortgaged property fails to
provide adequate security for the
related mortgage loan, you will incur a
loss on your investment if the credit
enhancement is insufficient to cover
that loss.
CERTIFICATES MAY NOT BE
APPROPRIATE FOR SOME
INVESTORS........................... The offered certificates may not be an
appropriate investment for investors who
do not have sufficient resources or
expertise to evaluate the particular
characteristics of the offered
certificates. This may be the case due
to the reasons specified below.
o The yield to maturity of offered
certificates purchased at a price
other than par will be sensitive to
the uncertain rate and timing of
principal prepayments on the mortgage
loans.
o The rate of principal distributions
on and the weighted average lives of
the offered certificates will be
sensitive to the uncertain rate and
timing of principal prepayments on
the mortgage loans and the priority
of principal distributions among the
classes of certificates. Accordingly,
the offered certificates may be an
S-13
<PAGE>
inappropriate investment if you
require a distribution of a
particular amount of principal on a
specific date or an otherwise
predictable stream of distributions.
o You may not be able to reinvest
distributions on an offered
certificate (which, in general, are
expected to be greater during periods
of relatively low interest rates) at
a rate at least as high as the
pass-through rate applicable to your
certificate.
o Your investment in the Class A-1,
Class A-2, Class A-3 and Class B-1
Certificates may be ended before you
desire if the optional call is
exercised, and your investment in any
of the offered certificates may be
ended before you desire if the
optional termination is exercised.
o A secondary market for the offered
certificates may not develop or
provide you with liquidity of
investment.
GEOGRAPHIC CONCENTRATION
OF THE MORTGAGE LOANS............... The following chart lists the states and
related percentage with concentrations
of mortgage loans in excess of 10% of
the aggregate principal balance of the
mortgage loans as of the cut-off date.
California 56.05%
Washington 10.84%
In addition, the conditions below will
have a disproportionate impact on the
mortgage loans in general:
o Economic conditions in states listed
above which may or may not affect
real property values may affect the
ability of borrowers to repay their
loans on time.
o Declines in the residential real
estate markets in the states listed
above may reduce the values of
properties located in those states,
which would result in an increase in
the loan-to-value ratios.
o Any increase in the market value of
properties located in the states
listed above would reduce the
loan-to-value ratios and could,
therefore, make alternative sources
of financing available to the
borrowers at lower interest rates,
which could result in an increased
rate of prepayment of the mortgage
loans.
LACK OF LIQUIDITY................... There is currently no secondary market
for the offered certificates and there
can be no assurance that a secondary
S-14
<PAGE>
market for the offered certificates will
develop. Consequently, you may not be
able to sell your certificates readily
or at prices that will enable you to
realize your desired yield. The market
values of the certificates are likely to
fluctuate. Any of these fluctuations may
be significant and could result in
significant losses to you.
The secondary markets for asset-backed
securities have experienced periods of
illiquidity and can be expected to do so
in the future. Illiquidity can have a
severely adverse effect on the prices of
securities that are especially sensitive
to prepayment, credit, or interest rate
risk, or that have been structured to
meet the investment requirements of
limited categories of investors.
SERVICER ALTERNATIVES
TO FORECLOSURE...................... Each servicer may foreclose on any
delinquent mortgage loan that it
services or, subject to certain
limitations set forth in the related
servicing contract, work out an
agreement with the related borrower,
which may involve waiving or modifying
any term of the mortgage loan. Each
servicer must commence foreclosure
proceedings in respect of a mortgage
loan that it services if such mortgage
loan is at least 90 days delinquent.
BANKRUPTCY OR INSOLVENCY MAY
AFFECT THE TIMING AND AMOUNT
OF DISTRIBUTIONS ON THE
CERTIFICATES........................ The transfer of the mortgage loans by
the seller to the depositor will be
characterized in the mortgage loan
purchase agreement as a sale
transaction. Nevertheless, in the event
of a bankruptcy of the seller, the
trustee in bankruptcy could attempt to
recharacterize the sale of the mortgage
loans to the depositor as a borrowing
secured by a pledge of the mortgage
loans.
If such an attempt to recharacterize the
transfer of the mortgage loans were
successful, a trustee in bankruptcy
could elect to accelerate payment of the
certificates and liquidate the mortgage
loans, with the holders of the
certificates entitled to no more than
the outstanding class principal
balances, if any, of the classes of
certificates, together with interest
thereon at the applicable pass-through
rate to the date of payment. In the
event of an acceleration of the
certificates, the holders of the
certificates would lose the right to
future payments of interest, might
suffer reinvestment losses in a lower
interest rate environment and may fail
to recover their initial investment.
Regardless of whether an acceleration
takes place, delays in payments on the
certificates and possible reductions in
the amount of such payments could occur.
The depositor will
S-15
<PAGE>
warrant in the pooling and servicing
agreement that the transfer of the
mortgage loans to the trust fund is a
valid transfer and sale of all of the
depositor's right, title and interest in
the mortgage loans to the trust fund.
S-16
<PAGE>
THE MORTGAGE LOANS
The information set forth in the following paragraphs has been provided
by the Seller. None of the Depositor or any of its other affiliates or the
Trustee or any of its affiliates has made or will make any representation as to
the accuracy or completeness of the information that appears under this heading.
GENERAL
The assets held by HarborView Mortgage Loan Trust 2000-2 (the "TRUST")
will consist primarily of adjustable rate, first lien, residential mortgage
loans (each, a "MORTGAGE LOAN"). The Mortgage Loans have interest rates that
adjust based on various indices generally following an initial fixed-rate period
of either five years or seven years. There are 963 Mortgage Loans with an
aggregate Principal Balance of approximately $370,717,334 as of the Cut-Off Date
(after application of payments of principal due on or before the Cut-Off Date
whether or not received and also subject to a permitted variance of plus or
minus 10%) (the "CUT-OFF DATE POOL BALANCE"). For any Distribution Date, the
"POOL BALANCE" equals the aggregate Principal Balance of the Mortgage Loans
outstanding on the Due Date in the month preceding the month of such
Distribution Date. All weighted averages specified in this prospectus supplement
are based on the Principal Balances of the Mortgage Loans as of the Cut-Off
Date, unless otherwise specified. The "PRINCIPAL BALANCE" of a Mortgage Loan as
of any date is equal to the unpaid principal balance of that Mortgage Loan at
its origination, less the sum of scheduled and unscheduled payments in respect
of principal made or advanced on that Mortgage Loan since its origination.
References in this prospectus supplement to percentages of the Mortgage Loans
mean percentages based on the aggregate of the Principal Balances of the
Mortgage Loans as of the Cut-Off Date, unless otherwise specified.
Pursuant to a purchase agreement between the Seller and the Depositor
(the "MORTGAGE LOAN PURCHASE AGREEMENT"), the Depositor will purchase the
Mortgage Loans from the Seller, and pursuant to the Pooling and Servicing
Agreement, the Depositor will cause the Mortgage Loans to be assigned to the
Trustee for the benefit of the Certificateholders. See "The Pooling and
Servicing Agreement and the Servicing Contracts" in this prospectus supplement.
Each of the Mortgage Loans was purchased by the Seller in the secondary
market in the ordinary course of business.
Under the Mortgage Loan Purchase Agreement, the Seller will make
certain representations and warranties which will be assigned by the Depositor
to the Trustee. The representations and warranties relate to, among other
things, certain characteristics of the Mortgage Loans and, subject to certain
limitations, the Seller will be obligated to repurchase or substitute a similar
mortgage loan for any Mortgage Loan as to which there exists deficient
documentation or an uncured breach of any such representation or warranty, if
the breach of the representation or warranty materially and adversely affects
the Certificateholders' interests in the Mortgage Loan. The Depositor will make
no representations or warranties with respect to the Mortgage Loans and will
have no obligation to repurchase or substitute Mortgage Loans with deficient
documentation or that are otherwise defective. The Seller is selling the
Mortgage Loans without recourse and will have no obligation with respect to the
Certificates in its capacity as Seller other than the repurchase or substitution
obligations described above.
S-17
<PAGE>
MORTGAGE LOAN STATISTICS
The following statistical information, unless otherwise specified, is
based upon the Cut-Off Date Pool Balance.
The Mortgage Loans are secured by mortgages or deeds of trust or other
similar security instruments (each, a "MORTGAGE") creating first liens on one-
to four-family residential properties consisting of detached or semi-detached
one- to four-family dwelling units, individual condominium units, planned unit
developments and townhouses (each, a "MORTGAGED PROPERTY"). Approximately 16.75%
of the Mortgage Loans had Loan-to-Value Ratios at origination in excess of
80.00%. Approximately 10.86% of the Mortgage Loans had Effective Loan-to-Value
Ratios at origination greater than 80.00%. With respect to each Mortgage Loan
and any date of determination, the "LOAN-TO-VALUE RATIO" is calculated as a
fraction, expressed as a percentage, the numerator of which is the Principal
Balance of the Mortgage Loan at such date of determination and the denominator
of which is the value of the Mortgaged Property. With respect to each Mortgage
Loan and any date of determination, the "EFFECTIVE LOAN-TO-VALUE RATIO" is
calculated as a fraction, expressed as a percentage, the numerator of which is
the Principal Balance of the Mortgage Loan at such date of determination less
the value of any Additional Collateral (as defined herein) and the denominator
of which is the value of the Mortgaged Property. With respect to each of the 67
Mortgage Loans which, in the aggregate, represent approximately 5.89% of the
Cut-Off Date Pool Balance, the related originator required the borrower to
pledge Additional Collateral to secure the Mortgage Loan, including marketable
securities or certificates of deposit acceptable to such originator. See "The
Seller and the Originators--Underwriting Standards--MLCC's Underwriting
Process--MLCC's Additional Collateral Loan Programs" in this prospectus
supplement for a further description of the Additional Collateral.
All of the Mortgage Loans have scheduled monthly payments due on the
first day of the month (with respect to each Mortgage Loan, a "DUE DATE").
Substantially all of the Mortgage Loans have original terms to stated
maturity of 360 months. The weighted average remaining term to stated maturity
of the Mortgage Loans was approximately 356 months as of the Cut-Off Date. None
of the Mortgage Loans had a first Due Date prior to January 1999 or after
December 2000 or had a remaining term to stated maturity of less than 297 months
or greater than 360 months as of the Cut-Off Date. The latest stated maturity
date of any Mortgage Loan occurs in November 2030.
The average Principal Balance of the Mortgage Loans at origination was
approximately $388,895. The average Principal Balance of the Mortgage Loans as
of the Cut-Off Date was approximately $384,961.
No Mortgage Loan had a Principal Balance of greater than $1,762,500 or
less than $50,000 as of the Cut-Off Date.
Subject to the limitations described below, each Mortgage Loan provides
for adjustment, on a semi-annual or annual basis, to the rate at which interest
accrues thereon (each, a "LOAN RATE") and for corresponding adjustments to the
monthly payment amount due thereon, in each case on each adjustment date
applicable thereto (each such date, an "ADJUSTMENT DATE"). With respect to
approximately 98.13% of the Mortgage Loans, the first Adjustment Date will occur
S-18
<PAGE>
five years after the date of origination, and with respect to approximately
1.87% of the Mortgage Loans, the first Adjustment Date will occur seven years
after the date of origination. Prior to the first Adjustment Date for any
Mortgage Loan, the Loan Rate will be a fixed rate of interest.
o Interest Only Loans: Approximately 11.39% of the Mortgage Loans provide
that, for a period ranging from 60 to 84 months after origination, the
required monthly payments are limited to accrued interest (each, an
"INTEREST ONLY PERIOD"). At the end of each Interest Only Period for a
Mortgage Loan, the monthly payments are recalculated to provide for
amortization of the Principal Balance by the maturity date and payment of
interest at the then-current Loan Rate.
o Limits on Loan Rate Adjustments. On each Adjustment Date for each Mortgage
Loan, the Loan Rate thereon will be adjusted to equal the sum, generally
rounded up to the nearest multiple of 0.125%, of the index applicable to
determining the Loan Rate on each Mortgage Loan (the "INDEX") and a fixed
percentage amount (the "GROSS MARGIN"). The Mortgage Loans adjust according
to one of the two Indices (One Year CMT or Six Month LIBOR) as discussed
under "--The Indices" herein. On the first Adjustment Date, the Loan Rates
on approximately 88.49% and 11.51% of the Mortgage Loans cannot increase or
decrease (such initial cap, the "FIRST RATE CAP") by more than 5.000% and
6.000%, respectively. The Loan Rates on approximately 88.61% of the
Mortgage Loans cannot increase or decrease (any such cap, a "PERIODIC RATE
CAP") by more than 2.000% per annum on any Adjustment Date other than the
first Adjustment Date. Approximately 11.39% of the Mortgage Loans do not
have Periodic Rate Caps. The Loan Rate on each Mortgage Loan will not
exceed a specified maximum Loan Rate over the life of such Mortgage Loan
(the "MAXIMUM LOAN RATE"). Effective with the first monthly payment due on
each Mortgage Loan after each related Adjustment Date (occurring after any
applicable Interest Only Period), the monthly payment amount will be
adjusted to an amount that will amortize fully the outstanding Principal
Balance of the related Mortgage Loan over its remaining term, and pay
interest at the Loan Rate as so adjusted. Due to the application of the
First Rate Cap, the Periodic Rate Caps and the Maximum Loan Rates, the Loan
Rate on each such Mortgage Loan, as adjusted on any related Adjustment
Date, may be less than the sum of the applicable Index and the related
Gross Margin, rounded as described herein. See "--The Indices" herein. None
of the Mortgage Loans permits the related borrower (the "MORTGAGOR") to
convert the adjustable Loan Rate thereon to a fixed Loan Rate.
The Mortgage Loans had Loan Rates as of the Cut-Off Date of not less
than 6.125% per annum and not more than 9.250% per annum and the weighted
average Loan Rate was approximately 8.212% per annum. As of the Cut-Off Date,
the Mortgage Loans had Gross Margins ranging from 2.000% per annum to 3.375% per
annum, and Maximum Loan Rates ranging from 11.250% per annum to 15.250% per
annum. As of the Cut-Off Date, the weighted average Gross Margin was
approximately 2.669% per annum, and the weighted average Maximum Loan Rate was
approximately 13.384% per annum. The latest next Adjustment Date following the
Cut-Off Date on any Mortgage Loan occurs in October 2007 and the weighted
average next Adjustment Date for all of the Mortgage Loans following the Cut-Off
Date occurs in August 2005.
The Mortgage Loans had the following characteristics as of the Cut-Off
Date (the sum in any column may not equal the total indicated due to rounding):
S-19
<PAGE>
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
PRINCIPAL BALANCE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------- ------------------ ----------------- -----------------
<S> <C> <C> <C> <C>
50,000.00 - 100,000.00 25 $ 1,889,926.04 0.51%
100,000.01 - 200,000.00 53 8,221,912.19 2.22
200,000.01 - 300,000.00 243 67,711,396.35 18.26
300,000.01 - 400,000.00 341 117,870,871.21 31.80
400,000.01 - 500,000.00 140 62,918,373.63 16.97
500,000.01 - 600,000.00 71 39,439,724.17 10.64
600,000.01 - 700,000.00 31 20,154,568.08 5.44
700,000.01 - 800,000.00 22 16,159,165.14 4.36
800,000.01 - 900,000.00 15 12,914,090.53 3.48
900,000.01 - 1,000,000.00 18 17,454,806.96 4.71
1,300,000.01 - 1,400,000.00 2 2,710,000.00 0.73
1,500,000.01 - 1,600,000.00 1 1,510,000.00 0.41
1,700,000.01 - 1,762,500.00 1 1,762,500.00 0.48
--- ----------------- ------
Total.......................... 963 $ 370,717,334.30 100.00%
=== ================= ======
</TABLE>
The average Principal Balance of the Mortgage Loans as of the Cut-Off
Date was approximately $384,961.
S-20
<PAGE>
REMAINING TERMS TO STATED MATURITY OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF THE BALANCE OUTSTANDING AS OF
REMAINING TERM (MONTHS) MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
----------------------- -------------- --------------------- -------------------------
<S> <C> <C> <C>
297 - 300 1 $ 259,223.13 0.07%
331 - 336 1 305,000.00 0.08
337 - 342 1 600,000.00 0.16
343 - 348 5 1,070,274.67 0.29
349 - 354 246 93,214,545.74 25.14
355 - 359 709 275,268,290.76 74.25
--- --------------- ------
Total....................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average remaining term to stated maturity of the Mortgage
Loans as of the Cut-Off Date was approximately 356 months.
ORIGINATORS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINATOR: MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Merrill Lynch Credit Corporation........... 143 $ 42,667,122.29 11.51%
WAMU Entities.............................. 586 232,002,764.62 62.58
Bank of America............................ 234 96,047,447.39 25.91
--- --------------- ------
Total................................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-21
<PAGE>
PROPERTY TYPES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------------------------------- ------------------ --------------------------- ------------------------
<S> <C> <C> <C>
Single Family........................... 745 $295,210,237.70 79.63%
Planned Unit Development................ 116 42,302,504.28 11.41
Condominium............................. 89 28,582,788.27 7.71
Two-Four Family......................... 11 4,166,243.11 1.12
Townhouse............................... 2 455,560.94 0.12
--- --------------- ------
Total.................................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
==============================================================================
STATED OCCUPANCY STATUS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPAL BALANCE
MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
STATED OCCUPANCY STATUS(1) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
-------------------------- --------- ------------------ -----------------
<S> <C> <C> <C>
Primary................................ 902 $351,750,880.26 94.88%
Second Home............................ 34 12,680,540.57 3.42
Investor............................... 27 6,285,913.47 1.70
--- --------------- ------
Total................................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
--------------
(1) Occupancy as represented by the Mortgagor at the time of origination.
LOAN PURPOSE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
PURPOSE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------- -------------- ------------------ -----------------
<S> <C> <C> <C>
Purchase.................................. 813 $311,792,515.92 84.11%
Cash Out Refinance........................ 90 33,147,445.31 8.94
Rate/Term Refinance....................... 60 25,777,373.07 6.95
--- --------------- ------
Total.................................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-22
<PAGE>
DOCUMENTATION PROGRAMS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF MORTGAGE OUTSTANDING AS OF THE OUTSTANDING AS OF
DOCUMENTATION PROGRAM LOANS CUT-OFF DATE THE CUT-OFF DATE
--------------------- ------------------ --------------------- -----------------
<S> <C> <C> <C>
Standard Documentation.............. 696 $275,460,170.22 74.30%
Reduced Documentation............... 116 49,713,140.97 13.41
Full Documentation.................. 96 31,450,384.03 8.48
No Income/No Ratio.................. 28 5,618,030.70 1.52
Alternative Documentation........... 12 3,374,799.53 0.91
Conventional Streamline............. 8 2,876,900.82 0.78
Stated Documentation................ 7 2,223,908.03 0.60
--- --------------- ------
Total............................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
ORIGINAL LOAN-TO-VALUE RATIO (%) MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
-------------------------------- -------------- --------------------- -----------------
<S> <C> <C> <C>
8.33 - 10.00........................ 1 $ 50,000.00 0.01%
15.01 - 20.00........................ 1 450,000.00 0.12
20.01 - 25.00........................ 1 288,391.10 0.08
25.01 - 30.00........................ 6 2,295,415.91 0.62
30.01 - 35.00........................ 5 1,167,494.88 0.31
35.01 - 40.00........................ 8 3,236,190.77 0.87
40.01 - 45.00........................ 7 2,926,004.08 0.79
45.01 - 50.00........................ 24 10,752,175.57 2.90
50.01 - 55.00........................ 26 11,321,890.08 3.05
55.01 - 60.00........................ 23 8,778,139.29 2.37
60.01 - 65.00........................ 46 20,596,608.61 5.56
65.01 - 70.00........................ 67 30,955,415.44 8.35
70.01 - 75.00........................ 138 55,451,924.49 14.96
75.01 - 80.00........................ 420 160,350,559.03 43.25
80.01 - 85.00........................ 8 2,710,790.62 0.73
85.01 - 90.00........................ 80 26,683,365.06 7.20
90.01 - 95.00........................ 42 12,555,704.47 3.39
95.01 - 100.00........................ 60 20,147,264.90 5.43
--- --------------- ------
Total................................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average original Loan-to-Value Ratio of the Mortgage Loans
as of the Cut-Off Date was approximately 75.82%.
S-23
<PAGE>
EFFECTIVE LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
EFFECTIVE LTV (%): MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
8.33 - 10.00..................... 1 $ 50,000.00 0.01%
15.01 - 20.00..................... 1 450,000.00 0.12
20.01 - 25.00..................... 2 438,253.13 0.12
25.01 - 30.00..................... 6 2,295,415.91 0.62
30.01 - 35.00..................... 5 1,167,494.88 0.31
35.01 - 40.00..................... 8 3,236,190.77 0.87
40.01 - 45.00..................... 7 2,926,004.08 0.79
45.01 - 50.00..................... 31 11,866,099.19 3.20
50.01 - 55.00..................... 26 11,321,890.08 3.05
55.01 - 60.00..................... 24 9,178,139.29 2.48
60.01 - 65.00..................... 48 21,253,106.94 5.73
65.01 - 70.00..................... 122 50,030,782.80 13.50
70.01 - 75.00..................... 139 55,897,914.49 15.08
75.01 - 80.00..................... 420 160,350,559.03 43.25
80.01 - 85.00..................... 6 2,210,790.62 0.60
85.01 - 90.00..................... 79 26,314,365.06 7.10
90.01 - 95.00..................... 38 11,730,328.03 3.16
--- --------------- ------
Total............................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average Effective Loan-to-Value Ratio of the Mortgage
Loans as of the Cut-Off Date was approximately 74.01%.
PRODUCT TYPE OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF PRINCIPAL BALANCE PRINCIPAL BALANCE
MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
PRODUCT TYPE: LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------- --------- ----------------- -----------------
<S> <C> <C> <C>
5 Year Initial Fixed Rate Period ARMs 936 $363,788,035.66 98.13%
7 Year Initial Fixed Rate Period ARMs 27 6,929,298.64 1.87
--- --------------- ------
Total....................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
DELINQUENCY STATUS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
DELINQUENCY STATUS MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
------------------ -------------- --------------------- -----------------
<S> <C> <C> <C>
Current................................... 952 $367,439,291.55 99.12%
30-59 Days Delinquent..................... 11 3,278,042.75 0.88
--- --------------- ------
Total.......................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-24
<PAGE>
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
PRINCIPAL BALANCE % OF AGGREGATE PRINCIPAL
NUMBER OF OUTSTANDING AS OF BALANCE OUTSTANDING AS OF
STATE MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----- -------------- ------------------ -------------------------
<S> <C> <C> <C>
Arizona................................. 9 $ 2,923,038.87 0.79%
Arkansas................................ 1 186,000.00 0.05
California.............................. 498 207,769,556.27 56.05
Colorado................................ 33 11,633,270.75 3.14
Connecticut............................. 20 8,499,282.17 2.29
District of Columbia.................... 5 2,795,987.49 0.75
Florida................................. 29 7,920,981.34 2.14
Georgia................................. 21 6,386,538.11 1.72
Idaho................................... 1 597,664.58 0.16
Illinois................................ 50 17,854,833.32 4.82
Indiana................................. 2 580,361.92 0.16
Iowa.................................... 2 473,924.16 0.13
Kentucky................................ 1 274,808.83 0.07
Louisiana............................... 2 141,500.00 0.04
Maine................................... 1 135,000.00 0.04
Maryland................................ 7 2,186,677.31 0.59
Massachusetts........................... 31 12,113,824.43 3.27
Michigan................................ 14 4,064,793.94 1.10
Minnesota............................... 3 1,162,871.55 0.31
Missouri................................ 3 781,546.96 0.21
Nevada.................................. 7 2,882,672.81 0.78
New Hampshire........................... 1 369,000.00 0.10
New Jersey.............................. 14 3,819,848.98 1.03
New Mexico.............................. 3 887,136.87 0.24
New York................................ 21 7,629,423.02 2.06
North Carolina.......................... 5 1,710,974.63 0.46
Ohio.................................... 4 1,056,167.24 0.28
Oklahoma................................ 1 284,157.00 0.08
Oregon.................................. 18 6,798,908.88 1.83
Pennsylvania............................ 6 1,562,660.86 0.42
South Carolina.......................... 2 431,334.96 0.12
South Dakota............................ 1 94,665.65 0.03
Tennessee............................... 3 639,735.51 0.17
Texas................................... 18 6,041,105.34 1.63
Utah.................................... 7 2,068,566.13 0.56
Virginia................................ 9 3,505,406.35 0.95
Washington.............................. 105 40,200,128.72 10.84
Wisconsin............................... 2 1,080,581.75 0.29
Wyoming................................. 3 1,172,397.60 0.32
--- --------------- ------
Total................................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The greatest five-digit ZIP Code geographic concentration of Mortgage
Loans, by Principal Balance as of the Cut-Off Date, was approximately
1.03% in the 94566 ZIP Code
S-25
<PAGE>
LOAN RATES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
LOAN RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
6.125 - 6.500......................... 2 $ 851,899.33 0.23%
6.501 - 7.000......................... 1 241,729.38 0.07
7.001 - 7.500......................... 30 12,976,930.59 3.50
7.501 - 8.000......................... 249 102,787,403.50 27.73
8.001 - 8.500......................... 539 198,427,683.68 53.53
8.501 - 9.000......................... 137 52,519,181.55 14.17
9.001 - 9.250......................... 5 2,912,506.27 0.79
--- --------------- ------
Total.................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average Loan Rate of the Mortgage Loans as of the Cut-Off
Date was approximately 8.212%.
S-26
<PAGE>
MAXIMUM LOAN RATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM LOAN RATE (%) MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
11.250 - 11.500........................ 1 $ 546,899.33 0.15%
11.501 - 12.000........................ 12 4,318,409.20 1.16
12.001 - 12.500........................ 22 9,117,237.93 2.46
12.501 - 13.000........................ 216 90,833,221.25 24.50
13.001 - 13.500........................ 408 164,153,475.57 44.28
13.501 - 14.000........................ 120 47,141,731.78 12.72
14.001 - 14.500........................ 134 36,522,882.18 9.85
14.501 - 15.000........................ 47 16,323,477.06 4.40
15.001 - 15.250........................ 3 1,760,000.00 0.47
--- --------------- ------
Total.............................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average Maximum Loan Rate of the Mortgage Loans as of the
Cut-Off Date was approximately 13.384%.
GROSS MARGINS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN (%): MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------- -------------- ------------------ -----------------
<S> <C> <C> <C>
2.000 - 2.000..................... 141 $ 42,229,677.24 11.39%
2.251 - 2.500..................... 2 935,100.51 0.25
2.501 - 2.750..................... 798 320,223,697.46 86.38
2.751 - 3.000..................... 11 3,835,206.61 1.03
3.001 - 3.250..................... 10 3,027,103.99 0.82
3.251 - 3.375..................... 1 466,548.49 0.13
--- --------------- ------
Total.......................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average Gross Margin of the Mortgage Loans as of the
Cut-Off Date was approximately 2.669%.
S-27
<PAGE>
INDICES OF THE MORTGAGE LOANS(1)
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
INDEX MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
----- -------------- --------------------- -----------------
<S> <C> <C> <C>
One Year CMT............................. 822 $328,487,657.06 88.61%
Six Month LIBOR.......................... 141 42,229,677.24 11.39
--- --------------- ------
Total................................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
------------------
(1) Each of these Indices is described under "--The Indices".
FIRST RATE CAPS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
FIRST RATE CAP (%) MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
------------------ -------------- --------------------- -----------------
<S> <C> <C> <C>
5.000.................................... 820 $328,050,212.01 88.49%
6.000.................................... 143 42,667,122.29 11.51
--- --------------- ------
Total............................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-28
<PAGE>
PERIODIC RATE CAPS OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
PERIODIC RATE CAP (%) MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
--------------------- -------------- --------------------- -----------------
<S> <C> <C> <C>
No Periodic Rate Cap................... 141 $ 42,229,677.24 11.39%
2.00................................... 822 328,487,657.06 88.61
--- --------------- ------
Total................................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
RATE ADJUSTMENT FREQUENCIES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF THE OUTSTANDING AS OF
RATE ADJUSTMENT FREQUENCY MORTGAGE LOANS CUT-OFF DATE THE CUT-OFF DATE
------------------------- -------------- --------------------- -----------------
<S> <C> <C> <C>
Semiannual............................. 141 $ 42,229,677.24 11.39%
Annual................................. 822 328,487,657.06 88.61
--- --------------- ------
Total................................. 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-29
<PAGE>
NEXT ADJUSTMENT DATES OF THE MORTGAGE LOANS
<TABLE>
<CAPTION>
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
NEXT ADJUSTMENT DATE: MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
December 2003.................... 1 $ 305,000.00 0.08%
October 2004..................... 1 192,000.00 0.05
January 2005..................... 2 410,729.38 0.11
February 2005.................... 2 505,000.00 0.14
March 2005....................... 4 1,557,747.21 0.42
April 2005....................... 7 1,889,769.04 0.51
May 2005......................... 44 18,536,919.09 5.00
June 2005........................ 184 69,718,605.55 18.81
July 2005........................ 121 44,750,257.40 12.07
August 2005...................... 170 67,797,353.96 18.29
September 2005................... 353 140,545,060.36 37.91
October 2005..................... 44 16,576,079.41 4.47
November 2005.................... 3 1,003,514.26 0.27
June 2006........................ 1 600,000.00 0.16
July 2006........................ 1 195,715.67 0.05
August 2006...................... 2 392,559.00 0.11
September 2006................... 1 290,000.00 0.08
March 2007....................... 1 69,970.00 0.02
May 2007......................... 1 283,391.34 0.08
June 2007........................ 1 242,414.13 0.07
July 2007........................ 1 110,977.70 0.03
August 2007...................... 10 2,634,587.46 0.71
September 2007................... 7 2,054,683.34 0.55
October 2007..................... 1 55,000.00 0.01
--- --------------- ------
Total......................... 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
S-30
<PAGE>
<TABLE>
<CAPTION>
FICO SCORES OF THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
FICO SCORE: MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
N/A 41 $ 14,990,030.36 4.04%
501 - 550....................... 2 1,248,715.74 0.34
551 - 600....................... 6 2,153,687.66 0.58
601 - 650....................... 74 28,502,544.85 7.69
651 - 700....................... 222 86,014,529.11 23.20
701 - 750....................... 318 127,635,085.05 34.43
751 - 800....................... 280 104,087,625.78 28.08
801 - 819....................... 20 6,085,115.75 1.64
--- --------------- ------
Total........................ 963 $370,717,334.30 100.00%
=== =============== ======
</TABLE>
The weighted average FICO score of the Mortgage Loans as of the Cut-Off
Date was approximately 720.
