- -----------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event
Reported): December 11, 1996
LEHMAN ABS CORPORATION, (as depositor under the Pooling and
Servicing Agreement, dated as of December 1, 1996, which forms
Provident Bank Home Equity Loan Trust 1996-2, which will issue the
Provident Bank Home Equity Loan Trust 1996-2, Home Equity Loan
Asset-Backed Certificates, Series 1996-2).
LEHMAN ABS CORPORATION
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(Exact name of registrant as specified in its charter)
Delaware 333-14293 13-3447441
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(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Three World Financial Center
200 Vesey Street
New York, New York 10022
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(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 526-7000
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Item 5. Other Events.
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The prospectus supplement dated December 6, 1996 (the "Prospectus
Supplement") of Lehman ABS Corporation, relating to its Provident Bank Home
Equity Loan Trust 1996-2, Home Equity Loan Asset-Backed Certificates, Series
1996-2, previously filed with the Commission, contains statistical
information and related data concerning the Mortgage Loans in the Mortgage
Pool and in each Loan Group as of an original Statistic Calculation Date of
November 22, 1996.
Submitted herewith are tables showing the statistical information as of
the related Cut-Off Date for the Mortgage Loans purchased by the Trust on
the Closing Date. The tables containing such statistical information with
respect to the Mortgages Loans in Loan Group 1 are attached hereto as Exhibit
99.1. The tables containing such statistical information with respect to the
Mortgage Loans in Loan Group 2 are attached hereto as Exhibit 99.2. Unless
otherwise indicated, the statistical information with respect to the
Mortgage Loans is presented as of the related Cut-Off Date.
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* Capitalized terms used and not otherwise defined herein shall have the
meanings assigned to them in the Prospectus Supplement.
Item 7. Financial Statements, Pro Forma Financial
- ---- -----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Statistical information relating to the Mortgage Loans in Loan
Group 1.
99.2 Statistical information relating to the Mortgage Loans in Loan
Group 2.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
LEHMAN ABS CORPORATION
By: /s/ Martin Harding
-----------------------------
Martin Harding
Managing Director
Dated: December 23, 1996
Exhibit Index
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Exhibit Page
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99.1. Statistical information relating to the
Mortgage Loans in Loan Group 1. 6
99.2. Statistical information relating to the 10
Mortgage Loans in Loan Group 2.
EXHIBIT 99.1:
LOAN GROUP 1 STATISTICAL INFORMATION
PRINCIPAL BALANCES
LOAN GROUP 1
<TABLE>
<CAPTION>
Loan Group 1
Range of Cut-Off Date % of Loan Group 1
Cut-Off Number of Principal Cut-Off Date
Date Principal Balances Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
$ 0.01-$ 10,000.00 . . . . . . . 19 $ 128,397.92 0.37%
$ 10,000.01-$ 20,000.00 . . . . . 90 1,452,653.38 4.16
$ 20,000.01-$ 30,000.00 . . . . . 128 3,216,414.90 9.21
$ 30,000.01-$ 40,000.00 . . . . . 127 4,531,422.60 12.98
$ 40,000.01-$ 50,000.00 . . . . . 77 3,472,859.34 9.95
$ 50,000.01-$ 60,000.00 . . . . . 72 4,028,027.97 11.54
$ 60,000.01-$ 70,000.00 . . . . . 57 3,727,572.37 10.68
$ 70,000.01-$ 80,000.00 . . . . . 31 2,325,944.97 6.66
$ 80,000.01-$ 90,000.00 . . . . . 16 1,347,485.06 3.86
$ 90,000.01-$ 100,000.00 . . . . 17 1,626,272.82 4.66
$ 100,000.01-$ 110,000.00 . . . . 13 1,375,920.77 3.94
$ 110,000.01-$ 120,000.00 . . . . 10 1,147,237.77 3.29
$ 120,000.01-$ 130,000.00 . . . . 3 373,069.89 1.07
$ 130,000.01-$ 140,000.00 . . . . 7 954,685.16 2.73
$ 140,000.01-$ 150,000.00 . . . . 3 439,969.23 1.26
$ 150,000.01-$ 160,000.00 . . . . 4 614,595.57 1.76
$ 160,000.01-$ 170,000.00 . . . . 4 656,349.66 1.88
$ 170,000.01-$ 180,000.00 . . . . 4 704,127.64 2.02
$ 180,000.01-$ 190,000.00 . . . . 2 367,634.75 1.05
$ 200,000.01-$ 210,000.00 . . . . 1 209,600.00 0.60
