<PAGE>
<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) January 30, 1998
BEAR STEARNS ASSET BACKED SECURITIES, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-43091 13-3836437
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
245 Park Avenue, New York, New York 10167
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (212) 272-4095
N/A
(Former name or former address, if changed since last report)
<PAGE>
<PAGE>
Item 5. Other Events
Filing of Computational Materials and Consent of Independent Accountants.
This Current Report on Form 8-K is being filed to file a copy of
the Computational Materials (as defined below) prepared by Bear Stearns & Co.
Inc., as an underwriter, in connection with the issuance by Master Financial
Asset Securitization Trust 1998-1 of Master Financial Asset Backed Securities,
Series 1998-1. The term "Computational Materials" shall have the meaning given
in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and the
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials.
<PAGE>
<PAGE>
SIGNATURES
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 thereunto duly authorized.
BEAR STEARNS ASSET BACKED SECURITIES, INC.
By: /s/ Matthew E. Perkins
--------------------------------
Name: Matthew E. Perkins
Title: Managing Director
Dated: January 30, 1998
<PAGE>
<PAGE>
EXHIBIT INDEX
Exhibit Page
99.1 Computational Materials.
<PAGE>
<PAGE>
Statement Regarding Assumptions as to Securities, Pricing Estimates,
and Other Information
The information contained in the attached materials
(the 'Information') may include various forms of performance analysis,
security characteristics and securities pricing estimates for the
securities addressed. Please read and understand this entire statement
before utilizing the Information. Should you receive Information that
refers to the 'Statement Regarding Assumptions and Other Information,'
please refer to this statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to
significant factors that may prove not to be as assumed. You should
understand the assumptions and evaluate whether they are appropriate for
your purposes. Performance results are based on mathematical models
that use inputs to calculate results. As with all models, results may
vary significantly depending upon the value of the inputs given. Inputs
to these models include but are not limited to: prepayment expectations
(economic prepayment models, single expected lifetime prepayments or a
vector of periodic prepayments), interest rate assumptions (parallel
and nonparallel changes for different maturity instruments), collateral
assumptions (actual pool level data, aggregated pool level data, reported
factors or imputed factors), volatility assumptions (historically observed
or implied current) and reported information (paydown factors, rate assets,
and trustee statements). Models used in any analysis may be
proprietary making the results difficult for any third party
to reproduce. Contact your registered representative for detailed explanations
of any modeling techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure
and collateral, may be modified from time to time to reflect changed
circumstances. Any investment decision should be based only on the data in
the prospectus and the prospectus supplement or private placement memorandum
(Offering Documents) and the then current version of the Information. Offering
Documents contain data that is current as of their publication dates and after
publication may no longer be complete or current. Contact your registered
representative for Offering Documents, current Information or additional
materials, including other models for performance analysis, which are likely
to produce different results, and any further explanation regarding the
Information.
Any pricing estimates Bear, Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a
bid by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size
of a position you have in the security, and (c) may have been derived from
matrix pricing that uses data relating to other securities whose prices
are more readily ascertainable to produce a hypothetical price based on
the estimated yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns, and/or
individuals thereof may have positions in these securities while the
Information is circulating or during such period may engage in transactions
with the issuer or its affiliates. We act as principal in transactions with
you, and accordingly, you must determine the appropriateness for you of
such transactions and address any legal, tax, or accounting considerations
applicable to you. Bear, Stearns shall not be a fiduciary or advisor unless
we have agreed in writing to receive compensation specifically to act
in such capacities. If you are subject to ERISA, the Information is being
furnished on the condition that it will not form a primary basis for any
investment decision. The Information is not a solicitation of any transaction
in securities which may be made only by prospectus when required by law,
in which event you may obtain such prospectus from Bear, Stearns.
<PAGE>
<PAGE>
ISSUER: Master Financial Asset Securitization Trust 1998-1
DEPOSITOR: Bear Stearns Asset Backed Securities, Inc.
SERVICER AND TRANSFEROR: Master Financial, Inc.
LEAD UNDERWRITER: Bear, Stearns & Co. Inc.
CO-UNDERWRITERS: PaineWebber Incorporated
(other than the Residential Funding Securities Corporation
Class A-7 Certificates)
UNDERWRITER OF CLASS A-7
CERTIFICATES: Bear, Stearns & Co. Inc.
INDENTURE TRUSTEE : The Bank of New York
OWNER TRUSTEE: Wilmington Trust Company
OFFERED SECURITIES: The Trust will issue eight classes of Asset Backed
Notes (namely, the Class A-1, Class A-2, Class A-3,
Class A-4, Class A-5, and Class A-6 (the "Senior
Notes"); and the Class M-1 and Class M-2 Notes (the
"Mezzanine Notes" and, together with the Senior
Notes, the "Notes")); and three classes of Asset
Backed Certificates (namely, the Class A-7
Certificates, the Class B-1 Certificates and the
Class B-2 Certificates, collectively the
"Certificates") as set forth below. Neither the
Class B-2 Certificates nor the Residual Interest
are being offered hereby.