<TABLE>
<CAPTION>
AMORTIZATION TYPES OF THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OF OUTSTANDING AS OF OUTSTANDING AS OF
AMORTIZATION TYPE: MORTGAGE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Fully Amortizing..................... 822 $328,487,657.06 88.61%
Interest Only........................ 141 42,229,677.24 11.39
--- --------------- ------
Total............................ 963 $370,717,334.30 100.00%
--- --------------- ------
</TABLE>
S-31
<PAGE>
THE INDICES
With respect to approximately 11.39% of the Mortgage Loans, the Index
is the average of interbank offered rates for six-month U.S. dollar deposits in
the London market based on quotations of major banks, and most recently
available as of a day and pursuant to a calculation as specified in the related
mortgage note ("SIX MONTH LIBOR"); and with respect to approximately 88.61% of
the Mortgage Loans, the Index is the weekly average yield on United States
Treasury securities adjusted to a constant maturity of one year as published by
the Federal Reserve Board in Statistical Release H.15(519) and most recently
available as of a day specified in the related note ("ONE YEAR CMT").
Listed below are some historical values for the months indicated for
the One Year CMT and Six Month LIBOR indices.
ONE YEAR CMT
<TABLE>
<CAPTION>
YEAR
-------------------------------------------------------------------------
MONTH 2000 1999 1998 1997 1996 1995 1994
----- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
January.................................. 6.12 4.51 5.24 5.61 5.09 7.05 3.54
February................................. 6.22 4.70 5.31 5.53 4.94 6.70 3.87
March.................................... 6.22 4.78 5.39 5.80 5.34 6.43 4.32
April.................................... 6.15 4.69 5.38 5.99 5.54 6.27 4.82
May...................................... 6.33 4.85 5.44 5.87 5.64 6.00 5.31
June..................................... 6.17 5.10 5.41 5.69 5.81 5.64 5.27
July..................................... 6.08 5.03 5.36 5.54 5.85 5.59 5.48
August................................... 6.18 5.20 5.21 5.56 5.67 5.75 5.56
September................................ 6.13 5.25 4.71 5.52 5.83 5.62 5.76
October.................................. 6.01 5.43 4.12 5.46 5.55 5.59 6.11
November................................. 6.09 5.55 4.53 5.46 5.42 5.43 6.54
December................................. 5.84 4.52 5.53 5.47 5.31 7.14
<CAPTION>
SIX MONTH LIBOR
YEAR
------------------------------------------------------------------------
MONTH 2000 1999 1998 1997 1996 1995 1994
----- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
January.................................. 6.29 4.97 5.63 5.69 5.27 6.69 3.38
February................................. 6.33 5.13 5.70 5.69 5.30 6.44 4.00
March.................................... 6.53 5.06 5.75 5.94 5.50 6.50 4.25
April.................................... 6.73 5.04 5.81 6.00 5.56 6.38 4.69
May...................................... 7.11 5.25 5.75 6.00 5.63 6.00 5.00
June..................................... 7.00 5.65 5.78 5.91 5.79 6.00 5.25
July..................................... 6.89 5.71 5.75 5.80 5.88 5.88 5.31
August................................... 6.83 5.92 5.59 5.84 5.77 5.91 5.31
September................................ 6.76 5.96 5.25 5.84 5.73 5.95 5.75
October.................................. 6.72 6.12 4.98 5.79 5.57 5.88 5.94
November................................. 6.64 6.06 5.15 5.91 5.54 5.69 6.56
December................................. 6.13 5.07 5.84 5.60 5.51 7.00
</TABLE>
If any Index becomes unpublished or is otherwise unavailable, the
related Servicer will select an alternative index which is based upon comparable
information.
S-32
<PAGE>
THE SELLER AND THE ORIGINATORS
THE SELLER
All of the Mortgage Loans have been purchased in the secondary market
by Greenwich Capital Financial Products, Inc. ("GCFP" or the "SELLER") in the
ordinary course of its business. GCFP, an affiliate of the Depositor and
Greenwich Capital Markets, Inc., one of the Underwriters, is a direct,
wholly-owned subsidiary of Greenwich Capital Holdings, Inc. Approximately 11.51%
of the Mortgage Loans were originated and sold to GCFP by Merrill Lynch Credit
Corporation ("MLCC"); approximately 25.91% of the Mortgage Loans were originated
and sold to GCFP by Bank of America, N.A. ("BANK OF AMERICA"); and approximately
62.58% of the Mortgage Loans were originated and sold to GCFP by Washington
Mutual Bank, FA ("WMBFA") and its affiliates, Washington Mutual Bank and
Washington Mutual Bank fsb (WMBFA, together with such affiliates, the "WAMU
ENTITIES"). (All such percentages are based upon the Cut-Off Date Pool Balance.)
As described herein under "The Pooling and Servicing Agreement and the Servicing
Contracts--Assignment of the Mortgage Loans", GCFP, as Seller, will make certain
representations and warranties to the Trustee regarding the Mortgage Loans. In
the event of a breach that materially and adversely affects the
Certificateholders, GCFP will be obligated either to cure such breach or
repurchase or replace each affected Mortgage Loan.
When each mortgage loan is originated, the borrower's credit report is
generally reviewed. Generally, each credit report provides a credit score for
the borrower. The credit score is based upon the credit evaluation methodology
developed by Fair, Isaac and Company ("FICO"), a consulting firm specializing in
creating evaluation predictive models through a high number of variable
components. FICO scores generally range from 350 to 850 and are available from
three major credit bureaus: Experian (formerly TRW), Equifax and Trans Union.
These scores estimate, on a relative basis, which loans are most likely to
default in the future. Lower scores imply higher default risk relative to a
higher score. FICO scores are empirically derived from historical credit bureau
data and represent a numerical weighting of a borrower's credit characteristics
over a two-year period. A FICO score is generated through the statistical
analysis of a number of credit-related characteristics or variables. Common
characteristics include number of credit lines (trade lines), payment history,
past delinquencies, severity of delinquencies, current levels of indebtedness,
types of credit and length of credit history. Attributes are specific values of
each characteristic. A scorecard (the model) is created with weights or points
assigned to each attribute. An individual loan applicant's credit score is
derived by adding together the attribute weights for the applicant. With respect
to the Mortgage Loans, approximately 95.96% of the related borrowers (based upon
the Cut-Off Date Pool Balance) have FICO scores and their weighted average FICO
score was approximately 720 at the time of scoring.
Each entity from which GCFP purchased the Mortgage Loans has
represented and warranted that each of the Mortgage Loans sold by such entity
was underwritten in accordance with standards utilized by it or the applicable
originator in originating mortgage loans generally comparable to such Mortgage
Loans during the period of origination. The underwriting criteria in accordance
with which the Mortgage Loans were originated are described herein under
"--Underwriting Standards".
S-33
<PAGE>
THE ORIGINATORS
The information set forth in this section contains a brief description
of the originators of Mortgage Loans. The following information has been
provided by MLCC, Bank of America and WMBFA, as applicable, and none of the
Seller, the Depositor or either of the Underwriters makes any representations or
warranties as to the accuracy or completeness of such information.
Merrill Lynch Credit Corporation
MLCC, an indirect subsidiary of Merrill Lynch & Co., Inc. ("ML & CO."),
is a Delaware corporation qualified to do business (to the extent qualification
is required) in each state where its mortgage program is offered. It maintains
licenses in various states as a real estate or mortgage broker, and/or as a
mortgage banker, and/or as a first or second mortgage lender, as applicable. It
also has the following approvals: HUD nonsupervised one- to four-family
mortgagee; FHA approved mortgagee; Fannie Mae first and second mortgage one- to
four-family seller/servicer; Freddie Mac first and second mortgage one- to
four-family seller/servicer; Ginnie Mae mortgage backed securities issuer under
the Ginnie Mae I and Ginnie Mae II single family programs; and supervised VA
lender.
MLCC's offices are located in Jacksonville, Florida. MLCC generally
does not establish local offices in the states where its loans are offered, but
has, in the past, and where required, appointed employees of other Merrill Lynch
companies which do have local offices as officers or agents of MLCC, and has
used the other Merrill Lynch companies' local offices as MLCC's local offices
for licensing purposes.
MLCC is in the business of originating, purchasing and servicing real
estate mortgage loans secured by conforming and non-conforming fixed and
adjustable rate mortgage loans (including its PrimeFirst(R) mortgages) and other
loan products. MLCC also originates home equity lines of credit to individuals.
MLCC currently originates and services loans in fifty states, the District of
Columbia and the U.S. Virgin Islands.
MLCC's mortgage programs are marketed primarily through financial
consultants employed by Merrill Lynch, Pierce, Fenner & Smith Incorporated and
mortgage and credit specialists employed by MLCC, as well as through newspaper
and other print advertising and direct marketing campaigns.
Bank of America, N.A.
Bank of America is an indirect wholly-owned subsidiary of Bank of
America Corporation. Bank of America is engaged in a general commercial banking
business, offering a full range of commercial, corporate, international,
financial and retail banking services to corporations, governments and
individuals. Bank of America originates and services residential mortgage loans
and performs subservicing functions for affiliates. Prior to July 23, 1999, Bank
of America was called Bank of America NT&SA. On July 23, 1999, Bank of America
(which prior to July 5, 1999 was known as NationsBank, N.A.) was merged into
Bank of America NT&SA and Bank of America NT&SA changed its name to Bank of
America, N.A. In addition, on December 1, 1999, Bank of America, FSB, an
affiliate for whom Bank of America previously acted as subservicer, merged into
and with Bank of America.
S-34
<PAGE>
Bank of America's headquarters and its executive offices are located at
101 South Tryon Street, Charlotte, North Carolina 28255, and the telephone
number is (704) 388-3232. Bank of America is subject to regulation, supervision
and examination by the Office of the Comptroller of the Currency and has been
approved as a mortgagee and seller/servicer by the Department of Housing and
Urban Development, the Veterans Administration, the Government National Mortgage
Association, Fannie Mae and Freddie Mac.
Washington Mutual Bank, FA
WMBFA services the Mortgage Loans that were originated by itself and by
the other WAMU Entities. WMBFA is a federally chartered savings association.
WMBFA is subject to regulation and examination by the Office of Thrift
Supervision, which is its primary regulator. Its deposit accounts are insured by
the Federal Deposit Insurance Corporation primarily through the Savings
Association Insurance Fund. As a result, the Federal Deposit Insurance
Corporation also has some authority to regulate WMBFA. Washington Mutual, Inc.
acquired WMBFA (then known as American Savings Bank, F.A.) in December 1996. In
October 1997, Great Western Bank, a FSB, was merged with and into WMBFA. In
October 1998, Home Savings of America, FSB was merged with and into WMBFA. As a
federally chartered savings association, WMBFA has authority to make loans
secured by residential and commercial real estate, secured and unsecured
consumer loans, and a limited amount of secured and unsecured commercial loans.
Through its subsidiaries, WMBFA also sells insurance products and offers
securities brokerage services. WMBFA's principal areas of operation are
California, Florida and Texas, where it operates more than 700 consumer
financial centers. WMBFA also operates home loan centers in California, Florida,
Texas and 17 additional states.
The primary mortgage loan servicing office of WMBFA is located at 9200
Oakdale Avenue, Chatsworth, California 91311. Its telephone number is (818)
775-2278.
UNDERWRITING STANDARDS
The information set forth in this section contains descriptions of the
respective underwriting standards of MLCC, Bank of America and the WAMU
Entities.
Underwriting standards are applied by or on behalf of a lender to
evaluate a borrower's credit standing and repayment ability, and the value and
adequacy of the related mortgaged property as collateral. In general, a
prospective borrower applying for a loan is required to fill out a detailed
application designed to provide the underwriting officer with pertinent credit
information. As part of the description of the borrower's financial condition,
the borrower generally is required to provide a current list of assets and
liabilities and a statement of income and expense, as well as an authorization
to apply for a credit report which summarizes the borrower's credit history with
local merchants and lenders and any record of bankruptcy.
The following information has been provided by MLCC, Bank of America
and the WAMU Entities, as applicable, and none of the Seller, the Depositor or
either of the Underwriters makes any representations or warranties as to the
accuracy or completeness of such information.
S-35
<PAGE>
MLCC's Underwriting Process
General. MLCC's underwriting guidelines are applied to evaluate an
applicant's credit standing, financial condition, and repayment ability, as well
as the value and adequacy of the mortgaged property and additional collateral,
if any, as collateral for any loan made by MLCC. As part of the loan application
process, the applicant is required to provide information concerning his or her
assets, liabilities, income and expenses (except as described below), along with
an authorization permitting MLCC to obtain any necessary third party
verifications, including a credit report summarizing the applicant's credit
history. Unless prohibited by applicable state law, the applicant is typically
required to pay an application fee to MLCC.
In evaluating the applicant's ability and willingness to repay the
proposed loan, MLCC reviews the applicant's credit history and outstanding
debts, as reported on the credit report. If an existing mortgage or other
significant debt listed on the loan application is not adequately reported on
the credit report, MLCC generally requests a written or oral verification of the
balance and payment history of such debt from the servicer of such debt.
MLCC verifies the applicant's liquid assets to ensure that the client
has adequate liquid assets to apply toward any required down payment, closing
costs, prepaid interest, and at least two months' worth of cash reserves.
Except as described below, MLCC also evaluates the applicant's income
to determine its stability, probability of continuation, and adequacy to service
the proposed MLCC debt payment. MLCC's guidelines for verifying an applicant's
income and employment are generally as follows. For salaried applicants, MLCC
typically requires a written verification of employment from the applicant's
employer, or a copy of the applicant's two most recent Internal Revenue Service
("IRS") forms 1040 or W-2, a current pay stub, and verbal verification of
employment. Verbal verification of employment is typically obtained directly
from the applicant's employer, but in certain circumstances, may be fulfilled by
contacting the applicant at his or her place of business. For non-salaried
applicants, including self-employed applicants, MLCC requires copies of the
applicant's two most recent federal income tax returns, along with all
supporting schedules. In some cases, MLCC may waive submission of such
supporting schedules if this income is insignificant in relation to the
applicant's overall income, or does not affect the applicant's ability to
qualify for the proposed loan. A self-employed applicant is generally required
to submit a signed profit and loss statement if the applicant's income shows
significant variations from year to year.
In determining the adequacy of the property as collateral for the loan,
a Fannie Mae/Freddie Mac conforming appraisal of the property is performed by an
independent appraiser selected by MLCC, except as noted below. The appraiser is
required to inspect the property and verify that it is in good condition and
that construction or renovation, if new, has been completed. The appraisal
report indicates a value for the property and provides information concerning
marketability, the neighborhood, the property site, interior and exterior
improvements, and the condition of the property. Most of the aforementioned
appraisals may have been prepared by Lender's Service, Inc., in which MLCC holds
a minority interest.
The applicant has the option of directly obtaining a title report or
may choose to have MLCC obtain the report. Generally, all liens must be
satisfied and removed prior to or upon the closing of any of the mortgage loans.
Title insurance is required to be obtained for all mortgage
S-36
<PAGE>
loans. Where applicable, in addition to providing proof of standard hazard
insurance on the property, the applicant is required to obtain, to the extent
available, flood insurance when the subject property is identified as being in a
federally designated flood hazard area.
Once sufficient employment, credit and property information is
obtained, the decision as to whether to approve the loan is based upon the
applicant's income and credit history, the status of title to the mortgaged
property, and the appraised value of the mortgaged property. MLCC also reviews
the level of an applicant's liquid assets as an indication of creditworthiness.
The approval process generally requires that the applicant have a good credit
history and a total debt-service-to-income ratio ("DTI") that generally does not
exceed 38%; however, this limit may be raised to 50% or greater if the borrower
demonstrates satisfactory disposable income and/or other mitigating factors are
present. The DTI ratio is calculated as the ratio of the borrower's total
monthly debt obligations (including the interest-only payment on the proposed
loan at an interest rate that is 2% to 2.50% higher than the original rate),
divided by the borrower's total verified monthly income. In general, it is
MLCC's belief that the DTI ratio is only one of several factors, such as LTV,
credit history, and reserves, that should be considered in making a
determination of an applicant's ability to repay the proposed loan. As part of
the underwriting process, MLCC typically reviews an applicant's credit score.
MLCC considers an applicant's credit score in connection with other factors,
including the applicant's overall credit payment history, level of income,
debts, and assets. It is not MLCC's practice to accept or reject an application
based solely on the basis of the applicant's credit score. MLCC also requires
that the proposed loan have a loan-to-value ratio that generally does not exceed
80%, but under certain circumstances may be up to 100%. MLCC's practice is to
continuously review loan-to-value ratio limits and to adjust such limits where
economic conditions dictate that such adjustments are appropriate. Any negative
comments concerning the quality, condition and current market conditions as
noted in the appraisal report may result in a reduction of the maximum
loan-to-value ratio permitted for the loan. In the case of a loan which is a
purchase money mortgage, MLCC computes the loan's loan-to-value ratio as the
original loan balance divided by the appraised value of the property or the
contract sales price, whichever is lower. In certain limited cases, MLCC may
accept verification of borrower assets and/or status of credit history in
addition to or in lieu of income verification, provided that the borrower meets
certain standards with regard to the ratio of liquid assets to the loan amount
and other compensating factors are present.
Certain of the Mortgage Loans originated by MLCC were originated under
loan programs that do not require verification of borrower income. MLCC's loan
origination process allows for expedited processing on certain loans based on
the risk profile of the loan. During the origination process, MLCC conducts an
assessment of the risk profile of the prospective borrower and subject property
to determine the level of income verification required to process the loan. MLCC
categorizes loans into different processing tracks based upon the overall risk
profile of the loan, as evidenced by the LTV, borrower credit profile, the
liquidity ratio (as described below), type of property, occupancy status, and
proposed loan amount. For loans that demonstrate the lowest level of risk based
upon this categorization, the borrower may not be required to disclose his or
her income in order for MLCC to process the loan.
MLCC uses a "liquidity ratio" as part of its underwriting criteria. The
liquidity ratio is defined as the total amount of a borrower's liquid assets, as
verified by MLCC, divided by the total amount of the proposed loan. For example,
a borrower with $500,000 in verified liquid
S-37
<PAGE>
assets who is requesting a $250,000 loan amount would have a 2.0 liquidity
ratio. Liquid assets are generally defined as cash and cash equivalents,
marginable marketable securities, and retirement accounts. Business assets are
generally not considered part of a borrower's liquid assets unless the business
is 100% owned by the borrower. The liquidity ratio generally excludes all assets
that are pledged or margined, estimated funds required for closing, concentrated
equity positions if the share price is less than $10 and any stock options or
unvested shares of stock. MLCC believes that the accumulation of net worth,
particularly in the form of liquid assets, is a strong indication of
creditworthiness. A borrower who accumulates net worth from earnings and savings
demonstrates a strong ability to manage his or her financial affairs. If the net
worth is in liquid form, it can potentially be used to service the proposed
debt, to pay unexpected debts that may occur, and to protect against short-term
interruptions of income.
The level of income documentation required by MLCC is determined by the
combination of the borrower's credit score and overall credit profile, liquidity
ratio, and the loan-to-value ratio of the proposed loan. Using predetermined
parameters based upon the combination of these factors, adjusted for the
property type and occupancy status, MLCC may require the following different
levels of income disclosure and verification:
(1) no income disclosure;
(2) debt-to-income ratio calculated based on stated income
from the borrower, with no verification of income required
("stated income");
(3) verification of income using streamlined/alternate
documentation; or
(4) full income disclosure and verification.
MLCC originates loans through mortgage brokers that are not affiliated
with MLCC under its mortgage broker program. The mortgage brokers solicit the
prospective borrower and process the documentation described above for such
borrower's loan. Personnel of MLCC review such documentation and underwrite the
loan in accordance with the above described underwriting standards. In that
regard, the related appraisals are either conducted or reviewed by appraisers
who are approved by MLCC. Such loans are closed in the name of, and funded by,
MLCC.
In 1995, MLCC began purchasing mortgage loans from mortgage banking
related entities under its correspondent lending program. In order for MLCC to
approve a lender as a seller under its correspondent lending program, a lender
must meet certain qualifying criteria. These criteria include requirements that
the lender must: (a) be a bank, savings and loan, or HUD-approved mortgagee
which is a Fannie Mae or Freddie Mac seller in good standing; (b) demonstrate at
least three years experience in mortgage originations; (c) have a quality
control plan in place which is acceptable to MLCC; (d) show profitability for
the prior two years; (e) demonstrate a residential loan portfolio with
delinquency rates at or below national averages, as published by the Mortgage
Bankers Association; and (f) have a corporate net worth of at least $2.5 million
and/or a corporate credit history acceptable to MLCC.
Under MLCC's correspondent lending program, the correspondent lender
processes and closes the mortgage loans in its name and thereafter funds the
mortgage loans from its own funds. Personnel of MLCC, or in certain cases, the
correspondent lender, underwrite the loans in accordance with MLCC's standard
underwriting guidelines, as published in the MLCC Seller
S-38
<PAGE>
Guide. Additionally, MLCC conducts a post-closing review on each loan prior to
purchasing it from the correspondent lender.
Upon the approval of a loan, the borrower obtains the loan by paying an
origination fee (employees of ML & Co. and its affiliates generally pay a lower
origination fee) and reimbursing MLCC for all out-of-pocket closing costs
incurred by MLCC, all or part of which fees or costs may be waived by MLCC from
time to time.
The above described underwriting guidelines may be varied in certain
cases, on the basis of compensating factors, as deemed appropriate by MLCC's
underwriting personnel.
MLCC's Additional Collateral Loan Programs. Loans that have a
loan-to-value ratio in excess of 80% are, in general, also either (i) secured by
a security interest in additional collateral (normally securities) owned by the
borrower (such loans being referred to as "MORTGAGE 100=LOANS") or (ii)
supported by a third party guarantee (usually a parent of the borrower), which
in turn is secured by a security interest in collateral (normally securities) or
by a lien on residential real estate of the guarantor and/or supported by the
right to draw on a home equity line of credit extended by MLCC to the guarantor
(such loans being referred to as "PARENT POWER(R) LOANS"). Such loans are also
collectively referred to herein as "ADDITIONAL COLLATERAL LOANS", and the
collateral referred to in clauses (i) and (ii) is herein referred to as
"ADDITIONAL COLLATERAL". The amount of such Additional Collateral generally does
not exceed 30% of the loan amount, although the amount of the Additional
Collateral may exceed 30% of the loan amount if the original principal amount of
the loan exceeds $1,000,000. In limited cases, MLCC may require Additional
Collateral in excess of 30% of the loan amount as part of the underwriting
decision. The requirement to maintain Additional Collateral generally terminates
when the principal balance of such Additional Collateral Loan is reduced to a
predetermined amount set forth in the related pledge agreement or guaranty
agreement, as applicable, or when the loan-to-value ratio for such Additional
Collateral Loan is reduced to MLCC's applicable loan-to-value ratio limit for
such loan by virtue of an increase in the appraised value of the mortgaged
property securing such loan as determined by MLCC. The pledge agreement and the
guaranty agreement, as applicable, and the security interest in such Additional
Collateral, if any, provided in the case of a Mortgage Loan that is an
Additional Collateral Loan will be assigned to the Trustee but will not be part
of the REMIC. To the extent the Mortgage Loans include any Additional Collateral
Loans that are supported by a guarantee that is secured by a lien on residential
real estate, such lien will not be transferred to the Trustee. MLCC will make
all reasonable efforts to realize on any such security interest if the related
Mortgage Loan is liquidated upon default. No assurance can be given as to the
amount of proceeds, if any, that might be realized from such Additional
Collateral. Proceeds from the liquidation of any such Additional Collateral will
be included in net proceeds only when permitted by applicable state law and by
the terms of the related pledge agreement or guaranty agreement, as applicable.
Ambac Assurance Corporation, as surety bond provider (the "SURETY BOND
PROVIDER"), has provided a "LIMITED PURPOSE SURETY BOND" which is intended to
guarantee the receipt by the Trust of certain shortfalls in the net proceeds
realized from the liquidation of any required Additional Collateral (such amount
not to exceed 30% of the original principal amount of the related Additional
Collateral Loan) to the extent any such shortfall results in a loss of principal
on such Additional Collateral Loan that becomes a Liquidated Mortgage Loan, as
more particularly described in, and as limited by, the terms and provisions of
the Limited Purpose
S-39
<PAGE>
Surety Bond. The Limited Purpose Surety Bond will not cover any payments on the
Certificates that are recoverable or sought to be recovered as a voidable
preference under applicable law.
Bank of America's Underwriting Process
Each Mortgage Loan underwritten by Bank of America has been
underwritten in accordance with guidelines established in Bank of America's
Product and Policy Guides (the "BANK OF AMERICA PRODUCT GUIDES"). These
underwriting standards applied by Bank of America in originating or acquiring
mortgage loans are intended to evaluate the applicants' repayment ability,
credit standing and assets available for downpayment, closing costs and cash
reserves. Additionally, guidelines are established regarding the adequacy of the
property as collateral for the loan requested. The underwriting standards as
established in the Bank of America Product Guides are continuously updated to
reflect prevailing conditions in the residential market, new mortgage products,
and the investment market for residential mortgage loans.
The use of standardized underwriting guidelines does not imply that
each specific criterion was satisfied individually. Bank of America will
consider a mortgage loan to be originated in accordance with a given set of
guidelines if, based on an overall qualitative evaluation, the loan is in
substantial compliance with such underwriting guidelines. Even if one or more
specific criteria included in such underwriting guidelines were not satisfied,
if other factors compensated for the standards that were not satisfied, the
mortgage loan may be considered to be in substantial compliance with the
underwriting guidelines.
The real estate lending processes for one- to four-family mortgage
loans follow standard procedures, designed to comply with applicable federal and
state laws and regulations. Initially, a prospective borrower is required to
complete an application designed to provide pertinent information about the
prospective borrower, the property to be financed and the type of loan desired.
Information regarding the property to be financed may be provided by the
prospective borrower after Bank of America has approved, subject to review of
the property to be financed, a loan to the prospective borrower. As part of the
description of the prospective borrower's financial condition, Bank of America
generally requires a description of assets and liabilities and income and
expenses and obtains a credit report, which summarizes the prospective
borrower's credit history with merchants and lenders and any public records,
such as bankruptcy. In general, an employment verification is obtained providing
current and historical income information, and with respect to certain loans, a
telephonic employment confirmation is obtained. Such employment verification may
be obtained, either through analysis of the prospective borrower's W-2 forms for
the most recent two years and year to-date earnings statement or most recent two
years' tax returns, or from the prospective borrower's employer, wherein the
employer reports the length of employment and current salary with that
organization. Self-employed prospective borrowers generally are required to
submit their federal tax returns for the past two years plus year-to-date
financial statements, if the loan application is made 120 days or longer after
the end of the most recent tax year for which a federal tax return was provided.
Bank of America may, as part of its overall evaluation of a prospective
borrower's creditworthiness, use Credit Scores or a combination of Credit Scores
and Mortgage Scores. "CREDIT SCORES" are statistical credit scores designed to
assess a borrower's creditworthiness and likelihood to default on a consumer
obligation over a two-year period based on a borrower's
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<PAGE>
credit history. Credit Scores were not developed to predict the likelihood of
default on mortgage loans and, accordingly, may not be indicative of the ability
of a mortgagor to repay its mortgage loan. A "MORTGAGE SCORE" takes into account
not only a borrower's credit history but also uses statistics to predict how the
majority of loans with common characteristics in a broad group of the population
will perform in the future. The Mortgage Score used by Bank of America will
either have been developed by Bank of America or by a third party and approved
by Bank of America. A prospective borrower with (1) a higher Credit Score or (2)
a higher Credit Score and Mortgage Score, which, in either event, indicates a
more favorable credit history, is eligible for one of Bank of America's
accelerated processing programs. Loans in such programs are subject to less
stringent documentation requirements but require income verification. In
addition, prospective borrowers with a strong asset base and acceptable Credit
Scores may be eligible.
Once all applicable employment and deposit documentation and the credit
report are received, a determination is made as to whether the prospective
mortgagor has sufficient monthly income available (i) to meet the mortgager's
monthly obligations on the proposed mortgage loan and other expenses related to
the mortgaged property (such as property taxes, hazard insurance and maintenance
and utility costs) and (ii) to meet other financial obligations and monthly
living expenses.