$ 210,000.01-$ 220,000.00 . . . . 1 220,000.00 0.63
$ 230,000.01-$ 240,000.00 . . . . 2 470,720.00 1.35
$ 240,000.01-$ 250,000.00 . . . . 1 243,705.31 0.70
$ 250,000.01-$ 260,000.00 . . . . 1 260,000.00 0.74
$ 270,000.01-$ 280,000.00 . . . . 1 279,922.08 0.80
$ 290,000.01-$ 300,000.00 . . . . 1 296,000.00 0.85
$ 430,000.01-$ 440,000.00 . . . . 1 438,488.50 1.26
Total . . . . . . . . . . . . . . 693 $34,909,077.66 100.00%
</TABLE>
GEOGRAPHICAL DISTRIBUTION BY STATE(1)
LOAN GROUP 1
<TABLE>
<CAPTION>
Loan Group 1
Cut-Off Date % of Loan Group 1
Number of Principal Cut-Off Date
State Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
Arizona . . . . . . . . . . . . . . . . 19 $ 1,030,185.77 2.95%
California . . . . . . . . . . . . . . 19 1,046,422.66 3.00
Colorado . . . . . . . . . . . . . . . 15 444,282.92 1.27
District of Columbia . . . . . . . . . 6 419,852.82 1.20
Florida . . . . . . . . . . . . . . . . 55 3,028,751.22 8.68
Georgia . . . . . . . . . . . . . . . . 14 755,401.80 2.16
Idaho . . . . . . . . . . . . . . . . . 9 556,173.04 1.59
Illinois . . . . . . . . . . . . . . . 44 2,640,690.77 7.56
Indiana . . . . . . . . . . . . . . . . 77 2,977,885.26 8.53
Kentucky . . . . . . . . . . . . . . . 28 1,155,189.03 3.31
Maryland . . . . . . . . . . . . . . . 35 2,728,459.62 7.82
Michigan . . . . . . . . . . . . . . . 6 178,425.00 0.51
Minnesota . . . . . . . . . . . . . . . 2 227,480.18 0.65
Missouri . . . . . . . . . . . . . . . 5 131,000.00 0.38
Montana . . . . . . . . . . . . . . . . 2 40,604.78 0.12
North Carolina . . . . . . . . . . . . 3 185,864.32 0.53
New Mexico . . . . . . . . . . . . . . 3 407,419.85 1.17
Nevada . . . . . . . . . . . . . . . . 11 796,579.59 2.28
Ohio . . . . . . . . . . . . . . . . . 259 11,596,452.70 33.22
Oregon . . . . . . . . . . . . . . . . 20 1,143,958.70 3.28
Pennsylvania . . . . . . . . . . . . . 1 163,115.00 0.47
South Carolina . . . . . . . . . . . . 8 454,904.85 1.30
Tennessee . . . . . . . . . . . . . . . 2 64,500.00 0.18
Utah . . . . . . . . . . . . . . . . . 32 1,484,323.36 4.25
Virginia . . . . . . . . . . . . . . . 1 54,400.00 0.16
Washington . . . . . . . . . . . . . . 16 1,169,754.42 3.35
Wisconsin . . . . . . . . . . . . . . . 1 27,000.00 0.08
Total . . . . . . . . . . . . . . 693 $34,909,077.66 100.00%
</TABLE>
_______________
(1) Determined by property address designated as such in the related
Mortgage.
COMBINED LOAN-TO-VALUE RATIOS(1)
LOAN GROUP 1
<TABLE>
<CAPTION>
Loan Group 1
Cut-Off Date % of Loan Group 1
Number of Principal Cut-Off Date
Combined Loan-to-Value Ratio Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
0.001%- 5.000% . . . . . . . . . 1 1,000.00 0.00
10.001%- 15.000% . . . . . . . . 2 62,936.05 0.18
15.001%- 20.000% . . . . . . . . 5 71,362.28 0.20
20.001%- 25.000% . . . . . . . . 9 283,513.42 0.81
25.001%- 30.000% . . . . . . . . 8 229,393.34 0.66
30.001%- 35.000% . . . . . . . . 9 218,977.77 0.63
35.001%- 40.000% . . . . . . . . 6 132,753.70 0.38
40.001%- 45.000% . . . . . . . . 8 310,341.66 0.89
45.001%- 50.000% . . . . . . . . 12 441,381.08 1.26
50.001%- 55.000% . . . . . . . . 19 1,028,873.93 2.95
55.001%- 60.000% . . . . . . . . 22 1,065,634.43 3.05
60.001%- 65.000% . . . . . . . . 44 1,886,238.15 5.40
65.001%- 70.000% . . . . . . . . 50 2,335,338.48 6.69
70.001%- 75.000% . . . . . . . . 102 5,360,392.40 15.36
75.001%- 80.000% . . . . . . . . 234 13,902,378.53 39.82
80.001%- 85.000% . . . . . . . . 138 6,449,743.52 18.48
85.001%- 90.000% . . . . . . . . 17 987,004.46 2.83
90.001%- 95.000% . . . . . . . . 2 57,678.50 0.17
95.001%- 100.000% . . . . . . . . 2 81,135.96 0.23
unknown(2) 3 3,000.00 0.01
Total . . . . . . . . . . . . . . 693 $34,909,077.66 100.00%
</TABLE>
_______________
(1) The Combined Loan-to-Value Ratios ("CLTV") shown above are equal, with
respect to each Mortgage Loan, to (i) the sum of (a) the original
principal balance of such Mortgage Loan at the date of origination plus
(b) the remaining balance of the senior lien(s), if any, at the date of
origination of such Mortgage Loan divided by (ii) the lesser of (a) the
value of the related Mortgaged Property, based upon the appraisal made
at the time of origination of such Mortgage Loan or (b) the purchase
price of such mortgaged property if the proceeds of such Mortgage Loan
are used to purchase such Mortgaged Property.
