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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report: April 19, 1998
- -------------------------------
(Date of earliest event reported)
Commission File No. 333-20675
EQCC Receivables Corporation
EQCC Asset Backed Corporation
- --------------------------------------------------------------------------------
59-3170055
Delaware 59-3170052
(State of Incorporation) (I.R.S. Employer Identification No.)
100401 Deerwood Park Boulevard
Jacksonville, Florida 32256
- --------------------------------------------------------------------------------
Address of principal executive offices (Zip Code)
(904) 987-5000
- --------------------------------------------------------------------------------
Registrant's Telephone Number, including area code
- --------------------------------------------------------------------------------
(Former name, former address and former fiscal year, if changed since last
report)
<PAGE>
ITEM 5. Other Events
Attached as an exhibit are the Computational Materials (as defined in the
no-action letter dated May 21, 1994 issued by the Securities and Exchange
Commission to Kidder, Peabody Acceptance Corporation-I, Kidder, Peabody & Co.
Incorporated and Kidder Structured Asset Corporation (the "Kidder Letter"))
prepared by Lehman Brothers Inc., which are hereby filed pursuant to such
letter.
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
EQCC RECEIVABLES CORPORATION
April 19, 1998
By: /s/ James B. Dodd
-----------------
Name: James B. Dodd
Title: Vice President
EQCC ASSET BACKED CORPORATION
April 19, 1998
By: /s/ James B. Dodd
-----------------
Name: James B. Dodd
Title: Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials E
prepared by Lehman Brothers Inc.
in connection with
EQCC Home Equity Loan Asset Backed
Certificates, Series 1998-1
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
LEHMAN BROTHERS
DERIVED INFORMATION
$738,874,000 Certificates (approximate)
EQCC Home Equity Loan Trust 1998-1
EQCC Receivables Corporation and EQCC Asset Backed Corporation (Depositors)
EquiCredit Corporation of America (Servicer)
100% AMBAC Guaranty
<PAGE>
Securities Offered
<TABLE>
<CAPTION>
Principal
Expected Average Principal Principal
Class Ratings Average Modified Window Window Legal
------- Approximate Life Duration (to Maturity) (to Call) Final
Class Description S&P/Moody's Size (Years) (Years) in months in months Maturity
- ----- ----------- ----------- ---- ------- ------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F SEQ AAA/Aaa $251,364,000 0.95 0.89 1 to 22 1 to 22 12/15/07
A-2F SEQ AAA/Aaa 49,113,000 2.05 1.87 22 to 27 22 to 27 04/15/09
A-3F SEQ AAA/Aaa 145,552,000 3.10 2.73 27 to 51 27 to 51 12/15/12
A-4F SEQ AAA/Aaa 64,596,500 5.00 4.15 51 to 74 51 to 74 03/15/21
A-5F SEQ AAA/Aaa 57,497,343 9.49 6.64 74 to 357 74 to 87 01/15/28
A-6F NAS AAA/Aaa 52,737,000 5.04 4.18 37 to 80 37 to 80 12/15/07
A-7F NAS AAA/Aaa 47,463,000 7.84 5.98 80 to 260 80 to 87 11/15/27
A-IO NAS IO AAA/Aaa 100,200,000** 2.39 1.16 1 to 28 (IO) 1 to 28 (IO) 09/15/00
A-1A Step - FLT AAA/Aaa 70,551,229 2.96* 2.52 1 to 354 1 to 87 10/15/27
</TABLE>
* Class A-1A is run to 10% call.
** National Balance of Class A-6F and Class A-7f Adjustable Rate Certificates:
1. Class A-1A is backed by the adjustable rate mortgage loan group.
2. Class A-1A is payable monthly (Actual/360) starting 5/15/98 with accrual
from Closing Date. Class A-1A resets monthly to one month LIBOR plus [ ]%.
3. Optional call is 10%. Step function is subject to available funds cap.
4. Adjustable rate mortgage loan group pricing speeds: 25% CPR beginning in
month 1. (100% Prepayment Assumption)
5. Adjustable rate class priced to call.
<PAGE>
Collateral Summary
Fixed Rate Mortgage Loan Group
<TABLE>
<CAPTION>
Total Minimum Maximum
----- ------- -------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $668,322,843.77
Number of Loans 14,114
Average Original Loan Balance $47,803.37 $5,000.00 $225,000.00
Average Current Loan Balance $47,351.77 $1,096.87 $224,831.67
Weighted Average Combined LTV 78.44% 0.88% 100.00%
Weighted Average Gross Coupon 10.75% 7.00% 17.00%
Weighted Average Remaining Term to Maturity (months) 182.88 7 360
Weighted Average Original Term (months) 186.70 48 360
</TABLE>
Percent of
Cut-off Date
Range Principal Balance
----- ---------------
Range of Original Terms (in months) 0 to 180 77.62%
181 to 240 6.35%
241 to 360 16.03%
Level Pay Mortgage Loans 58.23%
Balloon Mortgage Loans 41.77%
Lien Position First 79.08%
Second 20.92%
Property Type Single Family 91.46%
2-4 Family 5.79%
Manufactured 0.90%
Multi Family 0.75%
Townhouse 0.58%
Condominium 0.51%
Occupancy Status Owner Occupied 94.06%
Non-owner Occupied 5.85%
Second Home 0.09%
Geographic Concentration Florida 12.15%
Ohio 6.34%
New York 6.33%
Pennsylvania 5.98%
Michigan 4.60%
Other 64.60%
Credit Grade A 56.42%
B 26.08%
C 15.71%
D 1.80%
Collateral Summary (continued)
Fixed Rate Mortgage Loan Group
Cut-off Date Principal Balance
<TABLE>
<CAPTION>
Percent of Fixed Rate
Range of Cut-off Date Number of Aggregate Cut-off Date Group by Cut-off Date