To determine the adequacy of the mortgaged property as collateral,
generally an independent appraisal is made of each mortgaged property considered
for financing. In certain instances the appraisal may be conducted by an
employee of Bank of America or an affiliate. An appraiser is required to inspect
the mortgaged property and verify that it is in acceptable condition and that
construction, if recent, has been completed. The evaluation is based on the
appraiser's estimate of value, giving appropriate weight to both the market
value of comparable housing, as well as the cost of replacing the mortgaged
property.
Bank of America's underwriting guidelines in all states (including
anti-deficiency states) require that the value of the mortgaged property being
financed, as indicated by the independent evaluation, currently supports and is
anticipated to support in the future the outstanding loan balance and provides
sufficient value to mitigate the effects of adverse shifts in real estate
values, although there can be no assurance that such value will support the
outstanding loan balance in the future.
Certain of the Mortgage Loans underwritten by Bank of America may have
been purchased by Bank of America from correspondents who have satisfied
financial and operational standards specified by Bank of America in bulk
purchase transactions. These Mortgage Loans were underwritten by the related
correspondents using underwriting standards which may vary from the underwriting
standards used by Bank of America. However, Bank of America has in each case
reviewed and approved the underwriting standards prior to purchase and
determined that such standards are not materially different from the
underwriting standards currently employed by Bank of America. Bank of America
will have performed post-purchase reviews of a sampling of the mortgage loans
for compliance with approved underwriting standards.
WAMU Entities' Underwriting Process
The Mortgage Loans originated by the WAMU Entities have been originated
or acquired by the originators generally in accordance with the following
underwriting guidelines. The following is a general summary of the underwriting
guidelines generally applied by the WAMU
S-41
<PAGE>
Entities. THIS SUMMARY DOES NOT PURPORT TO BE A COMPLETE DESCRIPTION OF THE
UNDERWRITING STANDARDS OF ANY OF THE ORIGINATORS.
All one- to four-family residential mortgage loans must meet acceptable
credit, appraisal and underwriting criteria as established by the WAMU Entities.
These underwriting guidelines are applied in accordance with applicable state
and federal laws and regulations. Underwriting guidelines are established to set
acceptable criteria regarding credit history, repayment ability, adequacy of
necessary liquidity, and adequacy of the collateral. These guidelines generally
conform to secondary market standards.
Additional loan-to-value ratio guidelines are established with respect
to individual programs and loan amount ranges.
Three general sets of underwriting guidelines are applicable:
"Standard", which includes all the basic guidelines and is applied to both fixed
rate and adjustable rate mortgage products; "Portfolio Feature", which includes
some specific enhanced guidelines such as slightly higher loan-to-value ratios,
and 40 year terms, and is available only on adjustable rate mortgage products;
and "Subprime", which allow for deviations from basic guidelines for credit,
collateral and income stability in return for risk-based pricing premiums.
Documentation guidelines are established and are generally classified as "Full
Documentation", "Low Documentation", "Reduced Documentation" and "Streamline
Refinance Documentation". Full Documentation standards include two years of tax
returns for self-employed applicants, paystubs and W-2's for salaried applicants
and bank statements for verification of liquidity. Low Documentation utilizes
income as stated by the borrower in the loan application and, for certain
loan-to-value ratios and loan amounts, assets as stated by the borrower in the
loan application as long as the borrower profile supports the stated amounts. In
all Low Documentation transactions, independent confirmation of the source of
income is obtained using various means such as an interview with the applicant,
employer, clinic, clients, copies of licenses and bank statements. A Reduced
Documentation program utilizes borrower paystubs and W-2 forms and a Streamline
Refinance Documentation program utilizes borrower paystubs and original
appraised value with a current drive-by inspection. All applicants must complete
a standard residential loan application that includes information on income,
employment, assets, debts, payments and specific questions regarding credit
history. Credit history is reviewed and independently confirmed using merged
in-file credit reports. Adequacy and stability of income is established through
a review of the documentation and, for all non-self-employed applicants, a
verbal verification of employment. Self-employed applicants are reviewed using
an analysis of the tax returns provided, supported by financial information.
Bank statements are utilized to support needed liquidity. Calculations are made
to establish the relationship between fixed expenses and gross monthly income,
which should not exceed established guidelines but are reviewed with respect to
the applicant's overall ability to repay the mortgage loan including other
income sources, commitment to the property as evidenced by loan to value, credit
history, other liquid resources, ability to accumulate assets and other
compensating factors.
The adequacy of the collateral is established in all cases using an
evaluation conforming to all applicable regulations. Both the property's value
with respect to recent sales of comparable properties and its conformity to
neighborhood standards are used to establish adequacy. All properties are
physically inspected.
S-42
<PAGE>
All mortgage loans are subject to a sampling by the WAMU Entities'
internal Quality Assurance Department, which reviews and verifies a statistical
sampling of loans on a regular basis. All loans with loan-to-value ratios over
80% have either private mortgage insurance coverage in an amount meeting Fannie
Mae and Freddie Mac requirements or a higher interest rate in lieu of private
mortgage insurance. Adequate title insurance and hazard insurance is required
for all loans. From time to time, loan-to-value ratio exceptions may be made for
creditworthy applicants who exhibit strong compensating factors and well
supported collateral valuations.
SERVICING OF MORTGAGE LOANS
GENERAL
All Mortgage Loans originated by MLCC will be serviced by Cendant
Mortgage Corporation ("CENDANT") or MLCC solely in accordance with the terms of
that certain Master Servicing Agreement, dated as of May 13, 1997, as amended on
December 30, 1998, by and between the Seller and MLCC (the "MLCC SERVICING
CONTRACT").
All Mortgage Loans originated by Bank of America will be serviced by
Bank of America solely in accordance with the terms of that certain Mortgage
Loan Sale and Servicing Agreement, dated September 28, 2000, by and between the
Seller and Bank of America (the "BANK OF AMERICA SERVICING CONTRACT").
All Mortgage Loans originated by the WAMU Entities will be serviced by
WMBFA solely in accordance with the terms of that certain Master Mortgage Loan
Purchase and Servicing Agreement, dated as of October 1, 2000, as amended, among
the Seller and each of the WAMU Entities (the "WMBFA SERVICING CONTRACT" and,
together with the MLCC Servicing Contract and the Bank of America Servicing
Contract, the "SERVICING CONTRACTS").
Each of the Servicing Contracts will be assigned to the Trustee, on
behalf of the Certificateholders, and the rights of the Trustee under each
Servicing Contract will be included in the Trust Fund. Cendant, MLCC, Bank of
America and WMBFA, in their respective capacities as servicers of the related
Mortgage Loans, are collectively referred to herein as the "SERVICERS" and,
each, individually, as a "SERVICER".
Each Servicer will be responsible for servicing the Mortgage Loans
serviced by it under the terms of the applicable Servicing Contract, in each
case employing that degree of skill and care which it employs in servicing
mortgage loans comparable to those Mortgage Loans serviced by it for itself or
others. None of the Servicers will have any servicing obligations with respect
to the Mortgage Loans not serviced by it, unless otherwise provided for under
other separate agreements.
Each Servicer will make reasonable efforts to collect or cause to be
collected all payments called for under the terms and provisions of the Mortgage
Loans serviced by it and, to the extent those procedures are consistent with the
applicable Servicing Contract, will follow collection procedures as are followed
for mortgage loans comparable to the Mortgage Loans in the Trust in the local
areas where each mortgaged property is located.
Under the Servicing Contracts, each Servicer may contract with
subservicers to perform some or all of its servicing duties. Regardless of its
subservicing arrangement, a Servicer will remain liable for its servicing duties
and obligations under the applicable Servicing Contract as if that Servicer
alone were servicing the related Mortgage Loans.
S-43
<PAGE>
CENDANT'S DELINQUENCY AND FORECLOSURE EXPERIENCE
The information set forth in this section has been provided by Cendant
and none of the Seller, the Depositor or either of the Underwriters makes any
representations or warranties as to the accuracy or completeness of such
information.
Pursuant to the MLCC Servicing Contract, Cendant initially will
directly service approximately 90.99% of the Mortgage Loans originated by MLCC,
and will subservice approximately 2.70% of the Mortgage Loans originated by MLCC
on behalf of MLCC. On or about March 1, 2001 and thereafter, Cendant will
directly service an additional 6.31% (approximately) of the Mortgage Loans
originated by MLCC. (All such percentages are calculated on the basis of the
Cut-Off Date Pool Balance.) All of the Mortgage Loans that are serviced by
Cendant are currently serviced substantially in accordance with the provisions
of the MLCC Servicing Contract, as described herein under "The Pooling and
Servicing Agreement and the Servicing Contracts".
Delinquency and Foreclosure Experience. The following table sets forth
the delinquency and foreclosure experience of residential mortgage loans funded
and serviced by Cendant, as of the dates indicated. Cendant's portfolio of
mortgage loans may differ significantly from the Mortgage Loans serviced by
Cendant in terms of interest rates, principal balances, geographic distribution,
loan-to-value ratios and other possibly relevant characteristics. There can be
no assurance, and no representation is made, that the delinquency and
foreclosure experience with respect to the Mortgage Loans serviced by Cendant
will be similar to that reflected in the table below, nor is any representation
made as to the rate at which losses may be experienced on liquidation of
defaulted Mortgage Loans serviced by Cendant. The actual loss and delinquency
experience on the Mortgage Loans serviced by Cendant will depend, among other
things, upon the value of the real estate securing such Mortgage Loans and the
ability of borrowers to make required payments.
DELINQUENCY AND FORECLOSURE EXPERIENCE (1)
<TABLE>
<CAPTION>
AS OF DECEMBER 31 AS OF SEPTEMBER 30
1996 1997 1998 1999 2000
---------------------------------------------------------------------------------------------------
NO. OF PRINCIPAL NO. OF PRINCIPAL NO. OF PRINCIPAL NO. OF PRINCIPAL NO. OF PRINCIPAL
LOANS BALANCE LOANS BALANCE LOANS BALANCE LOANS BALANCE LOANS BALANCE
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Total Portfolio 224,622 $24,825 262,754 $29,702 370,937 $43,041 443,744 $52,158 593,358 $77,710
Period of
Delinquency(2)
30-59 days 3,334 344 5,082 526 8,509 898 9,465 959 14,112 1,603
60-89 days 576 71 961 96 1,572 157 1,756 164 2,989 294
90 days or
more(3) 0 0 324 28 932 92 1,503 137 3,233 301
------- ------- ------- ------- ------- ------- ------- ------- ------- -------
Total
Delinquencies(4) 3,910 $415 6,367 $650 11,013 $1,147 12,724 $1,260 20,334 $2,198
======= ======= ======= ======= ======= ======= ======= ======= ======= =======
Foreclosures/
Bankruptcies/
Real Estate Owned 1,340 $149 2,105 $217 2,881 $272 4,583 $320 2,619 $230
</TABLE>
-------------
(1) The table shows mortgage loans which were delinquent or for which
foreclosure proceedings had been instituted as of the date indicated. All
dollar amounts are in millions and have been rounded to the nearest whole
number.
(2) No mortgage loan is included in this table as delinquent until it is 30 days
past due.
(3) Bankruptcies are included in the delinquent calculation and also in the
"Foreclosure/Bankruptcies/Real Estate Owned" category. The Foreclosure and
Real Estate Owned categories are excludible from the delinquency
calculations.
(4) Entries may not add up to total due to rounding.
While the above foreclosure and delinquency experience is typical of
Cendant's recent experience, there can be no assurance that the experience on
the Mortgage Loans serviced by
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<PAGE>
Cendant will be similar. As a result of the rapid growth experienced by Cendant,
its servicing portfolio is relatively unseasoned. Accordingly, the information
above should not be considered to reflect the credit quality of the Mortgage
Loans serviced by Cendant, or as a basis for assessing the likelihood, amount or
severity of losses on the Mortgage Loans serviced by Cendant. The statistical
data in the table is based on all of the loans in Cendant's servicing portfolio.
The Mortgage Loans serviced by Cendant may be more recently originated than, and
are likely to have other characteristics which distinguish them from, the
majority of the loans in Cendant's servicing portfolio.
BANK OF AMERICA'S DELINQUENCY AND FORECLOSURE EXPERIENCE
The following table summarizes the delinquency and foreclosure
experience on the portfolio of one-to four-family first mortgage loans
originated or acquired by Bank of America or certain of its affiliates and
serviced or subserviced by Bank of America, or serviced by Bank of America for
others, other than (i) mortgage loans acquired through certain mergers with
previously unaffiliated entities, (ii) mortgage loans with respect to which the
servicing rights were acquired by Bank of America in bulk and (iii) certain
other mortgage loans, to the extent such mortgage loans were originated at bank
branches of Bank of America.
The portfolio of mortgage loans serviced by Bank of America includes
both fixed and adjustable interest rate mortgage loans, including "buydown"
mortgage loans, loans with balances conforming to Freddie Mac's and Fannie Mae's
limits as well as jumbo loans, loans with stated maturities of 10 to 40 years
and other types of mortgage loans having a variety of payment characteristics,
and includes mortgage loans secured by mortgaged properties in geographic
locations that may not be representative of the geographic distribution or
concentration of the mortgaged properties securing the Mortgage Loans serviced
by Bank of America. There can be no assurance that the delinquency, foreclosure
and loss experience set forth below will be similar to the results that may be
experienced with respect to the Mortgage Loans serviced by Bank of America.
<TABLE>
<CAPTION>
At September 30, 2000 At December 31, 1999 At December 31, 1998 At December 31, 1997
--------------------- -------------------- -------------------- --------------------
Number/ Outstanding Number/ Outstanding Number/ Outstanding Number/ Outstanding
% of Principal % of Principal % of Principal % of Principal
Mortgage Amount Mortgage Amount Mortgage Amount Mortgage Amount
Loans (In Millions) Loans (In Millions) Loans (In Millions) Loans (In Millions)
-------- ------------- -------- ------------- -------- ------------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Total Portfolio $1,245,346 $175,871.2 $1,166,326 $160,078.3 $1,020,195 $134,348.6 838,176 $104,092.2
Delinquencies *
One Installment
delinquent............ $20,633 2,275.5 $18,632 $1,962.4 $17,085 $1,764.9 16,422 $1,605.5
Percent Delinquent.... 1.7% 1.3% 1.6% 1.2% 1.7% 1.3% 2.0% 1.5%
Two Installments
delinquent............ $4,217 416.8 $3,662 $355.6 $3,606 $352.8 $3,730 $350.6
Percent Delinquent.... 0.3% 0.2% 0.3% 0.2% 0.4% 0.3% 0.4% 0.3%
Three or More
Installments
delinquent............ $4,701 $439.4 $4,266 $391.0 $3,599 $327.2 $4,122 $374.1
Percent Delinquent.... 0.4% 0.2% 0.4% 0.2% 0.4% 0.2% 0.5% 0.4%
In Foreclosure............. $3,847 $381.1 $3,940 $385.4 $4,036 $411.0 $3,380 $363.3
Percent in Foreclosure 0.3% 0.2% 0.3% 0.2% 0.4% 0.3% 0.4% 0.3%
Delinquent and in
Foreclosure $33,398 $3,512.8 $30,500 $3,094.4 $28,326 $2,855.9 $27,654 $2,693.5
Percent Delinquent
and in Foreclosure.... 2.7% 2.0% 2.6% 1.9% 2.8% 2.1% 3.3% 2.6%
</TABLE>
-------------
* A mortgage loan is deemed to have "one installment delinquent" if any
scheduled payment of principal or interest is delinquent past the end of the
month in which such payment was due, "two installments delinquent" if such
delinquency persists past the end of the month following the month in which such
payment was due and so forth.
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<PAGE>
** The sums of the Percent Delinquent and Percent in Foreclosure set forth in
this table may not equal the Percent Delinquent and in Foreclosure due to
rounding.
WMBFA'S NONACCRUAL LOAN STATISTICS
The following table sets forth information concerning nonaccrual single
family residential loans which WMBFA holds in its own portfolio as well as loans
which have been originated by WMBFA or an affiliate and subsequently sold or
securitized with recourse. WMBFA generally places loans on nonaccrual status
when they become four payments delinquent.
<TABLE>
<CAPTION>
December 31,
September 30, ---------------------------------------------
2000 1999 1998 1997
---- ---- ---- ----
(dollars in thousands)
<S> <C> <C> <C> <C>
Nonaccrual loans (1)..................... $ 412,915 $ 508,031 $ 669,419 $ 740,049
Total loans held in portfolio and $75,688,998
sold or securitized with recourse........ $80,060,411 $83,416,351 $82,190,110
Nonaccrual loans as a percentage of 0.55%
total loans held in portfolio and
sold or securitized with recourse........ 0.63% 0.80% 0.90%
Foreclosed loans......................... $ 85,416 $ 106,165 $ 186,223 $ 276,010
</TABLE>
---------------
(1) Nonaccrual loans do not include foreclosed loans. Foreclosed loans are
listed separately in the table above.
MLCC'S DELINQUENCY, LOSS AND FORECLOSURE EXPERIENCE
The information set forth in this section has been provided by MLCC and
none of the Seller, the Depositor or either of the Underwriters makes any
representations or warranties as to the accuracy or completeness of such
information.
Pursuant to the MLCC Servicing Contract, MLCC will directly service
approximately 6.31% of the Mortgage Loans originated by MLCC (by Cut-Off Date
Pool Balance) until on or about March 1, 2001. In addition, MLCC will be the
Servicer of approximately 2.70% of the Mortgage Loans originated by MLCC (by
Cut-Off Date Pool Balance), for which Cendant will act as subservicer. All of
the Mortgage Loans that are serviced by MLCC are currently serviced
substantially in accordance with the terms of the MLCC Servicing Contract, as
described herein under "The Pooling and Servicing Agreement and the Servicing
Contracts".
The following tables contain servicing portfolio information concerning
recent delinquency and foreclosure experience on the portfolio of mortgage loans
serviced by MLCC. No assurances can be given that the delinquency and
foreclosure experience presented in the following tables will be indicative of
the actual experience on the Mortgage Loans serviced by MLCC. The information
provided by MLCC in the following tables is related to the mortgage loans
originated under MLCC's PrimeFirst(R) program.
S-46
<PAGE>
<TABLE>
<CAPTION>
MLCC DELINQUENCY EXPERIENCE
(DOLLARS IN THOUSANDS)
DECEMBER 31, 1996 DECEMBER 31, 1997 DECEMBER 31, 1998 DECEMBER 31, 1999 SEPTEMBER 30, 2000
----------------- ----------------- ----------------- ----------------- ------------------
NUMBER NUMBER NUMBER NUMBER NUMBER
OF PRINCIPAL OF PRINCIPAL OF PRINCIPAL OF PRINCIPAL OF PRINCIPAL
LOANS AMOUNT LOANS AMOUNT LOANS AMOUNT LOANS AMOUNT LOANS AMOUNT
------ --------- ------ --------- ------ --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Loans Outstanding 11,054 $4,331,131 14,159 $5,302,950 11,263 $4,408,862 11,223 $4,526,896 17,276 $6,323,837
Delinquency Period
30-59 Days 180 84,297 183 66,254 184 77,751 199 76,666 421 185,199
60-89 Days 19 6,583 26 18,544 26 9,815 38 15,834 67 27,339
90 Days or More* 29 27,590 24 18,072 34 23,664 15 8,300 27 13,404
------ ---------- ------ ---------- ------ ---------- ------ ---------- ------ ----------
Total Delinquency 228 $ 118,470 233 $ 102,870 244 $ 111,230 252 $ 100,800 515 $ 225,942
====== ========== ====== ========== ====== ========== ====== ========== ====== ==========
Delinquencies as Percent
of Number of Loans
and Principal Amounts
Outstanding 2.06% 2.74% 1.65% 1.94% 2.17% 2.52% 2.25% 2.23% 2.98% 3.57%
Foreclosures 29 $39,100 39 $ 47,396 47 $ 43,681 36 $33,135 39 $24,885
Foreclosures as Percent of
Number of Loans and
Principal Amount
Amount Outstanding 0.26% 0.90% 0.28% 0.89% 0.42% 0.99% 0.32% 0.73% 0.23% 0.39%
</TABLE>
MLCC LOAN LOSS EXPERIENCE
(DOLLARS IN THOUSANDS)
<TABLE>
<CAPTION>
NINE MONTHS
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, SEPTEMBER 30,
1996 1997 1998 1999 2000
------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C>
Average Principal
Balance of Loan Portfolio $3,933,946 $4,817,041 $4,855,906 $4,467,879 $5,425,367
Average Number of Loans
Outstanding During the Period 9,663 12,607 12,711 11,243 14,250
Gross Charge-offs $6,157 $5,363 $4,030 $5,578 $510
Recoveries - 99 2 16 -
Net Charge-offs $6,157 $5,264 $4,028 $5,562 $510
Net Charge-offs as a percent of Avg
Principal Balance Outstanding 0.16% 0.11% 0.08% 0.12% 0.01%
</TABLE>
* Does not include loans subject to bankruptcy proceedings.
S-47
<PAGE>
THE POOLING AND SERVICING AGREEMENT
AND THE SERVICING CONTRACTS
GENERAL
The Certificates will be issued pursuant to the Pooling and Servicing
Agreement, dated as of December 1, 2000 (the "POOLING AND SERVICING AGREEMENT"),
among the Depositor, the Seller and the Trustee. The Trust created under the
Pooling and Servicing Agreement will consist of (i) all of the Depositor's
right, title and interest in the Mortgage Loans, including the related mortgage
notes, mortgages and other related documents, (ii) all payments on or
collections in respect of the Mortgage Loans due after the Cut-Off Date,
together with any proceeds thereof, (iii) any Mortgaged Properties acquired on
behalf of Certificateholders by foreclosure or by deed in lieu of foreclosure,
and any revenues received thereon, (iv) the rights of the Trustee under each
Servicing Contract (including, without limitation, the rights of the Trustee
under all insurance policies required to be maintained), (v) the rights of the
Trustee to enforce the representations and warranties made by the Seller with
respect to the Mortgage Loans pursuant to the Mortgage Loan Purchase Agreement
and (vi) the pledge agreements or guarantee agreements, as applicable, in
respect of the Additional Collateral Loans.
No Servicer will be a party to the Pooling and Servicing Agreement and
will be subject only to, and will perform its servicing obligation solely in
accordance with, the terms of the related Servicing Contract. Accordingly, no
Servicer will make any representation, warranty or covenant in connection with
the transactions described in this prospectus supplement other than the
representations and warranties contained in the related Servicing Contract. Any
description of, or reference to, any servicing obligation on the part of any
Servicer in this prospectus supplement is a description of, or reference to, an
obligation that arises solely pursuant to the related Servicing Contract, which
agreement has been assigned to the Trustee for the benefit of the
Certificateholders.
ASSIGNMENT OF THE MORTGAGE LOANS
On the Closing Date, the Depositor will transfer to the Trust all of
its right, title and interest in and to each of the Mortgage Loans, together
with the related mortgage notes, mortgages and other related documents
(collectively, the "RELATED DOCUMENTS"), including all scheduled payments with
respect to each Mortgage Loan due after the Cut-Off Date. The Trustee,
concurrently with the transfer, will deliver the Certificates to the Depositor.
Each Mortgage Loan transferred to the Trust will be identified on a schedule
prepared by the Seller (the "MORTGAGE LOAN SCHEDULE") and delivered to the
Trustee pursuant to the Pooling and Servicing Agreement. The Mortgage Loan
Schedule will include information such as the Principal Balance of each Mortgage
Loan as of the Cut-Off Date, its Loan Rate and certain additional information.
The Pooling and Servicing Agreement will require that, upon certain
conditions and within the time period specified therein, the Seller deliver or
cause to be delivered to the Trustee (or a custodian, as the Trustee's agent for
such purpose) the mortgage notes evidencing the Mortgage Loans endorsed to the
Trustee on behalf of the Certificateholders, together with the other Related
Documents. In lieu of delivery of an original Mortgage, if an original is not
available or lost, the Seller may deliver or cause to be delivered a true and
complete copy of the original.
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<PAGE>
Within 45 days after the receipt by the Trustee or its agent of the
Related Documents, the Trustee will review the Mortgage Loans and the Related
Documents pursuant to the Pooling and Servicing Agreement. If any Mortgage Loan
or Related Document is found to be defective in any material respect and the
defect is not cured within 90 days following notification to the Seller by the
Trustee (or a custodian, as the Trustee's agent for such purpose), the Seller
will be obligated to either:
o substitute for the defective Mortgage Loan an Eligible Substitute
Mortgage Loan (provided that a substitution is permitted only within
two years of the Closing Date and may not be made unless an opinion of
counsel is provided to the effect that the substitution will not
disqualify the Trust as a REMIC or result in a prohibited transaction
tax under the Code), or
o repurchase the defective Mortgage Loan at a price (the "PURCHASE
PRICE") equal to its outstanding Principal Balance as of the date of
purchase, plus all accrued and unpaid interest thereon, computed at the
Loan Rate through the end of the calendar month in which the purchase
is effected, plus the amount of any unreimbursed Advances and Servicing
Advances made by the related Servicer.
The Purchase Price will be deposited in the related Collection Account
on or prior to the next Determination Date after such obligation arises. The
obligation of the Seller to repurchase or substitute for a defective Mortgage
Loan is the sole remedy regarding any defect in that Mortgage Loan and the
Related Documents available to the Trustee or the Certificateholders.
In connection with the substitution of an Eligible Substitute Mortgage
Loan, the Seller will be required to deposit in the related Collection Account,
on or prior to the next Determination Date after such obligation arises, an
amount (the "SUBSTITUTION ADJUSTMENT") equal to the excess of the Principal
Balance of the defective Mortgage Loan over the Principal Balance of the
Eligible Substitute Mortgage Loan.
An "ELIGIBLE SUBSTITUTE MORTGAGE LOAN" is a Mortgage Loan substituted
by the Seller for a defective Mortgage Loan which must, on the date of the
substitution:
o have an outstanding Principal Balance (or in the case of a substitution
of more than one Mortgage Loan for a single defective Mortgage Loan, an
aggregate Principal Balance), not in excess of, and not more than 5%
less than, the Principal Balance of the defective Mortgage Loan as of
the Due Date in the calendar month during which the substitution
occurs;
o have a Maximum Loan Rate and a Gross Margin not less than those of the
defective Mortgage Loan and have the same Index as the defective
Mortgage Loan;
o have the same Due Date as the defective Mortgage Loan;
o have a remaining term to maturity not more than one year earlier and
not greater than the remaining term to maturity of the defective
Mortgage Loan;
o comply with each representation and warranty as to the Mortgage Loans
set forth in the Pooling and Servicing Agreement (deemed to be made as
of the date of substitution);
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<PAGE>
o have been underwritten or re-underwritten by the Seller in accordance
with the same underwriting criteria and guidelines as the Mortgage Loan
being replaced;
o be of the same or better credit quality as the Mortgage Loan being
replaced; and
o satisfy certain other conditions specified in the Pooling and Servicing
Agreement.
The Seller will make certain representations and warranties as to the
accuracy in all material respects of certain information furnished by it to the
Trustee with respect to each Mortgage Loan (e.g., Principal Balance as of the
Cut-Off Date and the Loan Rate). In addition, the Seller will represent and
warrant, on the Closing Date, that, among other things, (i) at the time of
transfer, the Seller has transferred or assigned all of its right, title and
interest in each Mortgage Loan and the Related Documents, free of any lien, and
(ii) each Mortgage Loan complied, at the time of origination, in all material
respects with applicable state and federal laws. Upon discovery of a breach of
any such representation and warranty which materially and adversely affects the
interests of the Certificateholders in the related Mortgage Loan and Related
Documents, the Seller will have a period of 90 days after discovery or notice of
the breach to effect a cure. If the breach cannot be cured within the 90-day
period, the Seller will be obligated to (i) substitute for the defective
Mortgage Loan an Eligible Substitute Mortgage Loan or (ii) repurchase the
defective Mortgage Loan from the Trust. The same procedure and limitations that
are set forth above for the substitution or repurchase of defective Mortgage
Loans as a result of deficient documentation will apply to the substitution or
purchase of a defective Mortgage Loan as a result of a breach of a
representation or warranty in the Pooling and Servicing Agreement that
materially and adversely affects the interests of the Certificateholders.
PAYMENTS ON MORTGAGE LOANS; DEPOSITS TO COLLECTION ACCOUNTS AND DISTRIBUTION
ACCOUNT
Each Servicer shall establish and maintain or cause to be maintained a
separate trust account (each such account, a "COLLECTION ACCOUNT") for the
benefit of the holders of the Certificates. Each Collection Account will be an
account that generally meets the criteria of an Eligible Account (as defined
below) or that is an account which meets the guidelines set forth by Fannie Mae
or Freddie Mac for collection accounts. Upon receipt by a Servicer of amounts in
respect of the Mortgage Loans that it services (excluding amounts representing
the related Servicing Fee, reimbursement for Advances and Servicing Advances and
insurance proceeds to be applied to the restoration or repair of a Mortgaged
Property or similar items), such Servicer will deposit these amounts in the
related Collection Account. Amounts deposited in any Collection Account may
accrue interest with the depositary institution with which it is held, or may be
invested in certain eligible investments (as set forth in the related Servicing
Contract) maturing no later than one business day prior to (or, in respect of an
eligible investment which is an obligation of the institution that maintains
such Collection Account, on) the date on which the amount on deposit is required
to be deposited in the Distribution Account.
The Trustee will establish and maintain an account (the "DISTRIBUTION
ACCOUNT") into which will be deposited amounts withdrawn from each Collection
Account for distribution to Certificateholders on a Distribution Date. The
Distribution Account will be an Eligible Account. Amounts on deposit in the
Distribution Account may, at the option of the Trustee and for its own account,
be invested in Permitted Investments maturing on or before the business day
prior to the related Distribution Date unless such Permitted Investments are
invested in investments managed
S-50
<PAGE>
or advised by the Trustee or one of its affiliates, in which case the Permitted
Investments may mature on the related Distribution Date.