<TABLE>
<CAPTION>
----------------------- --------------- ------------ ------------- ------------- ------------ -------------------
AVERAGE
ORIGINAL LIFE TO PRINCIPAL PRINCIPAL MATURITY EXPECTED
OFFERED PRINCIPAL CALL LOCKOUT WINDOW DATE RATINGS
SECURITIES BALANCE (YEARS) (MONTHS) (MONTHS) (YEARS) (S&P/FITCH)
----------------------- --------------- ------------ ------------- ------------- ------------ -------------------
<S> <C> <C> <C> <C> <C> <C>
Class A-1 Notes $56,540,000 0.75 none 16 4/20/07 AAA/AAA
Class A-2 Notes $55,430,000 2.00 15 17 7/20/11 AAA/AAA
Class A-3 Notes $21,410,000 3.00 31 8 10/20/12 AAA/AAA
Class A-4 Notes $36,980,000 4.00 38 29 3/20/16 AAA/AAA
Class A-5 Notes $11,690,000 7.00 66 38 12/20/19 AAA/AAA
Class A-6 Notes $13,385,000 11.06 103 41 4/20/29 AAA/AAA
Class A-7 Certificates $ 0 N/A N/A N/A 8/20/00 AAAr/AAA
Class M-1 Notes $41,662,500 8.25 50 94 4/20/29 AA/AA
Class M-2 Notes $21,210,000 8.25 50 94 4/20/29 A/A
Class B-1 Certificates $30,300,000 8.25 50 94 4/20/29 BBB-/BBB
----------------------- --------------- ------------ ------------- ------------- ------------ -------------------
</TABLE>
<PAGE>
<PAGE>
NOTIONAL PRINCIPAL AMOUNT: Interest will be calculated on the Class A-7
Certificates on each Payment Date on the basis of a
"Notional Principal Amount" equal to, for the first
30 Payment Dates, the outstanding Class A-6 Note
Principal Balance, or initially [$13,385,000], as
of the first day of the related due periods and,
thereafter, zero. Reference to the Notional
Principal Amount of the Class A-7 Certificates is
solely for convenience on certain calculations and
does not represent the right to receive any
distribution allocable to principal.
OFFERING: The Notes, the Class A-7 Certificates and the Class
B-1 Certificates will be issued publicly from a
shelf registration.
FORM OF REGISTRATION: Book-Entry form, same day funds through DTC.
PREPAYMENT PRICING
SPEED ASSUMPTION: 2% CPR, increasing to 15% CPR over 15 months
CUT-OFF DATE: As of February 1, 1998
SETTLEMENT DATE: On or about February ___, 1998
PAYMENT DATE: The 20th day of each month (or the next succeeding
business day), commencing March 20, 1998.
PAYMENT DELAY: With the exception of the Class A-1 Notes, 19 days.
With respect to the Class A-1 Notes, 0 days.
NOTE INTEREST RATE: With the exception of the Class A-1 Notes, interest
will accrue on the Notes at a fixed rate during the
month prior to the month of the related Payment
Date on a 30/360-day basis.
The Interest Rate applicable to each class of Notes
outstanding will increase by 0.50% for due periods
beginning after the Optional Termination Date.
With respect to any Payment Date, the Class A-1
Notes will be entitled to interest accrued from and
including the preceding Payment Date (or from the
Closing Date in the case of the first Payment Date)
to and including the day prior to the then current
Payment Date (the "Class A-1 Accrual Period") at
the Class A-1 Note Interest Rate on the aggregate
principal balance of the Class A-1 Notes on an
actual/360-day basis.
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<PAGE>
NOTE INTEREST RATE (CONT.): The "Class A-1 Note Interest Rate" will be equal to
the lesser of (x) with respect to any Payment Date,
One-Month LIBOR plus 0._% per annum and (y) the
weighted average of the Home Loan Rate, less
1.2575% per annum (the rate described in this
clause (y), the "Available Funds Cap").
CLASS B-1 CERTIFICATE
PASS-THROUGH RATE: The Class B-1 Certificates will accrue at a fixed
rate of [_.__]% per annum, payable on a 30/360 day
basis. The Interest Rate applicable to the Class
B-1 Certificates will increase by 0.50% for due
periods beginning after the Optional Termination
Date.
CLASS A-7 CERTIFICATE
PASS-THROUGH RATE: The Class A-7 Certificates will accrue at a fixed
rate of [_.__]% per annum, payable on a 30/360 day
basis.
ASSETS OF THE TRUST: The assets of the Trust will primarily consist of a
pool of home loans (the "Home Loans") the proceeds
of which will be used primarily for debt
consolidation and/or home improvements. The Home
Loans will be secured by mortgages, deeds of trust
or other similar security instruments (the
"Mortgages"). Substantially all of the Home Loans
will have a combined loan-to-value in excess of
100%.
CREDIT ENHANCEMENT: Credit enhancement with respect to the Notes and
Certificates will be provided by (1) excess spread,
(2) overcollateralization, and (3) the
subordination described below.
Excess Spread. The weighted average Home Loan Rate
is generally expected to be higher than the sum of
(a) the servicing fee and (b) the weighted average
note interest rate on the Notes and pass through
rate on the Certificates, thus generating excess
spread collections which will be available to fund
payments or distributions on the Notes and
Certificates. This excess spread generated for each
period on the related Payment Date is the excess
spread available for such Payment Date.
