- --------------------------------------------------------------------------------
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): September 22, 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 (I.R.S. Employer
of Incorporation) File Number) Identification No.)
245 Park Avenue
New York, New York 10167
- ---------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-4095
----- --------
- --------------------------------------------------------------------------------
Item 5. Other Events.
- ---- ------------
Filing of Computational Materials
- ---------------------------------
In connection with the proposed offering of the Champion Home Equity Loan
Trust 1998-1 Home Equity Loan Asset-Backed Certificates, Series 1998-1, Class
A-1 and Class A-2 Certificates (the "Certificates"), Bear, Stearns & Co. Inc.
and Key Capital Markets, Inc., as the underwriters (the "Underwriters") have
prepared certain materials (the "Series Term Sheet" including the "Computational
Materials") for distribution to their potential investors. Bear Stearns Asset
Backed Securities, Inc. did not participate in the preparation of the
Computational Materials.
For purposes of this Form 8-K, Computational Materials shall mean computer
generated tables and/or charts displaying, with respect to the Certificates, any
of the following: yield; average life; duration, expected maturity; interest
rate sensitivity; loss sensitivity; cash flow characteristics; background
information regarding the mortgage loans; the proposed structure; decrement
tables; or similar information (tabular or otherwise) of a statistical,
mathematical, tabular or computational nature. The Series Term Sheet including
Computational Materials distributed by Bear, Stearns & Co. Inc. and Key Capital
Markets, Inc. are attached hereto as Exhibit 99.1 and Exhibit 99.2,
respectively.
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 The Series Term Sheet including Computational Materials
distributed by Bear Stearns & Co. Inc., filed on Form 8-K dated
September 22, 1998.
99.2 The Series Term Sheet including Computational Materials
distributed by Key Capital Markets, Inc., filed on Form 8-K dated
September 22, 1998.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as
amended, the registrant has duly caused this report to be signed on its behalf
by the undersigned hereunto duly authorized.
BEAR STEARNS ASSET BACKED
SECURITIES, INC.
By: /s/ Matthew E. Perkins
--------------------------
Name: Matthew E. Perkins
Title: Vice President
Dated: September 24, 1998
Exhibit Index
- -------------
Exhibit Page
- ------- ----
99.1 The Series Term Sheet including Computational
Materials distributed by Bear Stearns & Co. Inc.,
filed on Form 8-K dated September 22, 1998
99.2 The Series Term Sheet including Computational
Materials distributed by Key Capital Markets, Inc.,
filed on Form 8-K dated September 22, 1998
<PAGE>
Exhibit 99.1
------------
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax
FAX TRANSMITTAL
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Fax to: Date:
Company: # Pages (incl. cover): 18
Fax No: Phone No:
From: Phone No:
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 resets, 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 (e) 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.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 1 of 5)
Lead Manager Bear Stearns
Co-Managers: Key Capital Markets, Inc.
Seller and Servicer: Champion Mortgage Co., Inc.
Depositor: Bear Stearns Asset Backed Securities, Inc.
Trustee: Harris Trust and Savings Bank
Offered Certificates: $321,000,000 Champion Home Equity Loan Pass-Through
Certificates, Series 1998-1 to be issued in the
following classes:
<TABLE>
<CAPTION>
Final
Average Principal Principal Scheduled Expected
Offered Approximate Life to Lockout Window Distribution Ratings
Certificates Class Size Call (years) (months) (months) Date (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C>
Class A-1 $300,000,000 3.38 none 122 9/25/28 AAA/Aaa
Class A-2 $ 21,000,000(a) N/A N/A N/A 9/25/01 AAAr/Aaa
</TABLE>
Note: (a) Notional Balance.
Other Certificates: In addition to the Offered Certificates, the Trust will
issue two classes of residual certificates (the
"Residual Certificates"). The Residual Certificates are
not being offered hereby.
Registration: The Offered Certificates will be available in book-entry
form through DTC, Cedel Bank, S.A. and the Euroclear
System.
Cut-off Date: September 1, 1998.
Closing Date: On or about September [30], 1998.
Distribution Date: 25th day of each month (or the next succeeding business
day), commencing October 25, 1998.
Delay: Class A-1 (0 days); Class A-2: (24 days).
Denominations: The Offered Certificates are issuable in minimum
denominations of an original amount of $25,000 and
multiples of $1,000 thereafter.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 2 of 5)
The Class A-1
Certificate Rate: On each Distribution Date, the "Class A-1 Certificate
Rate" will be equal to the lesser of (x) with respect to
any Distribution Date which occurs on or prior to the
date on which the Optional Termination may be exercised,
One-Month LIBOR plus __% per annum (the "Class A-1
Formula Rate"), and for any Distribution Date thereafter
One-Month LIBOR plus __% per annum, and (y) the Net
Funds Cap. Interest will accrue on the Class A-1
Certificates at the Class A-1 Certificate Rate from the
Distribution Date in the month preceding the month of
such Distribution Date (or, in the case of the first
Distribution Date, from the Closing Date) through the
day before such Distribution Date, on an actual/360-day
basis.
Net Funds Cap: The "Net Funds Cap" is equal to, as a percentage of the
Class A-1 Certificate Principal Balance, (1) the
interest due on the Mortgage Loans, less (2) the sum of
(a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the
Class A-2 Interest Distribution, and after month [36],
zero.
The Class A-2
Certificate Rate: On each Distribution Date, the "Class A-2 Certificate
Rate" will be equal to [8.12]%. Interest will accrue on
the Class A-2 Certificates at a fixed rate during the
calendar month prior to the month of the related
Distribution Date on a 30/360-day basis.
The Class A-2
Notional Balance: Interest will be calculated on the Class A-2
Certificates on each Distribution Date on the basis of a
"Notional Principal Balance" equal to, for the first
[36] Distribution Dates, the lesser of (a) the Pool
Balance as of first day of the related collection period
and (b) $[21,000,000], and thereafter, zero.
The Mortgage Loans: The Mortgage Loans to be included in the Trust on the
Closing Date will consist of non-conforming, closed-end,
fixed-rate home equity loans.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
Champion Home Equity LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 3 of 5)
Credit Enhancement: Credit enhancement with respect to the Certificates will
be provided by (a) the overcollateralization mechanics
which utilize excess interest created by the internal
cashflows of the pool, (b) excess interest (if any)
remaining after the required overcollateralization level
is reached, and (c) the MBIA Insurance Policy.