The "SERVICER REMITTANCE DATE" with respect to any Distribution Date is
the 18th day of the calendar month of such Distribution Date or, if the 18th day
is not a business day, the first business day after the 18th day, commencing in
January 2001.
An "ELIGIBLE ACCOUNT" is a segregated account that is:
o an account or accounts maintained with a federal or state chartered
depository institution or trust company the short-term unsecured debt
obligations of which (or, in the case of a depository institution or
trust company that is the principal subsidiary of a holding company,
the short-term unsecured debt obligations of that holding company) are
rated A-1 or its equivalent by S&P and F-1 by Fitch at the time any
amounts are held on deposit therein,
o an account or accounts the deposits in which are fully insured by the
Federal Deposit Insurance Corporation (to the limits established by
it), the uninsured deposits in which account are otherwise secured such
that, as evidenced by an opinion of counsel delivered to the Trustee
and to the Rating Agencies, the Certificateholders will have a claim
with respect to the funds in such account or a perfected first priority
security interest against such collateral (which shall be limited to
Permitted Investments) securing such funds that is superior to claims
of any other depositors or creditors of the depository institution with
which such account is maintained,
o a trust account or accounts maintained with the trust department of a
federal or state chartered depository institution, national banking
association or trust company acting in its fiduciary capacity; or
o otherwise acceptable to the Rating Agencies without reduction or
withdrawal of its then current ratings of the Offered Certificates as
evidenced by a letter from each Rating Agency to the Trustee.
Permitted Investments are specified in the Pooling and Servicing
Agreement and are limited to investments which meet the criteria of each Rating
Agency from time to time as being consistent with its then current ratings of
the Offered Certificates.
ADVANCES
Subject to the following limitations, each Servicer will be obligated
to advance or cause to be advanced not later than the Servicer Remittance Date
its own funds, or funds in the related Collection Account that are not included
or includible in the Available Funds for the related Distribution Date, in an
amount equal to the aggregate of all payments of principal and interest, net of
the related Servicing Fee, that were due during the related Due Period on
Mortgage Loans serviced by it and that were delinquent on the related
Determination Date, plus certain amounts representing assumed payments not
covered by any current net income on the related Mortgaged Properties acquired
by foreclosure or deed in lieu of foreclosure (any such advance, an "ADVANCE").
S-51
<PAGE>
The purpose of making Advances is to maintain a regular cash flow to
the Certificateholders, rather than to guarantee or insure against losses. Each
Servicer is obligated to make Advances on each Mortgage Loan serviced by it
unless, in such Servicer's reasonable judgment, such Advances are deemed to be
non-recoverable from related late collections, insurance proceeds or liquidation
proceeds. Subject to the recoverability standard above, any Servicer's
obligation to make Advances as to any Mortgage Loan will continue until the
Mortgage Loan is paid in full or until the recovery of all related liquidation
proceeds.
Any Advance made by any Servicer will be reimbursable to such Servicer
from late collections, insurance proceeds and liquidation proceeds from the
Mortgage Loan as to which such unreimbursed Advance was made. In addition, any
Advances previously made in respect of any Mortgage Loan that are deemed by the
related Servicer to be non-recoverable from related late collections, insurance
proceeds or liquidation proceeds may be reimbursed to such Servicer out of any
funds in the related Collection Account prior to payments on the Certificates.
In the event that any Servicer fails in its obligation to make an Advance, the
Trustee, in its capacity as successor Servicer, will be obligated to make the
Advance to the extent required in the Pooling and Servicing Agreement.
In the course of performing its servicing obligations, each Servicer
will pay, with respect to the Mortgage Loans that it services, all reasonable
and customary "out-of-pocket" costs and expenses (including reasonable
attorneys' fees and disbursements) incurred in the performance of its servicing
obligations, including, but not limited to, the cost of (i) the preservation,
restoration, inspection and protection of the Mortgaged Properties, (ii) any
enforcement or judicial proceedings, including foreclosures, and (iii) the
management and liquidation of Mortgaged Properties acquired in satisfaction of
the related Mortgages. Each such expenditure will constitute a "SERVICING
ADVANCE". Each Servicer is obligated to pay certain insurance premiums and
certain ongoing expenses associated with the Mortgage Loans that it services and
incurred by such Servicer in connection with its responsibilities under the
related Servicing Contract, and is entitled to reimbursement for them as
provided in the related Servicing Contract.
Each Servicer's right to reimbursement for Servicing Advances is
limited to late collections on the related Mortgage Loan, including liquidation
proceeds, released Mortgaged Property proceeds, insurance proceeds and such
other amounts as may be collected by such Servicer from the related Mortgagor or
otherwise relating to the Mortgage Loan in respect of which the unreimbursed
amounts are owed, unless the amounts are deemed to be non-recoverable by such
Servicer, in which event such Servicer will be reimbursed from general funds in
the related Collection Account.
SERVICING FEES AND OTHER COMPENSATION AND PAYMENT OF EXPENSES
The Expense Fees are payable out of the interest payments on each
Mortgage Loan. The Expense Fees will vary from Mortgage Loan to Mortgage Loan.
The Expense Fees accrue at a per annum rate (each, an "EXPENSE FEE
RATE") calculated on the Principal Balance of the related Mortgage Loan. The
"EXPENSE FEES" consist of (i) the related servicing compensation (each a
"SERVICING FEE") payable to each Servicer in respect of its servicing activities
for the related Mortgage Loans at the related per annum servicing fee rate
(each, a "SERVICING FEE RATE") calculated on the Principal Balance of each
Mortgage Loan and (ii) compensation payable to the Trustee at the rate of
0.0085% per annum (the "TRUSTEE FEE
S-52
<PAGE>
RATE") calculated on the Principal Balance of each Mortgage Loan. The Servicing
Fee Rates range from 0.250% to 0.483% and the weighted average Servicing Fee
Rate is approximately 0.345% (such weighted average rate calculated on the basis
of the Cut-Off Date Pool Balance). The amount of a Servicer's Servicing Fee is
subject to adjustment with respect to prepaid Mortgage Loans that it services,
as described below under "--Adjustment to Servicing Fee in Connection with
Prepaid Mortgage Loans". As additional servicing compensation, each Servicer is
entitled to retain, with respect to the Mortgage Loans that it services, all
Servicer-related fees, including assumption fees, modification fees, extension
fees, late payment charges and other ancillary fees, to the extent collected
from Mortgagors, together with any interest or other income earned on funds held
in the related Collection Account and any escrow accounts.
The "DETERMINATION DATE" with respect to any Distribution Date will be
the sixth business day prior to such Distribution Date.
ADJUSTMENTS TO SERVICING FEES IN CONNECTION WITH PREPAID MORTGAGE LOANS
When a Mortgagor makes a full or partial prepayment of a Mortgage Loan
between Due Dates, the Mortgagor is required to pay interest on the amount
prepaid only to the date of prepayment. Principal prepayments by Mortgagors
received by a Servicer in a calendar month will be distributed to
Certificateholders on the Distribution Date in the month following the month of
receipt and, accordingly, a shortfall in the amount of interest to be
distributed to Certificateholders with respect to the prepaid Mortgage Loans
will result (a "PREPAYMENT INTEREST SHORTFALL").
Pursuant to each Servicing Contract, the Servicing Fee payable to the
Servicer for any month will be reduced so as to pass through to
Certificateholders certain amounts of interest to which they otherwise would be
entitled, in the absence of such a prepayment, for each prepaid Mortgage Loan on
the related Distribution Date. The amount that each Servicer is obligated to
remit to the Trust, with respect to each Mortgage Loan serviced by it
("COMPENSATING INTEREST"), will be an amount equal to the lesser of:
(i) any shortfall for the previous month in interest collections resulting
from the timing of principal prepayments in full (and partial principal
prepayments, in the case of MLCC) made during the calendar month
preceding the date of such remittance; and
(ii) the aggregate Servicing Fee that such Servicer is entitled to receive
(or, in the case of Bank of America, actually receives) from the Trust
for the calendar month in which the remittance is made (or, in the case
of MLCC, for the most recently ended calendar month).
If the Prepayment Interest Shortfall exceeds an amount equal to the Servicing
Fee otherwise payable on the related Distribution Date, the amount of interest
available to be distributed to Certificateholders will be reduced by the amount
of the excess. See "Description of the Certificates--Interest".
THE TRUSTEE
Bankers Trust Company of California, N.A., a national banking
association, will act as Trustee (the "TRUSTEE") under the Pooling and Servicing
Agreement. For the purpose of meeting
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<PAGE>
the legal requirements of some jurisdictions, the Servicers and the Trustee,
acting jointly (or in some instances, the Trustee, acting alone), will have the
power to appoint co-trustees or separate trustees, if necessary, to comply with
the fiduciary requirements imposed by any jurisdiction in which a Mortgaged
Property is located. In the event of an appointment, all rights, powers, duties
and obligations conferred or imposed upon the Trustee by the Agreement will be
conferred or imposed upon the Trustee and the co-trustee or separate trustee
jointly, or, in any jurisdiction where the Trustee is incompetent or unqualified
to perform some acts, singly upon the applicable co-trustee or separate trustee
who shall exercise and perform those rights, powers, duties and obligations
solely at the direction of the Trustee.
The Trustee may resign at any time, in which event the Depositor will
be obligated to appoint a successor trustee. The Depositor may also remove the
Trustee if the Trustee ceases to be eligible to serve, becomes legally unable to
act, is adjudged insolvent or is placed in receivership or similar proceedings.
In those circumstances, the Depositor will be obligated to appoint a successor
trustee. However, any resignation or removal of the Trustee and appointment of a
successor trustee will not become effective until acceptance of the appointment
by the successor trustee.
The Trustee's Corporate Trust Office is located at 1761 E. St. Andrews
Place, Santa Ana, California 92705 Attn: HarborView Mortgage Loan Trust 2000-2.
Offered Certificates may be surrendered at the Corporate Trust Office or at any
other address as the Trustee may designate from time to time. The Seller, the
Depositor, the Servicers and their respective affiliates may have other banking
relationships with the Trustee and its affiliates in the ordinary course of
their business.
VOTING RIGHTS
With respect to any date of determination, 1% of the voting rights will
be allocated to the Class X-1 and Class X-2 Certificates (pro rata, based on a
fraction, expressed as a percentage, the numerator of which is the Certificate
Notional Balance of the Class X-1 or Class X-2 Certificates, as the case may be,
and the denominator of which is the aggregate of the Certificate Notional
Balances of all Class X-1 and Class X-2 Certificates then outstanding) and the
remainder of the voting rights will be allocated to each of the other Classes of
Certificates, pro rata, based on a fraction, expressed as a percentage, the
numerator of which is the Certificate Principal Balance of such Class and the
denominator of which is the aggregate of the Certificate Principal Balances of
all Classes then outstanding; provided, however, that the Class A-R Certificate
and the Subordinate Certificates will not be entitled to any voting rights for
so long as any Class A-1, Class A-2 or Class A-3 Certificates remain
outstanding; and, provided further, that when none of the Regular Certificates
is outstanding, 100% of the voting rights will be allocated to the Holder of the
Class A-R Certificate. The voting rights allocated to a Class of Certificates
will be allocated among all Holders of such Class, pro rata, based on a fraction
the numerator of which is the Certificate Principal Balance or Certificate
Notional Balance, as applicable, of each Certificate of such Class and the
denominator of which is the Certificate Principal Balance or Certificate
Notional Balance, as applicable, of such Class; provided, however, that any
Certificate registered in the name of the Seller, any Servicer, the Depositor or
the Trustee or any of their respective affiliates will not be included in the
calculation of Voting Rights.
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<PAGE>
AMENDMENT
The Pooling and Servicing Agreement may be amended by the Depositor,
the Seller and the Trustee, without the consent of the holders of the
Certificates, for any of the purposes set forth under "The Pooling and Servicing
Agreement--Amendment" in the prospectus. In addition, the Pooling and Servicing
Agreement may be amended by the Depositor, the Seller and the Trustee, with the
consent of the holders of a majority in interest of each Class of Offered
Certificates affected thereby, for the purpose of adding any provisions to or
changing in any manner or eliminating any of the provisions of the Pooling and
Servicing Agreement or of modifying in any manner the rights of the holders of
any Class of Offered Certificates; provided, however, that no such amendment
may:
o reduce in any manner the amount of, or delay the timing of,
distributions required to be made on any Class of Offered Certificates
without the consent of the holders of all the affected Certificates;
o adversely affect in any material respect the interests of the holders
of any Class of Offered Certificates in a manner other than as
described in the clause above, without the consent of the holders of
that Class evidencing percentage interests aggregating at least 66%; or
o reduce the aforesaid percentages of the aggregate outstanding principal
amounts of the Offered Certificates, the holders of which are required
to consent to any such amendment, without the consent of the holders of
all those Certificates.
Each of the Servicing Contracts may be amended from time to time by the
parties thereto (and, in the case of the MLCC Servicing Contract, by the parties
thereto and Cendant) only by written agreement among such parties.
TERMINATION
The holder of the Class A-R Certificate will have the right to
repurchase all of the Mortgage Loans and REO Properties, and thereby effect the
early retirement of the Certificates, on any Distribution Date on which the Pool
Balance is equal to or less than 10% of the Cut-Off Date Pool Balance (the
"OPTIONAL TERMINATION Date"). In the event that the option is exercised, the
repurchase will be made at a price (the "TERMINATION Price") generally equal to
par plus accrued interest for each Mortgage Loan at the related Loan Rate up to
but not including the first day of the month in which the Termination Price is
paid, plus the amount of any unreimbursed Advances and Servicing Advances made
by the related Servicer in respect of such Mortgage Loan. Proceeds from the
repurchase will be included in Available Funds and will be distributed to the
holders of the Certificates in accordance with the Pooling and Servicing
Agreement. Any repurchase of the Mortgage Loans and REO Properties in accordance
with this paragraph will result in the early retirement of any outstanding
Certificates.
FORECLOSURE PROCEEDINGS FOR DEFAULTED LOANS
As to any Mortgage Loan which is Delinquent in payment by 90 days or
more, the related Servicer shall commence foreclosure proceedings in respect of
such Mortgage Loan.
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<PAGE>
CALL OPTION AFFECTING THE CLASS A-1, CLASS A-2 AND CLASS A-3 CERTIFICATES
During the five business day period ending at the close of business on
the Distribution Date occurring in June 2005, a third-party not affiliated with
any of the Seller, any Servicer, the Depositor, the Trustee or either of the
Underwriters (the "SENIOR CALL OPTION HOLDER") will have the right (the "SENIOR
CALL OPTION") to purchase all, but not less than all, of the Class A-1
Certificates, the right to purchase all, but not less than all, of the Class A-2
Certificates and the right to purchase all, but not less than all, of the Class
A-3 Certificates, and Greenwich Capital Markets, Inc. (in such capacity, the
"CLASS B-1 CALL OPTION HOLDER" and, together with the Senior Call Option Holder,
the "CALL OPTION HOLDERS") will have the right (the "CLASS B-1 CALL OPTION" and,
together with each Senior Call Option, the "CALL OPTIONS") to purchase all, but
not less than all, of the Class B-1 Certificates, in each case on the
Distribution Date occurring in August 2005 (the "CALL OPTION DATE"). Neither
Call Option is transferable.
The purchase price for any Class A-1, Class A-2, Class A-3 or Class B-1
Certificate for which the related Call Option Holder has exercised a Call Option
will be the sum of (A) the outstanding Certificate Principal Balance of such
Certificate on the Call Option Date, after giving effect to distributions
otherwise made on such date, plus (B) accrued and unpaid interest on the
outstanding Certificate Principal Balance of such Certificate immediately prior
to the Call Option Date at the applicable Pass-Through Rate.
EVENTS OF SERVICING TERMINATION
An "EVENT OF SERVICING TERMINATION" with respect to any Servicer will
consist of, among other things:
o any failure by that Servicer to make an Advance and any other failure
by that Servicer to deposit in the related Collection Account or the
Distribution Account the required amounts or to remit to the Trustee
any payment which continues unremedied for three business days (or, in
the case of WMBFA, one business day) following written notice to that
Servicer;
o any failure by that Servicer to make a Servicing Advance or to observe
or perform in any material respect any other of its covenants or
agreements in the related Servicing Contract, which continues
unremedied for 30 days (or 15 days, for each of MLCC, Cendant and
WMBFA, in the case of a failure to pay any premium for any insurance
policy required to be maintained under the related Servicing Contract)
after the date on which written notice of the failure is given to that
Servicer; or
o insolvency, readjustment of debt, marshalling of assets and liabilities
or similar proceedings, and certain actions by or on behalf of that
Servicer indicating its insolvency or inability to pay its obligations.
RESIGNATION OF SERVICERS
Each Servicing Contract prohibits the resignation of any Servicer
thereunder, except upon (a) appointment of a successor Servicer or (b) a
determination that its duties thereunder are no longer permitted under
applicable law. No such resignation will be effective until a successor Servicer
has assumed such servicing obligations in the manner provided in the applicable
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Servicing Contract. Also, the Pooling and Servicing Agreement provides that the
Trustee may not accept the resignation of any Servicer or appoint a successor
Servicer unless the Trustee has received a letter from each Rating Agency that
such resignation and appointment will not result in a downgrading of the rating
of any of the Certificates.
RIGHTS UPON EVENT OF SERVICING TERMINATION
So long as an Event of Servicing Termination under a Servicing Contract
with respect to the Servicer thereunder remains unremedied, the Trustee may
(and, pursuant to the Pooling and Servicing Agreement, if so directed by holders
of Offered Certificates evidencing not less than 51% of the Voting Rights,
shall) terminate all of the rights and obligations of that Servicer in its
capacity as Servicer of the Mortgage Loans, as provided in such Servicing
Contract. Upon such a termination, the Trustee will succeed or appoint a
successor to succeed to all of the responsibilities and duties of the terminated
Servicer under the related Servicing Contract, including the obligation to make
Advances. There generally will be a period of transition, not to exceed 90 days,
for the transfer of actual servicing of the related Mortgage Loans to the
Trustee or any successor Servicer appointed by the Trustee. In connection with
the termination of a Servicer, the Trustee will be entitled to be reimbursed by
the Trust Fund (in the event that such Servicer does not timely reimburse the
Trustee) for all of the reasonable costs associated with the termination of such
Servicer, appointment of any successor Servicer and the transfer of servicing to
a successor Servicer, including, without limitation all reasonable costs or
expenses associated with the completion, correction or manipulation of servicing
data as may be required to correct any errors or insufficiencies in the
servicing data or otherwise to enable the Trustee or the successor Servicer to
service the related Mortgage Loans properly and effectively. No assurance can be
given that termination of the rights and obligations of a Servicer under the
related Servicing Contract would not adversely affect the servicing of the
related Mortgage Loans, including the loss and delinquency experience of those
Mortgage Loans.
No holder of an Offered Certificate, solely by virtue of its status as
a holder of an Offered Certificate, will have any right under the Pooling and
Servicing Agreement to institute any proceeding with respect thereto, unless the
holder previously has given to the Trustee written notice of default and unless
the holders of Offered Certificates having not less than 51% of the Voting
Rights so agree and have offered indemnity reasonably acceptable to the Trustee.
DESCRIPTION OF THE CERTIFICATES
GENERAL
The Certificates will be issued pursuant to the Pooling and Servicing
Agreement. Set forth below are summaries of the specific terms and provisions
pursuant to which the Offered Certificates will be issued. The following
summaries do not purport to be complete and are subject to, and are qualified in
their entirety by reference to, the provisions of the Pooling and Servicing
Agreement. When particular provisions or terms used in the Pooling and Servicing
Agreement are referred to, the actual provisions (including definitions of
terms) are incorporated in this prospectus supplement by reference.
HarborView Mortgage Loan Trust 2000-2 will issue the Class A-1, Class
A-2, Class A-3, Class X-1, Class X-2 and Class A-R Certificates (together, the
"SENIOR CERTIFICATES"), the Class B-1, Class B-2, and Class B-3 Certificates
(together with the Senior Certificates, the "OFFERED
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CERTIFICATES") and the Class B-4, Class B-5 and Class B-6 Certificates (together
with the Class B-1, Class B-2 and Class B-3 Certificates, the "SUBORDINATE
CERTIFICATES"). The Senior Certificates and the Subordinate Certificates are
collectively referred to in this prospectus supplement as the "CERTIFICATES".
Only the Offered Certificates are offered by this prospectus supplement and the
accompanying prospectus.
The Classes of Offered Certificates (other than the Class X-1 and Class
X-2 Certificates) will have the respective initial Certificate Principal
Balances set forth on the cover page. THE CERTIFICATE PRINCIPAL BALANCES MAY
VARY IN THE AGGREGATE BY 10%.
The Classes of Offered Certificates will have the respective
Pass-Through Rates described in this prospectus supplement under "--Interest"
below.
The Class X-1 and Class X-2 Certificates will not have a Certificate
Principal Balance and will be entitled only to interest on their respective
Certificate Notional Balances. The "CERTIFICATE NOTIONAL BALANCE" for any
Distribution Date (i) for the Class X-1 Certificates, will be equal to the
Certificate Principal Balance of the Class A-2 Certificates immediately prior to
such Distribution Date and (ii) for the Class X-2 Certificates, will be equal to
the Pool Balance for such Distribution Date. Interest distributable to holders
of the Class X-1 and Class X-2 Certificates on any Distribution Date will be
calculated on the basis of interest accrued on their respective Certificate
Notional Balances during the related Interest Accrual Period (as defined
herein).
The Class B-4, Class B-5 and Class B-6 Certificates are not offered by
this prospectus supplement. The initial Certificate Principal Balances of the
Class B-4, Class B-5 and Class B-6 Certificates will be approximately
$2,038,000, $1,297,000 and $1,486,234, respectively (plus or minus 10%). The
pass-through rates for the Class B-4, Class B-5 and Class B-6 Certificates will
be equal to the pass-through rate on the Class B-2 and Class B-3 Certificates.
The Offered Certificates, other than the Class A-R Certificate, will be
issued in book-entry form as described below. The Offered Certificates, other
than the Class A-R Certificate, will be issued in minimum dollar denominations
(or, in the case of the Class X-1 and Class X-2 Certificates, notional balances)
of $25,000 and integral multiples of $1 in excess thereof. The assumed final
maturity date (each, an "ASSUMED FINAL DISTRIBUTION DATE") for each of the Class
A-1, Class A-2, Class A-3, Class X, Class A-R, Class B-1, Class B-2 and Class
B-3 Certificates is the Distribution Date in December 2030. The Assumed Final
Distribution Date is the Distribution Date in the first month following the
month of the latest scheduled maturity date of any Mortgage Loan.
Distributions on the Offered Certificates will be made by the Trustee
on the business day immediately succeeding the related Servicer Remittance Date,
commencing in January 2001 (each, a "DISTRIBUTION DATE"), to the persons in
whose names the Offered Certificates are registered at the close of business on
the Record Date. The "RECORD DATE" for any Distribution Date with respect to the
Offered Certificates is the last business day of the month immediately preceding
the month in which such Distribution Date occurs.
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BOOK-ENTRY CERTIFICATES
The Offered Certificates (other than the Class A-R Certificate) will be
book-entry certificates ("BOOK-ENTRY CERTIFICATES"). Persons acquiring
beneficial ownership interests in the Book-Entry Certificates ("CERTIFICATE
OWNERS") will hold such Certificates through The Depository Trust Company
("DTC") in the United States, or Clearstream, Luxembourg or Euroclear (in
Europe) if they are participants of such systems (each, a "PARTICIPANT"), or
indirectly through organizations which are Participants in such systems. The
Book-Entry Certificates will be issued in one or more certificates which equal
the aggregate Certificate Principal Balance of such Certificates and will
initially be registered in the name of Cede & Co., the nominee of DTC.
Clearstream, Luxembourg and Euroclear will hold omnibus positions on behalf of
their participants through customers' securities accounts in Clearstream,
Luxembourg's and Euroclear's names on the books of their respective depositaries
which in turn will hold such positions in customers' securities accounts in the
depositaries' names on the books of DTC. Citibank will act as depositary for
Clearstream, Luxembourg and The Chase Manhattan Bank will act as depositary for
Euroclear (in such capacities, individually the "RELEVANT DEPOSITARY" and
collectively the "EUROPEAN DEPOSITARIES"). Investors may hold such beneficial
interests in the Book-Entry Certificates in minimum denominations of $25,000.
Except as described below, no person acquiring a Book-Entry Certificate (each, a
"BENEFICIAL OWNER") will be entitled to receive a physical certificate
representing such Certificate (a "DEFINITIVE CERTIFICATE"). Unless and until
Definitive Certificates are issued, it is anticipated that the only
"CERTIFICATEHOLDER" of the Offered Certificates will be Cede & Co., as nominee
of DTC. Certificate Owners will not be Certificateholders as that term is used
in the Pooling and Servicing Agreement. Certificate Owners are only permitted to
exercise their rights indirectly through Participants and DTC.
The beneficial owner's ownership of a Book-Entry Certificate will be
recorded on the records of the brokerage firm, bank, thrift institution or other
financial intermediary (each, a "FINANCIAL INTERMEDIARY") that maintains the
beneficial owner's account for such purpose. In turn, the Financial
Intermediary's ownership of the Book-Entry Certificate will be recorded on the
records of DTC (or of a Participant that acts as agent for the Financial
Intermediary, whose interest will in turn be recorded on the records of DTC, if
the beneficial owner's Financial Intermediary is not a Participant and on the
records of Clearstream, Luxembourg or Euroclear, as appropriate).
Certificate Owners will receive all distributions of principal of and
interest on the Book-Entry Certificates from the Trustee through DTC and DTC
Participants. While the Book-Entry Certificates are outstanding (except under
the circumstances described below), under the rules, regulations and procedures
creating and affecting DTC and its operations ("DTC'S RULES"), DTC is required
to make book-entry transfers among Participants on whose behalf it acts with
respect to the Book-Entry Certificates and is required to receive and transmit
distributions of principal of, and interest on, the Book-Entry Certificates.
Participants and indirect participants with which Certificate Owners have
accounts with respect to Book-Entry Certificates similarly are required to make
book-entry transfers and receive and transmit such distributions on behalf of
their respective Certificate Owners. Accordingly, although Certificate Owners
will not possess certificates representing their respective interests in the
Book-Entry Certificates, DTC's Rules provide a mechanism by which Certificate
Owners will receive distributions and will be able to transfer their interest.
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Certificateholders will not receive or be entitled to receive
certificates representing their respective interests in the Book-Entry
Certificates, except under the limited circumstances described below. Unless and
until Definitive Certificates are issued, Certificateholders who are not
Participants may transfer ownership of Book-Entry Certificates only through
Participants and indirect participants by instructing such Participants and
indirect participants to transfer Book-Entry Certificates, by book-entry
transfer, through DTC for the account of the purchasers of the Book-Entry
Certificates, which account is maintained with their respective Participants.
Under DTC's Rules and in accordance with DTC's normal procedures, transfers of
ownership of Book-Entry Certificates will be executed through DTC and the
accounts of the respective Participants at DTC will be debited and credited.
Similarly, the Participants and indirect participants will make debits or
credits, as the case may be, on their records on behalf of the selling and
purchasing Certificateholders.
Because of time zone differences, credits of securities received in
Clearstream, Luxembourg or Euroclear as a result of a transaction with a
Participant will be made during subsequent securities settlement processing and
dated the business day following the DTC settlement date. Such credits or any
transactions in such securities settled during such processing will be reported
to the relevant Euroclear or Clearstream, Luxembourg Participants on such
business day. Cash received in Clearstream, Luxembourg or Euroclear as a result
of sales of securities by or through a Clearstream, Luxembourg Participant (as
defined below) or Euroclear Participant (as defined below) to a DTC Participant
will be received with value on the DTC settlement date but will be available in
the relevant Clearstream, Luxembourg or Euroclear cash account only as of the
business day following settlement in DTC. For information with respect to tax
documentation procedures relating to the Certificates, see "Certain Material
Federal Income Tax Consequences--REMIC Certificates--Regular
Certificates--Non-U.S. Persons", "--Information Reporting and Backup
Withholding" and "New Withholding Regulations" in the prospectus.
Transfers between Participants will occur in accordance with DTC's
rules. Transfers between Clearstream, Luxembourg Participants and Euroclear
Participants will occur in accordance with their respective rules and operating
procedures.
Cross-market transfers between persons holding directly or indirectly
through DTC, on the one hand, and directly or indirectly through Clearstream,
Luxembourg Participants or Euroclear Participants, on the other, will be
effected in DTC in accordance with DTC rules on behalf of the relevant European
international clearing system by the Relevant Depositary; however, such cross
market transactions will require delivery of instructions to the relevant
European international clearing system by the counterparty in such system in
accordance with its rules and procedures and within its established deadlines
(European time). The relevant European international clearing system will, if
the transaction meets its settlement requirements, deliver instructions to the
Relevant Depositary to take action to effect final settlement on its behalf by
delivering or receiving securities in DTC, and making or receiving payment in
accordance with normal procedures for same day funds settlement applicable to
DTC. Clearstream, Luxembourg Participants and Euroclear Participants may not
deliver instructions directly to the European Depositaries.
DTC which is a New York-chartered limited purpose trust company,
performs services for its participants, some of which (and/or their
representatives) own DTC. In accordance with its normal procedures, DTC is
expected to record the positions held by each Participant in the
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Book-Entry Certificates, whether held for its own account or as a nominee for
another person. In general, beneficial ownership of Book-Entry Certificates will
be subject to the Rules, as in effect from time to time.
