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: July 23, 1999
(Date of earliest event reported)
Commission File No. 333-71489
EQCC Receivables Corporation
EQCC Asset Backed Corporation
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59-3170055
Delaware 59-3170052
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(State of Incorporation) (I.R.S. Employer Identification No.)
10401 Deerwood Park Boulevard
Jacksonville, Florida 32256
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Address of principal executive offices (Zip Code)
(904) 987-5000
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Registrant's Telephone Number, including area code
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(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")) and Collateral Term Sheets (as
defined in the no-action letter dated February 17, 1995 issued by the
Securities and Exchange Commission to the Public Securities Association)
prepared by Banc of America Securities LLC, which are hereby filed
pursuant to such letter.
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99) Computational Materials and
Collateral Term Sheets
prepared by Banc of America
Securities LLC in
connection with EQCC Home
Equity Loan Asset Backed
Certificates, Series 1999-3
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
EQCC RECEIVABLES CORPORATION
July 23, 1999
By: /s/ Lenore Hanapel
------------------------------
Name: Lenore Hanapel
Title: Senior Vice President
EQCC ASSET BACKED CORPORATION
July 23, 1999
By: /s/ Lenore Hanapel
------------------------------
Name: Lenore Hanapel
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials and E
Collateral Term Sheets
prepared by Banc of America
Securities LLC in connection with
EQCC Home Equity Loan Asset Backed
Certificates, Series 1999-3
BANC OF AMERICA SECURITIES
Bank of America Corporation
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RMBS New Issue Term Sheet
EQCC Home Equity Loan Trust
EQCC Home Equity Loan Asset Backed Certificates
Series 1999-3
[Classes A-1F, A-2F, A-3F, A-4F, A-5F, A-6F, A-7F & A-1A]
$1,000,000,000 (approximate)
July 22, 1999
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Banc of America Securities LLC
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This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
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EQCC Home Equity Loan Trust, Series 1999-3
Class A-1F, A-2F, A-3F, A-4F, A-5F, A-6F, A-7F & A-1A Certificates
$1,000,000,000 (approximate)
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<TABLE>
<CAPTION>
OFFERED CERTIFICATES
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PRINCIPAL PRINCIPAL FINAL FINAL
EXPECTED AVERAGE MODIFIED WINDOW WINDOW SCHEDULED LEGAL
CLASS RATINGS APPROXIMATE LIFE DURATION (TO MATURITY) (TO CALL) PAYMENT MATURITY
CLASS DESCRIPTION S&P/MOODY'S SIZE (YEARS) (YEARS) IN MONTHS IN MONTHS DATE DATE
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F SEQ AAA/Aaa 350,000,000 0.96 0.90 1 - 20 1 - 20 4/25/2001 4/25/2010
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A-2F SEQ AAA/Aaa 137,000,000 2.06 1.87 20 - 29 20 - 29 1/25/2002 10/25/2013
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A-3F SEQ AAA/Aaa 160,000,000 3.15 2.75 29 - 49 29 - 49 9/25/2003 1/25/2025
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A-4F SEQ AAA/Aaa 80,000,000 4.98 4.06 49 - 80 49 - 80 4/25/2006 7/25/2028
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A-5F SEQ AAA/Aaa 27,796,013 6.66 5.09 80 - 150 80 - 80 4/25/2006 8/01/2030
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A-6F NAS AAA/Aaa 133,000,000 6.23 4.83 37 - 128 37 - 80 4/25/2010 8/01/2030
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A-7F PT AAA/Aaa 74,391,790 2.62 2.22 1 - 146 1 - 80 4/25/2006 8/01/2030
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A-1A Floater AAA/Aaa 37,812,197 2.21 1.94 1 - 129 1 - 80 4/25/2006 8/01/2030
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</TABLE>
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FIXED RATE CERTIFICATES:
1. Classes A-1F through A-6F (the "Group 1 Certificates") are sequential pay
and are backed by the Fixed Rate Mortgage Loan Group 1. Class A-7F (the
"Group 2 Certificates") is a pass-through and is backed by the Fixed Rate
Mortgage Loan Group 2.
2. Classes A-1F through A-7F are payable monthly starting in September 1999
with fixed pass-through rates calculated on a (30/360) basis accruing from
8/1/99.
3. The Class A-6F will pay sequentially until the Principal Balance of such
Class has been reduced to zero. The Lockout Percentage for each Payment
Date is as follows: 0% to month 36; 45% from months 37 to 60; 80% from
months 61 to 72; 100% from months 73 to 84; and 300% thereafter.
4. Optional Call is 10% of the aggregate Principal Balance of the Mortgage
Loans. If the Optional Call is not exercised by the Servicer, the coupons
on the Class A-5F and A-7F will increase by 0.50%.
5. Fixed Rate Certificate pricing speed: 125% Prepayment Assumption, where
100% Prepayment Assumption is equal to 4.0% CPR in month 1, and an
additional 1.8182% in each month thereafter until month 12; on and
thereafter, 24% CPR.
6. Classes A-1F, A-2F, A-3F, A-4F, and A-6F are priced to maturity.
7. The Class A-5F and Class A-7F are priced to call.
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ADJUSTABLE RATE CERTIFICATES:
1. The Class A-1A is backed by the Adjustable Rate Mortgage Loan Group.
2. The Class A-1A is payable monthly (actual/360) starting in September 1999
with accrual from the Closing Date. The Class A-1A resets monthly to One-
Month LIBOR plus [ ]%.
3. The Class A-1A is subject to a Class A-1A Net Funds Cap Rate, as described
herein.
4. Optional Call is 10% of the aggregate Principal Balance of the Mortgage
Loans. If the Optional Call is not exercised by the Servicer, the margin on
the Class A-1A Certificates will double.
5. Adjustable Rate Certificate pricing speed: 30% CPR beginning in month 1.
6. The Class A-1A is priced to call.
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<PAGE>
PAYMENT RULES
-------------- ------------- -------------
| FRM | | FRM | | ARM |
| Group 1 | | Group 2 | | Group 3 |
-------------- ------------- -------------
| | |
----------- | | |
| Initial | | | |
| Sizing | \|/ \|/ \|/
----------------------------------------------------------------------------
| | | A-1F (AAA) | | | | | | |
| | |------------| | I | | I | | I |
| | | A-2F (AAA) | | n | | n | | n |
| | |------------| A-6F | t | A-7F | t | A-1A | t |
| Rules | 100% | A-3F (AAA) | (AAA) | e | (AAA) | e | (AAA) | e |
| 1, 2, | |------------| (NAS) | r | (PT) | r | (AFF) | r |
| 3, 4, | | A-4F (AAA) | | e | | e | | e |
| & 5 | |------------| | s | | s | | s |
| | | A-5F (AAA) | | t | | t | | t |
| |-------------------------------------------------------------------
| | | Ambac Assurance Corporation |
| | | (Certificate Insurer) |
| |-------------------------------------------------------------------
| | 0% | Class X |
----------------------------------------------------------------------------
o RULE 1: Each Class of Class A Certificates, from the amounts attributable to
the related Mortgage Loan Group, is entitled to receive the related Interest
Remittance Amount. Each Class of Class A Certificates, from the amounts
attributable to the related Mortgage Loan Group, is entitled to receive the
related Class A Principal Remittance Amount.
o RULE 2: Class A-6F receives no principal payments until month 37 or the date
at which the Class A-1F through Class A-5F have been reduced to zero.
o RULE 3: Excess Interest from each Mortgage Loan Group is allocated as
principal to the related Class A Certificates to achieve the required target
overcollateralization.
o RULE 4: After the related Class A Certificates' target overcollateralization
has been achieved, any remaining Excess Interest is allocated pro rata (if
necessary) to the other groups of Class A Certificates to achieve their required
target overcollateralization (cross collateralization).
o RULE 5: Any remaining amounts are paid to the Class X.