Overcollateralization: The required application of the
cashflow from the pool results in a limited acceleration
of the Class A-1 Certificates relative to the
amortization of the Mortgage Loans in the early months
of the transaction. The accelerated amortization is
achieved by the application of certain excess interest
to the payment in reduction of the Class A-1 Certificate
Principal Balance. This acceleration feature creates
overcollateralization (i.e., the excess of the aggregate
outstanding principal balance of the mortgage loans (the
"Pool Principal Balance") over the Class A-1 Certificate
Principal Balance). Once the required level of
overcollateralization is reached, and subject to the
provisions below, the acceleration feature will cease
unless needed to maintain the required level of
overcollateralization. The Pooling and Servicing
Agreement provides that, subject to certain floors, caps
and triggers, the required level of
overcollateralization may increase or decrease over
time.
MBIA Insurance Policy: MBIA Insurance Corporation (the
"Certificate Insurer" or "MBIA") will unconditionally
and irrevocably guarantee the timely payment of interest
and ultimate payment of principal on the Certificates
(i.e., after any losses reduce the overcollateralization
to zero, MBIA will cover the excess, if any, of the
Class A-1 Certificate Principal Balance over the Pool
Principal Balance). The Insurance Policy is not
cancelable for any reason.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 4 of 5)
Payment and Distribution
Priorities:
(1) The Trustee fees and expenses and the MBIA
premium;
(2) Concurrently, to the holders of the Class A-1 and
Class A-2 Certificates, the related Class Interest
Distribution;
(3) To the holders of the Class A-1 Certificates, the
Class A-1 Principal Distribution Amount;
(4) To MBIA, amounts owed for reimbursement of any
prior draws on the Insurance Policy;
(5) To the holders of the Class A-1 Certificates,
until the Class A-1 Principal Balance has been
reduced to zero, to the extent of available funds
remaining, the Distributable Excess Spread for
such Distribution Date;
(6) To the Servicer, any accrued and unpaid Servicing
Fees;
(7) To the Servicer, any unreimbursed Nonrecoverable
Advances;
(8) To MBIA, any other amounts owing to MBIA under the
Insurance Agreement;
(9) To the holders of the Residual Certificates, any
remaining amounts.
Optional Termination: At the option of the Servicer, after the Pool Principal
Balance is less than 5% of the aggregate principal
balance of the Mortgage Loans as of the Cut-off Date,
the Servicer will have the right, under limited
circumstances, to purchase all of the Mortgage Loans
from the Trustee and thereby effect a termination of the
Trust.
Servicing/Other Fees: The collateral is subject to certain fees, payable
monthly, including a servicing fee of 0.40% per annum
(so long as Champion is the servicer; otherwise, 0.50%)
(the "Servicing Fee"), the MBIA Insurance Premium, and
the trustee fees.
Advancing by Servicer: The Servicer is required to advance from its own funds
any delinquent payment of interest (but not principal)
unless such interest is deemed to be non-recoverable
(the "Monthly Advances").
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 5 of 5)
Federal Tax Aspects: The Trust will include multiple segregated asset pools,
with respect to which elections will be made to treat
each as a separate "real estate mortgage investment
conduit" ("REMIC"). The Offered Certificates will
represent ownership in "regular interests" in the Master
REMIC and will be treated as debt instruments of the
Master REMIC for federal income tax purposes with
payment terms equivalent to the terms of such
Certificates. In addition, a portion of the interest due
on the Class A-1 Certificates will be treated as having
been paid pursuant to an interest-rate cap agreement
(for tax purposes) and not as a REMIC regular interest.
The Residual Certificates will constitute the sole class
of "residual interests" in the Master REMIC and the sole
class of "residual interests" in any Subsidiary REMIC.
Investors are advised to consult their tax advisors and
to review the Prospectus and Prospectus Supplement.
ERISA Considerations: Subject to the discussion in the Prospectus and
Prospectus Supplement, the Certificates may be purchased
by employee benefit plans that are subject to ERISA.
SMMEA Eligibility: The Certificates will not constitute "mortgage-related
securities" for purposes of SMMEA.
Prospectus: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Additional information
with respect to the Offered Certificates and the
collateral 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 Offered Certificates may not be consummated unless
the purchaser has received the Prospectus.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 1 of 5)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/l/98):
<TABLE>
<S> <C> <C>
TOTAL NUMBER OF LOANS: 4,620
TOTAL OUTSTANDING LOAN BALANCE: $300,034,624
BALLOON (% OF TOTAL): 32.77%
LEVEL PAY (% OF TOTAL): 67.23%
AVERAGE LOAN PRINCIPAL BALANCE: $64,943 ($7,414 to $226,776)
WEIGHTED AVERAGE CLTV: 68.30% (4.18% to 89.99%)
% OF POOL WITH LTVs > 85%: 0.02%
WEIGHTED AVERAGE COUPON: 10.63% (9.25% to 13.99%)
WEIGHTED AVERAGE REMAINING TERM TO MATURITY (MONTHS): 197 (50 to 360)
WEIGHTED AVERAGE SEASONING (MONTHS): 5 (0 to 10)
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 202 (60 to 360)
RANGE OF ORIGINAL TERMS: LEVEL PAY BALLOON
-------------------- -----------------------
Up to 60: 0.61% 121 -180: 32.77%
61 -120: 6.04%