Clearstream Banking, societe anonyme (formerly Cedelbank, "CLEARSTREAM,
LUXEMBOURG"), 67 Bd Grande-Duchesse Charlotte, L-2967 Luxembourg, was
incorporated in 1970 as a limited company under Luxembourg law. Clearstream,
Luxembourg is owned by banks, securities dealers and financial institutions, and
currently has about 92 shareholders, including U.S. financial institutions or
their subsidiaries. No single entity may own more than five percent of
Clearstream, Luxembourg's stock.
Clearstream, Luxembourg is registered as a bank in Luxembourg, and as
such is subject to regulation by the Institute Monetaire Luxembourgeois, "IML",
the Luxembourg Monetary Authority, which supervises Luxembourg banks.
Clearstream, Luxembourg holds securities for its customers
("CLEARSTREAM, LUXEMBOURG PARTICIPANTS") and facilitates the clearance and
settlement of securities transactions by electronic book-entry transfers between
their accounts. Clearstream, Luxembourg provides various services, including
safekeeping, administration, clearance and settlement of internationally traded
securities and securities lending and borrowing. Clearstream, Luxembourg also
deals with domestic securities markets in several countries through established
depository and custodial relationships. Clearstream, Luxembourg has established
an electronic bridge with Morgan Guaranty Trust as the Euroclear Operator in
Brussels to facilitate settlement of trades between systems. Clearstream,
Luxembourg currently accepts over 70,000 securities issues on its books.
Clearstream, Luxembourg's customers are world-wide financial
institutions including underwriters, securities brokers and dealers, banks,
trust companies and clearing corporations. Clearstream, Luxembourg's United
States customers are limited to securities brokers and dealers and banks.
Currently, Clearstream, Luxembourg has approximately 2,000 customers located in
over 80 countries, including all major European countries, Canada, and the
United States. Indirect access to Clearstream, Luxembourg is available to other
institutions which clear through or maintain a custodial relationship with an
account holder of Clearstream, Luxembourg.
The Euroclear System ("EUROCLEAR") was created in 1968 to hold
securities for its participants ("EUROCLEAR PARTICIPANTS") and to clear and
settle transactions between Euroclear Participants through simultaneous
electronic book-entry delivery against payment, thereby eliminating the need for
physical movement of certificates and any risk from lack of simultaneous
transfers of securities and cash. Transactions may be settled in any of 29
currencies, including United States dollars. Euroclear includes various other
services, including securities lending and borrowing and interfaces with
domestic markets in several countries generally similar to the arrangements for
cross-market transfers with DTC described above. Euroclear is operated by the
Brussels, Belgium office of Morgan Guaranty Trust Company of New York (the
"EUROCLEAR OPERATOR"), under contract with Euroclear Clearance Systems S.C., a
Belgian cooperative corporation (the "COOPERATIVE"). All operations are
conducted by the Euroclear Operator, and all Euroclear securities clearance
accounts and Euroclear cash accounts are accounts with the Euroclear Operator,
not the Cooperative. The Cooperative establishes policy for Euroclear on behalf
of Euroclear Participants. Euroclear Participants include banks (including
central banks), securities brokers and dealers and other professional financial
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intermediaries. Indirect access to Euroclear is also available to other firms
that clear through or maintain a custodial relationship with a Euroclear
Participant, either directly or indirectly.
The Euroclear Operator is the Belgian branch of a New York banking
corporation which is a member bank of the Federal Reserve System. As such, it is
regulated and examined by the Board of Governors of the Federal Reserve System
and the New York State Banking Department, as well as the Belgian Banking
Commission.
Securities clearance accounts and cash accounts with the Euroclear
Operator are governed by the Terms and Conditions Governing Use of Euroclear and
the related Operating Procedures of the Euroclear System and applicable Belgian
law (collectively, the "TERMS AND CONDITIONS"). The Terms and Conditions govern
transfers of securities and cash within Euroclear, withdrawals of securities and
cash from Euroclear, and receipts of payments with respect to securities in
Euroclear. All securities in Euroclear are held on a fungible basis without
attribution of specific certificates to specific securities clearance accounts.
The Euroclear Operator acts under the Terms and Conditions only on behalf of
Euroclear Participants, and has no record of or relationship with persons
holding through Euroclear Participants.
Distributions on the Book-Entry Certificates will be made on each
Distribution Date by the Trustee to DTC. DTC will be responsible for crediting
the amount of such payments to the accounts of the applicable Participants in
accordance with DTC's normal procedures. Each Participant will be responsible
for disbursing such payments to the beneficial owners of the Book-Entry
Certificates that it represents and to each Financial Intermediary for which it
acts as agent. Each such Financial Intermediary will be responsible for
disbursing funds to the beneficial owners of the Book-Entry Certificates that it
represents.
Under a book-entry format, beneficial owners of the Book-Entry
Certificates may experience some delay in their receipt of payments, since such
payments will be forwarded by the Trustee to Cede & Co. Distributions with
respect to Certificates held through Clearstream, Luxembourg or Euroclear will
be credited to the cash accounts of Clearstream, Luxembourg Participants or
Euroclear Participants in accordance with the relevant system's rules and
procedures, to the extent received by the Relevant Depositary. Such
distributions will be subject to tax reporting in accordance with relevant
United States tax laws and regulations. See "Certain Material Federal Income Tax
Consequences--Non-U.S. Persons", "--Backup Withholding" and "--New Withholding
Regulations" in the prospectus. Because DTC can only act on behalf of Financial
Intermediaries, the ability of a beneficial owner to pledge Book-Entry
Certificates to persons or entities that do not participate in the DTC system,
or otherwise take actions in respect of the Book-Entry Certificates, may be
limited due to the lack of physical certificates for the Book-Entry
Certificates. In addition, issuance of the Book-Entry Certificates in book-entry
form may reduce the liquidity of such Certificates in the secondary market since
certain potential investors may be unwilling to purchase Certificates for which
they cannot obtain physical certificates.
Monthly and annual reports on the Trust will be provided to Cede & Co.,
as nominee of DTC, and may be made available by Cede & Co. to beneficial owners
upon request, in accordance with DTC's Rules, and to the Financial
Intermediaries to whose DTC accounts the Book-Entry Certificates of such
beneficial owners are credited.
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DTC has advised the Trustee that, unless and until Definitive
Certificates are issued, DTC will take any action permitted to be taken by the
holders of the Book-Entry Certificates under the Pooling and Servicing Agreement
only at the direction of one or more Financial Intermediaries to whose DTC
accounts the Book-Entry Certificates are credited, to the extent that such
actions are taken on behalf of Financial Intermediaries whose holdings include
such Book-Entry Certificates. Clearstream, Luxembourg or the Euroclear Operator,
as the case may be, will take any other action permitted to be taken by a
Certificateholder under the Pooling and Servicing Agreement on behalf of a
Clearstream, Luxembourg Participant or Euroclear Participant only in accordance
with its relevant rules and procedures and subject to the ability of the
Relevant Depositary to effect such actions on its behalf through DTC. DTC may
take actions, at the direction of the related Participants, with respect to some
Book-Entry Certificates which conflict with actions taken with respect to other
Book-Entry Certificates.
Definitive Certificates will be issued to beneficial owners of the
Book-Entry Certificates, or their nominees, rather than to DTC, only if (a) DTC
or the Depositor advises the Trustee in writing that DTC is no longer willing,
qualified or able to discharge properly its responsibilities as nominee and
depository with respect to the Book-Entry Certificates and the Depositor or the
Trustee is unable to locate a qualified successor, (b) the Depositor, at its
sole option, with the consent of the Trustee, elects to terminate a book-entry
system through DTC or (c) after the occurrence of an Event of Default,
beneficial owners having Percentage Interests aggregating not less than 51% of
the Book-Entry Certificates advise the Trustee and DTC through the Financial
Intermediaries and the DTC participants in writing that the continuation of a
book-entry system through DTC (or a successor thereto) is no longer in the best
interests of beneficial owners.
Upon the occurrence of any of the events described in the immediately
preceding paragraph, the Trustee will use all reasonable efforts to notify all
beneficial owners of the occurrence of such event and the availability through
DTC of Definitive Certificates. Upon surrender by DTC of the global certificate
or certificates representing the Book-Entry Certificates and instructions for
re-registration, the Trustee will issue Definitive Certificates, and thereafter
the Trustee will recognize the holders of such Definitive Certificates as
Certificateholders under the Pooling and Servicing Agreement.
Although DTC, Clearstream, Luxembourg and Euroclear have agreed to the
foregoing procedures in order to facilitate transfers of Book-Entry Certificates
among participants of DTC, Clearstream, Luxembourg and Euroclear, they are under
no obligation to perform or continue to perform such procedures and such
procedures may be discontinued at any time.
None of the Seller, the Depositor, any Servicer or the Trustee will
have any responsibility for any aspect of the records relating to or payments
made on account of beneficial ownership interests of the Book-Entry Certificates
held by Cede & Co., as nominee for DTC, or for maintaining, supervising or
reviewing any records relating to such beneficial ownership interests. The
Trustee will not be required to monitor, determine or inquire as to compliance
with the transfer restrictions with respect to the Subordinate Certificates in
the form of Book-Entry Certificates, and the Trustee will have no liability for
transfers of Book-Entry Certificates or any interests therein made in violation
of the restrictions on transfer described in this prospectus supplement and the
Pooling and Servicing Agreement.
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According to DTC, the foregoing information with respect to DTC has
been provided to the industry for informational purposes only and is not
intended to serve as a representation, warranty, or contract modification of any
kind.
PRIORITY OF DISTRIBUTIONS OF THE CERTIFICATES
As more fully described herein, on each Distribution Date distribution
of Available Funds will be made in the following order of priority:
(i) to interest on the Classes of Senior Certificates, on a pro
rata basis;
(ii) to principal of the Class A-R Certificate;
(iii) to principal of the Class A-1, Class A-2 and Class A-3
Certificates, sequentially, calculated as described in this
prospectus supplement under "--Principal";
(iv) to interest on, and then principal of, each Class of
Subordinate Certificates, in the order of their numerical
Class designations, beginning with the Class B-1 Certificates,
subject to certain limitations described in this prospectus
supplement under "--Principal"; and
(v) to the Class A-R Certificate.
The "AVAILABLE FUNDS" for any Distribution Date will be equal to:
(A) the aggregate, for all of the Mortgage Loans, of the sum of
the following with respect to each Mortgage Loan:
o all scheduled installments of interest (net of the
related Expense Fees) and principal due on the Due
Date in the month in which such Distribution Date
occurs and received prior to the related
Determination Date, together with any Advances in
respect of such Mortgage Loan;
o all proceeds of any insurance policies with respect
to such Mortgage Loan, to the extent such proceeds
are not applied to the restoration of the related
Mortgaged Property or released to the related
Mortgagor in accordance with the related Servicer's
normal servicing procedures (collectively, "INSURANCE
PROCEEDS") and, if such Mortgage Loan is a defaulted
Mortgage Loan, all other cash amounts received and
retained in connection with the liquidation of such
Mortgage Loan, by foreclosure or otherwise
("LIQUIDATION PROCEEDS") during the month preceding
the month of such Distribution Date (in each case,
net of unreimbursed expenses incurred in connection
with a liquidation or foreclosure and unreimbursed
Advances, if any (such net amount, "NET LIQUIDATION
PROCEEDS"));
o any amount of Compensating Interest received in
respect of such Mortgage Loan from the related
Servicer for such Distribution Date;
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o all partial or full prepayments of such Mortgage Loan
received during the month preceding the month of such
Distribution Date; and
o if such Mortgage Loan is defective and is repurchased
by the Seller or the related Servicer as of such
Distribution Date, amounts received with respect to
such Distribution Date as the Substitution Adjustment
or Purchase Price in respect of such Mortgage Loan;
reduced by
(B) amounts in reimbursement for Advances previously made in
respect of such Mortgage Loan and other amounts as to which
the related Servicer is entitled to be reimbursed pursuant to
the related Servicing Contract.
INTEREST
The Classes of Offered Certificates will have the respective
pass-through rates described below.
On each Distribution Date, to the extent of funds available therefor,
each Class of Offered Certificates will be entitled to receive an amount
allocable to interest for the related Interest Accrual Period. This interest
distributable amount for any such Class will be equal to the sum of (i) interest
at the applicable pass-through rate on the related Certificate Principal Balance
or Certificate Notional Balance and (ii) the sum of the amounts, if any, by
which the amount described in clause (i) above on each prior Distribution Date
exceeded the amount actually distributed as interest on the prior Distribution
Dates and not subsequently distributed (which are called unpaid interest
amounts).
The "INTEREST ACCRUAL PERIOD" for each Distribution Date will be, for
all Offered Certificates, the calendar month preceding the month of such
Distribution Date, determined on the basis of an assumed 360-day year consisting
of twelve 30-day months.
The interest entitlement described above for each Class of Certificates
for any Distribution Date will be reduced by the amount of Net Interest
Shortfall experienced by the Mortgage Loans. With respect to any Distribution
Date, the "NET INTEREST SHORTFALL" is equal to:
o any Net Prepayment Interest Shortfalls for that Distribution
Date; and
o the amount of interest that would otherwise have been received
with respect to any Mortgage Loan that was the subject of a
Relief Act Reduction or a Special Hazard Loss, Fraud Loss,
Debt Service Reduction or Deficient Valuation, after the
exhaustion of the respective amounts of coverage provided by
the Subordinate Certificates for those types of losses.
Net Interest Shortfalls on any Distribution Date will be allocated pro
rata among all Classes of Senior Certificates and all Classes of the Subordinate
Certificates, based on the amount of interest each such Class of Certificates
would otherwise be entitled to receive on such Distribution Date before taking
into account any reduction in such amounts from such Net Interest Shortfalls.
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A "RELIEF ACT REDUCTION" is a reduction in the amount of the monthly
interest payment on a Mortgage Loan pursuant to the Soldiers' and Sailors' Civil
Relief Act of 1940. See "Certain Legal Aspects of the Mortgage Loans--Soldiers'
and Sailors' Civil Relief Act" in the prospectus. With respect to any
Distribution Date, the "NEt PREPAYMENT INTEREST SHORTFALL" is the amount by
which the aggregate of Prepayment Interest Shortfalls experienced by the
Mortgage Loans during the calendar month preceding the month of the Distribution
Date exceeds the aggregate amount payable on the Distribution Date by the
Servicers as described under "The Pooling and Servicing Agreement and the
Servicing Contracts"--Adjustment to Servicing Fees in Connection with Prepaid
Mortgage Loans".
If, on a particular Distribution Date, Available Funds in the
Certificate Account applied in the order described above under "--Priority of
Distributions of the Certificates" are not sufficient to make a full
distribution of the interest entitlement on the Certificates, interest will be
distributed on each Class of Certificates of equal priority based on the amount
of interest it would otherwise have been entitled to receive in the absence of
the shortfall. Any unpaid interest amount will be carried forward and added to
the amount holders of each Class of Certificates will be entitled to receive on
the next Distribution Date. A shortfall could occur, for example, if losses
realized on the Mortgage Loans were exceptionally high or were concentrated in a
particular month. Any unpaid interest amount so carried forward will not bear
interest.
PASS-THROUGH RATES
The "PASS-THROUGH RATE" for the Class A-1, Class A-2, Class A-3, Class
B-1, Class B-2 and Class B-3 Certificates on any Distribution Date on or prior
to the Distribution Date in August 2005 will equal the lesser of the applicable
Fixed Rate (set forth below) and the Net WAC for the Mortgage Loans.
CLASS FIXED RATE
----- ----------
Class A-1 6.86%
Class A-2 6.97%
Class A-3 7.135%
Class B-1 7.46%
Class B-2 and Class B-3 7.50%
On each Distribution Date thereafter, the Pass-Through Rate for the
Class A-1, Class A-2, Class A-3, Class B-1, Class B-2 and Class B-3 Certificates
will equal the lesser of (A) the weighted average of (1) the fixed Loan Rates
for any Mortgage Loans with respect to which an initial fixed-rate period is
continuing, minus the related Expense Fee Rates and (2) the underlying Indices
of all Mortgage Loans other than those referenced in clause (1) above plus (x)
2.25% in the case of One-Year CMT indexed Mortgage Loans or (y) 1.10% in the
case of Six-Month LIBOR indexed Mortgage Loans and (B) the Net WAC for the
Mortgage Loans.
The "PASS-THROUGH RATE" for the Class X-1 Certificates on any
Distribution Date will equal the lesser of (A) 1.70% and (B) an annual rate
equal to (1) the rate calculated as the Net WAC for the Mortgage Loans for such
Distribution Date minus the weighted average of the Pass-Through Rates for all
Classes of Certificates, other than the Class X-1 and Class X-2
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Certificates, multiplied by (2) a fraction of which (x) the numerator is the
Pool Balance for such Distribution Date and (y) the denominator is the
Certificate Principal Balance of the Class A-2 Certificates for such
Distribution Date (before distributions on the Class A-2 Certificates on such
Distribution Date).
The "PASS-THROUGH RATE" for the Class X-2 Certificates on any
Distribution Date will equal the Net WAC for the Mortgage Loans minus the
weighted average of the Pass-Through Rates for all other Classes of Certificates
for such Distribution Date.
The "PASS-THROUGH RATE" for the Class A-R Certificate will equal the
Net WAC for the Mortgage Loans.
The "NET WAC" for all or part of the Mortgage Loans for any
Distribution Date will be equal to the weighted average for such Mortgage Loans
of the difference between, in respect of each such Mortgage Loan, (x) the Loan
Rate of such Mortgage Loan as of the first day of the month preceding the month
of that Distribution Date (or, in the case of the first Distribution Date, the
Cut-Off Date) and (y) the Expense Fee Rate applicable to such Mortgage Loan,
calculated on the basis of the related Principal Balance as of the first day of
the month preceding the month in which such Distribution Date occurs (or, in the
case of the first Distribution Date, as of the Cut-Off Date).
PRINCIPAL
General. All payments and other amounts received in respect of
principal of the Mortgage Loans will be allocated between the Senior
Certificates (other than the Class X-1 and Class X-2 Certificates) and
Subordinate Certificates.
Principal Distribution Amount. On each Distribution Date, the Principal
Distribution Amount with respect to each Class of Certificates (other than the
Class X-1 and Class X-2 Certificates) will be applied as principal.
The "PRINCIPAL DISTRIBUTION AMOUNT" for any Distribution Date will be
equal to the aggregate, for all the Mortgage Loans, of the sum of, with respect
to each Mortgage Loan:
(i) each scheduled payment of principal collected or advanced on
such Mortgage Loan by the related Servicer in the related Due
Period;
(ii) if such Mortgage Loan is repurchased, that portion of the
Purchase Price, representing principal of such Mortgage Loan,
deposited in the related Collection Account during the related
Prepayment Period;
(iii) the principal portion of any related Substitution Adjustments
in respect of such Mortgage Loan deposited in the related
Collection Account during the related Prepayment Period;
(iv) if such Mortgage Loan is not yet a Liquidated Mortgage Loan,
the principal portion of all Insurance Proceeds received
during the related Prepayment Period with respect to such
Mortgage Loan;
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(v) if such Mortgage Loan is a Liquidated Mortgage Loan, the
principal portion of all Net Liquidation Proceeds received
during the related Prepayment Period with respect to such
Mortgage Loan; and
(vi) the principal portion of all partial and full principal
prepayments of such Mortgage Loan received during the related
Prepayment Period.
Senior Principal Distribution Amount. On each Distribution Date, the
Principal Distribution Amount, up to the Senior Principal Distribution Amount,
will be distributed as principal of the Class A-R, Class A-1, Class A-2 and
Class A-3 Certificates, sequentially in that order, until their respective
Certificate Principal Balances are reduced to zero.
The "CERTIFICATE PRINCIPAL BALANCE" of any Class of Offered
Certificates on any Distribution Date will be equal to its Certificate Principal
Balance on the Closing Date (the "ORIGINAL CERTIFICATE PRINCIPAL BALANCE")
reduced by the sum of (i) all amounts actually distributed in respect of
principal of that Class on all prior Distribution Dates and (ii) all Realized
Losses applied in reduction of principal of that Class on all prior Distribution
Dates.
A "DUE PERIOD" for any Distribution Date is the period commencing on
the second day of the month preceding the month in which that Distribution Date
occurs and ending on the first day of the month in which that Distribution Date
occurs.
The "PREPAYMENT PERIOD" for any Distribution Date means the calendar
month preceding the month in which that Distribution Date occurs.
The "SENIOR PRINCIPAL DISTRIBUTION AMOUNT" for any Distribution Date
will equal the sum of:
(i) the Senior Percentage of all amounts described in clauses (i)
through (iv) of the definition of "Principal Distribution
Amount" for that Distribution Date;
(ii) for each Mortgage Loan that became a Liquidated Mortgage Loan
prior to the related Determination Date, the lesser of:
(a) the Senior Percentage of the Stated Principal Balance
of that Mortgage Loan and
either
(b) the Senior Prepayment Percentage of the amount of the
Net Liquidation Proceeds allocable to principal
received on that Mortgage Loan; or
(c) if an Excess Loss was sustained on the Liquidated
Mortgage Loan during the preceding calendar month,
the Senior Percentage of the applicable amount of the
Net Liquidation Proceeds allocable to principal
received on that Mortgage Loan; and
(iii) the Senior Prepayment Percentage of the amounts described in
clause (vi) of the definition "Principal Distribution Amount"
for that Distribution Date;
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provided, however, that if a Bankruptcy Loss that is an Excess Loss is sustained
on a Mortgage Loan that is not a Liquidated Mortgage Loan, the Senior Principal
Distribution Amount will be reduced on the related Distribution Date by the
Senior Percentage of the principal portion of the Bankruptcy Loss.
"STATED PRINCIPAL BALANCE" means, for any Mortgage Loan and Due Date,
the unpaid Principal Balance of the Mortgage Loan as of the Due Date, as
specified in its amortization schedule at the time (before any adjustment to the
amortization schedule for any moratorium or similar waiver or grace period),
after giving effect to any previous partial prepayments and Net Liquidation
Proceeds received and to the payment of principal due on the Due Date and
irrespective of any delinquency in payment by the related mortgagor.
Except as described below, the "SENIOR PERCENTAGE" for any Distribution
Date occurring before January 2011 will equal 100%. The Senior Percentage for
any Distribution Date occurring (i) before January 2011 but in or after December
2003 on which the Two Times Test is satisfied, or (ii) in or after January 2011,
is the Pro Rata Senior Percentage. If the Two Times Test is satisfied prior to
December 2003, the Senior Percentage is the Pro Rata Senior Percentage plus 50%
of an amount equal to 100% minus the Pro Rata Senior Percentage.
The "PRO RATA SENIOR PERCENTAGE" is the percentage equivalent of a
fraction the numerator of which is the aggregate of the Certificate Principal
Balances of all Classes of Senior Certificates immediately prior to such
Distribution Date and the denominator of which is the Pool Balance for such
Distribution Date.
The "SUBORDINATE PERCENTAGE" for any Distribution Date is the
difference between 100% and the Senior Percentage for such Distribution Date.
The "SENIOR PREPAYMENT PERCENTAGE" for any Distribution Date occurring
before January 2011 will equal 100%. Thereafter, the Senior Prepayment
Percentage will be subject to gradual reduction as described in the following
paragraphs. This disproportionate allocation of unscheduled payments of
principal will have the effect of accelerating the amortization of the Senior
Certificates while, in the absence of Realized Losses, increasing the interest
in the Principal Balance of the Mortgage Loans evidenced by the Subordinate
Certificates. Increasing the respective interest of the Subordinate Certificates
relative to that of the Senior Certificates is intended to preserve the
availability of the subordination provided by the Subordinate Certificates. The
"SUBORDINATE PREPAYMENT PERCENTAGE" for any Distribution Date will be calculated
as the difference between 100% and the Senior Prepayment Percentage for such
Distribution Date.
The Senior Prepayment Percentage of a Class of Senior Certificates
(other than the Class X-1 and Class X-2 Certificates) for any Distribution Date
occurring on or after the tenth anniversary of the first Distribution Date will
be as follows:
o for any Distribution Date in the first year thereafter, the Senior
Percentage plus 70% of the Subordinate Percentage for the Distribution
Date;
o for any Distribution Date in the second year thereafter, the Senior
Percentage plus 60% of the Subordinate Percentage for the Distribution
Date;
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o for any Distribution Date in the third year thereafter, the Senior
Percentage plus 40% of the Subordinate Percentage for the Distribution
Date;
o for any Distribution Date in the fourth year thereafter, the Senior
Percentage plus 20% of the Subordinate Percentage for the Distribution
Date; and
o for any Distribution Date thereafter, the Senior Percentage for the
Distribution Date,
unless on such Distribution Date the Senior Percentage exceeds the initial Pro
Rata Senior Percentage, in which case such Senior Prepayment Percentage for the
Distribution Date will once again equal 100%.
Notwithstanding the foregoing, no decrease in the Senior Prepayment
Percentage will occur unless both of the step down conditions listed below are
satisfied with respect to the Mortgage Loans:
first, the outstanding Principal Balance of all Mortgage Loans
delinquent 60 days or more (including Mortgage Loans in REO
and foreclosure) (averaged over the preceding six month
period), as a percentage of the aggregate Certificate
Principal Balance of the Subordinate Certificates, does not
equal or exceed 50%, and
second cumulative Realized Losses on the Mortgage Loans do not
exceed:
o for the Distribution Date on the tenth anniversary of
the first Distribution Date, 30% of the aggregate
Certificate Principal Balance of the Subordinate
Certificates as of the Closing Date (the "ORIGINAL
SUBORDINATE CERTIFICATE PRINCIPAL BALANCE"),
o for the Distribution Date on the eleventh anniversary
of the first Distribution Date, 35% of the Original
Subordinate Certificate Principal Balance,
o for the Distribution Date on the twelfth anniversary
of the first Distribution Date, 40% of the Original
Subordinate Certificate Principal Balance,
o for the Distribution Date on the thirteenth
anniversary of the first Distribution Date, 45% of
the Original Subordinate Certificate Principal
Balance, and
o for the Distribution Date on the fourteenth
anniversary of the first Distribution Date, 50% of
the Original Subordinate Certificate Principal
Balance.
Notwithstanding the preceding paragraphs, if on any Distribution Date
(a) the Aggregate Subordinated Percentage is at least two times the
Aggregate Subordinated Percentage as of the Closing Date,
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(b) the delinquency test set forth above is satisfied, and
(c) cumulative Realized Losses do not exceed 30% of the Original
Subordinate Certificate Principal Balance (collectively, the "TWO TIMES
TEST"),
the Senior Prepayment Percentage will equal the Senior Percentage for such
Distribution Date.
For any Distribution Date, the "AGGREGATE SUBORDINATED PERCENTAGE" is
the percentage equivalent of a fraction, the numerator of which is the aggregate
Certificate Principal Balance of the Subordinate Certificates immediately prior
to such Distribution Date and the denominator of which is the Pool Balance for
such Distribution Date.
If on any Distribution Date the allocation to the Classes of Senior
Certificates then entitled to distributions of scheduled principal and full and
partial principal prepayments and other amounts in the percentages required
above would reduce the outstanding Certificate Principal Balance of the Class or
Classes below zero, the distribution to the Class or Classes of Certificates of
the Senior Prepayment Percentage and Senior Percentage of those amounts for the
Distribution Date will be limited to the percentages necessary to reduce the
related Certificate Principal Balance(s) to zero.
Subordinate Principal Distribution Amount. Except as provided in the
next paragraph, each Class of Subordinate Certificates will be entitled to
receive on each Distribution Date its pro rata share of the Subordinate
Principal Distribution Amount (based on its respective Certificate Principal
Balance), in each case to the extent of the amount available from Available
Funds for distribution of principal on such Class, as described above under
"--Priority of Distributions Among Certificates". Distributions of principal of
the Subordinate Certificates will be made on each Distribution Date sequentially
to the Classes of Subordinate Certificates in the order of their numerical Class
designations, beginning with the Class B-1 Certificates, until each such Class
has received its respective pro rata share for such Distribution Date.
With respect to each Class of Subordinate Certificates, if on any
Distribution Date the sum of the related Class Subordination Percentages of such
Class and all Classes of Subordinate Certificates which have higher numerical
Class designations than such Class (the "APPLICABLE CREDIT SUPPORT PERCENTAGE")
is less than the Applicable Credit Support Percentage for such Class on the date
of issuance of the Certificates (the "ORIGINAL APPLICABLE CREDIT SUPPORT
PERCENTAGE"), no distribution of principal prepayments will be made to any such
Classes (the "RESTRICTED CLASSES") and the amount otherwise distributable to the
Restricted Classes in respect of such principal prepayments will be allocated
among the remaining Classes of Subordinate Certificates, pro rata, based upon
their respective Certificate Principal Balances, and distributed in the order
described above.
The "CLASS SUBORDINATION PERCENTAGE" with respect to any Distribution
Date and each Class of Subordinate Certificates, will equal the fraction
(expressed as a percentage) the numerator of which is the Certificate Principal
Balance of the Class of Subordinate Certificates immediately before the
Distribution Date and the denominator of which is the aggregate of the
Certificate Principal Balances of all Classes of Certificates immediately before
the Distribution Date.