Overcollateralization: Excess spread will be
applied, to the extent available, first to reduce
the initial 1% undercollateralization and second to
make accelerated payments or distributions of
principal to the class or classes then entitled to
receive payments or distributions of principal;
such application will cause the aggregate principal
balance of the Notes and Certificates to amortize
more rapidly than the Home Loans, resulting in
overcollateralization. Prior to the
overcollateralization step down date, the "Required
Overcollateralization Amount" is expected to equal
the greater of (x) [3.50]% of the the Assumed Pool
Principal Balance and (y) the Net Delinquency
Calculation Amount.
<PAGE>
<PAGE>
CREDIT ENHANCEMENT (CONT.): On or after the overcollateralization step down
date, the Required Overcollateralization Amount is
expected to equal the greater of (x) [7.00]% of the
then outstanding aggregate unpaid principal balance
of the Home Loans (the "Pool Principal Balance")
and (y) the Net Delinquency Calculation Amount,
subject to a floor of [0.50]% of the Assumed Pool
Principal Balance.
On the Closing Date, the aggregate principal
balance of the Notes and the Certificates will
exceed the sum of the Assumed Pool Principal
Balance by approximately 1%. The application of
excess spread, if available, to reduce the
principal balance of the Notes and the Certificates
is intended, first, to eliminate such
undercollateralization and, then, to create the
overcollateralization described in the preceding
paragraph.
Subordination: The rights of the Class M-1 Notes to
receive payments will be subordinated to such
rights of the Senior Notes. The rights of the Class
M-2 Notes to receive payments will be subordinated
to such rights of the Senior Notes and the M-1
Notes. The rights of the Class A-7 Certificates to
receive distributions will be subordinated to such
rights of the Senior Notes, the Class M-1 Notes,
and the Class M-2 Notes. The rights of the Class
B-1 Certificates to receive distributions will be
subordinated to such rights of the Senior Notes,
the Class M-1 Notes, the Class M-2 Notes, and the
Class A-7 Certificates. The Residual Interest and
the Class B-2 Certificates will be subordinated to
all classes of Notes, the Class A-7 Certificates,
and the Class B-1 Certificates.
APPLICATION OF
ALLOCABLE LOSS AMOUNTS: Realized losses will be absorbed first by excess
spread, then by the reduction of the
Overcollateralization Amount. Following the
reduction of any Overcollateralization Amount to
zero, any Allocable Loss Amounts will be applied in
reduction of (1) the Class B-2 Certificates until
the Class B-2 Certificates have been reduced to
zero; (2) the Class B-1 Certificates until the
Class B-1 Certificates have been reduced to zero;
(3) the Class M-2 Notes until the Class M-2 Notes
have been reduced to zero; and (4) the Class M-1
Notes until the Class M-1 Notes have been reduced
to zero. The Senior Notes will not be reduced for
any Allocable Loss Amounts. Any Allocable Loss
Amounts with respect to the Notes or the
Certificates (the "Deferred Amounts") will entitle
such class to receive reimbursement for such amount
from and to the extent of funds available therefor
in the priority described below.
<PAGE>
<PAGE>
PRIORITY OF PAYMENTS: REGULAR PAYMENT AMOUNT:
The Regular Payment Amount shall be applied in the
following priority:
(1) To pay Accrued and Unpaid Interest on the
Senior Notes, pro-rata (without any priority);
(2) To pay Accrued and Unpaid Interest on the
Class M-1 Notes;
(3) To pay Accrued and Unpaid Interest on the
Class M-2 Notes;
(4) To distribute Accrued and Unpaid Interest on
the Class A-7 Certificates;
(5) To distribute Accrued and Unpaid Interest on
the Class B-1 Certificates;
(6) To distribute Accrued and Unpaid Interest on
the Class B-2 Certificates;
(7) To pay as principal, sequentially, to the
Senior Notes, an amount necessary to reduce
the balance of the Senior Notes to the Senior
Optimal Principal Balance;
(8) To pay, as principal to the Class M-1 Notes,
an amount necessary to reduce the balance of
the Class M-1 Notes to the Class M-1 Optimal
Principal Balance;
(9) To pay, as principal to the Class M-2 Notes,
an amount necessary to reduce the balance of
the Class M-2 Notes to the Class M-2 Optimal
Principal Balance;
(10) To distribute, as principal to the Class B-1
Certificates, an amount necessary to reduce
the balance of the Class B-1 Certificates to
the Class B-1 Optimal Principal Balance;
(11) To distribute, as principal to the Class B-2
Certificates, an amount necessary to reduce
the balance of the Class B-2 Certificates to
the Class B-2 Certificate Optimal Principal
Balance;
(12) To pay the Class M-1 Notes any Deferred
Amounts;
(13) To pay the Class M-2 Notes any Deferred
Amounts;
(14) To distribute to the Class B-1 Certificates
any Deferred Amounts;
(15) To distribute to the Class B-2 Certificates
any Deferred Amounts; and
(16) Any remaining amounts shall be paid to the
holders of the Residual Interest.