(2) For these three Mortgage Loans, the CLTVs could not be calculated
because the appraisal values are unavailable.
LIEN POSITION
LOAN GROUP 1
<TABLE>
<CAPTION>
Loan Group 1
Cut-Off Date % of Loan Group 1
Number of Principal Cut-Off Date
Lien Position Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
First . . . . . . . . . . . . . . . . . 471 $28,553,440.36 81.79%
Second . . . . . . . . . . . . . . . . 222 6,355,637.30 18.21
Total . . . . . . . . . . . . . . 693 $34,909,077.66 100.00%
</TABLE>
SECOND MORTGAGE RATIOS(1)
LOAN GROUP 1
<TABLE>
<CAPTION> Loan Group 1
Cut-Off Date % of Loan Group 1
Number of Principal Cut-Off Date
Mortgage Loans Balance Principal Balance
Second Mortgage Ratio
<S> <C> <C> <C>
0.0001 - 10.0000 . . . . . . . . . . . 3 $33,272.71 0.52%
10.0001 - 20.0000 . . . . . . . . . . . 55 1,200,404.01 18.89
20.0001 - 30.0000 . . . . . . . . . . . 73 1,834,034.00 28.86
30.0001 - 40.0000 . . . . . . . . . . . 48 1,415,620.87 22.27
40.0001 - 50.0000 . . . . . . . . . . . 18 848,593.21 13.35
50.0001 - 60.0000 . . . . . . . . . . . 14 461,916.43 7.27
60.0001 - 70.0000 . . . . . . . . . . . 4 164,880.92 2.59
70.0001 - 80.0000 . . . . . . . . . . . 2 98,990.00 1.56
80.0001 - 90.0000 . . . . . . . . . . . 4 247,925.15 3.90
90.0001 - 100.0000 . . . . . . . . . . 1 50,000.00 0.79
Total . . . . . . . . . . . . . . . . . 222 $6,355,637.30 100.00%
</TABLE>
_______________
(1) Applies only to Mortgage Loans in a second lien position. The Second
Mortgage Ratios shown above are equal, with respect to each Mortgage
Loan in a second lien position, the original principal balance of such
Mortgage Loan at the date of origination divided by the sum of (a) the
original principal balance of such Mortgage Loan at the date of
origination plus (b) the remaining balance of the senior lien at the
date of origination of such Mortgage Loan.
LOAN RATES
LOAN GROUP 1
<TABLE>
<CAPTION> Number of Loan Group 1 % of Loan Group 1
Mortgage Loans Cut-Off Date Cut-Off Date
Principal Principal Balance
Balance
Second Mortgage Ratio
<S> <C> <C> <C>
9.001 - 9.500 . . . . . . . . . . . . 3 151,635.89 0.43
9.501 - 10.000 . . . . . . . . . . . . 21 1,370,055.19 3.92
10.001 - 10.500 . . . . . . . . . . . . 47 2,912,042.05 8.34
10.501 - 11.000 . . . . . . . . . . . . 86 5,504,202.08 15.77
11.001 - 11.500 . . . . . . . . . . . . 115 7,128,600.32 20.42
11.501 - 12.000 . . . . . . . . . . . . 137 6,599,338.88 18.90
12.001 - 12.500 . . . . . . . . . . . . 84 3,548,265.95 10.16
12.501 - 13.000 . . . . . . . . . . . . 109 4,164,570.00 11.93
13.001 - 13.500 . . . . . . . . . . . . 37 1,700,058.56 4.87
13.501 - 14.000 . . . . . . . . . . . . 37 1,252,995.10 3.59
14.001 - 14.500 . . . . . . . . . . . . 8 209,232.66 0.60
14.501 - 15.000 . . . . . . . . . . . . 3 157,886.36 0.45
15.001 - 15.500 . . . . . . . . . . . . 2 36,718.12 0.11
15.501 - 16.000 . . . . . . . . . . . . 4 173,476.50 .50
Total . . . . . . . . . . . . . . . . . 693 34,909,077.66 100.00
</TABLE>
<TABLE>
<CAPTION> REMAINING MONTHS TO STATED MATURITY
LOAN GROUP 1 Loan Group 1 Cut- % of Loan Group 1
Number of Off Date Cut-Off Date
Remaining Term to Mortgage Loans Principal Balance Principal Balance
Stated Maturity
<S> <C> <C> <C>
13 - 24 months . . . . . . . . . 5 $ 5,000.00 0.01%
49 - 60 months . . . . . . . . . 5 79,829.47 0.23
109 - 120 months . . . . . . . . . 20 521,405.04 1.49
157 - 168 months . . . . . . . . . 1 26,234.06 0.08
169 - 180 months . . . . . . . . . 632 32,247,301.34 92.38
229 - 240 months . . . . . . . . . 22 942,107.75 2.70
8 1,087,200.00 3.11
349 - 360 months . . . . . . . . .