<PAGE>
SUMMARY OF TERMS
DEPOSITORS: EQCC Receivables Corporation and EQCC Asset Backed
Corporation are wholly owned subsidiaries of EquiCredit
Corporation, which itself is an indirect wholly owned
subsidiary of Bank of America Corporation.
SERVICER: EquiCredit Corporation of America, a wholly owned
subsidiary of EquiCredit Corporation, which itself is
an indirect wholly owned subsidiary of Bank of America
Corporation.
TRUSTEE: U.S. Bank National Association
OFFERING: Public; subject to a variance of plus or minus 5.0%.
MANAGERS: Banc of America Securities LLC (Lead and Book Manager)
Merrill Lynch & Co.
EXPECTED
CUT-OFF DATE: August 1, 1999
EXPECTED
PRICING DATE: July [ ], 1999
EXPECTED
CLOSING DATE: August 26, 1999
SETTLEMENT: Fixed Rate Certificates settle with accrued interest.
Adjustable Rate Certificates settle flat; without
accrued interest.
REGISTRATION: Certificates will be available in book-entry form
through DTC, Euroclear or CEDEL.
PAYMENT DATE: The 25th of each month (or next succeeding business
day), beginning September 27, 1999.
MORTGAGE LOAN
GROUPS: Fixed Rate Mortgage Loan Group 1, Fixed Rate Mortgage
Loan Group 2, and Adjustable Rate Mortgage Loan Group.
INTEREST
REMITTANCE AMOUNT: With respect to each Payment Date and each Class of
Class A Certificates, interest accrued during the
Accrual Period at the related Pass-Through Rate on the
related Principal Balance outstanding on the
immediately preceding Payment Date or the related
Original Principal Balance, in the case of the initial
Accrual Period.
ACCRUAL PERIOD: Each period relating to the accrual of interest.
Interest on each Class of Fixed Rate Certificates will
accrue from and including the first day of each month,
commencing August 1,1999 to and including the last day
of such month. Interest on the Class A-1A Certificates
will accrue from and including the Closing Date, in the
case of the initial Payment Date, or from and including
the most recent Payment Date on which interest has been
paid, to but excluding the next succeeding Payment
Date.
INTEREST CALCULATION: The Class A-1F through A-7F Certificates are payable
(FIXED RATE monthly starting in September 1999 with fixed
CERTIFICATES) Pass-Through Rates calculated on a (30/360) basis. If
the Optional Call is not exercised by the Servicer, the
coupon on the Class A-5F and Class A-7F will increase
by 0.50%.
<PAGE>
AVAILABLE
FUNDSCAP: The Fixed Rate Mortgage Loan Group 1 Certificate
(FIXED RATE coupons may be subject to the Fixed Rate Mortgage Loan
CERTIFICATES) Group 1 Net Funds Cap Rate. The Fixed Rate Mortgage
Loan Group 1 Net Funds Cap Rate is a rate equal to the
weighted average of the Mortgage Interest Rates on the
Mortgage Loans in the Fixed Rate Mortgage Loan Group 1
less the sum of the Servicing Fee and the Certificate
Insurer Fee (together, the "Ongoing Fees").
The Fixed Rate Mortgage Loan Group 2 Certificate coupon
may be subject to the Fixed Rate Mortgage Loan Group 2
Net Funds Cap Rate. The Fixed Rate Mortgage Loan Group
2 Net Funds Cap Rate is a rate equal to the weighted
average of the Mortgage Interest Rates on the Mortgage
Loans in the Fixed Rate Mortgage Loan Group 2 less the
sum of the Servicing Fee and the Certificate Insurer
Fee (together, the "Ongoing Fees").
INTEREST CARRYOVER: The Fixed Rate Mortgage Loan Group 1 Interest Carryover
(FIXED RATE for any Payment Date and any Class of Fixed Rate
CERTIFICATES) Mortgage Loan Group 1 Certificates will equal (i) the
difference between (a) the amount of interest such
Class would be entitled to receive on such Payment Date
without regard to the Fixed Rate Mortgage Loan Group 1
Net Funds Cap Rate and (b) the amount of interest
actually distributed to such Class on such Payment
Date, plus (ii) the portion of any amount calculated
pursuant to clause (i) remaining unpaid from prior
Payment Dates (and interest accrued thereon at the
applicable Pass-Through rate).
The Fixed Rate Mortgage Loan Group 2 Interest Carryover
for any Payment Date and the Fixed Rate Mortgage Loan
Group 2 Certificates will equal (i) the differences
between (a) the amount of interest such Class would be
entitled to receive on such Payment Date without regard
to the Fixed Rate Mortgage Loan Group 2 Net Funds Cap
Rate and (b) the amount of interest actually
distributed to such Class on such Payment Date, plus
(ii) the portion of any amount calculated pursuant to
clause (i) remaining unpaid from prior Payment Dates
(and interest accrued thereon at the applicable
Pass-Through rate).
INTEREST CALCULATION: The Class A-1A Certificates are payable monthly
(ADJUSTABLE RATE starting in September 1999 and reset monthly on an
CERTIFICATES) actual/360 basis to One-Month LIBOR plus [____]%. If
the Optional Call is not exercised by the Servicer, the
margin on the Class A-1A Certificates will double.
AVAILABLE The Class A-1A Certificate coupon will be subject to a
FUNDS CAP: Class A-1A Net Funds Cap Rate equal to the weighted
(ADJUSTABLE RATE average of the Mortgage Interest Rates on the Mortgage
CERTIFICATES) Loans in the Adjustable Rate Mortgage Loan Group as of
the first day of the related Accrual Period less: (a)
an amount, expressed as an annual percentage rate
across the mortgage pool balance, equal to the sum of
the Servicing Fee and the Certificate Insurer Fee
(together, the "Ongoing Fees") with respect to the
first twelve Accrual Periods or (b) the sum of the
amount in (a) plus 0.50% per annum, with respect to
each subsequent Accrual Period.
INTEREST CARRYOVER: The Adjustable Rate Interest Carryover for any Payment
(ADJUSTABLE RATE Date shall equal (i) the difference between (a) the
CERTIFICATES) amount of interest the Class A-1A Certificates would be
entitled to receive on such Payment Date without regard
to the Class A-1A Net Funds Cap Rate and (b) the amount
of interest actually distributed to the Class A-1A
Certificates, plus (ii) the portion of any amount
calculated and unpaid from prior payment dates (and
interest accrued at the then applicable Class A-1A
Certificate rate).
OPTIONAL CALL: 10% optional clean-up call.
DENOMINATIONS: $1,000 minimum and integral multiples of $1 in excess
thereof.
TAX STATUS: REMIC
ERISA: ERISA eligible. Prospective investors that are pension
plans should consult their own counsel with respect to
an investment in the Offered Certificates.
<PAGE>
SMMEA: The Offered Certificates will not constitute "mortgage
related securities" for purposes of SMMEA.
CERTIFICATE
INSURER: Ambac Assurance Corporation ("Ambac"); Ambac's
financial strength is rated "AAA" by Standard & Poor's
Rating Service, "Aaa" by Moody's Investors Service and
"AAA" by Fitch IBCA, Inc.
SECURITIES
INSURANCE POLICY: The Securities Insurance Policy will provide 100%
coverage of timely interest and ultimate principal
payments due on the Certificates.
RATING AGENCIES: S&P and Moody's.
OVERCOLLATERALIZATION: Excess spread will be used to turbo the Class A
Certificates until the original targeted
overcollateralization percentage is reached. Beginning
in month 31, the targeted overcollateralization
percentage will be 2 times the original targeted
overcollateralization percentage multiplied by the
current unpaid principal balance of the mortgage loans.