Principal Balances Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Less than 20,000.01 2,618 $38,595,783 5.78%
20,000.01 to 2,489 62,892,774 9.41%
30,000.00
30,000.01 to 2,264 79,689,253 11.92%
40,000.00
40,000.01 to 1,856 84,281,967 12.61%
50,000.00
50,000.01 to 1,423 78,374,818 11.73%
60,000.00
60,000.01 to 923 60,032,973 8.98%
70,000.00
70,000.01 to 691 51,803,119 7.75%
80,000.00
80,000.01 to 455 38,736,239 5.80%
90,000.00
90,000.01 to 337 32,055,367 4.80%
100,000.00
100,000.01 to 235 24,587,076 3.68%
110,000.00
110,000.01 to 215 24,772,000 3.71%
120,000.00
120,000.01 to 152 19,019,181 2.85%
130,000.00
130,000.01 to 89 12,018,730 1.80%
140,000.00
140,000.01 to 103 14,980,471 2.24%
150,000.00
150,000.01 to 75 11,622,600 1.74%
160,000.00
160,000.01 to 44 7,259,615 1.09%
170,000.00
170,000.01 to 41 7,177,101 1.07%
180,000.00
180,000.01 to 34 6,284,555 0.94%
190,000.00
190,000.01 to 38 7,389,141 1.11%
200,000.00
200,000.01 to 32 6,750,082 1.01%
227,150.00 -- ---------- -----
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Fixed Rate Mortgage Loan Group
State or Territory Concentration
<TABLE>
<CAPTION>
Percent of Fixed Rate
Number of Aggregate Cut-off Date Group by Cut-off Date
State or Territory Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Florida 1,952 $81,188,211 12.15%
Ohio 808 42,382,203 6.34%
New York 648 42,299,769 6.33%
Pennsylvania 911 39,983,517 5.98%
Michigan 560 30,765,045 4.60%
Indiana 756 30,551,976 4.57%
Illinois 568 30,066,087 4.50%
California 603 27,263,249 4.08%
Tennessee 483 23,829,921 3.57%
Georgia 478 22,740,321 3.40%
Maryland 410 22,144,861 3.31%
North Carolina 456 18,906,902 2.83%
Massachusetts 313 18,703,961 2.80%
Virginia 416 17,626,088 2.64%
Minnesota 405 17,407,154 2.60%
South Carolina 375 16,015,736 2.40%
Connecticut 234 14,009,759 2.10%
Louisiana 360 13,848,937 2.07%
Missouri 269 13,389,690 2.00%
Other 3,109 145,199,457 21.73%
----- ------------ ------
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Fixed Rate Mortgage Loan Group
Combined Loan-to-Value
<TABLE>
<CAPTION>
Percent of Fixed Rate
Range of Combined Number of Aggregate Cut-off Date Group by Cut-off Date
Loan-to-Value Ratios Mortgage Loans Principal Balance Principal Balance
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
0.01% to 5.00% 6 $29,553 0.00%
5.01% to 10.00% 13 135,199 0.02%
10.01% to 15.00% 28 468,983 0.07%
15.01% to 20.00% 59 1,080,346 0.16%
20.01% to 25.00% 81 1,769,352 0.26%
25.01% to 30.00% 100 2,453,937 0.37%
30.01% to 35.00% 130 3,597,574 0.54%
35.01% to 40.00% 167 4,926,196 0.74%
40.01% to 45.00% 175 5,576,166 0.83%
45.01% to 50.00% 304 10,229,019 1.53%
50.01% to 55.00% 280 10,575,537 1.58%
55.01% to 60.00% 402 17,489,124 2.62%
60.01% to 65.00% 469 21,467,000 3.21%
65.01% to 70.00% 964 46,297,371 6.93%
70.01% to 75.00% 1,894 101,269,198 15.15%
75.01% to 80.00% 2,329 131,150,313 19.62%
80.01% to 85.00% 3,157 169,484,546 25.36%
85.01% to 90.00% 1,330 70,318,949 10.52%
90.01% to 95.00% 507 27,082,732 4.05%
95.01% to 100.00% 1,719 42,921,749 6.42%
----- ----------- -----
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Fixed Rate Mortgage Loan Group
Range of Mortgage Interest Rates
<TABLE>
<CAPTION>
Percent of Fixed Rate
Range of Mortgage Number of Aggregate Cut-off Date Group by Cut-off Date
Interest Rates Mortgage Loans Principal Balance Principal Balance
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
6.751% to 7.000% 2 $142,169 0.02%
7.001% to 7.250% 4 193,091 0.03%
7.251% to 7.500% 3 260,807 0.04%
7.501% to 7.750% 5 370,114 0.06%
7.751% to 8.000% 15 1,470,883 0.22%
8.001% to 8.250% 16 1,116,153 0.17%
8.251% to 8.500% 137 8,377,407 1.25%
8.501% to 8.750% 105 8,477,827 1.27%
8.751% to 9.000% 190 14,172,627 2.12%
9.001% to 9.250% 235 14,078,541 2.11%
9.251% to 9.500% 588 34,996,324 5.24%
9.501% to 9.750% 737 45,053,745 6.74%
9.751% to 10.000% 987 58,582,380 8.77%
10.001% to 10.250% 1,127 61,924,381 9.27%
10.251% to 10.500% 1,238 68,355,843 10.23%
10.501% to 10.750% 1,192 62,478,428 9.35%
10.751% to 11.000% 1,614 75,165,604 11.25%
11.001% to 11.250% 973 41,984,521 6.28%
11.251% to 11.500% 636 29,155,164 4.36%
11.501% to 11.750% 711 29,463,816 4.41%
11.751% to 12.000% 428 17,248,043 2.58%
12.001% to 12.250% 366 15,996,765 2.39%
12.251% to 12.500% 282 10,481,466 1.57%
12.501% to 12.750% 305 11,636,211 1.74%
12.751% to 13.000% 465 14,392,619 2.15%
13.001% to 13.250% 166 5,070,699 0.76%
13.251% to 13.500% 291 8,179,265 1.22%
13.501% to 13.750% 1,017 23,816,273 3.56%
13.751% to 14.000% 61 1,259,991 0.19%
14.001% to 14.250% 72 1,698,318 0.25%
14.251% to 14.500% 88 1,933,633 0.29%
14.501% to 14.750% 12 234,504 0.04%
14.751% to 15.000% 11 169,435 0.03%
15.001% to 15.250% 9 161,057 0.02%
15.251% to 15.500% 4 30,136 0.00%
15.501% to 15.750% 16 142,164 0.02%
16.001% to 17.000% 6 52,440 0.01%
- ------- -----
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Fixed Rate Mortgage Loan Group
Original Months to Stated Maturity
<TABLE>
<CAPTION>
Range of Original Percent of Fixed Rate
Months to Number of Aggregate Cut-off Date Group by Cut-off Date
Stated Maturity Mortgage Loans Principal Balance Principal Balance
--------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
37 to 48 1 $18,857 0.00%