693 $34,909,077.66 100.00%
Total:
</TABLE>
<TABLE>
<CAPTION> MONTHS SINCE ORIGINATION
LOAN GROUP 1
Loan Group 1 Cut- % of Loan Group 1
Number of Off Date Cut-Off Date
Mortgage Loans Principal Balance Principal Balance
Months Since Origination
<S> <C> <C> <C>
0 . . . . . . . . . . . . . . . . . 240 $12,139,251.37 34.77%
1-6 . . . . . . . . . . . . . . . . 452 22,743,592.23 65.15
7-12 . . . . . . . . . . . . . . . 1 26,234.06 0.08
Total . . . . . . . . . . . . 693 $34,909,077.66 100.00%
</TABLE>
<TABLE>
<CAPTION> PROPERTY TYPE
LOAN GROUP 1 % of
Loan Group 1 Cut- Loan Group 1 Cut-
Number of Off Date Off Date
Mortgage Loans Principal Balance Principal Balance
Property Type
<S> <C> <C> <C>
Single Family . . . . . . . . . . . 607 $29,725,273.85 85.15
Two- to Four-Family . . . . . . . . 47 2,987,195.60 8.55
Condo . . . . . . . . . . . . . . . 22 1,107,699.55 3.17
Planned Unit Development (PUD) . . 15 973,308.66 2.79
Other . . . . . . . . . . . . . . . 2 115,600.00 0.33
Total . . . . . . . . . . . . 693 34,909,077.66 100.00%
</TABLE>
<TABLE>
<CAPTION> OCCUPANCY TYPE
LOAN GROUP 1
% of
Number of Cut- Loan Group 1 Cut- Loan Group 1 Cut-
Off Date Off Date Off Date
Mortgage Loans Principal Balance Principal Balance
Occupancy Type
<S> <C> <C> <C>
Owner Occupied . . . . . . . . . . 596 $30,377,429.08 87.02%
Non-Owner Occupied . . . . . . . . 97 4,531,648.58 12.98
Total . . . . . . . . . . . . 693 34,909,077.66 100.00%
</TABLE>
EXHIBIT 99.2:
LOAN GROUP 2 STATISTICAL INFORMATION
<TABLE>
<CAPTION> PRINCIPAL BALANCES
LOAN GROUP 2 % of
Loan Group 2 Cut- Loan Group 2 Cut-
Number of Off Date Off Date
Range of Cut-Off Mortgage Loans Principal Balance Principal Balance
Date Principal Balances
<S> <C> <C> <C>
$ 0.01-$ 10,000.00 . . . 1 $ 10,000.00 0.01
$ 10.000.01-$ 20,000.00 . . . 11 170,085.12 0.23
$ 20,000.01-$ 30,000.00 . . . 39 985,733.66 1.31
$ 30,000.01-$ 40,000.00 . . . 48 1,701,742.76 2.27
$ 40,000.01-$ 50,000.00 . . . 75 3,426,085.72 4.57
$ 50,000.01-$ 60,000.00 . . . 92 5,096,570.16 6.79
$ 60,000.01-$ 70,000.00 . . . 79 5,135,197.53 6.85
$ 70,000.01-$ 80,000.00 . . . 82 6,179,169.37 8.24
$ 80,000.01-$ 90,000.00 . . . 54 4,580,167.73 6.11
$ 90,000.01-$100,000.00 . . . 49 4,655,736.35 6.21
$100,000.01-$110,000.00 . . . 38 4,034,992.39 5.38
$110,000.01-$120,000.00 . . . 39 4,498,614.77 6.00
$120,000.01-$130,000.00 . . . 29 3,604,701.32 4.81
$130,000.01-$140,000.00 . . . 24 3,240,302.90 4.32
$140,000.01-$150,000.00 . . . 15 2,199,675.01 2.93
$150,000.01-$160,000.00 . . . 13 2,025,852.48 2.70
$160,000.01-$170,000.00 . . . 9 1,484,850.08 1.98
$170,000.01-$180,000.00 . . . 3 532,775.87 0.71
$180,000.01-$190,000.00 . . . 6 1,123,687.80 1.50
$190,000.01-$200,000.00 . . . 15 2,939,291.22 3.92
$200,000.01-$210,000.00 . . . 7 1,436,016.81 1.91