121 -180: 23.85%
181 - 240: 33.41%
301 - 360: 3.33%
</TABLE>
<TABLE>
<S> <C> <C>
LIEN POSITION: 1st Lien: 80.80%
2nd Lien: 19.20%
PROPERTY TYPE: Single Family Detached: 78.03%
Single Family Attached: 8.35%
2-4 Family: 10.56%
Condominium/Townhouse: 2.71%
Other: 0.35%
OCCUPANCY STATUS: Owner Occupied: 94.47%
Non-Owner Occupied: 5.53%
</TABLE>
<TABLE>
<S> <C> <C> <C>
GEOGRAPHIC DISTRIBUTION: NJ: 33.62% MD: 5.37%
(states not listed individually account NY: 33.48%
for less than 5.00% of the Mortgage PA: 9.87%
Loan principal balance) MA: 6.30%
CREDIT QUALITY: A: 73.43%
per Issuer's guidelines B: 13.65%
C: 9.88%
D: 3.04%
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 2 of 5)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/l/98):
GEOGRAPHIC DISTRIBUTION OF PROPERTIES
<TABLE>
<CAPTION>
NUMBER OF HOME AGGREGATE % OF AGGREGATE
STATE EQUITY LOANS LOAN BALANCE LOAN BALANCE
------------------------ ---------------- ------------------- --------------
<S> <C> <C> <C>
Colorado 6 379,965.00 0.13
Connecticut 165 11,239,489.77 3.75
Delaware 19 1,152,113.42 0.38
District of Columbia 35 2,576,207.52 0.86
Illinois 52 4,088,937.79 1.36
Maryland 287 16,104,561.56 5.37
Massachusetts 270 18,903,282.42 6.30
New Hampshire 8 405,386.00 0.14
New Jersey 1574 100,859,419.14 33.62
New York 1409 100,461,662.07 33.48
Pennsylvania 563 29,608,840.38 9.87
Rhode Island 128 6,779,641.64 2.26
Virginia 104 7,475,117.39 2.49
TOTAL 4,620 $300,034,624.10 100.00%
</TABLE>
COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
RANGE OF NUMBER OF HOME AGGREGATE % OF AGGREGATE
ORIGINAL CLTV'S EQUITY LOANS LOAN BALANCE LOAN BALANCE
---------------------- ---------------- ------------------- --------------
<S> <C> <C> <C>
Up to 5.00 3 $51,005.67 0.02%
5.01 to 10.00% 42 693,143.60 0.23
10.01 to 15.00 79 1,778,521.03 0.59
15.01 to 20.00 135 3,774,750.21 1.26
20.01 to 25.00 145 4,945,901.91 1.65
25.01 to 30.00 150 5,921,749.77 1.97
30.01 to 35.00 158 6,858,903.01 2.29
35.01 to 40.00 189 8,802,803.89 2.93
40.01 to 45.00 141 7,475,476.90 2.49
45.01 to 50.00 185 10,631,680.30 3.54
50.01 to 55.00 163 9,892,272.36 3.30
55.01 to 60.00 197 13,776,424.42 4.59
60.01 to 65.00 216 14,289,457.71 4.76
65.01 to 70.00 351 24,470,283.47 8.16
70.01 to 75.00 413 28,853,867.30 9.62
75.01 to 80.00 1403 111,686,370.66 37.22
80.01 to 85.00 649 46,085,988.71 15.36
85.01 to 90.00 1 46,023.18 0.02
------------------- ----------------------- ----------------------
TOTAL 4,620 $300,034,624.10 100.00%
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 3 of 5)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/l/98):
CUT-OFF DATE COUPON RATES
<TABLE>
<CAPTION>
RANGE OF NUMBER OF HOME AGGREGATE % OF AGGREGATE
COUPON RATES EQUITY LOANS LOAN BALANCE LOAN BALANCE
- ---------------------------- ----------------------- ------------------- --------------------
<S> <C> <C> <C>
9.001 to 10.000% 1471 $124,437,510.01 41.47%
10.001 to 11.000 1,339 89,725,299.34 29.90
11.001 to 12.000 790 45,386,727.65 15.13
12.001 to 13.000 625 26,806,291.82 8.93
13.001 to 14.000 395 13,678,795.28 4.56
----------------------- ------------------- --------------------
Total 4,620 $300,034,624.10 100.00%
</TABLE>
CUT-OFF DATE LOAN BALANCE
<TABLE>
<CAPTION>
CUT-OFF DATE NUMBER OF HOME AGGREGATE % OF AGGREGATE
LOAN BALANCES EQUITY LOANS LOAN BALANCE LOAN BALANCE
- ---------------------------- ----------------------- ------------------- --------------------
<S> <C> <C> <C> <C>
Up to $25,000.00 953 $17,263,703.21 5.75%
25,000.01 to 50,000.00 1,340 49,415,064.80 16.47
50,000.01 to 75,000.00 801 49,610,601.74 16.53
75,000.01 to 100,000.00 536 46,877,858.97 15.62
100,000.01 to 125,000.00 433 48,847,919.87 16.28
125,000.01 to 150,000.00 282 38,576,702.32 12.86
150,000.01 to 175,000.00 135 21,900,399.00 7.30
175,000.01 to 200,000.00 92 17,279,834.96 5.76
200,000.01 to 225,000.00 47 10,035,762.94 3.34
200,000.01 to 250,000.00 1 226,776.29 0.08
Total 4,620 $300,034,624.10 100.00%
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 4 of 5)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/l/98):
DISTRIBUTION OF MONTHS SINCE ORIGINATION
<TABLE>
<CAPTION>
NUMBER OF MONTHS NUMBER OF HOME AGGREGATE % OF AGGREGATE
SINCE ORIGINATION EQUITY LOANS LOAN BALANCE LOAN BALANCE
<S> <C> <C> <C>
0 to 1 780 $55,339,671.62 18.44%
2 to 12 3,840 244,694,952.48 81.56
Total 4,620 $300,034,624.10 100.00%
</TABLE>
DISTRIBUTION OF REMAINING TERM TO MATURITY
<TABLE>
<CAPTION>
MONTHS REMAINING NUMBER OF HOME AGGREGATE % OF AGGREGATE
TO MATURITY EQUITY LOANS LOAN BALANCE LOAN BALANCE
<S> <C> <C> <C>
Up to 120 671 $19,926,885.98 6.64%
121 to 180 2,569 169,873,815.90 56.62
181 to 240 1,275 100,243,011.52 33.41
301 to 360 105 9,990,910.70 3.33
Total 4,620 $300,034,624.10 100.00%
</TABLE>
DISTRIBUTION BY OCCUPANCY STATUS
<TABLE>
<CAPTION>
NUMBER OF HOME AGGREGATE % OF AGGREGATE
OCCUPANCY STATUS EQUITY LOANS LOAN BALANCE LOAN BALANCE
<S> <C> <C> <C>
Owner Occupied 4,343 $283,428,107.57 94.47%
Investor Owned 277 16,606,516.53 5.53
Total 4,620 $300,034,624.10 100.00%
</TABLE>
DISTRIBUTION BY LIEN POSITION
<TABLE>
<CAPTION>
NUMBER OF HOME AGGREGATE % OF AGGREGATE
LIEN POSITION EQUITY LOANS LOAN BALANCE LOAN BALANCE
<S> <C> <C> <C>
First Lien 3,103 $242,441,588.83 80.80%
Second Lien 1,517 57,593,035.27 19.20
Total 4,620 $300,034,624.10 100.00%
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 5 of 5)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
PRELIMINARY CHARACTERISTICS of THE MORTGAGE LOANS AS of THE CUT-OFF DATE
(9/1/98):
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED WEIGHTED WEIGHTED
AVG. AVG. AVG. AVG.