INITIAL MORTGAGE
LOAN GROUPS: The statistical information presented in this Term
Sheet regarding the Initial Mortgage Loans is based on
balances as of July 16, 1999. The Initial Mortgage
Loans consist of conventional, fully amortizing, first
and second lien, fixed and adjustable rate closed end,
one- to four-family residential mortgage loans. The
total Initial Mortgage Loans will consist of 10,692
loans, with a principal balance of approximately
$763,903,656. The Initial Mortgage Loans have been
divided into three separate mortgage loan groups. The
Fixed Rate Mortgage Loan Group 1 will consist of 9,808
fixed rate, agency conforming balance mortgage loans
with a principal balance of approximately $661,344,485.
The Fixed Rate Mortgage Loan Group 2 will consist of
591 fixed rate mortgage loans with a principal balance
of approximately $74,391,791. The Adjustable Rate
Mortgage Loan Group will consist of 293 adjustable rate
mortgage loans with a principal balance of
approximately $28,167,380.
FINAL MORTGAGE
LOAN GROUPS: Final Mortgage Loan Groups will be based on balances as
of August 1, 1999. The collateral compositions of the
pools are expected to be similar to the Initial
Mortgage Loan Groups.
PREFUNDING: At the closing, the Depositors may deposit funds into a
Prefunding Account to be used to purchase additional
Fixed Rate and Adjustable Rate Mortgage Loans during a
set period. The Prefunding Account is not expected to
exceed 25% of the aggregate initial Principal Balance
of Certificates. Any amounts remaining in the account
at the end of the period will be distributed as a
prepayment of principal to the holders of the
Certificates in the applicable Group.
CONTACT: Banc of America Securities LLC
Mortgage Syndicate
Chris Hentemann (email: [email protected])
Bill Hale (email: [email protected])
Mark Ryan (email: [email protected])
Alex Cha (email: [email protected])
(704) 386-7744
(704) 335-5904 (Fax)
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 1
SUMMARY
<TABLE>
<CAPTION>
TOTAL MINIMUM MAXIMUM
----- ------- -------
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $661,344,485.15
Number of Loans 9,808
Average Original Loan Balance $67,465.50 $6,550.00 $299,250.00
Average Current Loan Balance $67,429.09 $1,108.67 $299,011.87
Weighted Average Combined Current LTV 79.85% 1.42% 100.00%
Weighted Average Gross Coupon 10.28% 5.05% 18.95%
Weighted Average Remaining Term to Maturity (months) 217.74 59 360
Weighted Average Original Term (months) 218.17 60 360
Weighted Average Credit Score* 624
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</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PERCENT OF
CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Level Pay Mortgage Loans 53.76%
Balloon Mortgage Loans 46.24%
Lien Position First 91.99%
Second 8.01%
Property Type Single Family 84.56%
2-4 Family 11.82%
Condominium 1.28%
Townhouse 1.10%
Manufactured 0.64%
Others 0.60%
Occupancy Status Owner Occupied 92.09%
Non-owner Occupied 2.20%
Second Home 5.71%
Geographic Concentration New York 12.37%
Ohio 9.43%
Florida 8.43%
Pennsylvania 7.38%
Illinois 5.24%
Other 57.15%
Credit Grade A 52.38%
B 32.02%
C 15.55%
D 0.05%
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 93.81% of the Fixed Rate Mortgage Loan Group 1 have Credit Scores.
<PAGE>
DESCRIPTION OF THE COLLATERAL
Fixed Rate Mortgage Loan Group 1
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>
$.01 to 20,000.00 594 $ 9,446,317.13 1.43%
20,000.01 to 30,000.00 1,160 30,299,169.94 4.58
30,000.01 to 40,000.00 1,164 41,092,083.03 6.21
40,000.01 to 50,000.00 1,280 57,813,082.04 8.74
50,000.01 to 60,000.00 1,124 62,043,647.42 9.38
60,000.01 to 70,000.00 864 56,205,748.93 8.50
70,000.01 to 80,000.00 731 54,757,723.43 8.28
80,000.01 to 90,000.00 548 46,744,657.92 7.07
90,000.01 to 100,000.00 469 44,780,834.14 6.77
100,000.01 to 110,000.00 409 42,913,088.97 6.49
110,000.01 to 120,000.00 346 39,933,140.72 6.04
120,000.01 to 130,000.00 248 31,066,951.29 4.70
130,000.01 to 140,000.00 197 26,580,295.44 4.02
140,000.01 to 150,000.00 170 24,773,374.77 3.75
150,000.01 to 160,000.00 116 18,050,229.94 2.73
160,000.01 to 170,000.00 71 11,720,822.82 1.77
170,000.01 to 180,000.00 91 15,926,253.61 2.41
180,000.01 to 190,000.00 47 8,704,968.61 1.32
190,000.01 to 200,000.00 76 14,901,116.30 2.25
200,000.01 to 225,000.00 52 11,136,136.36 1.68
225,000.01 to 250,000.00 38 8,926,384.40 1.35
250,000.01 to 275,000.00 9 2,371,705.41 0.36
275,000.01 to 300,000.00 4 1,156,752.53 0.17
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 1
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>
New York 799 $ 81,807,889.48 12.37%
Ohio 947 62,357,284.42 9.43
Florida 968 55,726,888.69 8.43
Pennsylvania 914 48,831,993.99 7.38
Illinois 486 34,635,251.63 5.24
Connecticut 356 31,875,661.47 4.82
Massachusetts 353 28,063,711.84 4.24
Michigan 428 28,052,156.45 4.24
Arizona 239 20,644,589.94 3.12
Indiana 390 19,511,872.48 2.95
Maryland 295 18,728,615.85 2.83
Rhode Island 233 18,603,090.00 2.81
California 301 17,801,849.37 2.69
Georgia 266 16,129,093.37 2.44
Tennessee 241 14,714,761.25 2.22
South Carolina 233 14,235,556.88 2.15
North Carolina 206 14,207,137.83 2.15
Louisiana 278 13,679,704.29 2.07
Others* 1,875 121,737,375.92 18.41
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
* State or Territory Concentration less than or equal to 2.0%
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 1
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>
0.00% to 5.00% 1 $ 1,108.67 0.00%
5.01% to 10.00% 1 24,940.40 0.00
10.01% to 15.00% 5 197,934.28 0.03
15.01% to 20.00% 10 348,291.87 0.05
20.01% to 25.00% 29 1,117,723.54 0.17
25.01% to 30.00% 42 1,514,071.43 0.23
30.01% to 35.00% 54 1,754,518.43 0.27
35.01% to 40.00% 73 2,804,883.74 0.42