<PAGE>
<PAGE>
EXCESS SPREAD: Excess Spread, if any, will be applied in the
following order of priority (each after giving effect
to all payments and disbursements specified above):
(1) To pay as principal to the Senior Notes,
sequentially, up to the Overcollateralization
Deficiency Amount (i.e. up to the amount
necessary to cause the overcollateralization
amount to equal the required
overcollateralization amount), an amount
necessary to reduce the balance of the Senior
Notes to the Senior Optimal Principal Balance;
(2) To pay as principal to the Class M-1 Notes, up
to the Overcollateralization Deficiency
Amount, an amount necessary to reduce the
balance of the Class M-1 Notes to the Class
M-1 Optimal Principal Balance;
(3) To pay as principal to the Class M-2 Notes, up
to the Overcollateralization Deficiency
Amount, an amount necessary to reduce the
balance of the Class M-2 Notes to the Class
M-2 Optimal Principal Balance;
(4) To distribute as principal to the Class B-1
Certificates, up to the Overcollateralization
Deficiency Amount, an amount necessary to
reduce the balance of the Class B-1
Certificates to the Class B-1 Optimal
Principal Balance;
(5) To distribute as principal to the Class B-2
Certificates, up to the Overcollateralization
Deficiency Amount, an amount necessary to
reduce the balance of the Class B-2
Certificates to the Class B-2 Optimal
Principal Balance;
(6) To pay the Class M-1 Notes any Deferred
Amounts;
(7) To pay the Class M-2 Notes any Deferred
Amounts;
(8) To pay the Class B-1 Certificates any Deferred
Amounts;
(9) To pay the Class B-2 Certificates any Deferred
Amounts; and
(10) Any remaining amounts shall be paid to the
holders of the Residual Interest.
<PAGE>
<PAGE>
SUMMARY OF EXPECTED SUBORDINATION & OVERCOLLATERALIZATION:
PRIOR TO STEP DOWN DATE
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
EXPECTED REQUIRED EXPECTED TOTAL
EXPECTED INITIAL OVERCOLLATERALIZATION REQUIRED CREDIT
SUBORDINATION (a) AMOUNT (b) ENHANCEMENT
- --------------------------------- ------------------------- ----------------------------- --------------------------
<S> <C> <C> <C>
CLASS A NOTES 35.50% 3.50% 39.00%
CLASS M-1 NOTES 21.75% 3.50% 25.25%
CLASS M-2 NOTES 14.75% 3.50% 18.25%
CLASS B-1 CERTIFICATES 4.75% 3.50% 8.25%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Represents the expected amount of subordination for each class as
of the Closing Date.
(b) On the Closing Date, the aggregate principal balance of the Notes
and the Certificates will exceed the Assumed Pool Principal
Balance by approximately 1%. Excess spread, if available, will be
applied to make accelerated payments of principal, first, to
eliminate such undercollateralization and, second, to create
overcollateralization until the Overcollateralization Amount
equals the Required Overcollateralization Amount, which is
expected to build to [3.50]% of the Assumed Pool Principal
Balance.
OVERCOLLATERALIZATION
STEPDOWN DATE: The Overcollateralization Stepdown Date is the
Payment Date occurring on the later of:
(1) the first Payment Date after February 20, 2001 (the
37th Payment Date); and
(2) the first Payment Date on which the aggregate
principal balance of the Senior Notes has been reduced
to an amount equal to or less than the amount by which
the outstanding principal balance of the Home Loans
exceeds the greater of:
(i) [71.00]% (or 2 times the initial Senior
Subordination Level) of the outstanding
principal balance of the Home Loans plus the
Required Overcollateralization Amount for such
date; and
(ii) 0.50% of the Assumed Pool Principal Balance.
SERVICING FEE/TRUSTEE FEE: The Trust is subject to certain fees, including
a Servicing Fee of 1.25% per annum payable monthly
and an Indenture Trustee Fee of 0.0075% per annum
payable monthly.
ADVANCING BY THE SERVICER: There is no required advancing of delinquent
principal or interest by the servicer or
trustees.
<PAGE>
<PAGE>
ASSUMED POOL
PRINCIPAL BALANCE: With respect to any Payment Date, the sum of
(i) the Initial Pool Principal Balance, (ii) the
Cut-Off Date Principal Balance of each Subsequent
Home Loan, and (iii) the amount, if any, on deposit
in the Pre-funding Account (net of investment
income).
NET DELINQUENCY
CALCULATION AMOUNT: With respect to any Payment Date, the excess, if
any, of (x) the product of [1.7] and the Rolling
Six-Month Delinquency Average over (y) the
aggregate of the amounts of Excess Spread for the
three preceding Payment Dates.
ROLLING SIX-MONTH
DELINQUENCY AVERAGE: With respect to any Payment Date, the average of
the applicable 60-Day Delinquency Amounts for each
of the six immediately preceding due periods. The
"60-Day Delinquency Amount" for any due period is
the aggregate of the Principal Balances of all Home
Loans that 60 or more days delinquent, in
foreclosure or REO property as of the end of such
due period, excluding any liquidated home loan.
OPTIONAL TERMINATION: The Servicer may, at its option, effect an early
redemption or termination of the Notes and
Certificates on or after any Payment Date on which
the Pool Principal Balance declines to 10% or less
of the Assumed Pool Principal Balance ("Optional
Termination Date") by purchasing the Home Loans for
the termination price.
PRE-FUNDING ACCOUNT: An amount not to exceed 25% of the aggregate
original principal balance of the Notes and the
Certificates will be placed in a pre-funding
account for the acquisition of additional mortgage
loans during a [90-day] period following the
Closing Date. Sale proceeds will also fund the
Capitalized Interest Account.