$210,000.01-$220,000.00 . . . 7 1,507,579.05 2.01
$220,000.01-$230,000.00 . . . 5 1,122,589.20 1.50
$230,000.01-$240,000.00 . . . 2 475,217.14 0.63
$240,000.01-$250,000.00 . . . 8 1,968,398.10 2.62
$250,000.01-$260,000.00 . . . 2 507,900.00 0.68
$260,000.01-$270,000.00 . . . 4 1,069,017.90 1.43
$270,000.01-$280,000.00 . . . 3 833,738.05 1.11
$280,000.01-$290,000.00 . . . 3 853,007.59 1.14
$290,000.01-$300,000.00 . . . 2 582,058.51 0.78
$300,000.01-$310,000.00 . . . 1 304,000.00 0.41
$310,000.01-$320,000.00 . . . 1 319,410.00 0.43
$330,000.01-$340,000.00 . . . 3 1,008,874.89 1.35
$350,000.01-$360,000.00 . . . 1 359,879.78 0.48
$360,000.01-$370,000.00 . . . 1 367,500.00 0.49
$370,000.01-$380,000.00 . . . 1 372,500.00 0.50
$510,000.01-$520,000.00 . . . 1 513,750.00 0.68
$520,000.01-$530,000.00 . . . 1 527,000.00 0.70
$540,000.01-$550,000.00 . . . 1 549,872.80 0.73
$570,000.01-$580,000.00 . . . 1 580,000.00 0.77
$620,000.01-$630,000.00 . . . 1 630,000.00 0.84
$700,000.01-$710,000.00 . . . 1 705,500.00 0.94
$780,000.01-$790,000.00 . . . 1 788,000.00 1.05
Total: 779 $75,007,042.06 100.00%
</TABLE>
<TABLE>
<CAPTION> GEOGRAPHIC DISTRIBUTION BY STATE(1)
LOAN GROUP 2
% of
Loan Group 2 Cut- Loan Group 2 Cut-
Number of Off Date Off Date
Mortgage Loans Principal Balance Principal Balance
State
<S> <C> <C> <C>
Arizona . . . . . . . . . . . . . . 28 $2,990,102.07 3.99%
California . . . . . . . . . . . . 36 4,633,984.41 6.18
Colorado . . . . . . . . . . . . . 21 2,308,178.31 3.08
District of Columbia . . . . . . . 4 619,754.79 0.83
Florida . . . . . . . . . . . . . . 40 3,755,379.55 5.01
Georgia . . . . . . . . . . . . . . 7 838,999.14 1.12
Idaho . . . . . . . . . . . . . . . 10 987,287.40 1.32
Illinois . . . . . . . . . . . . . 43 5,047,961.93 6.73
Indiana . . . . . . . . . . . . . . 44 2,645,985.19 3.53
Kentucky . . . . . . . . . . . . . 30 2,112,262.95 2.82
Maryland . . . . . . . . . . . . . 32 3,104,064.69 4.14
Michigan . . . . . . . . . . . . . 1 104,000.00 0.14
Missouri . . . . . . . . . . . . . 3 104,500.00 0.14
Montana . . . . . . . . . . . . . . 5 403,545.56 0.54
Nevada . . . . . . . . . . . . . . 22 2,462,461.29 3.28
North Carolina . . . . . . . . . . 12 675,087.80 0.90
Ohio . . . . . . . . . . . . . . . 221 17,236,886.96 22.98
Oregon . . . . . . . . . . . . . . 88 10,196,153.11 13.59
Pennsylvania . . . . . . . . . . . 3 535,043.38 0.71
South Carolina . . . . . . . . . . 2 183,641.24 0.24
Tennessee . . . . . . . . . . . . . 1 33,600.00 0.04
Utah . . . . . . . . . . . . . . . 43 4,182,384.96 5.58
Virginia . . . . . . . . . . . . . 3 322,124.00 0.43
Washington . . . . . . . . . . . . 80 9,523,653.33 12.70
Total . . . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
____________________
(1) Determined by property address designated as such in the related
Mortgage.