49 to 60 74 1,268,101 0.19%
61 to 72 12 230,924 0.03%
73 to 84 1,318 85,013,911 12.72%
85 to 96 13 211,141 0.03%
109 to 120 2,347 144,597,352 21.64%
133 to 144 26 647,321 0.10%
145 to 156 3 161,630 0.02%
157 to 168 3 91,089 0.01%
169 to 180 7,955 286,495,431 42.87%
229 to 240 820 42,450,410 6.35%
289 to 300 3 128,892 0.02%
1349 to 360 1,539 107,007,784 16.01%
----- ------------ ------
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
Months Since Origination
<TABLE>
<CAPTION>
Percent of Fixed Rate
Range of Months Number of Aggregate Cut-off Date Group by Cut-off Date
Since Origination Mortgage Loans Principal Balance Principal Balance
----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Less than 1 2 $51,900 0.01%
1 to 6 13,583 651,676,972 97.51%
7 to 12 275 10,990,089 1.64%
Greater than 12 254 5,603,883 0.84%
--- ---------- -----
Total 14,114 $668,322,844 100.00%
====== ============= =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Summary
<TABLE>
<CAPTION>
Total Minimum Maximum
----- ------- -------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $70,551,229.45
Number of Loans 753
Average Original Loan Balance $ 93,941.53 $ 20,250.00 $350,000.00
Average Current Loan Balance $ 93,693.53 $ 20,225.91 $349,843.48
Weighted Average Combined LTV 82.91% 22.95% 98.73%
Weighted Average Gross Coupon 8.54% 6.75% 11.25%
Weighted Average Remaining Term to Maturity (months) 112.81 60 359
Weighted Average Original Term (months) 116.40 83 360
Weighted Average Gross Margin 5.10% 4.00% 7.55%
Weighted Average Gross Lifetime Cap 16.98% 15.88% 20.00%
Weighted Average Gross Lifetime Floor 8.48% 6.75% 12.29%
Weighted Average Periodic Cap 1.00% 1.00% 1.00%
Weighted Average First Adjustment Cap 1.00% 1.00% 1.00%
</TABLE>
Percent of
Cut-off Date
Range Principal Balance
----- -----------------
Range of Original Terms (in months) 0 to 180 94.02%
181 to 240 0.77%
241 to 360 5.21%
Level Pay Mortgage Loans 7.97%
Balloon Mortgage Loans 92.03%
Product Type 6 Month LIBOR 100.00%
Lien Position First 100.00%
Property Type Single Family 96.34%
2-4 Family 2.99%
Condominium 0.54%
Townhouse 0.12%
Occupancy Status Owner Occupied 100.00%
Geographic Concentration Michigan 14.42%
Ohio 11.73%
Minnesota 8.34%
Illinois 8.10%
Indiana 4.93%
Other 52.48%
Credit Grade A 62.24%
B 27.91%
C 9.85%
D 0.00%
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Cut-off Date Principal Balance
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Range of Cut-off Date Number of Aggregate Cut-off Date Group by Cut-off Date
Principal Balances Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
20,000.01 to 9 $245,140 0.35%
30,000.00
30,000.01 to 32 1,135,910 1.61%
40,000.00
40,000.01 to 63 2,870,542 4.07%
50,000.00
50,000.01 to 86 4,742,008 6.72%
60,000.00
60,000.01 to 90 5,866,022 8.31%
70,000.00
70,000.01 to 87 6,531,775 9.26%
80,000.00
80,000.01 to 61 5,175,959 7.34%
90,000.00
90,000.01 to 58 5,539,892 7.85%
100,000.00
100,000.01 54 5,645,983 8.00%
to 110,000.00
110,000.01 45 5,202,424 7.37%
to 120,000.00
120,000.01 39 4,867,010 6.90%
to 130,000.00
130,000.01 24 3,214,661 4.56%
to 140,000.00
140,000.01 20 2,916,603 4.13%
to 150,000.00
150,000.01 13 2,000,992 2.84%
to 160,000.00
160,000.01 13 2,142,634 3.04%
to 170,000.00
170,000.01 17 2,956,865 4.19%
to 180,000.00
180,000.01 7 1,300,282 1.84%
to 190,000.00
190,000.01 8 1,570,449 2.23%
to 200,000.00
200,000.01 18 3,970,349 5.63%
to 250,000.00
250,000.01 5 1,345,886 1.91%
to 300,000.00
300,000.01 4 1,309,845 1.86%
to 350,000.00 --- ----------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
State or Territory Concentration
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Number of Aggregate Cut-off Date Group by Cut-off Date
State or Territory Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Michigan 108 $10,175,505 14.42%
Ohio 103 8,277,191 11.73%
Minnesota 55 5,882,438 8.34%
Illinois 64 5,711,380 8.10%
Indiana 51 3,475,198 4.93%
North Carolina 33 3,190,553 4.52%
Arizona 27 2,974,761 4.22%
Florida 28 2,712,724 3.85%
Maryland 20 2,700,808 3.83%
Missouri 31 2,678,074 3.80%
West Virginia 42 2,655,121 3.76%
Virginia 19 2,040,792 2.89%
Georgia 15 1,653,937 2.34%
Texas 13 1,602,114 2.27%
Tennessee 12 1,567,680 2.22%
Wisconsin 20 1,555,394 2.20%
New Jersey 10 1,477,973 2.09%
Other 102 10,219,586 14.49%
--- ----------- ------
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Combined Loan-to-Value
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Range of Combined Number of Aggregate Cut-off Date Group by Cut-off Date
Loan-to-Value Mortgage Loans Principal Balance Principal Balance
Ratios
<S> <C> <C> <C>
20.01% to 1 $25,193 0.04%
25.00%
25.01% to 1 53,253 0.08%
30.00%
35.01% to 3 163,040 0.23%
40.00%
40.01% to 2 72,040 0.10%
45.00%
45.01% to 3 371,241 0.53%
50.00%
50.01% to 5 289,385 0.41%
55.00%
55.01% to 10 934,192 1.32%
60.00%
60.01% to 11 608,625 0.86%
65.00%
65.01% to 21 2,209,236 3.13%
70.00%
70.01% to 98 8,170,192 11.58%
75.00%
75.01% to 145 13,283,218 18.83%
80.00%
80.01% to 252 22,861,490 32.40%
85.00%
85.01% to 98 9,909,658 14.05%
90.00%
90.01% to 98 11,050,016 15.66%
95.00%
95.01% to 5 550,450 0.78%
- -------- -----
100.00%