NUMBER OF HOME AGGREGATE % OF AGGREGATE WEIGHTED AVG. ORIGINAL REMAINING AMORTIZATION REMAINING
EQUITY LOANS LOAN BALANCE LOAN BALANCE GROSS COUPON TERM TERM TERM AMORTIZATION
TERM
<S> <C> <C> <C> <C> <C> <C> <C> <C>
TOTAL A CREDIT 3,364 $ 220,319,952.67 73.43% 10.238% 202 197 256 251
BALLOON 668 65,473,921.14 21.82 10.118% 180 176 360 356
0- 180 668 65,473,921.14 21.82 10.118% 180 176 360 356
FULLY AMORTIZING 2,696 154,846,031.53 51.61 10.289% 211 206 211 206
0-180 1,672 71,528,698.14 23.84 10.556% 165 160 165 160
181 or more 1,024 83,317,333.39 27.77 10.059% 251 246 251 246
TOTAL B CREDIT 646 40,959,656.87 13.65 11.257% 203 198 270 265
BALLOON 163 15,399,871.88 5.13 11.029% 180 176 360 356
0- 180 163 15,399,871.88 5.13 11.029% 180 176 360 356
FULLY AMORTIZING 483 25,559,784.99 8.52 11.395% 216 211 216 211
0-180 294 10,546,400.00 3.52 11.740% 165 160 165 160
181 or more 189 15,013,384.99 5.00 11.153% 252 247 252 247
TOTAL C CREDIT 494 29,629,996.15 9.88 12.015% 197 192 273 268
BALLOON 133 12,505,958.20 4.17 11.651% 180 176 360 356
0-180 133 12,505,958.20 4.17 11.651% 180 176 360 356
FULLY AMORTIZING 361 17,124,037.95 5.71 12.281% 209 204 209 204
0-180 228 8,099,078.09 2.70 12.658% 167 162 167 162
181 or more 133 9,024,959.86 3.01 11.943% 247 242 247 242
TOTAL D CREDIT 116 9,125,018.41 3.04 12.668% 200 195 297 293
BALLOON 47 4,937,105.52 1.65 12.678% 180 176 360 356
0- 180 47 4,937,105.52 1.65 12.678% 180 176 360 356
FULLY AMORTIZING 69 4,187,912.89 1.40 12.656% 223 218 223 218
0-180 35 1,309,668.91 0.44 12.723% 147 143 147 143
181 or more 34 2,878,243.98 0.96 12.626% 257 252 257 252
TOTAL 4,620 $ 300,034,624.10 100.00% 10.627% 202 197 261 256
</TABLE>
Note: Credit Grade per Champion's guidelines.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 1 of 7)
TRANSACTION SUMMARY (a)
<TABLE>
<CAPTION>
Estimated Estimated Estimated
Approximate Interest WAL Modified Principal Expected
Certificate Size Rate to Call Duration Window Ratings
(years) (years) (months) (Moody's/ S&P)
<S> <C> <C> <C> <C> <C>
A-1 $300,000,000 Floating (b)(c) 3.38 2.81 122 Aaa/AAA
A-2 (d) $21,000,000 8.12% 2.99 1.43 36 (e) Aaa/AAA
</TABLE>
Notes: (a) 115% Prepayment Assumption: 4.6-23% CPR in 12 months. Priced to
the 5% optional call.
(b) The spread to One-Month LIBOR will double on the Distribution Date
occurring after the date that the 5% optional call may be
exercised.
(c) On each Payment Date, the "Class A-1 Certificate Rate" will be
equal to the lesser of (x) One-Month LIBOR plus __% per annum, and
(y) the Net Funds Cap.
(d) The Class A-2 Certificate Rate will be equal to [8.12]%. Interest
will be calculated on the Class A-2 Certificates on each
Distribution Date on the basis of a "Notional Principal Balance"
equal to, for the first [36] Distribution Dates, the lesser of (a)
the Pool Balance as of the first day of the related collection
period and (b) $[21,000,000], and thereafter, zero.
(e) Represents interest payment window.