COMBINED LOAN-TO-VALUE RATIOS(1)
LOAN GROUP 2
<TABLE>
<CAPTION> Loan Group 2
Cut-Off Date % of Loan Group 2
Number of Principal Cut-Off Date
Combined Loan-to-Value Ratio Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
20.001%- 25.000% . . . . . . . . 3 $ 148,472.89 0.20%
35.001%- 40.000% . . . . . . . . 2 148,000.00 0.20
40.001%- 45.000% . . . . . . . . 1 59,922.21 0.08
45.001%- 50.000% . . . . . . . . 4 250,726.17 0.33
50.001%- 55.000% . . . . . . . . 6 507,524.38 0.68
55.001%- 60.000% . . . . . . . . 12 839,103.13 1.12
60.001%- 65.000% . . . . . . . . 42 3,895,741.04 5.19
65.001%- 70.000% . . . . . . . . 60 7,310,205.62 9.75
70.001%- 75.000% . . . . . . . . 151 13,719,204.70 18.29
75.001%- 80.000% . . . . . . . . 324 31,865,602.82 42.48
80.001%- 85.000% . . . . . . . . 155 14,684,730.81 19.58
85.001%- 90.000% . . . . . . . . 18 1,550,338.05 2.07
95.001%- 100.000% . . . . . . . . 1 27,470.24 0.04
Total . . . . . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
_______________
(1) The Combined Loan-to-Value Ratios ("CLTV") shown above are equal, with
respect to each Mortgage Loan, to (i) the sum of (a) the original
principal balance of such Mortgage Loan at the date of origination plus
(b) the remaining balance of the senior lien(s), if any, at the date of
origination of such Mortgage Loan divided by (ii) the lesser of (a) the
value of the related Mortgaged Property, based upon the appraisal made
at the time of origination of such Mortgage Loan or (b) the purchase
price of such Mortgage Property if the proceeds of such Mortgage Loan
are used to purchase such Mortgaged Property.
LIEN POSITION
LOAN GROUP 2
<TABLE>
<CAPTION> Loan Group 2
Cut-Off Date % of Loan Group 2
Number of Principal Cut-Off Date
Lien Position Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
First . . . . . . . . . . . . . . . . . 711 $71,651,746.88 95.53%
Second . . . . . . . . . . . . . . . . 68 3,355,295.18 4.47%
Total . . . . . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
SECOND MORTGAGE RATIOS(1)
LOAN GROUP 2
<TABLE>
<CAPTION> Loan Group 2
Cut-Off Date % of Loan Group 2
Number of Principal Cut-Off Date
Second Mortgage Ratio Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
10.0001%- 20.0000% . . . . . . . . 14 395,374.95 11.78
20.0001%- 30.0000% . . . . . . . . 17 493,342.85 14.70
30.0001%- 40.0000% . . . . . . . . 16 912,801.87 27.20
40.0001%- 50.0000% . . . . . . . . 12 737,368.35 21.98
50.0001%- 60.0000% . . . . . . . . 2 251,640.64 7.50
60.0001%- 70.0000% . . . . . . . . 5 454,066.52 13.53
80.0001%- 90.0000% . . . . . . . . 1 39,000.00 1.16
90.0001%- 100.0000% . . . . . . . 1 71,700.00 2.14
Total . . . . . . . . . . . . . . 68 $3,355,295.18 100.00%
</TABLE>
_______________
(1) Applies only to Mortgage Loans in a second lien position. The Second
Mortgage Ratios shown above are equal, with respect to each Mortgage
Loan in a second lien position, the original principal balance of such
Mortgage Loan at the date of origination divided by the sum of (a) the
original principal balance of such Mortgage Loan at the date of
origination plus (b) the remaining balance of the senior lien at the
date of origination of such Mortgage Loan.
LOAN RATES
LOAN GROUP 2
<TABLE>
<CAPTION> Loan Group 2
Cut-Off Date % of Loan Group 2
Number of Principal Cut-Off Date
Loan Rates Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
7.501%- 8.000% . . . . . . . . . 8 $ 1,700,613.27 2.27%
8.001%- 8.500% . . . . . . . . . 35 5,221,298.66 6.96
8.501%- 9.000% . . . . . . . . . 56 6,082,315.35 8.11
9.001%- 9.500% . . . . . . . . . 44 5,296,456.87 7.06
9.501%- 10.000% . . . . . . . . 93 9,116,338.26 12.15
10.001%- 10.500% . . . . . . . . 128 12,045,878.04 16.06
10.501%- 11.000% . . . . . . . . 105 10,744,891.13 14.33
11.001%- 11.500% . . . . . . . . 99 7,595,989.78 10.13
11.501%- 12.000% . . . . . . . . 98 7,468,113.66 9.96
12.001%- 12.500% . . . . . . . . 70 5,864,430.27 7.82