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Range of Mortgage Interest Rates
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Range of Mortgage Number of Aggregate Cut-off Date Group by Cut-off Date
Interest Rates Mortgage Loans Principal Balance Principal Balance
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
6.501% to 1 $147,356 0.21%
6.750%
6.751% to 2 85,488 0.12%
7.000%
7.001% to 7 703,727 1.00%
7.250%
7.251% to 30 2,685,827 3.81%
7.500%
7.501% to 66 6,285,808 8.91%
7.750%
7.751% to 54 4,849,260 6.87%
8.000%
8.001% to 147 14,852,175 21.05%
8.250%
8.251% to 143 13,210,960 18.73%
8.500%
8.501% to 116 12,357,733 17.52%
8.750%
8.751% to 33 3,048,857 4.32%
9.000%
9.001% to 72 6,001,268 8.51%
9.250%
9.251% to 9 806,155 1.14%
9.500%
9.501% to 15 1,361,157 1.93%
9.750%
9.751% to 10 941,057 1.33%
10.000%
10.001% to 37 2,421,523 3.43%
10.250%
10.501% to 5 301,242 0.43%
10.750%
10.751% to 3 222,958 0.32%
11.000%
11.001% to 3 268,678 0.38%
11.250% - -------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
Original Months to Stated Maturity
<TABLE>
<CAPTION>
Range of Original Percent of Adjustable Rate
Months to Number of Aggregate Cut-off Date Group by Cut-off Date
Stated Maturity Mortgage Loans Principal Balance Principal Balance
--------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
73 to 84 418 $38,326,190 54.32%
109 to 120 238 23,952,565 33.95%
169 to 180 49 4,052,773 5.74%
229 to 240 7 543,175 0.77%
349 to 360 41 3,676,526 5.21%
-- ---------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Months Since Origination
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Range of Months Number of Aggregate Cut-off Date Group by Cut-off Date
Since Origination Mortgage Loans Principal Balance Principal Balance
- ----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 to 6 707 $66,592,266 94.39%
7 to 12 43 3,719,677 5.27%
Greater than 12 3 239,286 0.34%
- -------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
Gross Margins
<TABLE>
<CAPTION>
Percent of Adjustable Rate
Range of Number of Aggregate Cut-off Date Group by Cut-off Date
Gross Margins Mortgage Loans Principal Balance Principal Balance
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
3.751% to 1 $147,356 0.21%
4.000%
4.001% to 32 2,845,965 4.03%
4.250%
4.251% to 68 6,295,864 8.92%
4.500%
4.501% to 38 3,546,674 5.03%
4.750%
4.751% to 177 17,424,301 24.70%
5.000%
5.001% to 210 20,632,182 29.24%
5.250%
5.251% to 68 7,396,153 10.48%
5.500%
5.501% to 70 5,281,449 7.49%
5.750%
5.751% to 63 4,990,821 7.07%
6.000%
6.001% to 6 501,373 0.71%
6.250%
6.251% to 15 1,065,767 1.51%
6.500%
6.501% to 1 122,734 0.17%
6.750%
6.751% to 2 187,143 0.27%
7.000%
7.001% to 1 49,404 0.07%
7.250%
7.501% to 1 64,044 0.09%
7.750% - ------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Collateral Summary (continued)
Adjustable Rate Mortgage Loan Group
Next Mortgage Interest Rate Change
<TABLE>
<CAPTION>
Month of
Next Mortgage Percemt pf Adjustable Rate
Interest Number of Aggregated Cut-off Date Group by Cut-off Date
Rate Change Mortgage Loans Principal Balance Principal Balance
----------- -------------- ----------------- -----------------
<S> <C> <C> <C> <C>
May 1998 207 $18,832,846 26.69%
April 1998 151 14,258,939 20.21%
June 1998 146 14,266,622 20.22%
July 1998 126 12,770,578 18.10%
August 1998 83 6,973,442 9.88%
October 1998 34 2,964,093 4.20%
September 1998 3 280,814 0.40%
February 1998 1 38,296 0.05%
March 1998 1 103,354 0.15%
December 1998 1 62,244 0.09%
- ------- -----
Total 753 $70,551,229 100.00%
=== ============ =======
</TABLE>
<PAGE>
Sensitivity Analysis
<TABLE>
<CAPTION>
BOND SUMMARY
<S> <C> <C> <C> <C> <C> <C> <C>
A-1F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 6.50 1.69 1.21 0.95 0.79 0.68 0.53
Modified Duration (yrs.) 5.06 1.54 1.12 0.89 0.74 0.64 0.51
First Principal Payment 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Date
Last Principal Payment 12/15/07 10/15/01 09/15/00 02/15/00 10/15/99 07/15/99 04/15/99
Date
Payment Windows (mos.) 115 41 28 21 17 14 11
Yield @ 100.0000 6.183 6.075 6.018 5.962 5.909 5.857 5.758
A-2F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 10.07 3.94 2.68 2.05 1.66 1.39 1.05
Modified Duration (yrs.) 7.33 3.40 2.40 1.87 1.53 1.29 0.99
First Principal Payment 12/15/07 10/15/01 09/15/00 02/15/00 10/15/99 07/15/99 04/15/99
Date
Last Principal Payment 04/15/09 09/15/02 04/15/01 07/15/00 02/15/00 11/15/99 06/15/99
Date
Payment Windows (mos.) 16 11 7 5 4 4 2
Yield @ 100.0000 6.106 6.069 6.040 6.013 5.984 5.956 5.899
A-3F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 13.35 6.23 4.21 3.10 2.44 2.02 1.48
Modified Duration (yrs.) 8.83 5.00 3.59 2.73 2.20 1.85 1.38
First Principal Payment 04/15/09 09/15/02 04/15/01 07/15/00 02/15/00 11/15/99 06/15/99
Date
Last Principal Payment 12/15/12 06/15/07 03/15/04 07/15/02 07/15/01 12/15/00 03/15/00
Date
Payment Windows (mos.) 44 57 35 24 17 13 9
Yield @ 100.0000 6.221 6.201 6.182 6.161 6.140 6.119 6.075
A-4F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 17.85 10.12 7.28 5.00 3.77 2.98 2.13
Modified Duration (yrs.) 10.27 7.22 5.62 4.15 3.25 2.63 1.93
First Principal Payment 12/15/12 06/15/07 03/15/04 07/15/02 07/15/01 12/15/00 03/15/00
Date