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- -------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 115% 150% 200%
Ramp to (by month 12) (CPR) 0% 10% 20% 23% 30% 40%
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Illustrative Yield (Par Price) 6.02% 6.02% 6.02% 6.02% 6.02% 6.02%
Average Life (years) 11.86 6.38 3.93 3.48 2.69 1.98
Modified Duration (years) 7.90 4.74 3.17 2.86 2.29 1.75
First Principal Payment 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
Last Principal Payment 10/25/26 12/25/17 5/25/14 5/25/13 1/25/12 8/25/08
Principal Lockout (months) None None None None None None
Principal Window (months) 337 231 188 176 160 119
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to 5% optional call)
- -------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 115% 150% 200%
Ramp to (by month 12) (CPR) 0% 10% 20% 23% 30% 40%
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Illustrative Yield (Par Price) 6.02% 6.02% 6.02% 6.02% 6.02% 6.02%
Average Life (years) 11.75 6.30 3.85 3.38 2.61 1.92
Modified Duration (years) 7.87 4.71 3.13 2.81 2.25 1.71
First Principal Payment 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
Last Principal Payment 8/25/17 5/25/13 3/25/10 11/25/08 8/25/06 6/25/04
Principal Lockout (months) None None None None None None
Principal Window (months) 227 176 138 122 95 69
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY Loan Trust 1998-1
Computational Materials: Information relating to the Certificates (page 2 of 7)
<TABLE>
<CAPTION>
Class A-2 (to maturity)
- -----------------------------------
% of Prepayment Assumption 115%----------------------------------------
Ramp from (CPR) 4.6% 30% 40% 50% 60%
Ramp to (by month 12) (CPR) 23.0% 30% 40% 50% 60%
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Illustrative Yield (Price 21.3833%) 6.78% 6.78% 6.78% 6.78% 6.65%
Average Life (years) 2.99 2.99 2.99 2.99 2.98
Modified Duration (years) 1.43 1.43 1.43 1.43 1.43
First Cashflow Payment 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
Last Cashflow Payment 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
Cashflow Lockout (months) None None None None None
Cashflow Window (months) 36 36 36 36 36
</TABLE>
Class A-2 (to 5% optional call)
<TABLE>
<CAPTION>
- -----------------------------------
% of Prepayment Assumption 115%----------------------------------------
Ramp from (CPR) 4.6% 30% 40% 50% 60%
Ramp to (by month 12) (CPR) 23.0% 30% 40% 50% 60%
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Illustrative Yield (Price 21.3833%) 6.78% 6.78% 6.78% 6.78% 6.65%
Average Life (years) 2.99 2.99 2.99 2.99 2.98
Modified Duration (years) 1.43 1.43 1.43 1.43 1.43
First Cashflow Payment 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
Last Cashflow Payment 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
Cashflow Lockout (months) None None None None None
Cashflow Window (months) 36 36 36 36 36
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY Loan Trust 1998-1
Computational Materials: Information relating to the Certificates (page 3 of 7)
NET FUNDS CAP ANALYSIS (a)
Class A-1
Period Distribution Net
Date Funds Cap
------------------------------------------
1 10/1/98 9.559%
2 11/1/98 9.590%
3 12/1/98 9.611%
4 1/1/99 9.624%
5 2/1/99 9.615%
6 3/1/99 9.605%
7 4/1/99 9.593%
8 5/1/99 9.580%
9 6/1/99 9.567%
10 7/1/99 9.554%
11 8/1/99 9.540%
12 9/1/99 9.525%
13 10/1/99 9.511%
14 11/1/99 9.496%
15 12/1/99 9.481%
16 1/1/00 9.465%
17 2/1/00 9.449%
18 3/1/00 9.432%
19 4/1/00 9.415%
20 5/1/00 9.398%
21 6/1/00 9.380%
22 7/1/00 9.362%
23 8/1/00 9.343%
24 9/1/00 9.324%
25 10/1/00 9.304%
26 11/1/00 9.284%
27 12/1/00 9.263%
28 1/1/01 9.242%
29 2/1/01 9.220%
30 3/1/01 9.198%
31 4/1/01 9.175%
32 5/1/01 9.151%
33 6/1/01 9.124%
34 7/1/01 9.095%
35 8/1/01 9.065%
36 9/1/01 9.035%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class A-1
Net Funds Cap is equal to, as a percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on the Mortgage Loans, less (2)
the sum of (a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 4 of 7)
NET FUNDS CAP ANALYSIS (a)
Class A-1
Period Distribution Net
Date Funds Cap
------------------------------------------
37 10/1/01 10.304%
38 11/1/01 10.304%
39 12/1/01 10.304%
40 1/1/02 10.303%
41 2/1/02 10.303%
42 3/1/02 10.303%
43 4/1/02 10.302%
44 5/1/02 10.302%
45 6/1/02 10.302%
46 7/1/02 10.301%
47 8/1/02 10.301%
48 9/1/02 10.301%
49 10/1/02 10.300%
50 11/1/02 10.300%
51 12/1/02 10.300%
52 1/1/03 10.299%
53 2/1/03 10.299%
54 3/1/03 10.298%
55 4/1/03 10.298%
56 5/1/03 10.297%
57 6/1/03 10.300%
58 7/1/03 10.304%
59 8/1/03 10.309%
60 9/1/03 10.313%
61 10/1/03 10.318%
62 11/1/03 10.323%
63 12/1/03 10.328%
64 1/1/04 10.333%
65 2/1/04 10.338%
66 3/1/04 10.344%
67 4/1/04 10.350%
68 5/1/04 10.355%
69 6/1/04 10.361%
70 7/1/04 10.368%
71 8/1/04 10.374%
72 9/1/04 10.380%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class A-1
Net Funds Cap is equal to, as a percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on the Mortgage Loans, less (2)
the sum of (a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 5 of 7)
NET FUNDS CAP ANALYSIS (a)
Class A-1
Period Distribution Net
Date Funds Cap
------------------------------------------
73 10/1/04 10.387%
74 11/1/04 10.394%
75 12/1/04 10.401%
76 1/1/05 10.408%
77 2/1/05 10.416%
78 3/1/05 10.424%
79 4/1/05 10.432%
80 5/1/05 10.440%
81 6/1/05 10.449%
82 7/1/05 10.457%
83 8/1/05 10.466%
84 9/1/05 10.476%
85 10/1/05 10.485%
86 11/1/05 10.495%
87 12/1/05 10.505%
88 1/1/06 10.516%
89 2/1/06 10.526%
90 3/1/06 10.538%
91 4/1/06 10.549%
92 5/1/06 10.561%
93 6/1/06 10.573%
94 7/1/06 10.586%
95 8/1/06 10.599%
96 9/1/06 10.612%
97 10/1/06 10.626%
98 11/1/06 10.641%
99 12/1/06 10.656%
100 1/1/07 10.671%
101 2/1/07 10.687%
102 3/1/07 10.703%
103 4/1/07 10.720%
104 5/1/07 10.737%
105 6/1/07 10.756%
106 7/1/07 10.774%
107 8/1/07 10.794%
108 9/1/07 10.814%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class A-1
Net Funds Cap is equal to, as a percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on the Mortgage Loans, less (2)
the sum of (a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 6 of 7)
NET FUNDS CAP ANALYSIS (a)
Class A-1
Period Distribution Net
Date Funds Cap
------------------------------------------
109 10/1/07 10.834%
110 11/1/07 10.855%
111 12/1/07 10.876%
112 1/1/08 10.899%
113 2/1/08 10.922%
114 3/1/08 10.946%
115 4/1/08 10.970%
116 5/1/08 10.996%
117 6/1/08 11.022%
118 7/1/08 11.049%
119 8/1/08 11.078%
120 9/1/08 11.107%
121 10/1/08 11.137%
122 11/1/08 11.168%
123 12/1/08 11.200%
124 1/1/09 11.234%
125 2/1/09 11.269%