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The approximate Original Applicable Credit Support Percentages for the
Subordinate Certificates on the date of issuance of the certificates are
expected to be as follows:
Class B-1 5.25%
Class B-2 2.75%
Class B-3 2.00%
Class B-4 1.30%
Class B-5 0.75%
Class B-6 0.40%
The "SUBORDINATE PRINCIPAL DISTRIBUTION AMOUNT" for any Distribution
Date will equal the sum of:
(i) the Subordinate Percentage of all amounts described in clauses
(i) through (iv) of the definition of "Principal Distribution
Amount" for the Distribution Date,
(ii) for each Mortgage Loan that became a Liquidated Mortgage Loan
during the calendar month preceding the month of the
Distribution Date, that portion of the Net Liquidation
Proceeds allocable to principal received on the Mortgage Loan,
after application of the amounts pursuant to clause (ii) of
the definition of "Senior Principal Distribution Amount" up to
the Subordinate Percentage of the Stated Principal Balance of
the Mortgage Loan, and
(iii) the Subordinate Prepayment Percentage of the applicable
amounts described in clause (vi) of the definition of
"Principal Distribution Amount" for the Distribution Date.
ALLOCATION OF LOSSES
On each Distribution Date, all Realized Losses, other than Excess
Losses, with respect to the Mortgage Loans will be allocated first to the
Classes of Subordinate Certificates, in the reverse order of their numerical
Class designations (beginning with the Class of Subordinate Certificates then
outstanding with the highest numerical Class designation), in each case until
the Certificate Principal Balances of the respective Classes of Subordinate
Certificates have been reduced to zero, and then to the Classes of Senior
Certificates, other than the Class X-1 and Class X-2 Certificates, pro rata,
until their respective Certificate Principal Balances have been reduced to zero.
If on any Distribution Date, the aggregate of the Certificate Principal Balances
of all Classes of Certificates following all distributions and the allocation of
Realized Losses on such Distribution Date exceeds the Pool Balance as of the Due
Date occurring in the month of such Distribution Date, the Certificate Principal
Balance of the Class of Subordinate Certificates then outstanding with the
highest numerical Class designation will be reduced by the amount of the excess.
On each Distribution Date, the Excess Losses will be allocated pro rata
among all Classes of Certificates, other than the Class X-1 and Class X-2
Certificates, based upon their respective Certificate Principal Balances
immediately prior to such Distribution Date.
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In general, a "REALIZED LOSS" means, for a Liquidated Mortgage Loan,
the amount by which the remaining unpaid Principal Balance of the Mortgage Loan
exceeds the amount of Net Liquidation Proceeds applied to the Principal Balance
of the related Mortgage Loan.
"EXCESS LOSSES" are Special Hazard Losses in excess of the Special
Hazard Loss Coverage Amount, Bankruptcy Losses in excess of the Bankruptcy Loss
Coverage Amount and Fraud Losses in excess of the Fraud Loss Coverage Amount.
"BANKRUPTCY LOSSES" are losses that are incurred as a result of Debt
Service Reductions and Deficient Valuations. "SPECIAL HAZARD LOSSES" are
Realized Losses in respect of Special Hazard Mortgage Loans. "FRAUD LOSSES" are
losses sustained on a Liquidated Mortgage Loan by reason of a default arising
from fraud, dishonesty or misrepresentation.
A "LIQUIDATED MORTGAGE LOAN" is a defaulted Mortgage Loan as to which
the related Servicer has determined that all recoverable liquidation and
insurance proceeds have been received. A "SPECIAL HAZARD MORTGAGE LOAN" is a
Liquidated Mortgage Loan as to which the ability to recover the full amount due
thereunder was substantially impaired by a hazard not insured against under a
standard hazard insurance policy of the type described in the prospectus under
"Credit Enhancement--Special Hazard Insurance Policies".
SUBORDINATION OF THE SUBORDINATE CERTIFICATES
The rights of the holders of the Subordinate Certificates to receive
distributions with respect to the Mortgage Loans will be subordinated to the
rights of the holders of the Senior Certificates and the rights of the holders
of each Class of Subordinate Certificates (other than the Class B-1
Certificates) to receive the distributions will be further subordinated to the
rights of the Class or Classes of Subordinate Certificates with lower numerical
Class designations, in each case only to the extent described in this prospectus
supplement. The subordination of the Subordinate Certificates to the Senior
Certificates and the further subordination among the Subordinate Certificates is
intended to provide the Certificateholders having higher relative payment
priority with protection against Realized Losses, other than Excess Losses. In
addition, the Subordinate Certificates will provide limited protection against
Special Hazard Losses, Bankruptcy Losses and Fraud Losses up to the Special
Hazard Loss Coverage Amount, Bankruptcy Loss Coverage Amount and Fraud Loss
Coverage Amount, respectively, as described in the following paragraphs.
Realized Losses, other than Excess Losses, will be allocated to the Class of
Subordinate Certificates then outstanding with the highest numerical Class
designation.
The Subordinate Certificates will provide limited protection to the
Classes of Certificates of higher relative priority against:
o Special Hazard Losses in an initial amount expected to be up
to approximately $3,808,000 (the "SPECIAL HAZARD LOSS COVERAGE
AMOUNT"),
o Bankruptcy Losses in an initial amount expected to be up to
approximately $121,000 (the "BANKRUPTCY LOSS COVERAGE
AMOUNT"); and
o Fraud Losses in an initial amount expected to be up to
approximately $3,708,000 (the "FRAUD LOSS COVERAGE AMOUNT").
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The Special Hazard Loss Coverage Amount will be reduced, from time to
time, to be an amount equal on any Distribution Date to the lesser of:
o the Special Hazard Loss Coverage Amount as of the closing date
less the amount, if any, of losses attributable to Special
Hazard Mortgage Loans incurred since the Closing Date, or
o the greatest of:
o 1% of the aggregate of the Principal
Balances of the Mortgage Loans;
o twice the Principal Balance of the largest
Mortgage Loan; and
o the aggregate Principal Balances of the
Mortgage Loans secured by mortgaged
properties located in the single California
postal ZIP code area having the highest
aggregate Principal Balance of any such ZIP
code area.
All Principal Balances for the purpose of this definition will be
calculated as of the first day of the month before the month in which the
Distribution Date occurs after giving effect to scheduled installments of
principal and interest on the Mortgage Loans then due, whether or not paid.
The Fraud Loss Coverage Amount will be reduced, from time to time, by
the amount of Fraud Losses allocated to the Certificates. In addition, on each
anniversary of the Cut-Off Date, the Fraud Loss Coverage Amount will be reduced
as follows:
o on the first and second anniversaries of the Cut-Off Date, to
an amount equal to the lesser of (a) 1.00% of the then current
Pool Balance and (b) the excess of the Fraud Loss Coverage
Amount as of the preceding anniversary of the Cut-Off Date
(or, in the case of the first anniversary, as of the Cut-Off
Date) over the cumulative amount of Fraud Losses allocated to
the Certificates since such preceding anniversary or the
Cut-Off Date, as the case may be,
o on the third and fourth anniversaries of the Cut-Off Date, to
an amount equal to the lesser of (a) 0.50% of the then current
Pool Balance and (b) the excess of the Fraud Loss Coverage
Amount as of the preceding anniversary of the Cut-Off Date
over the cumulative amount of Fraud Losses allocated to the
Certificates since such preceding anniversary, and
o on the fifth anniversary of the Cut-Off Date, to zero.
The Bankruptcy Loss Coverage Amount will be reduced, from time to time,
by the amount of Bankruptcy Losses allocated to the Certificates.
The amount of coverage provided by each Class of Subordinate
Certificates for Special Hazard Losses, Bankruptcy Losses and Fraud Losses may
be cancelled or reduced from time to time for each of the risks covered,
provided that the then current ratings of the Certificates
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assigned by the Rating Agencies are not adversely affected as a result. In
addition, a reserve fund or other form of credit enhancement may be substituted
for the protection provided by the Subordinate Certificates for Special Hazard
Losses, Bankruptcy Losses and Fraud Losses.
A "DEFICIENT VALUATION" is a bankruptcy proceeding whereby the
bankruptcy court may establish the value of a Mortgaged Property at an amount
less than the then outstanding Principal Balance of the Mortgage Loan secured by
the Mortgaged Property or may reduce the outstanding Principal Balance of the
related Mortgage Loan. In the case of a reduction in that value of the related
Mortgaged Property, the amount of the secured debt could be reduced to that
value, and the holder of the Mortgage Loan thus would become an unsecured
creditor to the extent the outstanding Principal Balance of the Mortgage Loan
exceeds the value so assigned to the Mortgaged Property by the bankruptcy court.
In addition, other modifications of the terms of a Mortgage Loan can result from
a bankruptcy proceeding, including the reduction (a "DEBT SERVICE REDUCTION") of
the amount of the monthly payment on the related Mortgage Loan. However, none of
these shall be considered a Debt Service Reduction or Deficient Valuation with
respect to any Mortgage Loan so long as the related Servicer is pursuing any
other remedies that may be available with respect to the related Mortgage Loan
and either the Mortgage Loan has not incurred payment default or scheduled
monthly payments of principal and interest are being advanced by the related
Servicer without giving effect to any Debt Service Reduction or Deficient
Valuation.
REPORTS TO CERTIFICATEHOLDERS
On each Distribution Date, the Trustee will make available to each
holder of a Certificate and will forward to the Rating Agencies a statement
(based on information received from each Servicer) generally setting forth,
among other things:
o the amount of the distributions, separately identified, with
respect to each Class of Certificates;
o the amount of the distributions set forth in the first clause
above allocable to principal, separately identifying the
aggregate amount of any principal prepayments or other
unscheduled recoveries of principal included therein;
o the amount of the distributions set forth in the first clause
above allocable to interest and the calculation thereof;
o the amount of any unpaid interest shortfall amount with
respect to each Class of Certificates;
o the Certificate Principal Balance (or Certificate Notional
Balance, as applicable) of each Class of Certificates after
giving effect to the distribution of principal on that
Distribution Date;
o the Pool Balance and the Net WAC of the Mortgage Loans at the
end of the related Prepayment Period;
o the aggregate Principal Balance of the One Year CMT indexed
Mortgage Loans at the end of the related Prepayment Period;
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o the aggregate Principal Balance of the Six Month LIBOR indexed
Mortgage Loans at the end of the related Prepayment Period;
o the Pro Rata Senior Percentage, Senior Percentage and
Subordinate Percentage for the following Distribution Date;
o the Senior Prepayment Percentage and Subordinate Prepayment
Percentage for the following Distribution Date;
o the amount of the Servicing Fee paid to or retained by each
Servicer;
o the amount of Advances for the related Due Period;
o the number and aggregate Principal Balance of Mortgage Loans
that were (A) delinquent (exclusive of Mortgage Loans in
foreclosure) (1) 30 to 59 days, (2) 60 to 89 days and (3) 90
or more days, (B) in foreclosure and delinquent (1) 30 to 59
days, (2) 60 to 89 days and (3) 90 or more days and (C) in
bankruptcy as of the close of business on the last day of the
calendar month preceding that Distribution Date;
o the rolling six month delinquency rate for that Distribution
Date;
o for any Mortgage Loan as to which the related Mortgaged
Property was acquired by the Trust in foreclosure or by deed
in lieu of foreclosure (any such property, an "REO PROPERTY")
during the preceding calendar month, the loan number, the
Principal Balance of that Mortgage Loan as of the close of
business on the last day of the related Due Period and the
date of acquisition thereof;
o the total number and principal balance of any REO Properties
as of the close of business on the last day of the preceding
Due Period;
o the aggregate amount of Realized Losses incurred during the
preceding calendar month;
o the cumulative amount of Realized Losses;
o the aggregate amount of Special Hazard Losses, Bankruptcy
Losses and Fraud Losses incurred during the preceding calendar
month;
o the cumulative amount of Special Hazard Losses, Bankruptcy
Losses and Fraud Losses;
o the Special Hazard Loss Coverage Amount, the Fraud Loss
Coverage Amount and the Bankruptcy Loss Coverage Amount, in
each case as of the related Determination Date;
o the Realized Losses and Excess Losses, if any, allocated to
each Class of Certificates on that Distribution Date; and
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o the Pass-Through Rate for each Class of Certificates for that
Distribution Date.
The Trustee will make such statement available each month, to any
interested party, via the Trustee's website, and its fax-on-demand service. The
Trustee's website can be accessed at
"http://www-apps.gis.deutsche-bank.com/invr" and its fax-on-demand service may
be accessed through the fax number (800) 735-7777.
In addition, within a reasonable period of time after the end of each
calendar year, the Trustee will prepare and deliver to each holder of a
Certificate of record during the previous calendar year a statement containing
information necessary to enable holders of the Certificates to prepare their tax
returns. These statements will not have been examined and reported upon by an
independent public accountant.
YIELD, PREPAYMENT AND MATURITY CONSIDERATIONS
GENERAL
The effective yields to the holders of the Offered Certificates will be
lower than the yields otherwise produced by the applicable rate at which
interest is passed through to those holders and the purchase price of such
Certificates because monthly distributions will not be payable to those holders
until generally the 19th day of the month following the month in which interest
accrues on the Mortgage Loans, without any additional distribution of interest
or earnings thereon in respect of the delay.
Delinquencies on the Mortgage Loans which are not advanced by the
related Servicer or the Trustee as successor Servicer, as the case may be,
because amounts, if advanced, would be nonrecoverable, will adversely affect the
yield on the Senior Certificates and the Subordinate Certificates. Because of
the priority of distributions, shortfalls resulting from delinquencies not so
advanced will be borne first by the Subordinate Certificates in the reverse
order of their numerical Class designations, and then by the Senior
Certificates. If, as a result of these shortfalls, the aggregate of the
Certificate Principal Balances of all Classes of Certificates following all
distributions and the allocation of Realized Losses on a Distribution Date
exceeds the Pool Balance as of the Due Date occurring in the month of such
Distribution Date, the Certificate Principal Balance of the Class of Subordinate
Certificates then outstanding with the highest numerical Class designation will
be reduced by the amount of the excess.
Net Interest Shortfalls will adversely affect the yields on the Senior
Certificates and the Subordinate Certificates. In addition, although all losses
initially will be borne by the Subordinate Certificates, in the reverse order of
their numerical Class designations, Excess Losses will be borne by the Senior
Certificates and the Subordinate Certificates in the manner set forth in this
prospectus supplement under "Description of the Certificates-Allocation of
Losses" and "--Subordination of the Subordination Certificates". As a result,
the yields on the Offered Certificates will depend on the rate and timing of
Realized Losses, including Excess Losses, on the Mortgage Loans. Excess Losses
could occur at a time when one or more Classes of Subordinate Certificates are
still outstanding and otherwise available to absorb other types of Realized
Losses.
S-77
<PAGE>
PREPAYMENT CONSIDERATIONS AND RISKS
The rate of principal payments on the Offered Certificates, the
aggregate amount of distributions on the Offered Certificates and the yields to
maturity of the Offered Certificates will be related to the rate and timing of
payments of principal on the Mortgage Loans. The rate of principal payments on
the Mortgage Loans will in turn be affected by the amortization schedules of the
Mortgage Loans and by the rate of principal prepayments, including for this
purpose prepayments resulting from refinancing, liquidations of the Mortgage
Loans due to defaults, casualties, condemnations and repurchases by the Seller
and purchases by the related Servicer or the holder of the Class A-R
Certificate. The Mortgage Loans may be prepaid by the Mortgagors at any time.
The Mortgage Loans are subject to the "due-on-sale" provisions included therein.
See "The Mortgage Loans" in this prospectus supplement.
Prepayments, liquidations and purchases of the Mortgage Loans,
including any purchase by the related Servicer of a defaulted Mortgage Loan and
any optional repurchase of the remaining Mortgage Loans in connection with the
termination of the Trust Fund, in each case as described in this prospectus
supplement, will result in distributions on the Offered Certificates of
principal amounts which would otherwise be distributed over the remaining terms
of the Mortgage Loans. Since the rate of payment of principal on the Mortgage
Loans will depend on future events and a variety of other factors, no assurance
can be given as to such rate or the rate of principal prepayments. The extent to
which the yield to maturity of a Class of Offered Certificates may vary from the
anticipated yield will depend upon the degree to which such Offered Certificate
is purchased at a discount or premium, and the degree to which the timing of
payments thereon is sensitive to prepayments, liquidations and purchases of the
Mortgage Loans. Further, an investor should consider the risk that, in the case
of any Offered Certificates purchased at a discount, a slower than anticipated
rate of principal payments, including prepayments, on the Mortgage Loans could
result in an actual yield to such investor that is lower than the anticipated
yield and, in the case of any Offered Certificates purchased at a premium, a
faster than anticipated rate of principal payments on the Mortgage Loans could
result in an actual yield to such investor that is lower than the anticipated
yield.
The rate of principal payments, including prepayments, on pools of
mortgage loans may vary significantly over time and may be influenced by a
variety of economic, geographic, social and other factors. These factors include
changes in mortgagors' housing needs, job transfers, unemployment, mortgagors'
net equity in the mortgaged properties and servicing decisions, as well as the
characteristics of the mortgage loans as described under "The Mortgage
Loans--General" and "--Mortgage Loan Statistics" in this prospectus supplement.
If prevailing interest rates were to fall significantly below the Loan Rates on
the Mortgage Loans, the Mortgage Loans could be subject to higher prepayment
rates than if prevailing interest rates were to remain at or above the Loan
Rates on the Mortgage Loans because the Mortgagors may seek to "lock in" a lower
interest rate. Conversely, if prevailing interest rates were to rise
significantly, the rate of prepayments on the Mortgage Loans would generally be
expected to decrease. The existence of a periodic rate cap on some of the
Mortgage Loans also may affect the likelihood of prepayments in either a rising
or falling interest rate environment.
The particular features of the Mortgage Loans may affect the prepayment
experience. The interest-only feature of some of the Mortgage Loans may reduce
the perceived benefits of refinancing to take advantage of lower market rates of
interest or to avoid adjustments in the Loan Rates. However, as a Mortgage Loan
nears the end of its interest-only period, the
S-78
<PAGE>
Mortgagor may be more likely to refinance the Mortgage Loan, even if market
rates are only slightly less than the Loan Rate in order to avoid the increase
in the monthly payments to amortize the Mortgage Loan over its remaining life.
No assurances can be given as to the rate of prepayments on the Mortgage Loans
in stable or changing interest rate environments.
The rate of prepayment may affect the Pass-Through Rates on the Offered
Certificates. Prepayments of Mortgage Loans with net Loan Rates in excess of the
then-current Net WAC for the Mortgage Loans may reduce the Pass-Through Rate on
the Certificates. Mortgage Loans with higher Loan Rates may prepay at faster
rates than Mortgage Loans with relatively lower Loan Rates in response to a
given change in market interest rates. Any such disproportionate rate of
prepayments may adversely affect the Pass-Through Rate on the Certificates.
As described herein under "Description of the Certificates--Principal",
the applicable Senior Prepayment Percentage of all principal prepayments on the
related Mortgage Loans will be distributed to the Class or Classes of Senior
Certificates then entitled to receive principal distributions. This may result
in all or a disproportionate percentage of principal prepayments being
distributed to holders of Senior Certificates and none or less than their pro
rata share of principal prepayments being distributed to holders of the
Subordinate Certificates during the periods of time described in the definition
of "Senior Prepayment Percentage".
The timing of changes in the rate of prepayments on the Mortgage Loans
may significantly affect an investor's actual yield to maturity, even if the
average rate of principal payments is consistent with an investor's expectation.
In general, the earlier a prepayment of principal on the Mortgage Loans, the
greater the effect on an investor's yield to maturity. The effect on an
investor's yield as a result of principal payments occurring at a rate higher or
lower than the rate anticipated by the investor during the period immediately
following the issuance of the Offered Certificates may not be offset by a
subsequent like decrease or increase in the rate of principal payments.
THE SUBORDINATE CERTIFICATES
The weighted average lives of, and the yields to maturity on, the
Subordinate Certificates, in increasing order of their numerical Class
designations, will be progressively more sensitive to the rate and timing of
Mortgagor defaults and the severity of ensuing losses on the Mortgage Loans. If
the actual rate and severity of losses on the Mortgage Loans are higher than
those assumed by a holder of a Subordinate Certificate, the actual yield to
maturity of that Certificate may be lower than the yield expected by the holder
based on such assumption. The timing of losses on the Mortgage Loans will also
affect an investor's actual yield to maturity, even if the rate of defaults and
severity of losses over the life of the mortgage pool are consistent with an
investor's expectations. In general, the earlier a loss occurs, the greater the
effect on an investor's yield to maturity. Realized Losses on the Mortgage Loans
will reduce the Certificate Principal Balances of the applicable Class of
Subordinate Certificates to the extent of any losses allocated thereto (as
described under "Description of the Certificates--Allocation of Losses"),
without the receipt of cash attributable to such reduction. In addition,
shortfalls in cash available for distributions on the Subordinate Certificates
will result in a reduction in the Certificate Principal Balance of the Class of
Subordinate Certificates then outstanding with the highest numerical Class
designation if and to the extent that the aggregate of the Certificate Principal
Balances of all Classes of Certificates, following all distributions and the
allocation of Realized Losses on a Distribution Date, exceeds the Pool Balance
as of the Due Date occurring in the
S-79
<PAGE>
month of such Distribution Date. As a result of these reductions, less interest
will accrue on such Class of Subordinate Certificates than otherwise would be
the case. The yields to maturity of the Subordinate Certificates will also be
affected by the disproportionate allocation of principal prepayments to the
Senior Certificates, Net Interest Shortfalls and other cash shortfalls in
Available Funds.
If on any Distribution Date the Applicable Credit Support Percentage
for any Class of Subordinate Certificates is less than its Original Applicable
Credit Support Percentage, all principal prepayments available for distribution
on the Subordinate Certificates will be allocated solely to all other Classes of
Subordinate Certificates with lower numerical designations, thereby accelerating
the amortization thereof relative to that of the Restricted Classes and reducing
the weighted average lives of such Classes of Subordinate Certificates receiving
such distributions. Accelerating the amortization of the Classes of Subordinate
Certificates with lower numerical designations relative to the other Classes of
Subordinate Certificates is intended to preserve the availability of the
subordination provided by such other Classes.
WEIGHTED AVERAGE LIVES
The projected weighted average life of each Class of Offered
Certificates is the average amount of time that will elapse from the Closing
Date, until each dollar of principal is scheduled to be repaid to the investors
in that Class. Because it is expected that there will be prepayments and
defaults on the Mortgage Loans, the actual weighted average lives of the Classes
of Offered Certificates are expected to vary substantially from the weighted
average remaining terms to stated maturity of the Mortgage Loans as set forth in
this prospectus supplement under "The Mortgage Loans".
In general, the weighted average lives of the Offered Certificates will
be shortened if the level of prepayments of principal of the Mortgage Loans
increases. However, the weighted average lives of the Offered Certificates will
depend upon a variety of other factors, including the timing of changes in such
rate of principal payments and the priority sequence of distributions of
principal of the Classes of Certificates. The weighted average lives of the
Class A-1, Class A-2, Class A-3 and Class B-1 Certificates will be shortened
upon the exercise by the related Call Option Holder of the related Call Option.
See "Description of the Certificates--Principal" and "The Pooling and Servicing
Agreement and the Servicing Contracts--Call Option Affecting the Class A-1,
Class A-2, Class A-3 and Class B-1 Certificates" in this prospectus supplement.
The interaction of the foregoing factors may have different effects on
various Classes of Offered Certificates and the effects on any Class may vary at
different times during the life of such Class. Accordingly, no assurance can be
given as to the weighted average life of any Class of Offered Certificates.
Further, to the extent that the prices of the Offered Certificates represent
discounts or premiums to their respective original Certificate Principal
Balances, variability in the weighted average lives of such Classes of Offered
Certificates will result in variability in the related yields to maturity.
The assumed final maturity date for each Class of Offered Certificates
is as set forth in this prospectus supplement under "Description of the
Certificates--General" above. The assumed final maturity date for each Class of
Offered Certificates is the Distribution Date in the first month following the
month of the latest maturity date of any Mortgage Loan. The weighted
S-80
<PAGE>
average life of each Class of Offered Certificates is likely to be shorter than
would be the case if payments actually made on the Mortgage Loans conformed to
the foregoing assumptions, and the final Distribution Date with respect to the
Offered Certificates could occur significantly earlier than the related assumed
final maturity date because (i) prepayments are likely to occur, and (ii) the
holder of the Class A-R Certificate may cause a termination of the Trust as
provided in this prospectus supplement.
STRUCTURING ASSUMPTIONS
Prepayments of mortgage loans are commonly measured relative to a
prepayment standard or model. The model used with respect to the Mortgage Loans
assumes a constant prepayment rate ("CPR"). This is not a historical description
of prepayment experience or a prediction of the anticipated rate of prepayment
of any pool of mortgage loans, including the Mortgage Loans.
The tables on pages S-85 through S-90 were prepared on the basis of the
assumptions in the following paragraph and the tables set forth below. There are
certain differences between the loan characteristics included in such
assumptions and the characteristics of the actual Mortgage Loans. Any such
discrepancy may have an effect upon the percentages of Original Certificate
Principal Balances outstanding and weighted average lives of the Offered
Certificates set forth in the tables on pages S-85 through S-90. In addition,
since the actual Mortgage Loans in the Trust will have characteristics that
differ from those assumed in preparing the tables set forth below, the
distributions of principal of the Classes of Offered Certificates may be made
earlier or later than indicated in the tables.
The percentages and weighted average lives in the tables on pages S-88
through S-93 and the Class X-1 and Class X-2 yield tables on page S-91 were
determined assuming that (the "STRUCTURING ASSUMPTIONS"):
(i) the Mortgage Loans collectively have the characteristics set
forth in the table below,
(ii) distributions on the Certificates are received, in cash, on
the 19th day of each month, commencing in January 2001,
(iii) the Mortgage Loans prepay at the indicated constant
percentages,
(iv) (a) no defaults or delinquencies occur in the payment by the
mortgagors of principal and interest on the Mortgage Loans and
(b) no shortfalls due to the application of the Relief Act are
incurred,
(v) no Mortgage Loan is purchased by the Seller or the related
Servicer from the Trust Fund pursuant to any obligation or
option under the Pooling and Servicing Agreement or any
Servicing Contract,
(vi) scheduled monthly payments on the Mortgage Loans are received
on the first day of each month commencing in January 2001, and
are computed prior to giving effect to any prepayments
received in the prior month,
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<PAGE>
(vii) prepayments representing payment in full of individual
Mortgage Loans are received on the last day of each month
(commencing in December 2000) and include 30 days' interest
thereon,
(viii) the scheduled monthly payment for each Mortgage Loan is
calculated based on its Principal Balance, Loan Rate and
remaining term to maturity such that the Mortgage Loan will
amortize in amounts sufficient to repay the remaining
Principal Balance of such Mortgage Loan by its remaining term
to maturity (taking into account any interest-only period),
(ix) interest accrues on each Certificate at the applicable rate
described in this prospectus supplement under "Description of
the Certificates--Pass-Through Rates",
(x) the Initial Certificate Principal Balances of the Certificates
(or Certificate Notional Balances, in the case of the Class
X-1 and Class X-2 Certificates) are those set forth on the
cover of this prospectus supplement or as described herein,
(xi) Six Month LIBOR is 6.465% and One Year CMT is 5.77%,
(xii) no optional termination or exercise of any Call Option, as
applicable, will occur, except that such assumption does not
apply to the calculation of weighted average lives to the
optional termination or a Call Option, as applicable,
(xiii) the Certificates are purchased on December 18, 2000, and
(xiv) for the purposes of calculating the Pass-Through Rate for the
Class A-1, Class A-2, Class A-3, Class B-1, Class B-2, Class
B-3, Class B-4, Class B-5 and Class B-6 Certificates, no
initial fixed-rate period is continuing after August 2005 with
respect to any Mortgage Loan.
S-82
<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
<TABLE>
<CAPTION>
REMAINING
INTEREST
ONLY GROSS NET ORIGINAL REMAINING
CURRENT PERIOD COUPON COUPON TERM TERM
LOAN INDEX BALANCE ($) (MONTHS) (%) (%) (MONTHS) (MONTHS)
---------------------- --------------- ---------- --------- --------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
One Year CMT 96,047,447.39 N/A 8.25692 7.99842 360 356
One Year CMT 241,729.38 N/A 7.00000 6.61650 360 349
One Year CMT 232,002,764.62 N/A 8.16198 7.77848 360 356
One Year CMT 195,715.67 N/A 7.87500 7.38350 360 343
Six Month LIBOR 35,496,094.27 56 8.40743 8.02393 360 356
Six Month LIBOR 6,733,582.97 78 8.32908 7.83758 360 354
<CAPTION>
GROSS FIRST PERIODIC MONTHS RATE ADJ
MARGIN MAXIMUM RATE CAP RATE CAP TO NEXT RATE FREQUENCY
LOAN INDEX (%) RATE (%) (%) (%) CHANGE DATE (MONTHS)
---------------------- ------------ ---------- ---------- ---------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
One Year CMT 2.75064 13.46172 5 2 56 12
One Year CMT 2.75000 12.00000 6 2 49 12
One Year CMT 2.75681 13.16836 5 2 56 12
One Year CMT 2.75000 13.87500 6 2 67 12
Six Month LIBOR 2.00000 14.41495 6 N/A 56 6
Six Month LIBOR 2.00000 14.32908 6 N/A 78 6
</TABLE>
S-83
<PAGE>
There will be discrepancies between the characteristics of the actual
Mortgage Loans and the characteristics assumed in preparing the tables. Any such
discrepancy may have an effect upon the percentages of the initial Certificate
Principal Balance outstanding (and the weighted average lives) of the
Certificates set forth in the table. In addition, to the extent that the actual
Mortgage Loans have characteristics that differ from those assumed in preparing
the tables set forth below, the Certificates may mature earlier or later than
indicated by the table. Based on the foregoing assumptions, the following tables
indicate the projected weighted average lives of each Class of Offered
Certificates and set forth the percentages of the initial Certificate Principal
Balance of each such Class that would be outstanding after each of the
Distribution Dates shown, at various constant prepayment percentages. Neither
the prepayment model used herein nor any other prepayment model or assumption
purports to be an historical description of prepayment experience or a
prediction of the anticipated rate of prepayment of any pool of mortgage loans,
including the Mortgage Loans included in the Trust. Variations in the prepayment
experience and the balance of the Mortgage Loans that prepay may increase or
decrease the percentages of initial Certificate Principal Balances (and weighted
average lives) shown in the following tables. Such variations may occur even if
the average prepayment experience of all such Mortgage Loans equals any of the
specified percentages of CPR.