40.01% to 45.00% 103 4,313,559.95 0.65
45.01% to 50.00% 149 5,962,132.66 0.90
50.01% to 55.00% 159 8,606,517.12 1.30
55.01% to 60.00% 243 13,047,797.05 1.97
60.01% to 65.00% 346 20,104,115.57 3.04
65.01% to 70.00% 553 35,838,116.83 5.42
70.01% to 75.00% 1,004 68,820,718.67 10.41
75.01% to 80.00% 2,366 168,654,847.01 25.50
80.01% to 85.00% 2,464 178,478,916.38 26.99
85.01% to 90.00% 1,370 104,649,441.37 15.82
90.01% to 95.00% 527 33,501,314.58 5.07
95.01% to 100.00% 309 11,603,535.60 1.75
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
CREDIT SCORE
<TABLE>
<CAPTION>
PERCENT OF FIXED RATE
RANGE OF NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
CREDIT SCORES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
(less than) 500 4 $ 267,570.41 0.04%
500 to 524 204 11,698,137.14 1.77
525 to 549 658 36,570,558.87 5.53
550 to 574 1,193 76,840,664.61 11.62
575 to 599 1,411 92,160,282.10 13.94
600 to 624 1,537 104,443,394.79 15.79
625 to 649 1,384 100,025,243.19 15.12
650 to 674 1,134 81,607,685.35 12.34
Greater than 675 1,561 116,772,857.84 17.66
Unknown 722 40,958,090.85 6.19
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 1
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>
Less than 6.000% 12 $ 1,314,579.62 0.20%
6.001% to 6.250% 9 926,267.68 0.14
6.251% to 6.500% 23 1,721,292.22 0.26
6.501% to 6.750% 19 1,849,332.39 0.28
6.751% to 7.000% 49 4,313,500.11 0.65
7.001% to 7.250% 38 3,715,580.88 0.56
7.251% to 7.500% 102 9,404,160.97 1.42
7.501% to 7.750% 95 9,633,673.59 1.46
7.751% to 8.000% 151 15,120,271.77 2.29
8.001% to 8.250% 139 11,736,064.33 1.77
8.251% to 8.500% 271 22,227,210.58 3.36
8.501% to 8.750% 292 26,598,179.54 4.02
8.751% to 9.000% 355 31,583,906.87 4.78
9.001% to 9.250% 319 25,548,794.88 3.86
9.251% to 9.500% 430 35,026,554.88 5.30
9.501% to 9.750% 570 44,397,541.97 6.71
9.751% to 10.000% 657 52,940,179.15 8.00
10.001% to 10.250% 515 36,333,191.83 5.49
10.251% to 10.500% 617 45,486,712.65 6.88
10.501% to 10.750% 717 48,191,037.07 7.29
10.751% to 11.000% 678 47,434,386.96 7.17
11.001% to 11.250% 526 32,086,024.11 4.85
11.251% to 11.500% 494 29,843,386.01 4.51
11.501% to 11.750% 449 25,612,649.12 3.87
11.751% to 12.000% 440 22,337,082.25 3.38
12.001% to 12.250% 279 13,500,843.10 2.04
12.251% to 12.500% 274 12,013,017.17 1.82
12.501% to 12.750% 249 11,434,058.39 1.73
12.751% to 13.000% 242 9,518,851.52 1.44
13.001% to 13.250% 135 5,036,627.63 0.76
13.251% to 13.500% 136 5,043,417.90 0.76
13.501% to 13.750% 118 4,489,390.33 0.68
13.751% to 14.000% 100 3,195,162.41 0.48
14.001% to 14.250% 40 1,595,811.26 0.24
14.251% to 14.500% 55 1,806,472.17 0.27
14.501% to 14.750% 25 998,033.65 0.15
14.751% to 15.000% 38 1,035,238.91 0.16
15.001% to 15.250% 22 803,326.46 0.12
15.251% to 15.500% 16 699,225.26 0.11
15.501% to 15.750% 25 1,243,560.30 0.19
15.751% to 16.000% 21 831,543.31 0.13
Greater than 16.000% 66 2,718,343.95 0.41
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 1
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>
49 to 60 21 $ 556,408.51 0.08%
73 to 84 223 15,890,710.01 2.40
85 to 96 1 47,000.00 0.01
109 to 120 2,991 241,458,968.83 36.51
133 to 144 3 124,264.46 0.02
145 to 156 2 47,650.00 0.01
157 to 168 1 31,500.00 0.00
169 to 180 3,056 145,777,267.12 22.04
193 to 204 1 54,160.81 0.01
229 to 240 733 41,043,074.30 6.21
289 to 300 14 1,129,070.70 0.17
349 to 360 2,762 215,184,410.41 32.54
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</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>
0 to 12 9,806 $ 661,312,959.55 100.00%
13 to 24 1 25,216.19 0.00
73 to 84 1 6,309.41 0.00
----- --------------- ------
TOTAL 9,808 $661,344,485.15 100.00%
===== =============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
SUMMARY
<TABLE>
<CAPTION>
TOTAL MINIMUM MAXIMUM
----- ------- -------
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $74,391,790.80
Number of Loans 591
Average Original Loan Balance $126,079.15 $15,000.00 $395,000.00
Average Current Loan Balance $125,874.43 $14,856.54 $395,000.00
Weighted Average Combined Current LTV 82.44% 41.36% 100.00%
Weighted Average Gross Coupon 10.11% 5.49% 15.90%
Weighted Average Remaining Term to Maturity (months) 206.46 46 360
Weighted Average Original Term (months) 208.15 48 360
Weighted Average Credit Score* 646
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PERCENT OF
CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Level Pay Mortgage Loans 52.92%
Balloon Mortgage Loans 47.08%
Lien Position First 65.72%
Second 34.28%
Property Type Single Family 96.12%
2-4 Family 2.73%
Condominium 1.15%
Occupancy Status Owner Occupied 97.38%
Non-owner Occupied 0.82%
Second Home 1.79%
Geographic Concentration New York 23.39%
California 18.24%
Florida 8.34%
Arizona 5.24%
Connecticut 4.98%
Other 39.82%
Credit Grade A 80.93%
B 15.80%
C 3.27%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 98.53% of the Fixed Rate Mortgage Loan Group 2 have Credit Scores.
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
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>
$.01 to 20,000.00 10 $ 177,473.32 0.24%
20,000.01 to 30,000.00 37 981,119.69 1.32
30,000.01 to 40,000.00 64 2,266,802.33 3.05
40,000.01 to 50,000.00 96 4,422,667.30 5.95
50,000.01 to 60,000.00 53 2,911,535.78 3.91
60,000.01 to 70,000.00 40 2,582,163.90 3.47
70,000.01 to 80,000.00 28 2,123,194.97 2.85
80,000.01 to 90,000.00 31 2,641,613.84 3.55
90,000.01 to 100,000.00 14 1,316,499.74 1.77
100,000.01 to 110,000.00 16 1,683,262.27 2.26
110,000.01 to 120,000.00 5 585,363.91 0.79
120,000.01 to 130,000.00 7 875,713.71 1.18
130,000.01 to 140,000.00 4 540,154.80 0.73
140,000.01 to 150,000.00 7 1,026,537.86 1.38
150,000.01 to 160,000.00 1 159,669.66 0.21
160,000.01 to 170,000.00 3 500,796.63 0.67