Last Principal Payment 03/15/21 01/15/10 12/15/07 06/15/04 10/15/02 10/15/01 09/15/00
Date
Payment Windows (mos.) 99 31 45 23 15 10 6
Yield @ 100.0000 6.476 6.466 6.456 6.440 6.423 6.405 6.371
A-5F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 26.76 15.16 12.15 9.49 6.71 4.25 2.71
Modified Duration (yrs.) 11.92 9.04 7.91 6.64 5.08 3.57 2.40
First Principal Payment 03/15/21 01/15/10 12/15/07 06/15/04 10/15/02 10/15/01 09/15/00
Date
Last Principal Payment 01/15/28 01/15/28 01/15/28 01/15/28 01/15/28 03/15/04 06/15/01
Date
Payment Windows (mos.) 82 216 241 283 303 29 9
Yield @ 100.0000 6.898 6.891 6.886 6.880 6.868 6.846 6.809
A-6F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 7.67 5.84 5.39 5.04 4.72 4.47 3.56
Modified Duration (yrs.) 5.90 4.73 4.43 4.18 3.96 3.78 3.10
First Principal Payment 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01
Date
Last Principal Payment 12/15/07 09/15/05 04/15/05 12/15/04 08/15/04 03/15/04 06/15/02
Date
Payment Windows (mos.) 79 52 47 43 39 34 13
Yield @ 100.0000 6.228 6.218 6.215 6.212 6.208 6.206 6.192
A-7F (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 10.03 8.72 8.18 7.84 7.66 7.64 5.59
Modified Duration (yrs.) 7.19 6.49 6.18 5.98 5.87 5.83 4.54
First Principal Payment 12/15/07 09/15/05 04/15/05 12/15/04 08/15/04 03/15/04 06/15/02
Date
Last Principal Payment 11/15/27 01/15/27 02/15/24 12/15/19 02/15/16 01/15/28 03/15/25
Date
Payment Windows (mos.) 239 256 226 180 138 286 273
Yield @ 100.0000 6.397 6.393 6.391 6.390 6.389 6.389 6.377
A-1A (To Maturity)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 8.57 4.88 3.84 3.07 2.50 2.06 1.44
Modified Duration (yrs.) 6.33 3.90 3.16 2.59 2.15 1.80 1.30
First Principal Payment 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Date
Last Principal Payment 10/15/27 10/15/27 10/15/27 10/15/27 01/15/27 11/15/24 03/15/20
Date
Payment Windows (mos.) 353 353 353 353 344 318 262
Yield @ 100.0000 5.998 6.000 6.000 6.003 6.004 6.008 6.012
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
A-1F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 6.50 1.69 1.21 0.95 0.79 0.68 0.53
Modified Duration (yrs.) 5.06 1.54 1.12 0.89 0.74 0.64 0.51
First Principal Payment 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Date
Last Principal Payment Date 12/15/07 10/15/01 09/15/00 02/15/00 10/15/99 07/15/99 04/15/99
Payment Windows (mos.) 115 41 28 21 17 14 11
Yield @ 100.0000 6.183 6.075 6.018 5.962 5.909 5.857 5.758
A-2F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 10.07 3.94 2.68 2.05 1.66 1.39 1.05
Modified Duration (yrs.) 7.33 3.40 2.40 1.87 1.53 1.29 0.99
First Principal Payment 12/15/07 10/15/01 09/15/00 02/15/00 10/15/99 07/15/99 04/15/99
Date
Last Principal Payment Date 04/15/09 09/15/02 04/15/01 07/15/00 02/15/00 11/15/99 06/15/99
Payment Windows (mos.) 16 11 7 5 4 4 2
Yield @ 100.0000 6.106 6.069 6.040 6.013 5.984 5.956 5.899
A-3F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 13.35 6.23 4.21 3.10 2.44 2.02 1.48
Modified Duration (yrs.) 8.83 5.00 3.59 2.73 2.20 1.85 1.38
First Principal Payment 04/15/09 09/15/02 04/15/01 07/15/00 02/15/00 11/15/99 06/15/99
Date
Last Principal Payment Date 12/15/12 06/15/07 03/15/04 07/15/02 07/15/01 12/15/00 03/15/00
Payment Windows (mos.) 44 57 35 24 17 13 9
Yield @ 100.0000 6.221 6.201 6.182 6.161 6.140 6.119 6.075
A-4F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 17.53 10.01 7.27 5.00 3.77 2.98 2.13
Modified Duration (yrs.) 10.19 7.17 5.61 4.15 3.25 2.63 1.93
First Principal Payment 12/15/12 06/15/07 03/15/04 07/15/02 07/15/01 12/15/00 03/15/00
Date
Last Principal Payment Date 06/15/18 01/15/09 09/15/07 06/15/04 10/15/02 10/15/01 09/15/00
Payment Windows (mos.) 66 19 42 23 15 10 6
Yield @ 100.0000 6.476 6.465 6.456 6.440 6.423 6.405 6.371
A-5F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 20.14 10.73 9.39 7.00 5.54 4.23 2.71
Modified Duration (yrs.) 10.63 7.38 6.72 5.39 4.46 3.55 2.40
First Principal Payment 06/15/18 01/15/09 09/15/07 06/15/04 10/15/02 10/15/01 09/15/00
Date
Last Principal Payment Date 06/15/18 01/15/09 09/15/07 07/15/05 08/15/04 06/15/03 06/15/01
Payment Windows (mos.) 0 0 0 13 22 20 9
Yield @ 100.0000 6.895 6.884 6.880 6.871 6.861 6.845 6.809
A-6F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 7.67 5.84 5.39 5.04 4.72 4.37 3.46
Modified Duration (yrs.) 5.90 4.73 4.43 4.18 3.96 3.71 3.02
First Principal Payment 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01 05/15/01
Date
Last Principal Payment Date 12/15/07 09/15/05 04/15/05 12/15/04 08/15/04 06/15/03 12/15/01
Payment Windows (mos.) 79 52 47 43 39 25 7
Yield @ 100.0000 6.228 6.218 6.215 6.212 6.208 6.204 6.190
A-7F (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 10.03 8.70 8.13 7.12 6.31 5.14 3.64
Modified Duration (yrs.) 7.19 6.48 6.15 5.56 5.05 4.26 3.16
First Principal Payment 12/15/07 09/15/05 04/15/05 12/15/04 08/15/04 06/15/03 12/15/01
Date
Last Principal Payment Date 06/15/18 01/15/09 09/15/07 07/15/05 08/15/04 06/15/03 12/15/01
Payment Windows (mos.) 126 40 29 7 0 0 0
Yield @ 100.0000 6.397 6.393 6.391 6.387 6.382 6.373 6.353
A-1A (To Call)
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 200.0% PPC