S-84
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS A-1
-----------------------------------------------
PERCENTAGE OF CPR
-----------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
----------------- ------ -------- ------- -------- ---------
Initial Percentage........... 100 100 100 100 100
December 19, 2001............ 99 79 63 39 19
December 19, 2002............ 97 59 32 0 0
December 19, 2003............ 95 42 8 0 0
December 19, 2004............ 93 27 0 0 0
December 19, 2005............ 91 13 0 0 0
December 19, 2006............ 89 0 0 0 0
December 19, 2007............ 86 0 0 0 0
December 19, 2008............ 84 0 0 0 0
December 19, 2009............ 80 0 0 0 0
December 19, 2010............ 77 0 0 0 0
December 19, 2011............ 74 0 0 0 0
December 19, 2012............ 70 0 0 0 0
December 19, 2013............ 66 0 0 0 0
December 19, 2014............ 61 0 0 0 0
December 19, 2015............ 57 0 0 0 0
December 19, 2016............ 51 0 0 0 0
December 19, 2017............ 46 0 0 0 0
December 19, 2018............ 39 0 0 0 0
December 19, 2019............ 33 0 0 0 0
December 19, 2020............ 25 0 0 0 0
December 19, 2021............ 17 0 0 0 0
December 19, 2022............ 9 0 0 0 0
December 19, 2023............ 0 0 0 0 0
December 19, 2024............ 0 0 0 0 0
December 19, 2025............ 0 0 0 0 0
December 19, 2026............ 0 0 0 0 0
December 19, 2027............ 0 0 0 0 0
December 19, 2028............ 0 0 0 0 0
December 19, 2029............ 0 0 0 0 0
December 19, 2030............ 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity....... 14.94 2.74 1.53 0.89 0.64
Years to Call Option.... 4.50 2.61 1.53 0.89 0.64
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage.
S-85
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS A-2
-------------------------------------------------
PERCENTAGE OF CPR
-------------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
------------------ -------- ------- ------- ------- -------
Initial Percentage.......... 100 100 100 100 100
December 19, 2001........... 100 100 100 100 100
December 19, 2002........... 100 100 100 86 0
December 19, 2003........... 100 100 100 0 0
December 19, 2004........... 100 100 55 0 0
December 19, 2005........... 100 100 0 0 0
December 19, 2006........... 100 100 0 0 0
December 19, 2007........... 100 61 0 0 0
December 19, 2008........... 100 26 0 0 0
December 19, 2009........... 100 0 0 0 0
December 19, 2010........... 100 0 0 0 0
December 19, 2011........... 100 0 0 0 0
December 19, 2012........... 100 0 0 0 0
December 19, 2013........... 100 0 0 0 0
December 19, 2014........... 100 0 0 0 0
December 19, 2015........... 100 0 0 0 0
December 19, 2016........... 100 0 0 0 0
December 19, 2017........... 100 0 0 0 0
December 19, 2018........... 100 0 0 0 0
December 19, 2019........... 100 0 0 0 0
December 19, 2020........... 100 0 0 0 0
December 19, 2021........... 100 0 0 0 0
December 19, 2022........... 100 0 0 0 0
December 19, 2023........... 96 0 0 0 0
December 19, 2024........... 56 0 0 0 0
December 19, 2025........... 12 0 0 0 0
December 19, 2026........... 0 0 0 0 0
December 19, 2027........... 0 0 0 0 0
December 19, 2028........... 0 0 0 0 0
December 19, 2029........... 0 0 0 0 0
December 19, 2030........... 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity...... 24.16 7.38 4.14 2.35 1.66
Years to Call Option... 4.67 4.67 4.11 2.35 1.66
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage.
S-86
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS A-3
---------------------------------------------------
PERCENTAGE OF CPR
---------------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
----------------- ------- ------- ------- ------- -------
Initial Percentage.......... 100 100 100 100 100
December 19, 2001........... 100 100 100 100 100
December 19, 2002........... 100 100 100 100 96
December 19, 2003........... 100 100 100 91 55
December 19, 2004........... 100 100 100 63 33
December 19, 2005........... 100 100 99 44 19
December 19, 2006........... 100 100 80 30 12
December 19, 2007........... 100 100 65 21 7
December 19, 2008........... 100 100 52 14 4
December 19, 2009........... 100 97 42 10 2
December 19, 2010........... 100 86 34 7 1
December 19, 2011........... 100 76 27 5 1
December 19, 2012........... 100 67 22 3 0
December 19, 2013........... 100 59 17 2 0
December 19, 2014........... 100 51 14 1 0
December 19, 2015........... 100 45 11 1 0
December 19, 2016........... 100 39 9 1 0
December 19, 2017........... 100 33 7 0 0
December 19, 2018........... 100 29 5 0 0
December 19, 2019........... 100 24 4 0 0
December 19, 2020........... 100 21 3 0 0
December 19, 2021........... 100 17 2 0 0
December 19, 2022........... 100 14 2 0 0
December 19, 2023........... 100 12 1 0 0
December 19, 2024........... 100 9 1 0 0
December 19, 2025........... 100 7 1 0 0
December 19, 2026........... 85 5 0 0 0
December 19, 2027........... 65 4 0 0 0
December 19, 2028........... 42 2 0 0 0
December 19, 2029........... 17 1 0 0 0
December 19, 2030........... 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity...... 27.64 15.52 9.53 5.50 3.83
Years to Call Option... 4.67 4.67 4.67 4.15 3.38
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage
S-87
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS A-R
----------------------------------------------
PERCENTAGE OF CPR
----------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
------------------ ------ ------- ------- ------- -------
Initial Percentage......... 100 100 100 100 100
December 19, 2001.......... 0 0 0 0 0
December 19, 2002.......... 0 0 0 0 0
December 19, 2003.......... 0 0 0 0 0
December 19, 2004.......... 0 0 0 0 0
December 19, 2005.......... 0 0 0 0 0
December 19, 2006.......... 0 0 0 0 0
December 19, 2007.......... 0 0 0 0 0
December 19, 2008.......... 0 0 0 0 0
December 19, 2009.......... 0 0 0 0 0
December 19, 2010.......... 0 0 0 0 0
December 19, 2011.......... 0 0 0 0 0
December 19, 2012.......... 0 0 0 0 0
December 19, 2013.......... 0 0 0 0 0
December 19, 2014.......... 0 0 0 0 0
December 19, 2015.......... 0 0 0 0 0
December 19, 2016.......... 0 0 0 0 0
December 19, 2017.......... 0 0 0 0 0
December 19, 2018.......... 0 0 0 0 0
December 19, 2019.......... 0 0 0 0 0
December 19, 2020.......... 0 0 0 0 0
December 19, 2021.......... 0 0 0 0 0
December 19, 2022.......... 0 0 0 0 0
December 19, 2023.......... 0 0 0 0 0
December 19, 2024.......... 0 0 0 0 0
December 19, 2025.......... 0 0 0 0 0
December 19, 2026.......... 0 0 0 0 0
December 19, 2027.......... 0 0 0 0 0
December 19, 2028.......... 0 0 0 0 0
December 19, 2029.......... 0 0 0 0 0
December 19, 2030.......... 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity..... 0.09 0.09 0.09 0.09 0.09
Years to Optional
Termination........... 0.09 0.09 0.09 0.09 0.09
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage.
S-88
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS B-1
------------------------------------------------
PERCENTAGE OF CPR
------------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
------------------ -------- ------- ------- -------- -------
Initial Percentage.......... 100 100 100 100 100
December 19, 2001........... 100 100 100 100 100
December 19, 2002........... 100 100 100 99 86
December 19, 2003........... 100 100 100 81 65
December 19, 2004........... 100 100 89 56 39
December 19, 2005........... 100 100 72 39 23
December 19, 2006........... 100 100 58 27 14
December 19, 2007........... 100 90 47 19 8
December 19, 2008........... 100 79 38 13 5
December 19, 2009........... 100 70 31 9 3
December 19, 2010........... 100 62 25 6 2
December 19, 2011........... 98 55 20 4 1
December 19, 2012........... 96 48 16 3 1
December 19, 2013........... 93 42 13 2 0
December 19, 2014........... 91 37 10 1 0
December 19, 2015........... 88 32 8 1 0
December 19, 2016........... 85 28 6 1 0
December 19, 2017........... 81 24 5 0 0
December 19, 2018........... 77 21 4 0 0
December 19, 2019........... 73 18 3 0 0
December 19, 2020........... 69 15 2 0 0
December 19, 2021........... 64 13 2 0 0
December 19, 2022........... 59 10 1 0 0
December 19, 2023........... 53 8 1 0 0
December 19, 2024........... 47 7 1 0 0
December 19, 2025........... 40 5 1 0 0
December 19, 2026........... 33 4 0 0 0
December 19, 2027........... 25 3 0 0 0
December 19, 2028........... 16 2 0 0 0
December 19, 2029........... 7 1 0 0 0
December 19, 2030........... 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity...... 22.49 13.27 8.07 5.13 4.01
Years to Call Option... 4.67 4.67 4.53 3.94 3.48
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on \each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage.
S-89
<PAGE>
PERCENT OF ORIGINAL CERTIFICATE PRINCIPAL BALANCE OUTSTANDING*
CLASS B-2 AND CLASS B-3
-------------------------------------------------
PERCENTAGE OF CPR
-------------------------------------------------
DISTRIBUTION DATE 0% 10% 18% 30% 40%
------------------ -------- -------- -------- -------- -------
Initial Percentage.......... 100 100 100 100 100
December 19, 2001........... 100 100 100 100 100
December 19, 2002........... 100 100 100 99 86
December 19, 2003........... 100 100 100 81 65
December 19, 2004........... 100 100 89 56 39
December 19, 2005........... 100 100 72 39 23
December 19, 2006........... 100 100 58 27 14
December 19, 2007........... 100 90 47 19 8
December 19, 2008........... 100 79 38 13 5
December 19, 2009........... 100 70 31 9 3
December 19, 2010........... 100 62 25 6 2
December 19, 2011........... 98 55 20 4 1
December 19, 2012........... 96 48 16 3 1
December 19, 2013........... 93 42 13 2 0
December 19, 2014........... 91 37 10 1 0
December 19, 2015........... 88 32 8 1 0
December 19, 2016........... 85 28 6 1 0
December 19, 2017........... 81 24 5 0 0
December 19, 2018........... 77 21 4 0 0
December 19, 2019........... 73 18 3 0 0
December 19, 2020........... 69 15 2 0 0
December 19, 2021........... 64 13 2 0 0
December 19, 2022........... 59 10 1 0 0
December 19, 2023........... 53 8 1 0 0
December 19, 2024........... 47 7 1 0 0
December 19, 2025........... 40 5 1 0 0
December 19, 2026........... 33 4 0 0 0
December 19, 2027........... 25 3 0 0 0
December 19, 2028........... 16 2 0 0 0
December 19, 2029........... 7 1 0 0 0
December 19, 2030........... 0 0 0 0 0
Weighted Average Life (1)
Years to Maturity...... 22.49 13.27 8.07 5.13 4.01
Years to Optional
Termination............ 22.43 12.37 7.22 4.49 3.43
(1) The weighted average life of any Class of Certificates is determined by
(i) multiplying the assumed net reduction, if any, in the principal
amount on each Distribution Date on that Class of Certificates by the
number of years from the date of issuance of the Certificates to the
related Distribution Date, (ii) summing the results, and (iii) dividing
the sum by the aggregate amount of the assumed net reductions in
principal amount on that Class of Certificates.
* Rounded to the nearest whole percentage.
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SENSITIVITY OF THE CLASS X-1 AND CLASS X-2 CERTIFICATES
The yields to maturity of the Class X-1 and Class X-2 Certificates will
be highly sensitive to the principal prepayment, repurchase and default
experience of the Mortgage Loans. Investors should carefully consider the
associated risks, including the risk that a rapid rate of principal prepayments
on the Mortgage Loans or repurchases of Mortgage Loans could result in the
failure of investors in the Class X-1 and Class X-2 Certificates to recover
their initial investments. The yields to holders of the Class X-1 and Class X-2
Certificates could also be adversely affected in the event that the holder of
the Class A-R Certificate exercises the right under the Pooling and Servicing
Agreement to repurchase all remaining Mortgage Loans and REO Properties in the
Trust Fund and thereby effects the early retirement of the Certificates, as
described in "The Pooling and Servicing Agreement and the Servicing
Contracts--Termination".
The following tables (the "CLASS X-1 YIELD TABLE" and the "CLASS X-2
YIELD TABLE") demonstrates the sensitivity of the pre-tax yields on the Class
X-1 and Class X-2 Certificates, respectively, to various percentages of CPR by
projecting the aggregate payments of interest on such Certificates and the
corresponding pre-tax yields on a corporate bond equivalent ("CBE") basis,
assuming distributions on the Mortgage Loans are made as set forth above under
"--Weighted Average Lives".
PRE-TAX YIELDS (%) ON THE CLASS X-1 CERTIFICATES
(PRICED TO MATURITY)
Assumed PERCENTAGE OF CPR
Purchase -------------------------------------------------------
Price* (%) 0% 10% 18% 30% 40%
------------------- -------- -------- -------- --------- -----------
4.00000 44.2 39.3 30.4 (1.8) (36.0)
4.12500 42.7 37.5 28.4 (4.2) (38.5)
4.25000 41.3 35.9 26.5 (6.5) (40.8)
4.37500 40.0 34.3 24.7 (8.7) (43.1)
4.50000 38.7 32.9 22.9 (10.7) (45.2)
4.62500 37.5 31.5 21.3 (12.7) (47.3)
4.75000 36.4 30.1 19.7 (14.6) (49.2)
4.87500 35.4 28.9 18.2 (16.4) (51.1)
5.00000 34.4 27.6 16.8 (18.1) (52.9)
----------------
* The price shown does not include accrued interest. Accrued interest has
been added to such price for calculating the yields set forth in the
table above.
PRE-TAX YIELDS (%) ON THE CLASS X-2 CERTIFICATES
(PRICED TO MATURITY)
Assumed PERCENTAGE OF CPR
Purchase -------------------------------------------------------
Price* (%) 0% 10% 18% 30% 40%
------------------- ------- ------ ------- ------ -------
0.75000 93.8 70.9 52.4 33.6 18.6
0.87500 77.1 55.2 38.7 22.1 8.0
1.00000 64.4 43.6 28.7 13.7 0.2
1.12500 54.5 34.7 21.2 7.2 (6.0)
1.25000 46.5 27.6 15.3 2.0 (10.9)
1.37500 39.8 21.9 10.7 (2.2) (14.9)
1.50000 34.1 17.3 7.0 (5.6) (18.2)
1.62500 29.1 13.6 3.9 (8.6) (21.1)
1.75000 24.8 10.5 1.3 (11.1) (23.5)
----------------
* The price shown does not include accrued interest. Accrued interest has
been added to such price for calculating the yields set forth in the
table above.
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The pre-tax yields set forth in the Class X-1 Yield Table and Class X-2
Yield Table were in each case calculated by determining the monthly discount
rates which, when applied to the assumed streams of cash flows to be paid on the
Class X-1 Certificates and Class X-2 Certificates, as applicable, would cause
the discounted present value of such assumed streams of cash flows to the
Closing Date to equal the assumed purchase prices (plus accrued interest), and
converting such monthly rates to CBE rates. Such calculations do not take into
account the interest rates at which funds received by holders of the Class X-1
Certificates or Class X-2 Certificates, as the case may be, may be reinvested
and consequently does not purport to reflect the return on any investment in the
Class X-1 Certificates or Class X-2 Certificates, as the case may be, when such
reinvestment rates are considered.
It is highly unlikely that the Mortgage Loans will prepay at the same
rate until maturity or that all of the Mortgage Loans will prepay at the same
rate or time. As a result of these factors, the pre-tax yields on the Class X-1
and Class X-2 Certificates are likely to differ from those shown in such tables,
even if all of the Mortgage Loans prepay at the indicated percentages of CPR. No
representation is made as to the actual rate of principal payments on the
Mortgage Loans (or the Loan Rates thereon) for any period or over the lives of
the Class X-1 and Class X-2 Certificates or as to the yields on the Class X-1
and Class X-2 Certificates. Investors must make their own decisions as to the
appropriate prepayment assumptions to be used in deciding whether to purchase
the Class X-1 or Class X-2 Certificates.
CERTAIN MATERIAL FEDERAL INCOME TAX CONSEQUENCES
GENERAL
For federal income tax purposes, the Trust Fund (exclusive of the
rights in respect of the Additional Collateral) will consist of several
segregated asset pools, each of which will constitute a "real estate mortgage
investment conduit" ("REMIC") for federal income tax purposes.
It is anticipated that the Offered Certificates (other than the Class
A-R Certificate) will constitute "regular interests" in the upper tier REMIC for
tax purposes. The Class A-R Certificate will represent beneficial ownership of
the sole Class of "residual interests" in each REMIC created pursuant to the
Pooling and Servicing Agreement (the "AGREEMENT"). Upon issuance of the Offered
Certificates, Brown & Wood LLP ("TAX COUNSEL") will deliver its opinion
concluding, assuming compliance with the Agreement, for U.S. federal income tax
purposes, each REMIC created pursuant to the Agreement will be characterized as
a REMIC within the meaning of Section 860D of the Code.
TAXATION OF REGULAR INTERESTS
Subject to the discussion below relating to the Class X-1 and Class X-2
Certificates, a holder of a Class of Offered Certificates (other than the Class
A-R Certificate) will be treated for federal income tax purposes as owning a
regular interest in the upper tier REMIC. See "Certain Material Federal Income
Tax Considerations" in the accompanying prospectus.
Interest on the Offered Certificates must be included in income by a
Certificateholder under the accrual method of accounting, regardless of the
Certificateholder's regular method of accounting. In addition, the Class X-1 and
Class X-2 Certificates will, and the other Classes of
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Offered Certificates may, be issued with original issue discount ("OID") for
federal income tax purposes. See "Certain Material Federal Income Tax
Considerations" in the prospectus. OID must be included in income as it accrues
on a constant yield method, regardless of whether the Certificateholder receives
currently the cash attributable to such OID. The prepayment assumption that will
be used in determining the accrual of any OID, market discount, or bond premium,
if any, will be 18% CPR for all the Mortgage Loans. No representation is made
that the Mortgage Loans will prepay at such a rate or at any other rate.
The Offered Certificates will constitute:
(a) a "real estate asset" within the meaning of section 856(c)(4)(A) of
the Code for a real estate investment trust;
(b) an "obligation secured by an interest in real property" within the
meaning of section 860G(a)(3) Code if held by a REMIC; or
(c) an asset described in section 7701(a)(19)(C)(xi) of the Code if
held by a domestic building and loan association.
An owner of an interest in a Class A-1, Class A-2, Class A-3 or Class
B-1 Certificate should be treated as (i) having purchased a "regular interest"
in the upper-tier REMIC, and (ii) as having written a call option on such
undivided interest at the time of the purchase of such Certificate, as the case
may be. An owner of a Class A-1, Class A-2, Class A-3 or Class B-1 Certificate
will be treated as having written the call option in exchange for an option
premium in an amount equal to the fair market value of the call option.
An owner of an interest in a Class A-1, Class A-2, Class A-3 or Class
B-1 Certificate should be considered to have purchased such Certificate for an
amount equal to the sum of the actual purchase price paid for such Certificate,
plus the fair market value of the call option premium. Consequently, an owner of
a Class A-1, Class A-2, Class A-3 or Class B-1 Certificate will have a basis in
such Certificate that will be greater than the purchase price paid directly by
the owner to acquire such Certificate.
When an owner sells an interest in a Class A-1, Class A-2, Class A-3 or
Class B-1 Certificate, the owner will be deemed to have made a payment to the
purchaser in an amount equal to the fair market value of the option because the
purchaser will have assumed the owner's obligation under the call option.
Consequently, the amount realized by the owner upon the sale of a Class A-1,
Class A-2, Class A-3 or Class B-1 Certificate may be greater than the purchase
price paid directly by the purchaser.
An owner of a Class A-1, Class A-2, Class A-3 or Class B-1 Certificate
will not be required to include immediately in income the option premium that
such owner is deemed to have received upon the purchase of such Certificate.
Instead, the owner must account for such premium when the call rights are
exercised, or when those rights lapse, or when those rights are otherwise
terminated with respect to the owner.
An owner of a Class A-1, Class A-2, Class A-3 or Class B-1 Certificate
will include option premium in income as short-term capital gain when the option
lapses. The principal balance of a Class A-1, Class A-2, Class A-3 or Class B-1
Certificate likely will be reduced over
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time through principal payments. Under existing authorities, it is not entirely
clear whether the rights held by a Call Option Holder would be deemed to lapse
as the underlying Mortgage Loans pay down. Each owner of a Class A-1, Class A-2,
Class A-3 or Class B-1 Certificate is urged to consult its own tax advisor on
these matters.
If the Senior Call Option Holder exercises its rights to call a Class
A-1, Class A-2 or Class A-3 Certificate, or if the Class B-1 Call Option Holder
exercises its rights to call a Class B-1 Certificate, the owner of such
Certificate would include in its amount realized from the sale of such
Certificate an amount equal to the unamortized portion of the option premium. If
an owner transfers its interest in a Class A-1, Class A-2, Class A-3 or Class
B-1 Certificate, the transfer will be treated as a closing transaction with
respect to the call option the owner is deemed to have written. As a result, the
owner will recognize a short-term capital gain or loss equal to the difference
between the unamortized amount of option premium and the amount the owner is
deemed to pay to be relieved from the obligation under the option.
Application of the Straddle Rules
With respect to an owner of a Class A-1, Class A-2, Class A-3 or Class
B-1 Certificate, the IRS might take the position that such Certificate and the
call option constitute positions in a straddle. If this position were sustained,
the straddle rules of section 1092 of the Code would apply. The straddle rules
might require an owner to capitalize, rather than deduct, interest and carrying
charges allocable to the owner's interest in such Class A-1, Class A-2, Class
A-3 or Class B-1 Certificate, as the case may be. Further, if the IRS were to
take the position that a Class A-1, Class A-2, Class A-3 or Class B-1
Certificate and the call option constituted a conversion transaction as well as
a straddle, then a portion of the gain with respect to such Certificate or the
Senior Call Option might be characterized as ordinary income. Each owner of a
Class A-1, Class A-2, Class A-3 or Class B-1 Certificate is urged to consult its
own tax advisor regarding these matters.
Tax Treatment of the Class X-1 and Class X-2 Certificates
The Class X-1 and Class X-2 Certificates represent differing interests
in a single REMIC regular interest. The correct treatment of this arrangement
for federal income tax purposes is unclear. The Trustee will account for the
arrangement for federal income tax purposes as if the Class X-2
Certificateholders owned the entire REMIC regular interest and have a separate
obligation under a notional principal contract (e.g., a prepaid swap contract)
to make the required payments to the Class X-1 Certificateholders. Under this
treatment, the Class X-1 Certificate would represent for federal income tax
purposes an interest in a notional principal contract rather than an interest in
a REMIC regular interest. Each Class X-2 Certificateholder would be treated as
receiving (and each Class X-1 Certificateholder as paying) such
Certificateholder's proportionate share of an upfront payment equal to the
purchase price paid by the X-1 Certificateholders for their Certificates and
including such amount in the price paid for the REMIC regular interest. The
application of the Treasury regulations governing notional principal contracts
would require (and govern the timing of) the upfront payment to be amortized (in
the case of the Class X-1 Certificates) and accrued into income (in the case of
the Class X-2 Certificates) over the life of the Class X-1 Certificates. This
treatment may affect certain taxpayers differently (e.g., an individual may be
required to treat any net deduction under notional principal contracts as a
miscellaneous itemized deduction, which is subject to limitations on deduction).
Alternative treatments are possible, such as the Class X-1 and Class
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X-2 Certificates being treated as interests in a partnership. Such treatment
could cause the timing and character of income to differ for the Class X-1 and
Class X-2 Certificateholders and certain payments may be subject to withholding
at a rate of 30% for Non-U.S. Persons. HOWEVER, NON-U.S. PERSONS ARE PROHIBITED
FROM OWNING AN INTEREST IN THE CLASS X-1 AND CLASS X-2 CERTIFICATES. Investors
in the Class X-1 and Class X-2 Certificates should consult their tax advisors as
to the proper treatment and timing of income with respect to an investment in
these Certificates.
THE RESIDUAL CERTIFICATE
The holder of the Class A-R Certificate must include the taxable income
of each REMIC in its federal taxable income. The resulting tax liability of such
holder may exceed cash distributions to such holder during certain periods. All
or a portion of the taxable income from the Class A-R Certificate recognized by
a holder may be treated as "excess inclusion" income, which, with limited
exceptions, is subject to U.S. federal income tax.
Proposed Treasury regulations issued on February 4, 2000 (the "NEW
PROPOSED REGULATIONS") would modify the safe harbor which, if satisfied,
provides that transfers of noneconomic residual interests are not disregarded
for federal income tax purposes. Under the New Proposed Regulations, a transfer
of a noneconomic residual interest will not qualify under this safe harbor
unless the present value of the anticipated tax liabilities associated with
holding the residual interest does not exceed the present value of the sum of
(i) any consideration given to the transferee to acquire the interest, (ii)
expected future distributions on the interest, and (iii) any anticipated tax
savings associated with holding the interest as the REMIC generates losses. For
purposes of this calculation, the present value generally is calculated using a
discount rate equal to applicable federal rate. The Proposed Regulations
indicate that the effective date of the modification to the safe harbor
requirements could be as early as February 4, 2000.
Also, purchasers of the Class A-R Certificate should consider carefully
the tax consequences of an investment in Residual Certificates discussed in the
prospectus and should consult their own tax advisors with respect to those
consequences. See "Certain Material Federal Income Tax Consequences--REMIC
Certificates--Residual Certificates" in the prospectus. Specifically,
prospective holders of the Class A-R Certificate should consult their tax
advisors regarding whether, at the time of acquisition, the Class A-R
Certificate will be treated as a "non-economic" residual interest, a
"non-significant value" residual interest and a "tax avoidance potential"
residential interest. See "Certain Material Federal Income Tax
Consequences--REMIC Certificates--Tax-Related Restrictions on Transfer of
Residual Certificates" and "--Residual Certificates" in the prospectus.
Additionally, for information regarding prohibited transactions and treatment of
Realized Losses, see "Certain Material Federal Income Tax Consequences--REMIC
Certificates--Prohibited Transactions and Other Taxes" and "--Regular
Certificates--Treatment of Realized Losses" in the prospectus.
NEW WITHHOLDING REGULATIONS
On October 6, 1997 and on May 22, 2000, the Treasury Department issued
new regulations (the "NEW REGULATIONS") which make certain modifications to the
withholding, backup withholding and information reporting rules described above.
The New Regulations attempt to unify certification requirements and modify
reliance standards and have detailed rules regarding the determination of
beneficial ownership. The New Regulations will generally be
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effective for payments made after December 31, 2000, subject to certain
transition rules. Prospective investors are urged to consult their own tax
advisors regarding the New Regulations.
NON-U.S. PERSONS
For purposes of the following discussion, the term "NON-U.S. PERSON"
means any person other than (i) a citizen or resident of the United States; (ii)
a corporation (or entity treated as a corporation for tax purposes) created or
organized in the United States or under the laws of the United States or of any
state thereof, including, for this purpose, the District of Columbia; (iii) a
partnership (or entity treated as a partnership for tax purposes) organized in
the United States or under the laws of the United States or of any state
thereof, including, for this purpose, the District of Columbia (unless provided
otherwise by future Treasury regulations); (iv) an estate whose income is
includible in gross income for United States income tax purposes regardless of
its source; or (v) a trust, if a court within the United States is able to
exercise primary supervision over the administration of the trust and one or
more U.S. Persons have authority to control all substantial decisions of the
trust. Notwithstanding the last clause of the preceding sentence, to the extent
provided in Treasury regulations, certain trusts in existence on August 20,
1996, and treated as U.S. Persons prior to such date, may elect to continue to
be U.S. Persons.
Interest paid to or accrued by a Certificateholder (other than the
Class A-R Certificateholder) who is a non-U.S. Person will be considered
"portfolio interest", and will not be subject to U.S. federal income tax and
withholding tax, if the interest is not effectively connected with the conduct
of a trade or business within the United States by the non-U.S. Person and the
non-U.S. Person (i) is not actually or constructively a "10 percent shareholder"
of the Trust or a "controlled foreign corporation" with respect to which the
Trust is a "related person" within the meaning of the Code and (ii) provides the
Trust or other person who is otherwise required to withhold U.S. tax with
respect to the Offered Certificates (other than the Class A-R Certificate) with
an appropriate statement (on Form W-8BEN or a substantially similar form),
signed under penalties of perjury, certifying that the beneficial owner of the
Offered Certificate is a non-U.S. Person and providing the non-U.S. Person's
name and address. If an Offered Certificate (other than the Class A-R
Certificate) is held through a securities clearing organization or certain other
financial institutions, the organization or institution may provide the relevant
signed statement to the withholding agent; in that case, however, the signed
statement must be accompanied by a Form W-8BEN or substitute form provided by
the non-U.S. Person that owns the Certificate.