126 3/1/09 11.305%
127 4/1/09 11.342%
128 5/1/09 11.381%
129 6/1/09 11.421%
130 7/1/09 11.463%
131 8/1/09 11.506%
132 9/1/09 11.551%
133 10/1/09 11.598%
134 11/1/09 11.646%
135 12/1/09 11.697%
136 1/1/10 11.750%
137 2/1/10 11.804%
138 3/1/10 11.861%
139 4/1/10 11.921%
140 5/1/10 11.983%
141 6/1/10 12.047%
142 7/1/10 12.115%
143 8/1/10 12.185%
144 9/1/10 12.259%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class A-1
Net Funds Cap is equal to, as a percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on the Mortgage Loans, less (2)
the sum of (a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 7 of 7)
NET FUNDS CAP ANALYSIS (a)
Class A-1
Period Distribution Net
Date Funds Cap
------------------------------------------
145 10/1/10 12.336%
146 11/1/10 12.416%
147 12/1/10 12.500%
148 1/1/11 12.589%
149 2/1/11 12.681%
150 3/1/11 12.778%
151 4/1/11 12.880%
152 5/1/11 12.987%
153 6/1/11 13.100%
154 7/1/11 13.219%
155 8/1/11 13.344%
156 9/1/11 13.476%
157 10/1/11 13.615%
158 11/1/11 13.763%
159 12/1/11 13.919%
160 1/1/12 14.084%
161 2/1/12 14.260%
162 3/1/12 14.447%
163 4/1/12 14.646%
164 5/1/12 14.858%
165 6/1/12 15.085%
166 7/1/12 15.327%
167 8/1/12 15.588%
168 9/1/12 15.867%
169 10/1/12 16.169%
170 11/1/12 16.494%
171 12/1/12 16.846%
172 1/1/13 17.229%
173 2/1/13 17.646%
174 3/1/13 18.102%
175 4/1/13 18.601%
176 5/1/13 19.152%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class A-1
Net Funds Cap is equal to, as a percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on the Mortgage Loans, less (2)
the sum of (a) the Servicing Fee, (b) the Trustee Fee, (c) the MBIA
Insurance Premium and (d) on or before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
Exhibit 99.2
------------
(Logo) KEY CAPITAL MARKETS, INC.
KEY CAPITAL MARKETS 127 PUBLIC SQUARE
CLEVELAND, OH 44114
(216) 689-0286; (216) 689-5287 FAX
FAX TRANSMITTAL
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Fax to: DATE: September 21, 1998
COMPANY: PAGES (INCL. COVER): 19
Fax No: PHONE No:
From: PHONE No: (216) 689-
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.
This Information does not constitute an offer to sell or a solicitation of an
offer to buy any of the securities referred to herein. Any investment decision
should be based only on the data in the prospectus and prospectus supplement
or private placement memorandum (the "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 and any further
explanation regarding the Information.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information. The
Information is subject to the same qualifications and assumptions, and you
should consider it only in the light of the same warnings, lack of assurances
and representations and other precautionary matters, as disclosed in the
Offering Documents. 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. The analyses in the Information
have been prepared on the basis of certain assumptions (including, in certain
cases, assumptions you have specified) regarding payments, interest rates,
losses and other matters, including, without limitation, the assumptions
described in the Offering Documents.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Key Capital Markets, Inc. or any affiliate. Key Capital Markets, Inc. and
any of its affiliates make no representation nor warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yields on the securities.
This Information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the Information contained
in the Offering Documents). None of the securities referred to in the
Information are insured or guaranteed by the Federal Deposit Insurance
Corporation or any other governmental agency nor have the securities been
approved or disapproved by the Securities and Exchange Commission, any state
securities commission, the Comptroller of the Currency of the United States,
the Federal Deposit Insurance Corporation or the Board of Governors of the
Federal Reserve System.
<PAGE>
Champion Home Equity Loan Trust 1998-1
Computational Materials: Preliminary Term Sheet (page 1 of 5)
- -------------------------------------------------------------------------------
LEAD MANAGER: BEAR STEARNS
CO-MANAGERS: Key Capital Markets, Inc.
SELLER AND SERVICER: Champion Mortgage Co., Inc.
DEPOSITOR: Bear Stearns Asset Backed Securities, Inc.
Trustee: Harris Trust and Savings Bank
OFFERED CERTIFICATES: $321,000,000 Champion Home Equity Loan Pass-Through
Certificates, Series 1998-1 to be issued in the
following classes:
<TABLE>
<CAPTION>
AVERAGE FINAL
LIFE TO PRINCIPAL PRINCIPAL SCHEDULED EXPECTED
OFFERED APPROXIMATE Call Lockout Window DISTRIBUTION RATINGS
CERTIFICATES CLASS SIZE (YEARS) (MONTHS) (months) Date (S&P /Moody's)
<S> <C> <C> <C> <C> <C> <C>
Class A-1 $300,000,000 3.38 none 122 9/25/28 AAA Aaa
Class A-2 $ 21,000,000 (a) N/A N/A N/A 9/25/01 AAAr Aaa
Note: (a) Notional Balance.
</TABLE>
OTHER CERTIFICATES: In addition to the Offered Certificates, the Trust
will issue two classes of residual certificates (the
" Residual Certificates"). The Residual Certificates
are not being offered hereby.
REGISTRATION: The Offered Certificates will be available in
book-entry form through DTC, Cedel Bank, S.A. and the
Euroclear System.
CUT-OFF DATE: September 1, 1998.
CLOSING DATE: On or about September [30], 1998.
DISTRIBUTION DATE: 25th day of each month (or the next succeeding
business day), commencing October 25, 1998.
Delay: Class A-1 (0 days); Class A-2: (24 days).
DENOMINATIONS: The Offered Certificates are issuable in minimum
denominations of an original amount of $25,000 and
multiples of $1,000 thereafter.
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
Champion Home Equity Loan Trust 1998-1
Computational Materials: Preliminary Term Sheet (page 2 of 5)
- -------------------------------------------------------------------------------
THE CLASS A-1 CERTIFICATE RATE: On each Distribution Date, the "Class A-1
Certificate Rate" will be equal to the
lesser of (x) with respect to any
Distribution Date which occurs on or prior
to the date on which the Optional
Termination may be exercised, One-Month
LIBOR plus _% per annum (the "Class A-1
Formula Rate"), and for any Distribution
Date thereafter One-Month LIBOR plus _% per
annum, and (y) the Net Funds Cap. Interest
will accrue on the Class A-1 Certificates
at the Class A-1 Certificate Rate from the
Distribution Date in the month preceding
the month of such Distribution Date (or, in
the case of the first Distribution Date,
from the Closing Date) through the day
before such Distribution Date, on an
actual/360-day basis.