Implied Seasoned CPR 0.00% 12.00% 18.00% 24.00% 30.00% 36.00% 48.00%
Average Life (yrs.) 8.47 4.78 3.77 2.96 2.40 1.94 1.34
Modified Duration (yrs.) 6.30 3.86 3.12 2.52 2.09 1.72 1.22
First Principal Payment 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98 05/15/98
Date
Last Principal Payment Date 06/15/18 01/15/09 09/15/07 07/15/05 08/15/04 06/15/03 12/15/01
Payment Windows (mos.) 241 128 112 86 75 61 43
Yield @ 100.0000 5.997 5.998 5.998 5.998 5.999 5.999 6.001
</TABLE>
<PAGE>
AVAILABLE FUNDS CAP ("AFC")*
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- - ----- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 5/15/98 10.70 41 9/15/01 9.28 81 1/15/05 9.24
2 6/15/98 7.83 42 10/15/01 9.59 82 2/15/05 9.23
3 7/15/98 8.33 43 11/15/01 9.28 83 3/15/05 10.20
4 8/15/98 8.26 44 12/15/01 9.59 84 4/15/05 9.22
5 9/15/98 8.43 45 1/15/02 9.28 85 5/15/05 9.52
6 10/15/98 8.80 46 2/15/02 9.28 86 6/15/05 9.22
7 11/15/98 8.56 47 3/15/02 10.28 87 7/15/05 9.52
8 12/15/98 9.09 48 4/15/02 9.28 88 8/15/05 9.22
9 1/15/99 9.03 49 5/15/02 9.59 89 9/15/05 9.22
10 2/15/99 9.23 50 6/15/02 9.28 90 10/15/05 9.52
11 3/15/99 10.40 51 7/15/02 9.59 91 11/15/05 9.22
12 4/15/99 9.48 52 8/15/02 9.28 92 12/15/05 9.52
13 5/15/99 9.33 53 9/15/02 9.28 93 1/15/06 9.22
14 6/15/99 9.15 54 10/15/02 9.59 94 2/15/06 9.22
15 7/15/99 9.52 55 11/15/02 9.28 95 3/15/06 10.20
16 8/15/99 9.24 56 12/15/02 9.59 96 4/15/06 9.22
17 9/15/99 9.27 57 1/15/03 9.28 97 5/15/06 9.52
18 10/15/99 9.59 58 2/15/03 9.28 98 6/15/06 9.22
19 11/15/99 9.28 59 3/15/03 10.28 99 7/15/06 9.52
20 12/15/99 9.59 60 4/15/03 9.28 100 8/15/06 9.22
21 1/15/00 9.28 61 5/15/03 9.59 101 9/15/06 9.22
22 2/15/00 9.28 62 6/15/03 9.28 102 10/15/06 9.52
23 3/15/00 9.92 63 7/15/03 9.59 103 11/15/06 9.22
24 4/15/00 9.28 64 8/15/03 9.28 104 12/15/06 9.52
25 5/15/00 9.59 65 9/15/03 9.28 105 1/15/07 9.22
26 6/15/00 9.28 66 10/15/03 9.59 106 2/15/07 9.22
27 7/15/00 9.59 67 11/15/03 9.28 107 3/15/07 10.20
28 8/15/00 9.28 68 12/15/03 9.59 108 4/15/07 9.22
29 9/15/00 9.28 69 1/15/04 9.28 109 5/15/07 9.52
30 10/15/00 9.59 70 2/15/04 9.28 110 6/15/07 9.22
31 11/15/00 9.28 71 3/15/04 9.92 111 7/15/07 9.52
32 12/15/00 9.59 72 4/15/04 9.28 112 8/15/07 9.22
33 1/15/01 9.28 73 5/15/04 9.59 113 9/15/07 9.22
34 2/15/01 9.28 74 6/15/04 9.28 114 10/15/07 9.52
35 3/15/01 10.28 75 7/15/04 9.59 115 11/15/07 9.23
36 4/15/01 9.28 76 8/15/04 9.28 116 12/15/07 9.55
37 5/15/01 9.59 77 9/15/04 9.28 117 1/15/08 9.24
38 6/15/01 9.28 78 10/15/04 9.59 118 2/15/08 9.25
39 7/15/01 9.59 79 11/15/04 9.26 119 3/15/08 9.84
40 8/15/01 9.28 80 12/15/04 9.56 120 4/15/08 9.20
</TABLE>
* Available Funds Cap. The Adjustable Rate Group loan net WAC (net of Ongoing
Fees). Achieved assuming 6 month LIBOR stays constant at 5.6875%; run at
the pricing speed.
AVAILABLE FUNDS CAP ("AFC")*
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- - ----- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
121 5/15/08 9.51 161 9/15/11 9.20 201 1/15/15 9.25
122 6/15/08 9.20 162 10/15/11 9.51 202 2/15/15 9.25
123 7/15/08 9.51 163 11/15/11 9.20 203 3/15/15 10.24
124 8/15/08 9.20 164 12/15/11 9.51 204 4/15/15 9.25
125 9/15/08 9.20 165 1/15/12 9.20 205 5/15/15 9.56
126 10/15/08 9.51 166 2/15/12 9.20 206 6/15/15 9.25
127 11/15/08 9.20 167 3/15/12 9.84 207 7/15/15 9.56
128 12/15/08 9.51 168 4/15/12 9.20 208 8/15/15 9.25
129 1/15/09 9.20 169 5/15/12 9.51 209 9/15/15 9.25
130 2/15/09 9.20 170 6/15/12 9.20 210 10/15/15 9.56
131 3/15/09 10.19 171 7/15/12 9.51 211 11/15/15 9.25
132 4/15/09 9.20 172 8/15/12 9.20 212 12/15/15 9.56
133 5/15/09 9.51 173 9/15/12 9.20 213 1/15/16 9.25
134 6/15/09 9.20 174 10/15/12 9.51 214 2/15/16 9.25
135 7/15/09 9.51 175 11/15/12 9.21 215 3/15/16 9.89
136 8/15/09 9.20 176 12/15/12 9.51 216 4/15/16 9.25
137 9/15/09 9.20 177 1/15/13 9.23 217 5/15/16 9.56
138 10/15/09 9.51 178 2/15/13 9.25 218 6/15/16 9.25
139 11/15/09 9.20 179 3/15/13 10.24 219 7/15/16 9.56
140 12/15/09 9.51 180 4/15/13 9.25 220 8/15/16 9.25
141 1/15/10 9.20 181 5/15/13 9.56 221 9/15/16 9.25
142 2/15/10 9.20 182 6/15/13 9.25 222 10/15/16 9.56
143 3/15/10 10.19 183 7/15/13 9.56 223 11/15/16 9.25
144 4/15/10 9.20 184 8/15/13 9.25 224 12/15/16 9.56
145 5/15/10 9.51 185 9/15/13 9.25 225 1/15/17 9.25
146 6/15/10 9.20 186 10/15/13 9.56 226 2/15/17 9.25
147 7/15/10 9.51 187 11/15/13 9.25 227 3/15/17 10.24
148 8/15/10 9.20 188 12/15/13 9.56 228 4/15/17 9.25
149 9/15/10 9.20 189 1/15/14 9.25 229 5/15/17 9.56
150 10/15/10 9.51 190 2/15/14 9.25 230 6/15/17 9.25
151 11/15/10 9.20 191 3/15/14 10.24 231 7/15/17 9.56
152 12/15/10 9.51 192 4/15/14 9.25 232 8/15/17 9.25
153 1/15/11 9.20 193 5/15/14 9.56 233 9/15/17 9.25
154 2/15/11 9.20 194 6/15/14 9.25 234 10/15/17 9.56
155 3/15/11 10.19 195 7/15/14 9.56 235 11/15/17 9.25
156 4/15/11 9.20 196 8/15/14 9.25 236 12/15/17 9.56
157 5/15/11 9.51 197 9/15/14 9.25 237 1/15/18 9.25
158 6/15/11 9.20 198 10/15/14 9.56 238 2/15/18 9.25
159 7/15/11 9.51 199 11/15/14 9.25 239 3/15/18 10.24
160 8/15/11 9.20 200 12/15/14 9.56 240 4/15/18 9.25
</TABLE>
* Available Funds Cap. The adjustable Rate Group loan net WAC (net of Ongoing
Fees). Achieved assuming 6 month LIBOR stays constant at 5.6875%; run at
the pricing speed.