TAX STATUS: For federal income tax purposes, the Notes will be
characterized as debt, and the Trust will not be
characterized as an association (or publicly traded
partnership) taxable as a corporation.
ERISA ELIGIBILITY: The Notes may be purchased by employee benefit
plans that are subject to ERISA. The Class A-7
Certificates and the Class B-1 Certificates may not
be purchased by employee benefit plans that are
subject to ERISA.
SMMEA TREATMENT: The Notes, the Class A-7 Certificates and the Class
B-1 Certificates will not constitute "mortgage
related securities" for purposes of SMMEA.
<PAGE>
<PAGE>
PROSPECTUS: The Notes, the Class A-7 Certificates and the Class
B-1 Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information
with respect to the Notes, the Class A-7
Certificates, the Class B-1 Certificates and the
Home Loans is contained in the Prospectus. The
material presented herein is qualified in its
entirety by the information appearing in the
Prospectus. To the extent that the foregoing is
inconsistent with the Prospectus, the Prospectus
shall govern in all respects. Sales of the Notes,
the Class A-7 Certificates, and the Class B-1
Certificates may not be consummated unless the
purchaser has received the Prospectus.
<PAGE>
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
Fixed Rate Home Loans: Preliminary Characteristics of the Initial Home Loans
as of the Statistical Calculation Date of 1/15/98:
Total Number of Loans: 4,818
Initial Principal Balance: $187,803,630.63
Percent of Total Balance: 100.00%
Average Loan Balance: $38,979.58
WA Home Loan Rate: 13.96%
Range of Home Loan Rates: (8.30%-19.99%)
WA Remaining Term (months): 243
WA Seasoning (months): 2
Range of Seasoning: (0-59)
WA Original Term (months): 245
WA FICO Score: 673
WA Debt-to-Income Ratio: 39.3%
WA Combined LTV: 113.6%
% Combined LTV > 100% 87.0%
Geographic Concentration: CA: 33.22%
(as a Percentage of Loan Type) MI: 6.61%
(States not listed account for MD: 5.42%
less than 5% of the aggregate WA: 5.31%
principal balance of the category) VA: 5.12%
<PAGE>
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
Fixed Rate Home Loans: Preliminary Characteristics of the Initial Home Loans
as of the Statistical Calculation Date of 1/15/98:
HOME LOAN RATE
<TABLE>
<CAPTION>
RANGE OF PERCENT OF TOTAL
HOME LOAN NUMBER OF AGGREGATE BY AGGREGATE
RATES(%) HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------ ------------ ------------------- -------------------
<S> <C> <C> <C>
8.001 to 9.000 1 $ 30,581.62 0.02%
9.001 to 10.000 15 446,543.84 0.24
10.001 to 11.000 50 1,605,923.45 0.86
11.001 to 12.000 281 11,240,736.12 5.99
12.001 to 13.000 1,038 45,639,200.06 24.30
13.001 to 14.000 1,258 52,099,083.96 27.74
14.001 to 15.000 1,106 42,685,423.97 22.73
15.001 to 16.000 776 25,254,109.73 13.45
16.001 to 17.000 244 7,544,106.49 4.02
17.001 to 18.000 43 1,114,715.47 0.59
18.001 to 19.000 5 118,260.18 0.06
19.001 to 20.000 1 24,945.74 0.01
------ ------------------- -------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
CURRENT PRINCIPAL BALANCE
<TABLE>
<CAPTION>
RANGE OF PERCENT OF TOTAL
CUT-OFF DATE NUMBER OF AGGREGATE BY AGGREGATE
PRINCIPAL BALANCE($) HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------ ------------ ------------------- -------------------
<S> <C> <C> <C>
Up to 10,000.00 44 $ 371,996.99 0.20%
10,000.01 to 20,000.00 483 8,085,345.50 4.31
20,000.01 to 30,000.00 1,213 31,557,274.81 16.80
30,000.01 to 40,000.00 1,254 44,252,356.86 23.56
40,000.01 to 50,000.00 924 43,201,343.09 23.00
50,000.01 to 60,000.00 359 20,003,910.01 10.65
60,000.01 to 70,000.00 206 13,497,750.95 7.19
70,000.01 to 80,000.00 244 18,200,472.34 9.69
80,000.01 to 90,000.00 29 2,494,035.46 1.33
90,000.01 to 100,000.00 61 6,026,447.62 3.21
110,000.01 to 120,000.00 1 112,697.00 0.06
------ ------------------- -------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
<PAGE>
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
Fixed Rate Home Loans: Preliminary Characteristics of the Initial Home Loans
as of the Statistical Calculation Date of 1/15/98:
ORIGINAL LOAN PRINCIPAL BALANCE
<TABLE>
<CAPTION>
RANGE OF PERCENT OF TOTAL
ORIGINAL NUMBER OF AGGREGATE BY AGGREGATE
PRINCIPAL BALANCE($) HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- --------------------- ------------ ------------------- -----------------
<S> <C> <C> <C>
Up to 10,000,000 37 $ 329,524,52 0.18%
10,000.001 to 20,000.00 479 7,954,770.60 4.24
20,000.001 to 30,000.00 1,219 31,621,908.96 16.84
30,000.001 to 40,000.00 1,251 44,081,463.28 23.47