Any capital gain realized on the sale, redemption, retirement or other
taxable disposition of an Offered Certificate (other than the Class A-R
Certificate) by a non-U.S. Person will be exempt from United States federal
income and withholding tax, provided that (i) such gain is not effectively
connected with the conduct of a trade or business in the United States by the
non-U.S. Person and (ii) in the case of an individual, the individual is not
present in the United States for 183 days or more in the taxable year.
PROHIBITED TRANSACTIONS TAX AND OTHER TAXES
The Code imposes a tax on REMICs equal to 100% of the net income
derived from "prohibited transactions" (the "PROHIBITED TRANSACTIONS TAX"). In
general, subject to certain specified exceptions, a prohibited transaction means
the disposition of a Mortgage Loan, the receipt of income from a source other
than a Mortgage Loan or certain other permitted
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investments, the receipt of compensation for services, or gain from the
disposition of an asset purchased with the payments on the Mortgage Loans for
temporary investment pending distribution on the Certificates. It is not
anticipated that the Trust will engage in any prohibited transactions in which
it would recognize a material amount of net income.
In addition, certain contributions to a trust that elects to be treated
as a REMIC made after the day on which such trust issues all of its interests
could result in the imposition of a tax on the trust equal to 100% of the value
of the contributed property (the "CONTRIBUTIONS TAX"). It is anticipated that
the Trust will not accept contributions that would subject it to such tax.
In addition, a trust that elects to be treated as a REMIC may also be
subject to federal income tax at the highest corporate rate on "net income from
foreclosure property", determined by reference to the rules applicable to real
estate investment trusts. "NET INCOME FROM FORECLOSURE PROPERTY" generally means
gain from the sale of a foreclosure property other than qualifying rents and
other qualifying income for a real estate investment trust. It is not
anticipated that the Trust will recognize net income from foreclosure property
subject to federal income tax.
BACKUP WITHHOLDING
Certain Certificate Owners may be subject to backup withholding at the
rate of 31% with respect to interest paid on the Offered Certificates if the
Certificate Owners, upon issuance, fail to supply the Trustee or their broker
with their taxpayer identification number, furnish an incorrect taxpayer
identification number, fail to report interest, dividends, or other "reportable
payments" (as defined in the Code) properly, or, under certain circumstances,
fail to provide the Trustee or their broker with a certified statement, under
penalty of perjury, that they are not subject to backup withholding.
The Trustee will be required to report annually to the IRS, and to each
Certificateholder of record, the amount of interest paid (and OID accrued, if
any) on the Offered Certificates (and the amount of interest withheld for
federal income taxes, if any) for each calendar year, except as to exempt
holders (generally, holders that are corporations, certain tax-exempt
organizations or nonresident aliens who provide certification as to their status
as nonresidents). As long as the only holder of record of a Class of Offered
Certificates is Cede & Co., as nominee of DTC, the IRS and Certificate Owners of
such Class will receive tax and other information, including the amount of
interest paid on such Certificates owned, from Participants and Financial
Intermediaries rather than from the Trustee. (The Trustee, however, will respond
to requests for necessary information to enable Participants, Financial
Intermediaries and certain other persons to complete their reports.) Each
non-exempt Certificate Owner will be required to provide, under penalty of
perjury, a certificate on IRS form W-9 containing his or her name, address,
correct federal taxpayer identification number and a statement that he or she is
not subject to backup withholding. Should a nonexempt Certificate Owner fail to
provide the required certification, the Participants or Financial Intermediaries
(or the Paying Agent) will be required to withhold 31% of the interest (and
principal) otherwise payable to the holder, and remit the withheld amount to the
IRS as a credit against the holder's federal income tax liability.
Such amounts will be deemed distributed to the affected Certificate
Owner for all purposes of the related Certificates and the Pooling and Servicing
Agreement.
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STATE TAXES
The Depositor makes no representations regarding the tax consequences
of purchase, ownership or disposition of the Offered Certificates under the tax
laws of any state. Investors considering an investment in the Offered
Certificates should consult their own tax advisors regarding such tax
consequences.
All investors should consult their own tax advisors regarding the
federal, state, local or foreign income tax consequences of the purchase,
ownership and disposition of the Offered Certificates.
ERISA CONSIDERATIONS
GENERAL
Section 406 of the Employee Retirement Income Security Act of 1974, as
amended ("ERISA"), and Section 4975 of the Code prohibit "parties in interest"
(under ERISA) and "disqualified persons" (under the Code) with respect to an
employee benefit plan subject to ERISA and/or a plan or other arrangement
subject to Section 4975 of the Code (each of the foregoing, a "PLAN") from
engaging in certain transactions involving such Plan and its assets unless a
statutory, regulatory or administrative exemption applies to the transaction.
Section 4975 of the Code imposes certain excise taxes on prohibited transactions
involving plans described under that Section. ERISA authorizes the imposition of
civil penalties for prohibited transactions involving plans not covered under
Section 4975 of the Code. Any Plan fiduciary which proposes to cause a Plan to
acquire any of the Offered Certificates should consult with its counsel with
respect to the potential consequences under ERISA and the Code of the Plan's
acquisition and ownership of such Certificates. See "ERISA Considerations" in
the prospectus.
Certain employee benefit plans, including governmental plans and
certain church plans, are not subject to ERISA's requirements. Accordingly,
assets of such plans may be invested in the Offered Certificates without regard
to the ERISA considerations described herein and in the prospectus, subject to
the provisions of other applicable federal and state law. Any such plan which is
qualified and exempt from taxation under Sections 401(a) and 501(a) of the Code
may nonetheless be subject to the prohibited transaction rules set forth in
Section 503 of the Code.
Investments by Plans that are subject to ERISA are subject to ERISA's
general fiduciary requirements, including the requirement of investment prudence
and diversification and the requirement that a Plan's investments be made in
accordance with the documents governing the Plan. A fiduciary which decides to
invest the assets of a Plan in the Offered Certificates should consider, among
other factors, the extreme sensitivity of the investments to the rate of
principal payments (including prepayments) on the Mortgage Loans.
The U.S. Department of Labor has granted to Greenwich Capital Markets,
Inc. Prohibited Transaction Exemption ("PTCE") 90-59, Application No. D-8374, 55
Fed. Reg. 36724 (September 6, 1990), as amended (the "EXEMPTION") which exempts
from the application of the prohibited transaction rules transactions relating
to (1) the acquisition, sale and holding by Plans of certain securities
representing an undivided interest in certain asset-backed pass-through entities
with respect to which Greenwich Capital Markets, Inc. or any of its affiliates
is the sole underwriter or the manager or co-manager of the underwriting
syndicate; and (2) the servicing,
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operation and management of such asset-backed pass-through entities, provided
that the general conditions and certain other conditions set forth in the
Exemption are satisfied. The Exemption was amended by PTCE 2000-58, Exemption
Application No. D-10829, 65 Fed. Reg. 67765 (2000) to extend exemptive relief to
subordinated certificates and certificates rated in the four highest generic
rating categories in certain designated transactions when the conditions of the
Exemption are met.
Among the conditions which must be satisfied for the Exemption to apply
are the following:
(1) The acquisition of the securities by a Plan is on terms
(including the price for such securities) that are at least as favorable
to the investing Plan as they would be in an arm's-length transaction
with an unrelated party;
(2) The rights and interests evidenced by the securities
acquired by the Plan are not subordinated to the rights and interests
evidenced by other securities of the entity, except when the trust holds
certain types of assets, including assets of the type held in the Trust;
(3) The securities acquired by the Plan have received a rating
at the time of such acquisition that is in one of the three (four, if
the trust holds certain types of assets, including assets of the type
held in the Trust) highest generic rating categories from S&P, Moody's
Investors Service, Inc. or Fitch;
(4) The sum of all payments made to and retained by the
underwriter in connection with the distribution of the securities
represents not more than reasonable compensation for underwriting such
certificates; the sum of all payments made to and retained by the seller
pursuant to the sale of the trust assets to the trust represents not
more than the fair market value of such assets; and the sum of all
payments made to and retained by any servicer represents not more than
reasonable compensation for such servicer's services under the
applicable servicing agreement and reimbursement of such servicer's
reasonable expenses in connection therewith;
(5) The trustee is not an affiliate of any underwriter, the
seller, any servicer, the certificate insurer, any borrower whose
obligations constitute more than 5% of the aggregate unamortized
principal balance of the assets in the Trust, or any of their respective
affiliates (together with the trustee, the "RESTRICTED GROUP");
(6) The Plan investing in the securities is an "accredited
investor" as defined in Rule 501(a)(1) of Regulation D of the SEC under
the Securities Act of 1933, as amended (the "SECURITIES ACT"); and
(7) For certain types of issuers, the documents establishing
the issuer must contain certain provisions to ensure that its assets may
not be reached by creditors of the sponsor in the event of the
bankruptcy or other insolvency of the sponsor.
In addition, (i) the investment pool must consist only of assets of
types enumerated in the Exemption which have been included in other investment
pools; (ii) securities evidencing interests in such other investment pools must
have been rated in one of the three (four, if the pool
S-99
<PAGE>
holds certain types of assets) highest generic rating categories by a rating
agency for at least one year prior to a Plan's acquisition of securities; and
(iii) securities evidencing interests in such other investment pools must have
been purchased by investors other than Plans for at least one year prior to a
Plan's acquisition of securities.
The Exemption will not apply to a Plan's investment in a Certificate if
the Plan fiduciary responsible for the decision to invest in the Certificates is
a mortgagor or obligor with respect to obligations held in the Trust or an
affiliate of such a person, unless: (1) in the case of an acquisition in
connection with the initial issuance of any Certificates, at least 50% of each
Class of Certificates in which Plans have invested is acquired by persons
independent of the Restricted Group and at least 50% of the aggregate interest
in the Trust is acquired by persons independent of the Restricted Group; (2) a
Plan's investment in any Class of Certificates does not exceed 25% of the
outstanding certificates of that Class at the time of acquisition; (3)
immediately after such acquisition, no more than 25% of the assets of any Plan
with respect to which the investing fiduciary has discretionary authority or
renders investment advice are invested in certificates evidencing interests in
entities sponsored or containing assets sold or serviced by the same entity; and
(4) the Plan is not sponsored by any member of the Restricted Group; and (5) the
fiduciary (or its affiliates) is an obligor with respect to 5% or less of the
fair market value of obligations contained in the Trust. In this regard, it is
possible that the Senior Call Option Holder or the Class B-1 Call Option Holder
would be considered to be a member of the Restricted Group. Accordingly, no Plan
that is sponsored by a Call Option Holder or any of its affiliates, and no
person investing on behalf of or with plan assets of such a Plan, may acquire a
Class A-1, Class A-2, Class A-3 or Class B-1 Certificate. Each purchaser or
other transferee of a Class A-1, Class A-2, Class A-3 or Class B-1 Certificate
will be deemed to represent that its acquisition of such Certificate does not
violate this restriction.
It is expected that the Exemption will apply to the acquisition and
holding by Plans of the Offered Certificates other than the Class A-R
Certificate and that all conditions of the Exemption other than those within the
control of the investors will be met.
The rating of a Certificate may change. If the rating of a Certificate
declines below BBB-, the Certificate will no longer be eligible for relief under
the Exemption, and consequently may not be purchased by or sold to a Plan
(although a Plan that had purchased the Certificate when it had an
investment-grade rating would not be required by the Exemption to dispose of
it).
BECAUSE THE CHARACTERISTICS OF THE CLASS A-R CERTIFICATE MAY NOT MEET
THE REQUIREMENTS OF THE EXEMPTION OR ANY OTHER ISSUED EXEMPTION UNDER ERISA, THE
PURCHASE AND HOLDING OF THE CLASS A-R CERTIFICATE BY A PLAN OR BY INDIVIDUAL
RETIREMENT ACCOUNTS OR OTHER PLANS SUBJECT TO SECTION 4975 OF THE CODE MAY
RESULT IN PROHIBITED TRANSACTIONS OR THE IMPOSITION OF EXCISE TAXES OR CIVIL
PENALTIES. CONSEQUENTLY, TRANSFERS OF THE CLASS A-R CERTIFICATE WILL NOT BE
REGISTERED BY THE TRUSTEE UNLESS THE TRUSTEE RECEIVES:
1. A REPRESENTATION FROM THE TRANSFEREE OF SUCH CERTIFICATE,
ACCEPTABLE TO AND IN FORM AND SUBSTANCE SATISFACTORY TO THE
TRUSTEE, TO THE EFFECT THAT SUCH TRANSFEREE IS NOT AN EMPLOYEE
BENEFIT PLAN SUBJECT TO SECTION 406 OF ERISA OR A PLAN OR
ARRANGEMENT SUBJECT TO SECTION 4975 OF THE CODE, NOR A PERSON
ACTING ON BEHALF OF ANY SUCH PLAN OR ARRANGEMENT NOR USING THE
ASSETS OF ANY SUCH PLAN OR ARRANGEMENT TO EFFECT SUCH
TRANSFER;
S-100
<PAGE>
2. IF THE PURCHASER IS AN INSURANCE COMPANY, A REPRESENTATION
THAT THE PURCHASER IS AN INSURANCE COMPANY WHICH IS PURCHASING
SUCH CERTIFICATE WITH FUNDS CONTAINED IN AN "INSURANCE COMPANY
GENERAL ACCOUNT" (AS SUCH TERM IS DEFINED IN SECTION V(E) OF
PTCE 95-60 AND THAT THE PURCHASE AND HOLDING OF SUCH
CERTIFICATE ARE COVERED UNDER SECTIONS I AND III OF PTCE
95-60; OR
3. AN OPINION OF COUNSEL SATISFACTORY TO THE TRUSTEE THAT THE
PURCHASE AND HOLDING OF SUCH CERTIFICATE BY A PLAN, OR ANY
PERSON ACTING ON BEHALF OF A PLAN OR USING SUCH PLAN'S ASSETS,
WILL NOT RESULT IN A NON-EXEMPT PROHIBITED TRANSACTION UNDER
EITHER TITLE I OF ERISA OR SECTION 4975 OF THE CODE AND WILL
NOT SUBJECT THE TRUSTEE, ANY SERVICER OR THE DEPOSITOR TO ANY
OBLIGATION IN ADDITION TO THOSE UNDERTAKEN IN THE AGREEMENT.
IN THE EVENT THAT SUCH REPRESENTATIONS ARE VIOLATED, OR ANY ATTEMPT TO
TRANSFER TO A PLAN OR PERSON ACTING ON BEHALF OF A PLAN OR USING SUCH PLAN'S
ASSETS IS ATTEMPTED WITHOUT SUCH OPINION OF COUNSEL, SUCH ATTEMPTED TRANSFER OR
ACQUISITION SHALL BE VOID AND OF NO EFFECT.
Prospective Plan investors should consult with their legal advisors
concerning the impact of ERISA and the Code, the applicability of the Exemption,
and the potential consequences in their specific circumstances (including the
applicability of the Exemption to transactions involving a Call Option Holder),
prior to making an investment in the Offered Certificates. Moreover, each Plan
fiduciary should determine whether, under the general fiduciary standards of
investment prudence and diversification, an investment in the Offered
Certificates is appropriate for the Plan, taking into account the overall
investment policy of the Plan and the composition of the Plan's investment
portfolio.
LEGAL INVESTMENT CONSIDERATIONS
The Senior Certificates and the Class B-1 Certificates will constitute
"mortgage related securities" for purposes of the Secondary Mortgage Market
Enhancement Act of 1984 ("SMMEA") so long as they are rated in one of the two
highest rating categories by at least one nationally recognized statistical
rating organization and, as such, are legal investments for certain entities to
the extent provided for in SMMEA.
There may be restrictions on the ability of certain investors,
including depository institutions, either to purchase the Offered Certificates
or to purchase Offered Certificates representing more than a specified
percentage of the investor's assets. Investors should consult their own legal
advisors in determining whether and to what extent the Offered Certificates
constitute legal investments for such investors. See "Legal Investment" in the
prospectus.
METHOD OF DISTRIBUTION
Subject to the terms and conditions set forth in the Underwriting
Agreement between the Depositor, Greenwich Capital Markets, Inc. ("GREENWICH"),
which is an affiliate of the Depositor, and Countrywide Securities Corporation
(together with Greenwich, the "UNDERWRITERS"), the Depositor has agreed to sell
to the Underwriters, and each of the
S-101
<PAGE>
Underwriters has severally agreed to purchase from the Depositor, the principal
balances of the Offered Certificates set forth below opposite their respective
names.
<TABLE>
<CAPTION>
CLASS A-1 CLASS A-2 CLASS A-3 CLASS X-1 CLASS X-2
UNDERWRITER CERTIFICATES CERTIFICATES CERTIFICATES CERTIFICATES CERTIFICATES
---------------------------------------- ------------- -------------- ------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
Greenwich Capital Markets, Inc..... 157,347,000 40,130,000 101,091,000 47,211,000(1) 370,717,334(1)
Countrywide Securities Corporation 27,766,000 7,081,000 17,839,000 0 0
<CAPTION>
CLASS A-R CLASS B-1 CLASS B-2 CLASS B-3
UNDERWRITER CERTIFICATES CERTIFICATES CERTIFICATES CERTIFICATES
----------------------------------------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Greenwich Capital Markets, Inc..... 100 7,877,000 2,363,000 2,206,000
Countrywide Securities Corporation 0 1,390,000 417,000 389,000
</TABLE>
(1) Certificate Notional Balance
Distribution of the Offered Certificates will be made by the
Underwriters from time to time in negotiated transactions or otherwise at
varying prices to be determined at the time of sale. The Underwriters may effect
such transactions by selling Offered Certificates to or through dealers and such
dealers may receive from the Underwriters, for which they act as agent,
compensation in the form of underwriting discounts, concessions or commissions.
The Underwriters and any dealers that participate with the Underwriters in the
distribution of the Offered Certificates may be deemed to be underwriters, and
any discounts, commissions or concessions received by them, and any profits on
resale of the Offered Certificates purchased by them, may be deemed to be
underwriting discounts and commissions under the Securities Act.
The Depositor has been advised by the Underwriters that they intend to
make a market in the Offered Certificates but have no obligation to do so. There
can be no assurance that a secondary market for the Offered Certificates will
develop or, if it does develop, that it will continue.
The Depositor has agreed to indemnify the Underwriters against, or make
contributions to the Underwriters with respect to, certain liabilities,
including liabilities under the Securities Act.
LEGAL MATTERS
Certain legal matters in connection with the issuance of the Offered
Certificates will be passed upon by Brown & Wood LLP, New York, New York, as
counsel for the Seller, the Depositor and the Underwriters. Certain federal
income tax consequences with respect to the Certificates will be passed upon for
the Trust by Brown & Wood LLP, New York, New York.
RATINGS
It is a condition to the issuance of the Offered Certificates that the
Senior Certificates be rated "AAA", that the Class B-1 Certificates be rated at
least "AA", that the Class B-2 Certificates be rated at least "A" and that the
Class B-3 Certificates be rated at least "BBB" by
S-102
<PAGE>
both Standard & Poor's Ratings Services, a division of The McGraw-Hill Companies
("S&P"), and Fitch, Inc. ("FITCH" and, together with S&P, the "RATING
AGENCIES").
The ratings assigned by each Rating Agency to mortgage pass-through
certificates address the likelihood of the receipt of all distributions on the
mortgage loans by the related certificateholders under the agreements pursuant
to which those certificates are issued. Each Rating Agency's ratings take into
consideration the credit quality of the related mortgage pool, including any
credit support providers, structural and legal aspects associated with those
certificates, and the extent to which the payment stream on that mortgage pool
is adequate to make payments required by those certificates. Each Rating
Agency's ratings on those certificates do not, however, constitute a statement
regarding frequency of prepayments on the related mortgage loans.
The ratings of each Rating Agency do not address the possibility that,
as a result of principal prepayments, holders of the Offered Certificates may
receive a lower than anticipated yield or that holders of the Class X-1 or Class
X-2 Certificates may fail to recoup their initial investments.
The ratings assigned to the Offered Certificates should be evaluated
independently from similar ratings on other types of securities. A rating is not
a recommendation to buy, sell or hold securities and may be subject to revision
or withdrawal at any time by either Rating Agency.
The Depositor has not engaged any rating agency other than the Rating
Agencies to provide ratings on the Offered Certificates. However, there can be
no assurance as to whether any other rating agency will rate the Offered
Certificates or, if it does, what rating would be assigned by that rating
agency. Any rating on the Offered Certificates by another rating agency, if
assigned at all, may be lower than the ratings assigned to the Offered
Certificates by the Rating Agencies.
S-103
<PAGE>
INDEX OF DEFINED TERMS
Additional Collateral............................S-39
Additional Collateral Loans......................S-39
Adjustment Date..................................S-18
Advance..........................................S-51
Aggregate Subordinated Percentage................S-71
Agreement........................................S-92
Applicable Credit Support Percentage.............S-71
Assumed Final Distribution Date..................S-58
Available Funds..................................S-64
Bank of America..................................S-33
Bank of America Product Guides...................S-40
Bank of America Servicing Contract...............S-43
Bankruptcy Loss Coverage Amount..................S-73
Bankruptcy Losses................................S-73
Beneficial Owner.................................S-59
Book-Entry Certificates..........................S-59
Call Option Date.................................S-56
Call Option Holders..............................S-56
Call Options.....................................S-56
CBE..............................................S-91
Cendant..........................................S-43
Certificate Notional Balance.....................S-58
Certificate Owners...............................S-59
Certificate Principal Balance....................S-68
Certificateholder................................S-59
Certificates.....................................S-58
Class B-1 Call Option............................S-56
Class B-1 Call Option Holder.....................S-56
Class Subordination Percentage...................S-71
Class X-1 Yield Table............................S-91
Class X-2 Yield Table............................S-91
Clearstream, Luxembourg..........................S-61
Clearstream, Luxembourg Participants.............S-61
Collection Account...............................S-50
Compensating Interest............................S-53
Contributions Tax................................S-97
Cooperative......................................S-61
CPR..............................................S-81
Credit Scores....................................S-40
Cut-Off Date Pool Balance........................S-17
Debt Service Reduction...........................S-75
Deficient Valuation..............................S-75
Definitive Certificate...........................S-59
Determination Date...............................S-53
Distribution Account.............................S-50
Distribution Date................................S-58
DTC..............................................S-59
DTC's Rules......................................S-59
DTI..............................................S-37
Due Date.........................................S-18
Due Period.......................................S-68
Effective Loan-To-Value Ratio....................S-18
Eligible Account.................................S-51
Eligible Substitute Mortgage Loan................S-49
ERISA............................................S-98
Euroclear........................................S-61
Euroclear Operator...............................S-61
Euroclear Participants...........................S-61
European Depositaries............................S-59
Event of Servicing Termination...................S-56
Excess Losses....................................S-73
Exemption........................................S-98
Expense Fee Rate.................................S-52
Expense Fees.....................................S-52
FICO.............................................S-33
Financial Intermediary...........................S-59
First Rate Cap...................................S-19
Fitch...........................................S-103
Fraud Loss Coverage Amount.......................S-73
Fraud Losses.....................................S-73
GCFP.............................................S-33
Greenwich.......................................S-101
Gross Margin.....................................S-19
IML..............................................S-61
Index............................................S-19
Insurance Proceeds...............................S-64
Interest Accrual Period..........................S-65
Interest Only Period.............................S-19
IRS..............................................S-36
Limited Purpose Surety Bond......................S-39
Liquidated Mortgage Loan.........................S-73
Liquidation Proceeds.............................S-64
Loan Rate........................................S-18
Loan-to-Value Ratio..............................S-18
Maximum Loan Rate................................S-19
ML & Co..........................................S-34
MLCC.............................................S-33
MLCC Servicing Contract..........................S-43
Mortgage.........................................S-18
Mortgage 100= Loans..............................S-39
Mortgage Loan....................................S-17
Mortgage Loan Purchase Agreement.................S-17
Mortgage Loan Schedule...........................S-48
Mortgage Score...................................S-41
Mortgaged Property...............................S-18
Mortgagor........................................S-19
Net income from foreclosure property.............S-97
Net Interest Shortfall...........................S-65
Net Liquidation Proceeds.........................S-64
Net Prepayment Interest Shortfall................S-66
Net WAC..........................................S-67
New Proposed Regulations.........................S-95
New Regulations..................................S-95
non-U.S. Person..................................S-96
Offered Certificates.............................S-58
OID..............................................S-93
One Year CMT.....................................S-32
Optional Termination Date........................S-55
Original Applicable Credit Support Percentage....S-71
Original Certificate Principal Balance...........S-68
S-104
<PAGE>
Original Subordinate Certificate
Principal Balance.............................S-70
Parent Power(R)Loans.............................S-39
Participant......................................S-59
Pass-Through Rate................................S-66
Periodic Rate Cap................................S-19
Plan.............................................S-98
Pool Balance.....................................S-17
Pooling and Servicing Agreement..................S-48
Prepayment Interest Shortfall....................S-53
Prepayment Period................................S-68
Principal Balance................................S-17
Principal Distribution Amount....................S-67
Pro Rata Senior Percentage.......................S-69
Prohibited Transactions Tax......................S-96
PTCE.............................................S-98
Purchase Price...................................S-49
Rating Agencies.................................S-103
Realized Loss....................................S-73
Record Date......................................S-58
Related Documents................................S-48
Relevant Depositary..............................S-59
Relief Act Reduction.............................S-66
REMIC............................................S-92
REO Property.....................................S-76
Restricted Classes...............................S-71
Restricted Group.................................S-99
S&P.............................................S-103
Securities Act...................................S-99
Seller...........................................S-33
Senior Call Option...............................S-56
Senior Call Option Holder........................S-56
Senior Certificates..............................S-57
Senior Percentage................................S-69
Senior Prepayment Percentage.....................S-69
Senior Principal Distribution Amount.............S-68
Servicer.........................................S-43
Servicer Remittance Date.........................S-51
Servicers........................................S-43
Servicing Advance................................S-52
Servicing Contracts..............................S-43
Servicing Fee....................................S-52
Servicing Fee Rate...............................S-52
Six Month LIBOR..................................S-32
SMMEA...........................................S-101
Special Hazard Loss Coverage Amount..............S-73
Special Hazard Losses............................S-73
Special Hazard Mortgage Loan.....................S-73
Stated Principal Balance.........................S-69
Structuring Assumptions..........................S-81
Subordinate Certificates.........................S-58
Subordinate Percentage...........................S-69
Subordinate Prepayment Percentage................S-69
Subordinate Principal Distribution Amount........S-72
Substitution Adjustment..........................S-49
Surety Bond Provider.............................S-39
Tax Counsel......................................S-92
Termination Price................................S-55
Terms and Conditions.............................S-62
Trust............................................S-17
Trustee..........................................S-53
Trustee Fee Rate.................................S-53
Two Times Test...................................S-71
Underwriters....................................S-101
WAMU Entities....................................S-33
WMBFA............................................S-33
WMBFA Servicing Contract.........................S-43
S-105
<PAGE>
UNTIL 90 DAYS AFTER THE DATE OF THIS PROSPECTUS SUPPLEMENT, ALL DEALERS
EFFECTING TRANSACTIONS IN THE SECURITIES OFFERED BY THIS PROSPECTUS SUPPLEMENT,
WHETHER OR NOT PARTICIPATING IN THIS DISTRIBUTION, MAY BE REQUIRED TO DELIVER
THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS. THIS IS IN ADDITION TO THE
OBLIGATION OF DEALERS TO DELIVER THIS PROSPECTUS SUPPLEMENT AND THE PROSPECTUS
WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR UNSOLD ALLOTMENTS OR
SUBSCRIPTIONS.
$365,896,100
(APPROXIMATE)
HARBORVIEW MORTGAGE LOAN TRUST 2000-2
MORTGAGE LOAN PASS-THROUGH CERTIFICATES, SERIES 2000-2
$185,113,000 CLASS A-1 FIXED INITIAL PASS-THROUGH RATE
$47,211,000 CLASS A-2 FIXED INITIAL PASS-THROUGH RATE
$118,930,000 CLASS A-3 FIXED INITIAL PASS-THROUGH RATE
NOTIONAL BALANCE CLASS X-1 FIXED PASS-THROUGH RATE
NOTIONAL BALANCE CLASS X-2 VARIABLE PASS-THROUGH RATE
$100 CLASS A-R WEIGHTED AVERAGE PASS-THROUGH RATE
$9,267,000 CLASS B-1 FIXED INITIAL PASS-THROUGH RATE
$2,780,000 CLASS B-2 FIXED INITIAL PASS-THROUGH RATE
$2,595,000 CLASS B-3 FIXED INITIAL PASS-THROUGH RATE
GREENWICH CAPITAL ACCEPTANCE, INC.
Depositor
GREENWICH CAPITAL FINANCIAL PRODUCTS, INC.
Seller
BANK OF AMERICA, N.A.
CENDANT MORTGAGE CORPORATION
MERRILL LYNCH CREDIT CORPORATION
WASHINGTON MUTUAL BANK, FA
Servicers
------------------------------------------
PROSPECTUS SUPPLEMENT
------------------------------------------
You should rely only on the information contained or incorporated by reference
in this prospectus supplement and the accompanying prospectus. We have not
authorized anyone to provide you with different information.
We are not offering the certificates in any state where the offer is not
permitted.
We do not claim that the information in this prospectus supplement and the
accompanying prospectus is accurate as of any date other than the dates stated
on their respective covers.
GREENWICH CAPITAL MARKETS, INC. COUNTRYWIDE SECURITIES CORPORATION
DECEMBER 15, 2000