12.501%- 13.000% . . . . . . . . 22 2,539,644.43 3.39
13.001%- 13.500% . . . . . . . . 8 413,406.86 0.55
13.501%- 14.000% . . . . . . . . 10 705,365.77 0.94
14.001%- 14.500% . . . . . . . . 2 114,536.71 0.15
14.501%- 15.000% . . . . . . . . 1 97,763.00 0.13
Total . . . . . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
REMAINING MONTHS TO STATED MATURITY
LOAN GROUP 2
<TABLE>
<CAPTION> Loan Group 2
Cut-Off Date % of Loan Group 2
Number of Principal Cut-Off Date
Remaining Term to Stated Maturity Mortgage Loans Balance Principal Balance
<S> <C> <C> <C>
169-180 months . . . . . . . . . . . . 1 $ 61,200.00 0.08%
349-360 months . . . . . . . . . . . . 778 74,945,842.06 99.92
Total . . . . . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
MONTHS SINCE ORIGINATION
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Months Since Principal Balance Principal Balance
Origination
<S> <C> <C> <C>
0 . . . . . . . . . . . . . . . 205 $20,602,039.00 27.47%
1-6 . . . . . . . . . . . . . . 574 54,405,003.06 72.53%
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
PROPERTY TYPE
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut- % of Loan Group 2
Mortgage Loans Off Date Cut-Off Date
Principal Balance Principal Balance
Property Type
<S> <C> <C> <C>
Single Family . . . . . . . . . . . 660 $64,997,951.13 86.66%
Two-to-Four-Family . . . . . . . . 53 4,029,086.92 5.37
Condo . . . . . . . . . . . . . . . 27 1,804,588.58 2.41
Planned Unit Development (PUD) . . 30 3,519,581.16 4.69
Other . . . . . . . . . . . . . . . 9 655,834.27 0.87
Total . . . . . . . . . . . . 779 75,007,042.06 100.00%
</TABLE>
OCCUPANCY TYPE
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Occupancy Type
<S> <C> <C> <C>
Owner Occupied . . . . . . . . 654 $64,972,605.94 86.62%
Non-Owner Occupied . . . . . . 125 10,034,436.12 13.38%
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
GROSS MARGIN
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Margin
<S> <C> <C> <C>
4.501 - 4.750 . . . . . . . . . 23 $2,600,422.62 3.47%
4.751 - 5.000 . . . . . . . . . 18 2,171,651.92 2.90
5.001 - 5.250 . . . . . . . . . 136 16,930,113.72 22.57
5.251 - 5.500 . . . . . . . . . 58 5,643,276.35 7.52
5.501 - 5.750 . . . . . . . . . 166 16,463,347.23 21.95
5.751 - 6.000 . . . . . . . . . 65 4,714,771.85 6.29
6.001 - 6.250 . . . . . . . . . 85 7,642,832.72 10.19
6.251 - 6.500 . . . . . . . . . 48 3,741,120.47 4.99
6.501 - 6.750 . . . . . . . . . 84 6,512,123.12 8.68
6.751 - 7.000 . . . . . . . . . 60 5,509,122.43 7.34
7.001 - 7.250 . . . . . . . . . 9 530,129.36 0.71
7.251 - 7.500 . . . . . . . . . 11 1,263,291.74 1.68
7.501 - 7.750 . . . . . . . . . 6 231,410.33 0.31
7.751 - 8.000 . . . . . . . . . 1 50,383.28 0.07
8.001 - 8.250 . . . . . . . . . 1 91,943.38 0.12
8.251 - 8.500 . . . . . . . . . 1 39,780.04 0.05
8.501 - 8.750 . . . . . . . . . 4 668,771.50 0.89
8.751 - 9.000 . . . . . . . . . 1 61,500.00 0.08
9.001 - 9.250 . . . . . . . . . 1 62,400.00 0.08
9.251 - 9.500 . . . . . . . . . 1 78,650.00 0.10
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
INITIAL PERIOD
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Initial Period
<S> <C> <C> <C>
24 Months . . . . . . . . . . . 29 $3,023,086.73 4.03%
36 Months . . . . . . . . . . . 472 40,271,170.93 53.69
60 Months . . . . . . . . . . . 7 537,169.28 0.72
6 Months . . . . . . . . . . . 271 31,175,615.12 41.56
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
NEXT LOAN RATE CHANGE DATE
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Next Change Date
<S> <C> <C> <C>
February 1997 . . . . . . . . . 3 556,518.95 0.74
March 1997 . . . . . . . . . . 28 2,748,773.41 3.66
April 1997 . . . . . . . . . . 96 10,649,231.99 14.20
May 1997 . . . . . . . . . . . 95 9,802,260.15 13.07
June 1997 . . . . . . . . . . . 50 7,510,774.00 10.01
October 1998 . . . . . . . . . 1 43,200.00 0.06
November 1998 . . . . . . . . . 14 1,691,921.73 2.26