40,000.001 to 50,000.00 930 43,424,962.97 23.12
50,000.001 to 60,000.00 358 19,917,742.87 10.61
60,000.001 to 70,000.00 206 13,487,766.51 7.18
70,000.001 to 80,000.00 246 18,322,595.66 9.76
80,000.001 to 90,000.00 30 2,523,750.64 1.34
90,000.001 to 100,000.00 61 6,026,447.62 3.21
110,000.001 to 120,000.00 1 112,697.00 0.06
------------ ----------------- -----------------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
MONTHS SINCE ORIGINATION
<TABLE>
<CAPTION>
PERCENT OF TOTAL
NUMBER OF MONTHS NUMBER OF AGGREGATE BY AGGREGATE
SINCE ORIGINATION HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- -------------------- ----------- ------------------ -----------------
<S> <C> <C> <C>
0 to 1 360 $15,190,531.02 8.09%
2 to 12 4,306 169,171,235.58 90.08
13 to 24 135 3,183,151.50 1.69
25 to 36 12 168,672.66 0.09
37 or more 5 90,039.87 0.05
----------- ------------------ -----------------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
REMAINING TERM TO MATURITY
<TABLE>
<CAPTION>
PERCENT OF TOTAL
RANGE OF REMAINING TERM NUMBER OF AGGREGATE BY AGGREGATE
TO MATURITY MONTHS HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ----------------------- ----------- ------------------ ------------------
<S> <C> <C> <C>
Up to 30 5 $ 196,501.13 0.10%
31 to 60 46 1,026,457.90 0.55
61 to 90 1 19,421.10 0.01
91 to 120 386 10,314,151.97 5.49
121 to 150 5 109,449.04 0.06
151 to 180 1,371 48,826,461.51 26.00
181 to 210 6 171,438.82 0.09
211 to 240 979 38,688,379.16 20.60
241 to 270 1 9,868.48 0.01
271 to 300 2,017 88,396,678.16 47.07
301 or more 1 44,823.36 0.02
---------- ------------------ -----------------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
<PAGE>
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE HOME LOANS: PRELIMINARY CHARACTERISTICS OF THE INITIAL HOME LOANS AS
OF THE STATISTICAL CALCULATION DATE OF 1/15/98:
GEOGRAPHIC CONCENTRATION
<TABLE>
<CAPTION>
PERCENT OF TOTAL
NUMBER OF AGGREGATE BY AGGREGATE
STATE HOME LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
- ------------------------------------------------------------- ---------- ----------------- -----------------
<S> <C> <C> <C>
Alaska 19 $ 802,976.37 0.43%
Arizona 231 8,216,169.86 4.37
Arkansas 18 601,961.26 0.32
California 1,516 62,395,984.61 33.22
Colorado 131 5,431,777.86 2.89
Connecticut 98 3,972,468.03 2,12
Delaware 10 365,483.82 0.19
District of Columbia 7 284,259.48 0.15
Florida 254 9,033,987.26 4.81
Hawaii 13 773,541.96 0.41
Idaho 52 1,918,380.05 1.02
Illinois 1 18,531.26 0.01
Indiana 105 3,520,422.15 1.87
Iowa 28 894,989.25 0.48
Kansas 30 1,145,011.23 0.61
Kentucky 28 923,141.66 0.49
Louisiana 32 1,048,233.31 0.56
Maryland 240 10,187,342.75 5.42
Massachusetts 61 2,386,497.22 1.27
Michigan 370 12,421,370.32 6.61
Minnesota 56 1,878,395.71 1.00
Mississippi 3 74,173.00 0.04
Missouri 103 3,469,195.59 1.85
Montana 19 663,276.52 0.35
Nebraska 3 142,694.72 0.08
Nevada 219 9,231,751.21 4.92
New Hampshire 8 234,177.61 0.12
New Jersey 1 46,911.14 0.02
New Mexico 42 1,304,614.36 0.69
New York 88 3,862,418.39 2.06
North Carolina 89 2,795,722.70 1.49
Ohio 2 58,069.33 0.03
Oklahoma 69 2,435,312.76 1.30
Oregon 114 4,757,407.58 2.53
Pennsylvania 62 2,282,545.97 1.22
Rhode Island 32 1,130,147.67 0.60
South Carolina 12 406,828.82 0.22
South Dakota 1 50,000.00 0.03
Tennessee 29 1,061,910.16 0.57
Utah 79 3,364,805.26 1.79
Virginia 238 9,611,393.98 5.12
Washington 241 9,964,181.30 5.31
West Virginia 1 39,722.75 0.02
Wisconsin 51 2,074,288.06 1.10
Wyoming 12 521,156.33 0.28
---------- ----------------- -------
TOTAL 4,818 $ 187,803,630.63 100.00%
</TABLE>
<PAGE>
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
Fixed Rate Home Loans: Preliminary Characteristics of the Initial Home Loans
as of the Statistical Calculation Date of 1/15/98:
CREDIT SCORES
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
BY AGGREGATE
NUMBER OF AGGREGATE PRINCIPAL
RANGE OF FICO SCORES HOME LOANS PRINCIPAL BALANCE BALANCE
- ------------------------------------ ------------- ------------------- -------------
<S> <C> <C> <C>
Up to 619 81 $ 2,365,367.21 1.26%
620 to 639 831 28,491,258.98 15.17
640 to 659 1,022 40,335,297.22 21.48
660 to 679 1,019 41,505,777.14 22.10
680 to 699 901 39,616,541.20 21.09
700 to 719 511 19,266,422.57 10.26
720 to 739 251 9,400,746.31 5.01
740 to 759 134 4,786,288.42 2.55
760 to 779 55 1,563,962.89 0.83
780 to 799 13 471,968.69 0.25
------ ------------------- -------------
TOTAL 4,818 $187,803,630.63 100.00%
</TABLE>
DEBT-TO-INCOME RATIO
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