170,000.01 to 180,000.00 1 178,937.23 0.24
180,000.01 to 190,000.00 1 184,154.52 0.25
190,000.01 to 200,000.00 1 199,822.73 0.27
200,000.01 to 225,000.00 1 214,000.00 0.29
225,000.01 to 250,000.00 27 6,624,020.29 8.90
250,000.01 to 275,000.00 49 12,854,507.05 17.28
275,000.01 to 300,000.00 47 13,543,604.73 18.21
300,000.01 to 325,000.00 23 7,184,022.83 9.66
325,000.01 to 350,000.00 23 7,864,773.86 10.57
350,000.01 to 375,000.00 1 354,377.85 0.48
375,000.01 to 400,000.00 1 395,000.00 0.53
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
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>
New York 112 $ 17,396,625.33 23.39%
California 178 13,566,622.47 18.24
Florida 39 6,203,757.93 8.34
Arizona 24 3,897,895.80 5.24
Connecticut 25 3,705,003.55 4.98
Massachusetts 29 3,415,773.95 4.59
Illinois 14 2,567,753.61 3.45
New Jersey 15 2,405,099.34 3.23
Virginia 15 2,204,226.16 2.96
Maryland 25 1,912,890.89 2.57
Minnesota 8 1,763,899.10 2.37
Ohio 7 1,738,730.52 2.34
Washington 18 1,730,154.29 2.33
Pennsylvania 9 1,534,302.52 2.06
Rhode Island 8 1,521,926.01 2.05
Others* 65 8,827,129.33 11.87
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</TABLE>
* State or Territory Concentration less than or equal to 2.0%
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>
40.01% to 45.00% 3 $ 819,768.46 1.10%
45.01% to 50.00% 1 137,000.00 0.18
50.01% to 55.00% 5 1,023,235.65 1.38
55.01% to 60.00% 9 1,331,819.83 1.79
60.01% to 65.00% 11 1,516,913.89 2.04
65.01% to 70.00% 18 2,510,899.04 3.38
70.01% to 75.00% 41 5,911,227.96 7.95
75.01% to 80.00% 120 16,733,103.69 22.49
80.01% to 85.00% 116 16,022,163.71 21.54
85.01% to 90.00% 151 19,257,635.81 25.89
90.01% to 95.00% 80 6,787,980.08 9.12
95.01% to 100.00% 36 2,340,042.68 3.15
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
CREDIT SCORE
<TABLE>
<CAPTION>
PERCENT OF FIXED RATE
RANGE OF NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
CREDIT SCORES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
500 to 524 4 $ 229,644.58 0.31%
525 to 549 17 1,034,843.01 1.39
550 to 574 52 3,822,907.36 5.14
575 to 599 66 8,751,151.90 11.76
600 to 624 77 11,323,776.01 15.22
625 to 649 90 14,173,816.98 19.05
650 to 674 112 12,987,651.68 17.46
Greater than 675 161 20,975,072.13 28.20
Unknown 12 1,092,927.15 1.47
TOTAL 591 $74,391,790.80 100.00%
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
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>
Less than 6.000% 1 $ 247,728.04 0.33%
6.501% to 6.750% 1 252,000.00 0.34
7.001% to 7.250% 3 843,775.16 1.13
7.251% to 7.500% 2 551,151.96 0.74
7.501% to 7.750% 3 905,468.34 1.22
7.751% to 8.000% 8 2,069,714.28 2.78
8.001% to 8.250% 5 1,445,669.52 1.94
8.251% to 8.500% 12 2,999,610.54 4.03
8.501% to 8.750% 15 3,784,224.54 5.09
8.751% to 9.000% 12 2,421,200.22 3.25
9.001% to 9.250% 15 2,904,955.92 3.90
9.251% to 9.500% 21 4,295,210.33 5.77
9.501% to 9.750% 34 6,003,009.23 8.07
9.751% to 10.000% 40 6,779,394.12 9.11
10.001% to 10.250% 29 4,674,365.78 6.28
10.251% to 10.500% 45 5,419,451.83 7.29
10.501% to 10.750% 63 7,291,657.42 9.80
10.751% to 11.000% 46 4,968,281.47 6.68
11.001% to 11.250% 38 2,996,348.37 4.03
11.251% to 11.500% 34 2,503,442.98 3.37
11.501% to 11.750% 43 3,420,469.13 4.60
11.751% to 12.000% 38 3,382,813.48 4.55
12.001% to 12.250% 16 1,198,886.02 1.61
12.251% to 12.500% 19 889,335.12 1.20
12.501% to 12.750% 15 691,567.78 0.93
12.751% to 13.000% 10 367,905.20 0.49
13.001% to 13.250% 7 489,321.11 0.66
13.251% to 13.500% 4 137,235.28 0.18
13.501% to 13.750% 5 233,190.17 0.31
13.751% to 14.000% 3 100,740.65 0.14
14.751% to 15.000% 2 39,639.73 0.05
15.251% to 15.500% 1 21,076.55 0.03
15.751% to 16.000% 1 62,950.53 0.08
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
FIXED RATE MORTGAGE LOAN GROUP 2
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 $ 38,203.17 0.05%
73 to 84 11 2,524,613.21 3.39
109 to 120 118 25,471,173.29 34.24
169 to 180 275 19,555,969.52 26.29
229 to 240 104 7,479,682.89 10.05
289 to 300 13 947,106.15 1.27
349 to 360 69 18,375,042.57 24.70
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</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>
0 to 12 591 $74,391,790.80 100.00%
--- -------------- ------
TOTAL 591 $74,391,790.80 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
TOTAL MINIMUM MAXIMUM
----- ------- -------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $28,167,379.99
Number of Loans 293
Average Original Loan Balance $96,153.38 $17,000.00 $310,250.00
Average Current Loan Balance $96,134.40 $16,962.61 $310,039.71
Weighted Average Combined LTV 81.89% 23.98% 95.09%
Weighted Average Gross Coupon 8.89% 6.50% 14.70%
Weighted Average Remaining Term to Maturity (months) 176.79 83 360
Weighted Average Original Term (months) 177.07 84 360
Weighted Average Gross Margin 5.73% 3.28% 10.30%
Weighted Average Maximum Interest Rate 18.95% 15.25% 26.00%
Weighted Average Minimum Interest Rate 8.89% 6.50% 14.70%
Weighted Average Periodic Cap 1.00% 1.00% 1.00%
Weighted Average First Adjustment Cap 1.00% 1.00% 1.00%
Weighted Average Credit Score* 610
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
PERCENT OF
CUT-OFF DATE
RANGE PRINCIPAL BALANCE
----- -----------------
<S> <C> <C>
Level Pay Mortgage Loans 24.74%
Balloon Mortgage Loans 75.26%
Product Type 6 Month LIBOR 100.00%
Lien Position First 100.00%
Property Type Single Family 92.73%
2-4 Family 5.23%
Condominium 0.84%
Townhouse 1.19%
Occupancy Status Owner Occupied 95.82%
Non-owner Occupied 1.84%
Second Home 2.34%
Geographic Concentration Ohio 16.71%
Michigan 12.43%
Illinois 12.78%
Georgia 5.74%
Connecticut 5.20%
Other 47.14%
Credit Grade A 43.59%
B 28.03%
C 28.37%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* 88.76% of the Adjustable Rate Mortgage Loan Group have Credit Scores.