<PAGE>
AVAILABLE FUNDS CAP ("AFC")*
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- - ----- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
241 5/15/18 9.56 281 9/15/21 9.24 321 1/15/25 9.69
242 6/15/18 9.25 282 10/15/21 9.55 322 2/15/25 9.71
243 7/15/18 9.56 283 11/15/21 9.24 323 3/15/25 10.77
244 8/15/18 9.25 284 12/15/21 9.55 324 4/15/25 9.75
245 9/15/18 9.25 285 1/15/22 9.24 325 5/15/25 10.11
246 10/15/18 9.56 286 2/15/22 9.24 326 6/15/25 9.81
247 11/15/18 9.25 287 3/15/22 10.23 327 7/15/25 10.18
248 12/15/18 9.56 288 4/15/22 9.24 328 8/15/25 9.89
249 1/15/19 9.25 289 5/15/22 9.55 329 9/15/25 9.94
250 2/15/19 9.25 290 6/15/22 9.24 330 10/15/25 10.34
251 3/15/19 10.24 291 7/15/22 9.56 331 11/15/25 10.08
252 4/15/19 9.25 292 8/15/22 9.25 332 12/15/25 10.52
253 5/15/19 9.56 293 9/15/22 9.25 333 1/15/26 10.20
254 6/15/19 9.25 294 10/15/22 9.56 334 2/15/26 10.23
255 7/15/19 9.56 295 11/15/22 9.26 335 3/15/26 11.35
256 8/15/19 9.25 296 12/15/22 9.57 336 4/15/26 10.28
257 9/15/19 9.25 297 1/15/23 9.27 337 5/15/26 10.65
258 10/15/19 9.56 298 2/15/23 9.27 338 6/15/26 10.34
259 11/15/19 9.25 299 3/15/23 10.27 339 7/15/26 10.72
260 12/15/19 9.55 300 4/15/23 9.28 340 8/15/26 10.42
261 1/15/20 9.25 301 5/15/23 9.60 341 9/15/26 10.47
262 2/15/20 9.25 302 6/15/23 9.29 342 10/15/26 10.88
263 3/15/20 9.88 303 7/15/23 9.61 343 11/15/26 10.60
264 4/15/20 9.25 304 8/15/23 9.31 344 12/15/26 11.04
265 5/15/20 9.55 305 9/15/23 9.32 345 1/15/27 10.79
266 6/15/20 9.25 306 10/15/23 9.64 346 2/15/27 10.92
267 7/15/20 9.55 307 11/15/23 9.34 347 3/15/27 12.28
268 8/15/20 9.25 308 12/15/23 9.66 348 4/15/27 11.31
269 9/15/20 9.25 309 1/15/24 9.36 349 5/15/27 12.01
270 10/15/20 9.55 310 2/15/24 9.38 350 6/15/27 12.09
271 11/15/20 9.25 311 3/15/24 10.04 351 7/15/27 13.30
272 12/15/20 9.55 312 4/15/24 9.42 352 8/15/27 14.39
273 1/15/21 9.25 313 5/15/24 9.76 353 9/15/27 18.79
274 2/15/21 9.25 314 6/15/24 9.48 354 10/15/27 168.88
275 3/15/21 10.24 315 7/15/24 9.83
276 4/15/21 9.25 316 8/15/24 9.57
277 5/15/21 9.55 317 9/15/24 9.63
278 6/15/21 9.24 318 10/15/24 9.97
279 7/15/21 9.55 319 11/15/24 9.66
280 8/15/21 9.24 320 12/15/24 10.00
</TABLE>
* Available Funds Cap. The Adjustable Rate Group loan net WAC (net of Ongoing
Fees). Achieved assuming 6 month LIBOR stays constant at 5.6875%; run at
the pricing speed.
AVAILABLE FUNDS CAP ("AFC")**
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- ---- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 5/15/98 10.70 41 9/15/01 13.75 81 1/15/05 15.24
2 6/15/98 7.83 42 10/15/01 14.30 82 2/15/05 15.22
3 7/15/98 8.33 43 11/15/01 13.88 83 3/15/05 16.84
4 8/15/98 8.26 44 12/15/01 14.59 84 4/15/05 15.21
5 9/15/98 8.43 45 1/15/02 14.35 85 5/15/05 15.72
6 10/15/98 8.80 46 2/15/02 14.55 86 6/15/05 15.21
7 11/15/98 8.56 47 3/15/02 16.30 87 7/15/05 15.72
8 12/15/98 9.09 48 4/15/02 14.80 88 8/15/05 15.21
9 1/15/99 9.03 49 5/15/02 15.34 89 9/15/05 15.21
10 2/15/99 9.23 50 6/15/02 15.01 90 10/15/05 15.72
11 3/15/99 10.40 51 7/15/02 15.62 91 11/15/05 15.21
12 4/15/99 9.48 52 8/15/02 15.19 92 12/15/05 15.72
13 5/15/99 9.35 53 9/15/02 15.26 93 1/15/06 15.21
14 6/15/99 9.28 54 10/15/02 15.79 94 2/15/06 15.21
15 7/15/99 9.83 55 11/15/02 15.28 95 3/15/06 16.84
16 8/15/99 9.71 56 12/15/02 15.79 96 4/15/06 15.21
17 9/15/99 9.88 57 1/15/03 15.28 97 5/15/06 15.72
18 10/15/99 10.30 58 2/15/03 15.28 98 6/15/06 15.21
19 11/15/99 10.01 59 3/15/03 16.92 99 7/15/06 15.72
20 12/15/99 10.59 60 4/15/03 15.28 100 8/15/06 15.21
21 1/15/00 10.48 61 5/15/03 15.79 101 9/15/06 15.21
22 2/15/00 10.68 62 6/15/03 15.28 102 10/15/06 15.72
23 3/15/00 11.60 63 7/15/03 15.79 103 11/15/06 15.21
24 4/15/00 10.93 64 8/15/03 15.28 104 12/15/06 15.72
25 5/15/00 11.35 65 9/15/03 15.28 105 1/15/07 15.21
26 6/15/00 11.22 66 10/15/03 15.79 106 2/15/07 15.21
27 7/15/00 11.83 67 11/15/03 15.28 107 3/15/07 16.84
28 8/15/00 11.65 68 12/15/03 15.79 108 4/15/07 15.21
29 9/15/00 11.82 69 1/15/04 15.28 109 5/15/07 15.72
30 10/15/00 12.30 70 2/15/04 15.28 110 6/15/07 15.21
31 11/15/00 11.95 71 3/15/04 16.33 111 7/15/07 15.72
32 12/15/00 12.59 72 4/15/04 15.28 112 8/15/07 15.21
33 1/15/01 12.42 73 5/15/04 15.79 113 9/15/07 15.21
34 2/15/01 12.61 74 6/15/04 15.28 114 10/15/07 15.72
35 3/15/01 14.15 75 7/15/04 15.79 115 11/15/07 15.23
36 4/15/01 12.87 76 8/15/04 15.28 116 12/15/07 15.75
37 5/15/01 13.35 77 9/15/04 15.28 117 1/15/08 15.23
38 6/15/01 13.15 78 10/15/04 15.79 118 2/15/08 15.21
39 7/15/01 13.83 79 11/15/04 15.26 119 3/15/08 16.25
40 8/15/01 13.58 80 12/15/04 15.76 120 4/15/08 15.20
</TABLE>
** Achieved assuming 6 month LIBOR increases to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate mortgage loans;
run at the pricing speed.