BY AGGREGATE
RANGE OF NUMBER OF AGGREGATE PRINCIPAL
DEBT-TO-INCOME RATIOS HOME LOANS PRINCIPAL BALANCE BALANCE
- ------------------------------------ ------------- ------------------- -------------
<S> <C> <C> <C>
Up to 20.00 47 $ 1,566,678.91 0.83%
20.01 to 25.00 192 6,598,597.67 3.51
25.01 to 30.00 440 15,229,468.16 8.11
30.01 to 35.00 759 27,562,300.71 14.68
35.01 to 40.00 1,074 40,463,387.12 21.55
40.01 to 45.00 1.380 54,227,607.37 28.87
45.01 to 50.00 793 35,893,208.42 19.11
50.01 to 55.00 100 4,905,356.25 2.61
55.01 to 60.00 12 582,160.50 0.31
60.01 to 65.00 11 369,548.09 0.20
65,01 to 70.00 6 240,344.40 0.13
75.01 to 80.00 3 138,523.03 0.07
80.01 to 85.00 1 26,450.00 0.01
------ ------------------- -------------
Total 4,818 $187,803,630.63 100.00%
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
Transaction Summary (a)
- --------------------------------------------------------------------------------------------------------
Estimated Estimated Estimated Estimated Expected
Interest WAL Modified Principal Principal Ratings
Security Approximate Rate to Call Duration Lockout Window (S&P/Fitch)
Size years) (years) (months) (months)
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $56,540,000 Floating(b) 0.75 0.71 none 16 AAA / AAA
Class A-2 $55,430,000 Fixed 2.00 1.83 15 17 AAA / AAA
Class A-3 $21,410,000 Fixed 3.00 2.66 31 8 AAA / AAA
Class A-4 $36,980,000 Fixed 4.00 3.42 38 29 AAA / AAA
Class A-5 $11,690,000 Fixed 7.00 5.36 66 38 AAA / AAA
Class A-6 $13,385,000 Fixed 11.06 7.38 103 41 AAA / AAA
Class M-1 $41,662,500 Fixed 8.25 5.83 50 94 AA / AA
Class M-2 $21,210,000 Fixed 8.25 5.78 50 94 A / A
Class B-1 $30,300,000 Fixed 8.25 5.63 50 94 BBB- / BBB
- --------------------------------------------------------------------------------------------------------
</TABLE>
Note:(a) 100% Prepayment Assumption: 2.0% CPR in month 1, and an
additional 0.9286% per annum in each month thereafter until
month 15. On and after month 15, 15.0% CPR.
(b) The lesser of (i) One-Month LIBOR plus 0._ % and (ii) the
weighted average Loan Rate less 1.2575%.
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ---------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.12 1.04 0.86 0.75 0.68 0.62
Modified Duration (years) 2.66 0.98 0.81 0.71 0.64 0.59
First Principal Payment 3/20/98 3/20/98 3/20/98 3/20/98 3/20/98 3/20/98
Last Principal Payment 12/20/04 3/20/00 9/20/99 6/20/99 4/20/99 2/20/99
Principal Lockout (months) none none none none none none
Principal Window (months) 82 25 19 16 14 12
Illustrative Yield @ Par (30/360) 5.956% 5.942% 5.936% 5.935% 5.936% 5.935%
- ----------------------------------------------------------------------------------------
Class A-2 (to maturity)
- ----------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- ----------------------------------------------------------------------------------------
Average Life (years) 9.33 3.28 2.46 2.00 1.71 1.50
Modified Duration (years) 6.84 2.87 2.21 1.83 1.57 1.39
First Principal Payment 12/20/04 3/20/00 9/20/99 6/20/99 4/20/99 2/20/99
Last Principal Payment 8/20/09 8/20/02 6/20/01 10/20/00 5/20/00 1/20/00
Principal Lockout (months) 81 24 18 15 13 11
Principal Window (months) 57 30 22 17 14 12
Illustrative Yield @ Par (30/360) 6.365% 6.298% 6.263% 6.231% 6.202% 6.175%
- ----------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 12.28 5.05 3.76 3.00 2.51 2.17
Modified Duration (years) 8.29 4.20 3.25 2.66 2 26 1.97
First Principal Payment 8/20/09 8/20/02 6/20/01 10/20/00 5/20/00 1/20/00
Last Principal Payment 1/20/11 9/20/03 4/20/02 5/20/01 11/20/00 6/20/00
Principal Lockout (months) 137 53 39 31 26 22
Principal Window (months) 18 14 11 8 7 6
Illustrative Yield @ Par (30/360) 6.445% 6.406% 6.382% 6.359% 6.337% 6.315%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Class A-4 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.16 6.73 5.03 4.00 3.32 2.84
Modified Duration (years) 8.99 5.29 4.16 3.42 2.90 2.52
First Principal Payment 1/20/11 9/20/03 4/20/02 5/20/01 11/20/00 6/20/00
Last Principal Payment 3/20/15 4/20/07 2/20/05 9/20/03 9/20/02 1/20/02
Principal Lockout (months) 154 66 49 38 32 27
Principal Window (months) 51 44 35 29 23 20
Illustrative Yield @ Par (30/360) 6.581% 6.554% 6.537% 6.519% 6.501 6.483%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Class A-5 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 18.94 11.20 8.71 7.00 5.79 4.92
Modified Duration (years) 10.22 7.53 6.32 5.36 4.62 4.04
First Principal Payment 3/20/15 4/20/07 2/20/05 9/20/03 9/20/02 1/20/02