<PAGE>
DESCRIPTION OF THE COLLATERAL
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>
$.01 to 20,000.00 2 $ 36,567.61 0.13%
20,000.01 to 30,000.00 4 103,235.33 0.37
30,000.01 to 40,000.00 18 638,313.33 2.27
40,000.01 to 50,000.00 26 1,172,267.12 4.16
50,000.01 to 60,000.00 27 1,491,823.70 5.30
60,000.01 to 70,000.00 25 1,624,257.23 5.77
70,000.01 to 80,000.00 34 2,548,659.08 9.05
80,000.01 to 90,000.00 25 2,138,562.08 7.59
90,000.01 to 100,000.00 20 1,902,717.48 6.76
100,000.01 to 110,000.00 21 2,194,548.83 7.79
110,000.01 to 120,000.00 22 2,558,781.49 9.08
120,000.01 to 130,000.00 12 1,510,998.88 5.36
130,000.01 to 140,000.00 6 805,374.62 2.86
140,000.01 to 150,000.00 13 1,904,485.46 6.76
150,000.01 to 160,000.00 4 623,000.00 2.21
160,000.01 to 170,000.00 5 831,810.71 2.95
170,000.01 to 180,000.00 8 1,400,566.41 4.97
180,000.01 to 190,000.00 4 739,597.18 2.63
190,000.01 to 200,000.00 4 792,130.08 2.81
200,000.01 to 225,000.00 5 1,046,476.42 3.72
225,000.01 to 250,000.00 3 725,900.00 2.58
250,000.01 to 275,000.00 3 773,241.78 2.75
275,000.01 to 300,000.00 1 294,025.46 1.04
300,000.01 to 325,000.00 1 310,039.71 1.10
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
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>
Ohio 60 $ 4,706,940.78 16.71%
Illinois 33 3,600,131.59 12.78
Michigan 31 3,501,213.88 12.43
Georgia 17 1,615,642.69 5.74
Connecticut 11 1,464,702.28 5.20
North Carolina 13 1,280,315.91 4.55
California 6 1,068,231.46 3.79
Florida 12 1,033,596.35 3.67
Maryland 10 1,019,593.67 3.62
Missouri 15 1,011,551.05 3.59
South Carolina 10 889,540.06 3.16
Indiana 10 873,408.04 3.10
Kentucky 9 794,295.28 2.82
Louisiana 8 759,313.42 2.70
Others* 48 4,548,903.53 16.15
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
* State or Territory Concentration less than or equal to 2.0%
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 RATIOS MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
20.01% to 25.00% 1 $ 59,464.65 0.21%
30.01% to 35.00% 1 23,000.00 0.08
35.01% to 40.00% 1 50,000.00 0.18
40.01% to 45.00% 1 37,800.00 0.13
45.01% to 50.00% 1 54,971.49 0.20
50.01% to 55.00% 2 185,000.00 0.66
55.01% to 60.00% 4 405,828.91 1.44
60.01% to 65.00% 9 841,453.07 2.99
65.01% to 70.00% 7 454,196.91 1.61
70.01% to 75.00% 32 2,872,354.51 10.20
75.01% to 80.00% 86 7,642,953.80 27.13
80.01% to 85.00% 75 7,226,705.60 25.66
85.01% to 90.00% 53 5,833,890.71 20.71
90.01% to 95.00% 18 2,291,629.34 8.14
95.01% to 100.00% 2 188,131.00 0.67
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
CREDIT SCORE
<TABLE>
<CAPTION>
PERCENT OF ADJUSTABLE RATE
RANGE OF NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
CREDIT SCORES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
500 to 524 13 $ 930,864.93 3.30%
525 to 549 45 3,635,901.97 12.91
550 to 574 42 4,107,656.21 14.58
575 to 599 40 3,437,229.40 12.20
600 to 624 22 2,359,630.11 8.38
625 to 649 33 3,491,582.15 12.40
650 to 674 24 3,199,314.34 11.36
Greater then 675 32 3,838,812.77 13.63
Unknown 42 3,166,388.11 11.24
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
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>
6.251% to 6.500% 1 $ 144,818.97 0.51%
6.501% to 6.750% 1 144,000.00 0.51
6.751% to 7.000% 5 648,475.00 2.30
7.001% to 7.250% 5 595,382.00 2.11
7.251% to 7.500% 11 1,198,822.95 4.26
7.501% to 7.750% 23 2,298,475.76 8.16
7.751% to 8.000% 22 2,598,010.30 9.22
8.001% to 8.250% 28 3,401,237.07 12.08
8.251% to 8.500% 28 2,870,890.15 10.19
8.501% to 8.750% 28 2,688,048.31 9.54
8.751% to 9.000% 17 1,738,800.47 6.17
9.001% to 9.250% 13 1,118,655.35 3.97
9.251% to 9.500% 23 2,281,976.35 8.10
9.501% to 9.750% 16 1,371,613.91 4.87
9.751% to 10.000% 9 491,400.84 1.74
10.001% to 10.250% 5 366,918.67 1.30
10.251% to 10.500% 13 1,028,667.53 3.65
10.501% to 10.750% 12 1,137,540.63 4.04
10.751% to 11.000% 5 378,172.61 1.34
11.001% to 11.250% 3 149,422.23 0.53
11.251% to 11.500% 2 114,180.40 0.41
11.501% to 11.750% 2 88,376.00 0.31
11.751% to 12.000% 1 119,699.00 0.42
12.251% to 12.500% 2 160,595.00 0.57
12.501% to 12.750% 1 41,600.00 0.15
12.751% to 13.000% 2 213,600.00 0.76
13.001% to 13.250% 1 76,750.00 0.27
13.251% to 13.500% 6 297,125.00 1.05
13.501% to 13.750% 1 37,600.00 0.13
13.751% to 14.000% 1 79,200.00 0.28
14.001% to 14.250% 3 146,392.07 0.52
14.501% to 14.750% 3 140,933.42 0.50
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF MAXIMUM MORTGAGE INTEREST RATES
<TABLE>
<CAPTION>
RANGE OF MAXIMUM PERCENT OF ADJUSTABLE RATE
MORTGAGE NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
15.001% to 15.500% 2 $ 185,079.23 0.66%
16.001% to 16.500% 4 553,448.48 1.96
16.501% to 17.000% 15 1,721,367.04 6.11
17.001% to 17.500% 15 2,145,085.42 7.62
17.501% to 18.000% 30 3,724,024.38 13.22
18.001% to 18.500% 42 3,929,569.91 13.95
18.501% to 19.000% 49 4,702,145.34 16.69
19.001% to 19.500% 21 1,761,381.00 6.25
19.501% to 20.000% 30 3,009,283.47 10.68
20.001% to 20.500% 19 1,707,863.67 6.06
20.501% to 21.000% 26 1,988,018.99 7.06
21.001% to 21.500% 18 1,491,901.40 5.30
21.501% to 22.000% 10 550,705.49 1.96
22.001% to 22.500% 3 172,400.00 0.61
22.501% to 23.000% 4 233,667.23 0.83
23.001% to 23.500% 1 32,000.00 0.11
24.001% to 24.500% 1 37,584.10 0.13
25.001% to 25.500% 1 100,954.84 0.36
25.501% to 26.000% 2 120,900.00 0.43
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF MINIMUM MORTGAGE INTEREST RATES
<TABLE>
<CAPTION>
RANGE OF MINIMUM PERCENT OF ADJUSTABLE RATE
MORTGAGE NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
INTEREST RATES MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Less than 6.501% 1 $ 144,818.97 0.51%
6.501% to 6.750% 1 144,000.00 0.51
6.751% to 7.000% 5 648,475.00 2.30
7.001% to 7.250% 5 595,382.00 2.11
7.251% to 7.500% 11 1,198,822.95 4.26
7.501% to 7.750% 23 2,298,475.76 8.16
7.751% to 8.000% 22 2,598,010.30 9.22
8.001% to 8.250% 28 3,401,237.07 12.08
8.251% to 8.500% 28 2,870,890.15 10.19
8.501% to 8.750% 28 2,688,048.31 9.54
8.751% to 9.000% 17 1,738,800.47 6.17
9.001% to 9.250% 13 1,118,655.35 3.97
9.251% to 9.500% 23 2,281,976.35 8.10
9.501% to 9.750% 16 1,371,613.91 4.87
9.751% to 10.000% 9 491,400.84 1.74
10.001% to 10.250% 5 366,918.67 1.30
10.251% to 10.500% 13 1,028,667.53 3.65
10.501% to 10.750% 12 1,137,540.63 4.04
10.751% to 11.000% 5 378,172.61 1.34