NET FUNDS CAP: The "Net Funds Cap" is equal to, as a
percentage of the Class A-1 Certificate
Principal Balance, (1) the interest due on
the Mortgage Loans, less (2) the sum of (a)
the Servicing Fee, (b) the Trustee Fee, (c)
the MBIA Insurance Premium and (d) on or
before month [36], the Class A-2 Interest
Distribution, and after month [36], zero.
THE CLASS A-2 CERTIFICATE RATE: On each Distribution Date, the "Class A-2
Certificate Rate" will be equal to [8.12]%.
Interest will accrue on the Class A-2
Certificates at a fixed rate during the
calendar month prior to the month of the
related Distribution Date on a 30/360-day
basis.
THE CLASS A-2 NOTIONAL BALANCE: Interest will be calculated on the Class
A-2 Certificates on each Distribution Date
on the basis of a "Notional Principal
Balance" equal to, for the first [36]
Distribution Dates, the lesser of (a) the
Pool Balance as of first day of the related
collection period and (b) $[21,000,000],
and thereafter, zero.
THE MORTGAGE LOANS: The Mortgage Loans to be included in the
Trust on the Closing Date will consist of
non-conforming, closed-end, fixed-rate home
equity loans.
- ------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 3 of 5)
- ------------------------------------------------------------------------------
CREDIT ENHANCEMENT: Credit enhancement with respect to the
Certificates will be provided by (a) the
overcollateralization mechanics which
utilize excess interest created by the
internal cashflows of the pool, (b) excess
interest (if any) remaining after the
required overcollateralization level is
reached, and (c) the MBIA Insurance Policy.
OVERCOLLATERALIZATION: The required application of the cashflow
from the pool results in a limited
acceleration of the Class A-1 Certificates
relative to the amortization of the
Mortgage Loans in the early months of the
transaction. The accelerated amortization
is achieved by the application of certain
excess interest to the payment in reduction
of the Class A-1 Certificate Principal
Balance. This acceleration feature creates
overcollateralization (i.e., the excess of
the aggregate outstanding principal balance
of the mortgage loans (the "Pool Principal
Balance") over the Class A-1 Certificate
Principal Balance). Once the required level
of overcollateralization is reached, and
subject to the provisions below, the
acceleration feature will cease unless
needed to maintain the required level of
overcollateralization. The Pooling and
Servicing Agreement provides that, subject
to certain floors, caps and triggers, the
required level of overcollateralization may
increase or decrease over time.
MBIA INSURANCE POLICY: MBIA Insurance Corporation (the
"Certificate Insurer" or "MBIA") will
unconditionally and irrevocably guarantee
the timely payment of interest and ultimate
payment of principal on the Certificates
(i.e., after any losses reduce the
overcollateralization to zero, MBIA will
cover the excess, if any, of the Class A-1
Certificate Principal Balance over the Pool
Principal Balance). The Insurance Policy is
not cancelable for any reason.
- ------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 4 of 5)
- -----------------------------------------------------------------------------
PAYMENT AND DISTRIBUTION
PRIORITIES: (1) The Trustee fees and expenses and
the MBIA premium;
(2) Concurrently, to the holders of the
Class A-1 and Class A-2
Certificates, the related Class
Interest Distribution;
(3) To the holders of the Class A-1
Certificates, the Class A-1
Principal Distribution Amount;
(4) To MBIA, amounts owed for
reimbursement of any prior draws on
the Insurance Policy;
(5) To the holders of the Class A-1
Certificates, until the Class A-1
Principal Balance has been reduced
to zero, to the extent of available
funds remaining, the Distributable
Excess Spread for such Distribution
Date;
(6) To the Servicer, any accrued and
unpaid Servicing Fees;
(7) To the Servicer, any unreimbursed
Nonrecoverable Advances;
(8) To MBIA, any other amounts owing to
MBIA under the Insurance Agreement;
(9) To the holders of the Residual
Certificates, any remaining amounts.
OPTIONAL TERMINATION: At the option of the Servicer, after
the Pool Principal Balance is less
than 5% of the aggregate principal
balance of the Mortgage Loans as of
the Cut-off Date, the Servicer will
have the right, under limited
circumstances, to purchase all of
the Mortgage Loans from the Trustee
and thereby effect a termination of
the Trust.
SERVICING/OTHER FEES: The collateral is subject to certain
fees, payable monthly, including a
servicing fee of 0.40% per annum (so
long as Champion is the servicer;
otherwise, 0.50%) (the "Servicing
Fee"), the MBIA Insurance Premium,
and the trustee fees.
ADVANCING BY SERVICER: The Servicer is required to advance
from its own funds any delinquent
payment of interest (but not
principal) unless such interest is
deemed to be non-recoverable (the
"Monthly Advances").
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Preliminary Term Sheet (page 5 of 5)
- -------------------------------------------------------------------------------
FEDERAL TAX ASPECTS: The Trust will include multiple segregated asset
pools, with respect to which elections will be
made to treat each as a separate "real estate
mortgage investment conduit" ("REMIC"). The
Offered Certificates will represent ownership in
"regular interests" in the Master REMIC and will
be treated as debt instruments of the Master
REMIC for federal income tax purposes with
payment terms equivalent to the terms of such
Certificates. In addition, a portion of the
interest due on the Class A-1 Certificates will
be treated as having been paid pursuant to an
interest-rate cap agreement (for tax purposes)
and not as a REMIC regular interest. The
Residual Certificates will constitute the sole
class of "residual interests" in the Master
REMIC and the sole class of "residual interests"
in any Subsidiary REMIC. Investors are advised
to consult their tax advisors and to review the
Prospectus and Prospectus Supplement.
ERISA CONSIDERATIONS: Subject to the discussion in the Prospectus and
Prospectus Supplement, the Certificates may be
purchased by employee benefit plans that are
subject to ERISA.
SMMEA ELIGIBILITY: The Certificates will not constitute
---
"mortgage-related securities" for purposes of
SMMEA.
PROSPECTUS: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus
Supplement (together, the "Prospectus").