Last Principal Payment 12/20/18 7/20/11 10/20/08 10/20/06 5/20/05 3/20/04
Principal Lockout (months) 204 109 83 66 54 46
Principal Window (months) 46 52 45 38 33 27
Illustrative Yield @ Par (30/360) 7.046% 7.033% 7.024% 7.014% 7.003% 6.991%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
Class A-6 (to maturity)
- ---------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 23.11 17.79 15.06 12.72 10.82 9.32
Modified Duration (years) 10.92 9.64 8.79 7.94 7.16 6.46
First Principal Payment 12/20/18 7/20/11 10/20/08 10/20/06 10/20/05 3/20/04
Last Principal Payment 12/20/22 7/20/22 10/20/21 2/20/20 9/20/17 8/20/15
Principal Lockout (months) 249 160 127 103 86 72
Principal Window (months) 49 133 157 161 149 138
Illustrative Yield @ Par
(30/360) 7.308% 7.319% 7.326% 7.328% 7.330% 7.329%
- --------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Class M-1 (to maturity)
- --------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.01 13.31 10.82 8.94 7.52 6.44
Modified Duration (years) 9.98 7.92 6.91 6.06 5.35 4.77
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 12/20/22 6/20/22 6/20/21 7/20/19 2/20/17 12/20/14
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 125 206 216 207 187 166
Illustrative Yield @ Par
(30/360) 7.590% 7.587% 7.586% 7.582% 7.578% 7.572%
- --------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Class M-2 (to maturity)
- --------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.01 13.31 10.81 8.91 7.50 6.42
Modified Duration (years) 9.82 7.82 6.84 6.00 5.30 4.72
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 11/20/22 2/20/22 9/20/20 3/20/18 12/20/15 9/20/13
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 124 202 207 191 173 151
Illustrative Yield @ Par
(30/360) 7.795% 7.792% 7.790% 7.785% 7.781% 7.774%
- --------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
Class B-1 (to maturity)
- -----------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.00 13.28 10.76 8.87 7.44 6.37
Modified Duration (years) 9.35 7.52 6.61 5.81 5.15 4.60
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 11/20/22 9/20/21 11/20/19 5/20/17 12/20/14 9/20/12
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 124 197 197 181 161 139
Illustrative Yield @ Par (30/360) 8.441% 8.436% 8.433% 8.427% 8.421% 8.413%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
** Class A-6 (to 10% clean-up call)
- -----------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 22.69 16.29 13.29 11.06 9.28 7.94
Modified Duration (years) 10.84 9.28 8.28 7.38 6.54 5.85
First Principal Payment 12/20/18 7/20/11 10/20/08 10/20/06 5/20/05 3/20/04
Last Principal Payment 5/20/21 8/20/15 5/20/12 2/20/10 3/20/08 10/20/06
Principal Lockout (months) 249 160 127 103 86 72
Principal Window (months) 30 50 44 41 35 32
Illustrative Yield @ Par (30/360) 7.305% 7.299% 7.294% 7.288% 7.282% 7.275%
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
** Class M-1 (to 10% clean-up call)
- -----------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.83 12.69 10.09 8.25 6.88 5.87
Modified Duration (years) 9.95 7.77 6.70 5.83 5.10 4.52
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 5/20/21 8/20/15 5/20/12 2/20/10 3/20/08 10/20/06
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 106 124 107 94 80 68
Illustrative Yield @ Par (30/360) 7.589% 7.578% 7.569% 7.561% 7.551% 7.541%
- ------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<PAGE>
** Class M-2 (to 10% clean-up call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.83 12.69 10.09 8.25 6.88 5.87
Modified Duration (years) 9.80 7.68 6.64 5.78 5.06 4.49
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 5/20/21 8/20/15 5/20/12 2/20/10 3/20/08 10/20/06
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 106 124 107 94 80 68
Illustrative Yield @ Par (30/360) 7.793% 7.782% 7.774% 7.765% 7.755% 7.744%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
** Class B-1 (to 10% clean-up call)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0.00% 7.50% 11.25% 15.00% 18.75% 22.50%
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.83 12.69 10.09 8.25 6.88 5.87
Modified Duration (years) 9.33 7.41 6.44 5.63 4.95 4.40
First Principal Payment 8/20/12 5/20/05 7/20/03 5/20/02 8/20/01 3/20/01
Last Principal Payment 5/20/21 8/20/15 5/20/12 2/20/10 3/20/08 10/20/06
Principal Lockout (months) 173 86 64 50 41 36
Principal Window (months) 106 124 107 94 80 68
Illustrative Yield @ Par (30/360) 8.439% 8.427% 8.418% 8.408% 8.397% 8.386%
- --------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