<PAGE>
AVAILABLE FUNDS CAP ("AFC")**
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- - ----- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
121 5/15/08 15.71 161 9/15/11 15.20 201 1/15/15 15.25
122 6/15/08 15.20 162 10/15/11 15.71 202 2/15/15 15.25
123 7/15/08 15.71 163 11/15/11 15.20 203 3/15/15 16.88
124 8/15/08 15.20 164 12/15/11 15.71 204 4/15/15 15.25
125 9/15/08 15.20 165 1/15/12 15.20 205 5/15/15 15.75
126 10/15/08 15.71 166 2/15/12 15.20 206 6/15/15 15.25
127 11/15/08 15.20 167 3/15/12 16.25 207 7/15/15 15.75
128 12/15/08 15.71 168 4/15/12 15.20 208 8/15/15 15.25
129 1/15/09 15.20 169 5/15/12 15.71 209 9/15/15 15.25
130 2/15/09 15.20 170 6/15/12 15.20 210 10/15/15 15.75
131 3/15/09 16.83 171 7/15/12 15.71 211 11/15/15 15.25
132 4/15/09 15.20 172 8/15/12 15.20 212 12/15/15 15.75
133 5/15/09 15.71 173 9/15/12 15.20 213 1/15/16 15.25
134 6/15/09 15.20 174 10/15/12 15.71 214 2/15/16 15.25
135 7/15/09 15.71 175 11/15/12 15.21 215 3/15/16 16.30
136 8/15/09 15.20 176 12/15/12 15.71 216 4/15/16 15.25
137 9/15/09 15.20 177 1/15/13 15.23 217 5/15/16 15.75
138 10/15/09 15.71 178 2/15/13 15.25 218 6/15/16 15.25
139 11/15/09 15.20 179 3/15/13 16.88 219 7/15/16 15.75
140 12/15/09 15.71 180 4/15/13 15.25 220 8/15/16 15.25
141 1/15/10 15.20 181 5/15/13 15.75 221 9/15/16 15.25
142 2/15/10 15.20 182 6/15/13 15.25 222 10/15/16 15.75
143 3/15/10 16.83 183 7/15/13 15.75 223 11/15/16 15.25
144 4/15/10 15.20 184 8/15/13 15.25 224 12/15/16 15.75
145 5/15/10 15.71 185 9/15/13 15.25 225 1/15/17 15.25
146 6/15/10 15.20 186 10/15/13 15.75 226 2/15/17 15.25
147 7/15/10 15.71 187 11/15/13 15.25 227 3/15/17 16.88
148 8/15/10 15.20 188 12/15/13 15.75 228 4/15/17 15.25
149 9/15/10 15.20 189 1/15/14 15.25 229 5/15/17 15.75
150 10/15/10 15.71 190 2/15/14 15.25 230 6/15/17 15.25
151 11/15/10 15.20 191 3/15/14 16.88 231 7/15/17 15.75
152 12/15/10 15.71 192 4/15/14 15.25 232 8/15/17 15.25
153 1/15/11 15.20 193 5/15/14 15.75 233 9/15/17 15.25
154 2/15/11 15.20 194 6/15/14 15.25 234 10/15/17 15.75
155 3/15/11 16.83 195 7/15/14 15.75 235 11/15/17 15.25
156 4/15/11 15.20 196 8/15/14 15.25 236 12/15/17 15.75
157 5/15/11 15.71 197 9/15/14 15.25 237 1/15/18 15.24
158 6/15/11 15.20 198 10/15/14 15.75 238 2/15/18 15.24
159 7/15/11 15.71 199 11/15/14 15.25 239 3/15/18 16.88
160 8/15/11 15.20 200 12/15/14 15.75 240 4/15/18 15/24
</TABLE>
* Achieved assuming 6 month LIBOR increases to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate mortgage loans;
run at the pricing speed. AVAILABLE FUNDS CAP ("AFC")**
<PAGE>
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- - ----- ------ -------- - ----- ------ -------- - ---
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
241 5/15/18 15.75 281 9/15/21 15.25 321 1/15/25 15.66
242 6/15/18 15.24 282 10/15/21 15.75 322 2/15/25 15.68
243 7/15/18 15.75 283 11/15/21 15.25 323 3/15/25 17.38
244 8/15/18 15.24 284 12/15/21 15.75 324 4/15/25 15.72
245 9/15/18 15.24 285 1/15/22 15.25 325 5/15/25 16.28
246 10/15/18 15.75 286 2/15/22 15.25 326 6/15/25 15.78
247 11/15/18 15.24 287 3/15/22 16.88 327 7/15/25 16.35
248 12/15/18 15.75 288 4/15/22 15.25 328 8/15/25 15.87
249 1/15/19 15.24 289 5/15/22 15.76 329 9/15/25 15.92
250 2/15/19 15.24 290 6/15/22 15.25 330 10/15/25 16.52
251 3/15/19 16.88 291 7/15/22 15.76 331 11/15/25 16.07
252 4/15/19 15.24 292 8/15/22 15.26 332 12/15/25 16.72
253 5/15/19 15.75 293 9/15/22 15.26 333 1/15/26 16.20
254 6/15/19 15.24 294 10/15/22 15.77 334 2/15/26 16.22
255 7/15/19 15.75 295 11/15/22 15.26 335 3/15/26 17.99
256 8/15/19 15.24 296 12/15/22 15.78 336 4/15/26 16.27
257 9/15/19 15.24 297 1/15/23 15.27 337 5/15/26 16.85
258 10/15/19 15.75 298 2/15/23 15.28 338 6/15/26 16.34
259 11/15/19 15.24 299 3/15/23 16.92 339 7/15/26 16.93
260 12/15/19 15.75 300 4/15/23 15.28 340 8/15/26 16.43
261 1/15/20 15.24 301 5/15/23 15.80 341 9/15/26 16.48
262 2/15/20 15.24 302 6/15/23 15.29 342 10/15/26 17.09
263 3/15/20 16.30 303 7/15/23 15.81 343 11/15/26 16.62
264 4/15/20 15.24 304 8/15/23 15.31 344 12/15/26 17.26
265 5/15/20 15.75 305 9/15/23 15.31 345 1/15/27 16.81
266 6/15/20 15.25 306 10/15/23 15.83 346 2/15/27 16.94
267 7/15/20 15.75 307 11/15/23 15.33 347 3/15/27 18.94
268 8/15/20 15.25 308 12/15/23 15.85 348 4/15/27 17.33
269 9/15/20 15.25 309 1/15/24 15.35 349 5/15/27 18.22
270 10/15/20 15.75 310 2/15/24 15.37 350 6/15/27 18.07
271 11/15/20 15.25 311 3/15/24 16.44 351 7/15/27 19.41
272 12/15/20 15.75 312 4/15/24 15.40 352 8/15/27 20.09
273 1/15/21 15.25 313 5/15/24 15.94 353 9/15/27 23.32
274 2/15/21 15.25 314 6/15/24 15.45 354 10/15/27 45.92
275 3/15/21 16.88 315 7/15/24 16.01
276 4/15/21 15.25 316 8/15/24 15.54
277 5/15/21 15.75 317 9/15/24 15.60
278 6/15/21 15.25 318 10/15/24 16.13
279 7/15/21 15.75 319 11/15/24 15.62
280 8/15/21 15.25 320 12/15/24 16.16
</TABLE>
** Achieved assuming 6 month LIBOR increases to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate mortgage loans;
run at the pricing speed.
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