11.001% to 11.250% 3 149,422.23 0.53
11.251% to 11.500% 2 114,180.40 0.41
11.501% to 11.750% 2 88,376.00 0.31
11.751% to 12.000% 1 119,699.00 0.42
12.251% to 12.500% 2 160,595.00 0.57
12.501% to 12.750% 1 41,600.00 0.15
12.751% to 13.000% 2 213,600.00 0.76
13.001% to 13.250% 1 76,750.00 0.27
13.251% to 13.500% 6 297,125.00 1.05
13.501% to 13.750% 1 37,600.00 0.13
13.751% to 14.000% 1 79,200.00 0.28
14.001% to 14.250% 3 146,392.07 0.52
14.501% to 14.750% 3 140,933.42 0.50
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
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 24 $ 2,287,733.34 8.12%
109 to 120 178 17,730,733.29 62.95
169 to 180 17 1,322,465.03 4.70
229 to 240 4 231,818.11 0.82
349 to 360 70 6,594,630.22 23.41
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
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>
0 TO 12 293 $28,167,379.99 100.00%
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
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>
3.251% to 3.500% 1 $ 149,000.00 0.53%
3.501% to 3.750% 3 391,862.76 1.39
3.751% to 4.000% 9 853,388.20 3.03
4.001% to 4.250% 10 1,355,220.14 4.81
4.251% to 4.500% 15 2,090,392.36 7.42
4.501% to 4.750% 17 2,224,454.15 7.90
4.751% to 5.000% 20 2,103,406.72 7.47
5.001% to 5.250% 23 2,159,730.72 7.67
5.251% to 5.500% 40 3,737,641.70 13.27
5.501% to 5.750% 25 2,721,045.95 9.66
5.751% to 6.000% 18 1,709,040.06 6.07
6.001% to 6.250% 14 1,091,454.04 3.87
6.251% to 6.500% 14 1,226,337.30 4.35
6.501% to 6.750% 15 1,472,025.56 5.23
6.751% to 7.000% 4 199,821.00 0.71
7.001% to 7.250% 3 197,416.50 0.70
7.251% to 7.500% 12 1,093,840.14 3.88
7.501% to 7.750% 19 1,670,340.63 5.93
7.751% to 8.000% 3 155,095.00 0.55
8.001% to 8.250% 5 194,505.40 0.69
8.251% to 8.500% 2 211,200.00 0.75
8.501% to 8.750% 1 76,750.00 0.27
8.751% to 9.000% 8 405,431.33 1.44
9.251% to 9.500% 3 217,754.84 0.77
9.751% to 10.000% 5 293,292.07 1.04
10.001% to 10.250% 3 95,813.42 0.34
10.251% to 10.500% 1 71,120.00 0.25
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NEXT MORTGAGE INTEREST RATE CHANGE
<TABLE>
<CAPTION>
MONTH OF PERCENT OF ADJUSTABLE RATE
NEXT MORTGAGE INTEREST NUMBER OF AGGREGATE CUT-OFF DATE GROUP BY CUT-OFF DATE
RATE CHANGE MORTGAGE LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------- -------------- ----------------- -----------------
<S> <C> <C> <C>
September 1999 1 $ 117,933.76 0.42%
December 1999 80 8,050,082.80 28.58
January 2000 168 15,762,704.33 55.96
February 2000 43 4,199,075.00 14.91
June 2000 1 37,584.10 0.13
--- -------------- ------
TOTAL 293 $28,167,379.99 100.00%
=== ============== ======
</TABLE>
<PAGE>
BOND SUMMARY
<TABLE>
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.2661 6.0832 6.0030 5.9340 5.8735 5.8196 5.7267
Average Life (yrs.) 8.16 1.82 1.35 1.11 0.96 0.85 0.72
Modified Duration (yrs.) 5.96 1.65 1.25 1.04 0.90 0.81 0.68
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 4/25/10 5/25/03 3/25/02 9/25/01 4/25/01 2/25/01 10/25/00
Payment Windows (mos.) 128 45 31 25 20 18 14
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.6252 6.5719 6.5276 6.4855 6.4464 6.4089 6.3381
Average Life (yrs.) 11.59 4.85 3.28 2.51 2.06 1.76 1.38
Modified Duration (yrs.) 7.86 4.02 2.86 2.24 1.87 1.61 1.28
First Principal Payment Date 4/25/10 5/25/03 3/25/02 9/25/01 4/25/01 2/25/01 10/25/00
Last Principal Payment Date 10/25/13 10/25/05 9/25/03 8/25/02 1/25/02 9/25/01 3/25/01
Payment Windows (mos.) 43 30 19 12 10 8 6
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.7297 6.7047 6.6754 6.6417 6.6100 6.5783 6.5177
Average Life (yrs.) 19.79 9.20 5.78 4.03 3.15 2.58 1.92
Modified Duration (yrs.) 10.58 6.63 4.61 3.42 2.75 2.30 1.75
First Principal Payment Date 10/25/13 10/25/05 9/25/03 8/25/02 1/25/02 9/25/01 3/25/01
Last Principal Payment Date 1/25/25 4/25/10 12/25/08 1/25/05 9/25/03 11/25/02 12/25/01
Payment Windows (mos.) 136 55 64 30 21 15 10
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.1247 7.1063 7.0997 7.0828 7.0489 7.0207 6.9612
Average Life (yrs.) 27.30 12.58 10.60 7.79 4.98 3.85 2.61
Modified Duration (yrs.) 11.77 8.05 7.24 5.74 4.06 3.26 2.31
First Principal Payment Date 1/25/25 4/25/10 12/25/08 1/25/05 9/25/03 11/25/02 12/25/01
Last Principal Payment Date 7/25/28 1/25/16 10/25/11 4/25/10 4/25/06 4/25/04 8/25/02
Payment Windows (mos.) 43 70 35 64 32 18 9
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.4864 7.6037 7.5451 7.5536 7.5700 7.4329 7.3325
Average Life (yrs.) 29.42 19.89 14.74 11.77 10.02 5.62 3.17
Modified Duration (yrs.) 11.66 10.05 8.66 7.59 6.81 4.41 2.73
First Principal Payment Date 7/25/28 1/25/16 10/25/11 4/25/10 4/25/06 4/25/04 8/25/02
Last Principal Payment Date 7/25/29 3/25/25 4/25/19 12/25/14 2/25/12 4/25/10 1/25/03
Payment Windows (mos.) 13 111 91 57 71 73 6
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.0263 7.0111 7.0053 7.0008 6.9970 6.9935 6.9703
Average Life (yrs.) 9.98 7.64 6.99 6.56 6.23 5.98 4.60
Modified Duration (yrs.) 6.94 5.66 5.29 5.03 4.83 4.66 3.78
First Principal Payment Date 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02
Last Principal Payment Date 4/25/10 4/25/10 4/25/10 4/25/10 4/25/10 4/25/10 1/25/08
Payment Windows (mos.) 92 92 92 92 92 92 65
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.1740 7.1378 7.1009 7.0797 7.0535 7.0229 6.9533
Average Life (yrs.) 12.35 5.69 4.31 3.41 2.80 2.35 1.74
Modified Duration (yrs.) 7.35 4.13 3.31 2.74 2.32 1.99 1.54
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 4/25/29 12/25/23 5/25/18 5/25/14 10/25/11 4/25/10 12/25/07
Payment Windows (mos.) 356 292 225 177 146 128 100
<CAPTION>
A-1A (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% CPR 12.0% CPR 18.0% CPR 24.0% CPR 30.0% CPR 33.0% CPR 48.0% CPR
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 5.6370 5.6454 5.6413 5.6477 5.6536 5.6606 5.6600
Average Life (yrs.) 11.05 5.00 3.74 2.92 2.35 2.12 1.31
Modified Duration (yrs.) 7.46 3.92 3.06 2.46 2.03 1.85 1.20
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 12/25/28 12/25/23 10/25/17 4/25/13 5/25/10 8/25/09 9/25/07
Payment Windows (mos.) 352 292 218 164 129 120 97
</TABLE>
<PAGE>
BOND SUMMARY
<TABLE>
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.2661 6.0832 6.0030 5.9340 5.8735 5.8196 5.7267
Average Life (yrs.) 8.16 1.82 1.35 1.11 0.96 0.85 0.72