December 1998 . . . . . . . . . 14 1,287,965.00 1.72
August 1999 . . . . . . . . . . 3 164,987.46 0.22
September 1999 . . . . . . . . 44 3,402,685.66 4.54
October 1999 . . . . . . . . . 187 16,667,432.00 22.22
November 1999 . . . . . . . . 166 14,126,906.43 18.83
December 1999 . . . . . . . . . 71 5,817,216.00 7.76
October 2001 . . . . . . . . . 1 73,931.28 0.10
November 2001 . . . . . . . . . 4 232,200.00 0.31
December 2001 . . . . . . . . . 2 231,038.00 0.31
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
LIFETIME CAP
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Lifetime Cap
<S> <C> <C> <C>
12.001 - 12.250 . . . . . . . . 1 $ 275,923.70 0.37%
14.501 - 14.750 . . . . . . . . 3 222,746.16 0.30
14.751 - 15.000 . . . . . . . . 5 1,477,867.11 1.97
15.001 - 15.250 . . . . . . . . 9 1,542,599.56 2.06
15.251 - 15.500 . . . . . . . . 26 3,615,122.07 4.82
15.501 - 15.750 . . . . . . . . 24 2,445,770.77 3.26
15.751 - 16.000 . . . . . . . . 35 3,994,841.40 5.33
16.001 - 16.250 . . . . . . . . 16 1,443,874.33 1.92
16.251 - 16.500 . . . . . . . . 26 3,544,784.28 4.73
16.501 - 16.750 . . . . . . . . 41 3,758,818.41 5.01
16.751 - 17.000 . . . . . . . . 52 5,317,890.88 7.09
17.001 - 17.250 . . . . . . . . 37 3,505,493.37 4.67
17.251 - 17.500 . . . . . . . . 92 8,894,688.28 11.86
17.501 - 17.750 . . . . . . . . 63 6,074,447.18 8.10
17.751 - 18.000 . . . . . . . . 44 4,633,562.95 6.18
18.001 - 18.250 . . . . . . . . 50 4,037,034.07 5.38
18.251 - 18.500 . . . . . . . . 47 3,165,367.79 4.22
18.501 - 18.750 . . . . . . . . 42 3,134,362.61 4.18
18.751 - 19.000 . . . . . . . . 53 4,116,501.48 5.49
19.001 - 19.250 . . . . . . . . 48 4,042,692.97 5.39
19.251 - 19.500 . . . . . . . . 22 1,808,387.30 2.41
19.501 - 19.750 . . . . . . . . 6 506,884.99 0.68
19.751 - 20.000 . . . . . . . . 13 1,870,669.13 2.49
20.001+ . . . . . . . . . . . . 24 1,576,711.27 2.10
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
LIFETIME FLOOR
LOAN GROUP 2
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Principal Balance Principal Balance
Lifetime Floor
<S> <C> <C> <C>
0.751 - 1.000 . . . . . . . . 3 $ 278,935.67 0.37%
7.501 - 7.750 . . . . . . . . 3 222,746.16 0.30
7.751 - 8.000 . . . . . . . . 5 1,477,867.11 1.97
8.001 - 8.250 . . . . . . . . 9 1,606,176.59 2.14
8.251 - 8.500 . . . . . . . . 26 3,615,122.07 4.82
8.501 - 8.750 . . . . . . . . 23 2,352,858.28 3.14
8.751 - 9.000 . . . . . . . . 33 3,729,457.07 4.97
9.001 - 9.250 . . . . . . . . 16 1,443,874.33 1.92
9.251 - 9.500 . . . . . . . . 27 3,810,626.91 5.08
9.501 - 9.750 . . . . . . . . 41 3,908,589.54 5.21
9.751 - 10.000 . . . . . . . . 52 5,280,548.72 7.04
10.001 - 10.250 . . . . . . . . 37 3,468,410.56 4.62
10.251 - 10.500 . . . . . . . . 91 8,577,467.48 11.44
10.501 - 10.750 . . . . . . . . 60 5,810,214.35 7.75
10.751 - 11.000 . . . . . . . . 45 4,732,676.78 6.31
11.001 - 11.250 . . . . . . . . 51 4,111,834.07 5.48
11.251 - 11.500 . . . . . . . . 47 3,444,375.67 4.59
11.501 - 11.750 . . . . . . . . 44 3,293,647.31 4.39
11.751 - 12.000 . . . . . . . . 53 4,106,466.35 5.47
12.001 - 12.250 . . . . . . . . 47 3,964,713.84 5.29
12.251 - 12.500 . . . . . . . . 23 1,899,716.43 2.53
12.501 - 12.750 . . . . . . . . 6 506,884.99 0.68
12.751 - 13.000 . . . . . . . . 16 2,032,759.44 2.71
13.001 - 13.250 . . . . . . . . 2 68,150.00 0.09
13.251 - 13.500 . . . . . . . . 6 345,256.86 0.46
13.501 - 13.750 . . . . . . . . 5 472,963.10 0.63
13.751 - 14.000 . . . . . . . . 5 232,402.67 0.31
14.251 - 14.500 . . . . . . . . 2 114,536.71 0.15
14.751 - 15.000 . . . . . . . . 1 97,763.00 0.13
Total . . . . . . . . . . 779 $75,007,042.06 100.00%
</TABLE>
<TABLE>
<CAPTION> Number of Loan Group 2 Cut-Off % of Loan Group 2
Mortgage Loans Date Cut-Off Date
Periodic Rate Principal Balance Principal Balance
Cap
<S> <C> <C> <C>
1.000% 21 $2,138,645.93 2.85%
1.250% 758 72,868,396.13 97.15
Total 779 75,007,042.06 100.00%
</TABLE>