Modified Duration (yrs.) 5.96 1.65 1.25 1.04 0.90 0.81 0.68
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 4/25/10 5/25/03 3/25/02 9/25/01 4/25/01 2/25/01 10/25/00
Payment Windows (mos.) 128 45 31 25 20 18 14
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.6252 6.5719 6.5276 6.4855 6.4464 6.4089 6.3381
Average Life (yrs.) 11.59 4.85 3.28 2.51 2.06 1.76 1.38
Modified Duration (yrs.) 7.86 4.02 2.86 2.24 1.87 1.61 1.28
First Principal Payment Date 4/25/10 5/25/03 3/25/02 9/25/01 4/25/01 2/25/01 10/25/00
Last Principal Payment Date 10/25/13 10/25/05 9/25/03 8/25/02 1/25/02 9/25/01 3/25/01
Payment Windows (mos.) 43 30 19 12 10 8 6
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 6.7297 6.7047 6.6754 6.6417 6.6100 6.5783 6.5177
Average Life (yrs.) 19.79 9.20 5.78 4.03 3.15 2.58 1.92
Modified Duration (yrs.) 10.58 6.63 4.61 3.42 2.75 2.30 1.75
First Principal Payment Date 10/25/13 10/25/05 9/25/03 8/25/02 1/25/02 9/25/01 3/25/01
Last Principal Payment Date 1/25/25 4/25/10 12/25/08 1/25/05 9/25/03 11/25/02 12/25/01
Payment Windows (mos.) 136 55 64 30 21 15 10
<CAPTION>
A-4F (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.1242 7.1010 7.0992 7.0775 7.0489 7.0207 6.9612
Average Life (yrs.) 26.35 10.92 10.46 7.10 4.98 3.85 2.61
Modified Duration (yrs.) 11.63 7.39 7.18 5.39 4.06 3.26 2.31
First Principal Payment Date 1/25/25 4/25/10 12/25/08 1/25/05 9/25/03 11/25/02 12/25/01
Last Principal Payment Date 2/25/26 8/25/10 4/25/10 12/25/07 4/25/06 4/25/04 8/25/02
Payment Windows (mos.) 14 5 17 36 32 18 9
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.4690 7.4452 7.4438 7.4309 7.4160 7.3934 7.3325
Average Life (yrs.) 26.50 11.00 10.66 8.33 6.66 5.13 3.17
Modified Duration (yrs.) 11.28 7.29 7.15 6.02 5.09 4.13 2.73
First Principal Payment Date 2/25/26 8/25/10 4/25/10 12/25/07 4/25/06 4/25/04 8/25/02
Last Principal Payment Date 2/25/26 8/25/10 4/25/10 12/25/07 4/25/06 2/25/05 1/25/03
Payment Windows (mos.) 1 1 1 1 1 11 6
<CAPTION>
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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.0263 7.0111 7.0053 6.9994 6.9900 6.9785 6.9487
Average Life (yrs.) 9.98 7.64 6.99 6.41 5.66 4.96 3.78
Modified Duration (yrs.) 6.94 5.66 5.29 4.95 4.50 4.05 3.22
First Principal Payment Date 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02 9/25/02
Last Principal Payment Date 4/25/10 4/25/10 4/25/10 12/25/07 4/25/06 2/25/05 7/25/03
Payment Windows (mos.) 92 92 92 64 44 30 11
<CAPTION>
A-7F (To Call)
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% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 7.1728 7.1187 7.0917 7.0579 7.0231 6.9873 6.9115
Average Life (yrs.) 12.24 5.34 4.19 3.24 2.62 2.19 1.63
Modified Duration (yrs.) 7.34 4.00 3.26 2.65 2.22 1.90 1.46
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 2/25/26 8/25/10 4/25/10 12/25/07 4/25/06 2/25/05 7/25/03
Payment Windows (mos.) 318 132 128 100 80 66 47
<CAPTION>
A-1A (To Call)
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% of Prepay Assumption 0.0% CPR 12.0% CPR 18.0% CPR 24.0% CPR 30.0% CPR 33.0% CPR 48.0% CPR
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.000 5.6363 5.6374 5.6381 5.6389 5.6400 5.6418 5.6435
Average Life (yrs.) 10.97 4.77 3.68 2.81 2.21 1.95 1.23
Modified Duration (yrs.) 7.44 3.82 3.02 2.39 1.94 1.73 1.14
First Principal Payment Date 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99 9/25/99
Last Principal Payment Date 2/25/26 8/25/10 4/25/10 12/25/07 4/25/06 2/25/05 7/25/03
Payment Windows (mos.) 318 132 128 100 80 66 47
</TABLE>
<PAGE>
Class A-1A NET FUNDS CAP RATE ("NFC")
- -------------------------------------------
Assumptions
- -------------------------------------------
Indices shift (see NFC Scenarios at right)
in Period 1 and remain constant thereafter.
- ------------------------------------------- -------------------------------
Prepayment speeds are 125% PPC and 30% NFC Scenarios I II
constant CPR for Fixed Rate Mortgage Loan -------------------------------
Group and Adjustable Rate Mortgage Loan 1m LIBOR 5.18% 25.00%
Group, respectively. 6m LIBOR 5.60% 25.00%
- ------------------------------------------- -------------------------------
- ------------------------------------- -------------------------------------
Period Pay Date I II Period Pay Date I II
- ------------------------------------- -------------------------------------
1 9/25/99 8.18 8.18 41 1/25/03 10.15 13.71
2 10/25/99 8.18 8.18 42 2/25/03 10.15 13.96
3 11/25/99 8.18 8.18 43 3/25/03 10.15 14.70
4 12/25/99 8.19 8.19 44 4/25/03 10.15 14.70
5 1/25/00 8.19 8.19 45 5/25/03 10.15 14.70
6 2/25/00 8.44 8.44 46 6/25/03 10.15 14.71
7 3/25/00 9.18 9.18 47 7/25/03 10.15 14.71
8 4/25/00 9.18 9.18 48 8/25/03 10.15 14.96
9 5/25/00 9.18 9.18 49 9/25/03 10.15 15.70
10 6/25/00 9.19 9.19 50 10/25/03 10.15 15.70
11 7/25/00 9.20 9.19 51 11/25/03 10.15 15.70
12 8/25/00 9.44 9.44 52 12/25/03 10.15 15.71
13 9/25/00 9.68 9.68 53 1/25/04 10.15 15.71
14 10/25/00 9.68 9.68 54 2/25/04 10.15 15.96
15 11/25/00 9.69 9.69 55 3/25/04 10.15 16.70
16 12/25/00 9.69 9.70 56 4/25/04 10.15 16.70
17 1/25/01 9.70 9.71 57 5/25/04 10.15 16.70
18 2/25/01 9.82 9.96 58 6/25/04 10.15 16.71
19 3/25/01 10.15 10.70 59 7/25/04 10.15 16.71
20 4/25/01 10.15 10.70 60 8/25/04 10.15 16.93
21 5/25/01 10.15 10.70 61 9/25/04 10.15 17.51
22 6/25/01 10.15 10.71 62 10/25/04 10.15 17.51
23 7/25/01 10.15 10.71 63 11/25/04 10.15 17.51
24 8/25/01 10.15 10.96 64 12/25/04 10.15 17.51
25 9/25/01 10.15 11.70 65 1/25/05 10.15 17.51
26 10/25/01 10.15 11.71 66 2/25/05 10.15 17.52
27 11/25/01 10.15 11.71 67 3/25/05 10.15 17.76
28 12/25/01 10.15 11.71 68 4/25/05 10.15 17.76
29 1/25/02 10.15 11.72 69 5/25/05 10.15 17.76
30 2/25/02 10.15 11.97 70 6/25/05 10.15 17.76
31 3/25/02 10.15 12.71 71 7/25/05 10.15 17.76
32 4/25/02 10.15 12.71 72 8/25/05 10.15 17.76
33 5/25/02 10.15 12.70 73 9/25/05 10.15 17.76
34 6/25/02 10.15 12.71 74 10/25/05 10.15 17.76
35 7/25/02 10.15 12.71 75 11/25/05 10.15 17.76
36 8/25/02 10.15 12.96 76 12/25/05 10.15 17.76
37 9/25/02 10.15 13.70 77 1/25/06 10.15 17.76
38 10/25/02 10.15 13.70 78 2/25/06 10.15 17.76
39 11/25/02 10.15 13.70 79 3/25/06 10.15 17.76
40 12/25/02 10.15 13.71 80 4/25/06 10.15 17.76
- ------------------------------------- -------------------------------------