Additional information with respect to the
Offered Certificates and the collateral 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 Offered
Certificates may not be consummated unless the
purchaser has received the Prospectus.
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 1 of 5)
- -------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary Characteristics Of The Mortgage Loans As Of The Cut-off Date
(9/1/98):
<TABLE>
<CAPTION>
<S> <C> <C>
Total Number Of Loans: 4,620
Total Outstanding Loan Balance: $300,034,624
Balloon (% Of Total): 32.77%
Level Pay (% Of Total): 67.23%
Average Loan Principal Balance: $64,943 ($7,414 to $226,776)
Weighted Average CLTV: 68.30% (4.18% to 89.99%)
% Of Pool With LTVS > 85%: 0.02%
Weighted Average Coupon: 10.63% (9.25% to 13.99%)
Weighted Average Remaining Term To Maturity (Months): 197 (50 to 360)
Weighted Average Seasoning (Months): 5 (0 to 10)
Weighted Average Original Term (Months): 202 (60 to 360)
Range Of Original Terms: Level Pay Balloon
------------------------ ------------------
Up to 60: 0.61% 121 - 180: 32.77%
61 -120: 6.04%
121 -180: 23.85%
181 - 240: 33.41%
301 - 360: 3.33%
Lien Position: 1st Lien: 80.80%
2nd Lien: 19.20%
Property Type: Single Family Detached: 78.03%
Single Family Attached: 8.35%
2-4 Family: 10.56%
Condominium/Townhouse: 2.71%
Other: 0.35%
Occupancy Status: Owner Occupied: 94.47%
Non-Owner Occupied: 5.53%
Geographic Distribution: NJ: 33.62% MD: 5.37%
(states not listed individually account NY: 33.48%
for less than 5.00% of the Mortgage PA: 9.87%
Loan principal balance) MA: 6.30%
Credit Quality: A: 73.43%
per Issuer's guidelines 13: 13.65%
C: 9.88%
D: 3.04%
</TABLE>
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 2 of 5)
- -------------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/l/98):
GEOGRAPHIC DISTRIBUTION OF PROPERTIES
Number of Home Aggregate % Of Aggregate
State Equity Loans Loan Balance Loan Balance
Colorado 6 379,965.00 0.13
Connecticut 165 11,239,489.77 3.75
Delaware 19 1,152,113.42 0.38
District of Columbia 35 2,576,207.52 0.86
Illinois 52 4,088,937.79 1.36
Maryland 287 16,104,561.56 5.37
Massachusetts 270 18,903,282.42 6.30
New Hampshire 8 405,386.00 0.14
New Jersey 1574 100,859,419.14 33.62
New York 1409 100,461,662.07 33.48
Pennsylvania 563 29,608,840.38 9.87
Rhode Island 128 6,779,641.64 2.26
Virginia 104 7,475,117.39 2.49
------ --------------- ------
TOTAL 4,620 $300,034,624.10 100.00%
COMBINED LOAN-TO-VALUE RATIOS
Range Of Number Of Home Aggregate % of Aggregate
Original CLTV's Equity Loans Loan Balance Loan Balance
- --------------- -------------- ------------ --------------
Up to 5.00 3 $51,005.67 0.02%
5.01 to 10.00% 42 693,143.60 0.23
10.01 to 15.00 79 1,778,521.03 0.59
15.01 to 20.00 135 3,774,750.21 1.26
20.01 to 25.00 145 4,945,901.91 1.65
25.01 to 30.00 150 5,921,749.77 1.97
30.01 to 35.00 158 6,858,903.01 2.29
35.01 to 40.00 189 8,802,803.89 2.93
40.01 to 45.00 141 7,475,476.90 2.49
45.01 to 50.00 185 10,631,680.30 3.54
50.01 to 55.00 163 9,892,272.36 3.30
55.01 to 60.00 197 13,776,424.42 4.59
60.01 to 65.00 216 14,289,457.71 4.76
65.01 to 70.00 351 24,470,283.47 8.16
70.01 to 75.00 413 28,853,867.30 9.62
75.01 to 80.00 1403 111,686,370.66 37.22
80.01 to 85.00 649 46,085,988.71 15.36
85.01 to 90.00 1 46,023.18 0.02
TOTAL 4,620 $300,034,624.10 100.00%
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 3 of 5)
- -----------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/1/98):
CUT-OFF DATE COUPON RATES
Range of Number of Home Aggregate % of Aggregate
Coupon Rates Equity Loans Loan Balance Loan Balance
- ------------- ------------- --------------- --------------
9.001 to 10.000% 1471 $124,437,510.01 41.47%
10.001 to 11.000 1,339 89,725,299.34 29.90
11.001 to 12.000 790 45,386,727.65 15.13
12.001 to 13.000 625 26,806,291.82 8.93
13.001 to 14.000 395 13,678,795.28 4.56
TOTAL 4,620 $300,034,624.10 100.00%
CUT-OFF DATE LOAN BALANCE
Cut-Off Date Number of Home Aggregate % of Aggregate
Loan Balances Equity Loans Loan Balance Loan Balance
------------- --------------- -------------- --------------
Up to $25,000.00 953 $17,263,703.21 5.75%
25,000.01 to 50,000.00 1,340 49,415,064.80 16.47
50,000.01 to 75,000.00 801 49,610,601.74 16.53
75,000.01 to 100,000.00 536 46,877,858.97 15.62
100,000.01 to 125,000.00 433 48,847,919.87 16.28
125,000.01 to 150,000.00 282 38,576,702.32 12.86
150,000.01 to 175,000.00 135 21,900,399.00 7.30
175,000.01 to 200,000.00 92 17,279,834.96 5.76
200,000.01 to 225,000.00 47 10,035,762.94 3.34
200,000.01 to 250,000.00 1 226,776.29 0.08
Total 4,620 $300,034,624.10 100.00%
- -------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 4 of 5)
- -----------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/1/98):
Distribution of Months Since Origination
Number Of Months Number Of Home Aggregate % Of Aggregate
Since Origination Equity Loans Loan Balance Loan Balance
----------------- --------------- ------------- ---------------
0 to 1 780 $ 55,339,671.62 18.44%
2 to 12 3,840 244,694,952.48 81.56
Total 4,620 $300,034,624.10 100.00%
Distribution of Remaining Term to Maturity
Months Remaining Number Of Home Aggregate % of Aggregate
To Maturity Equity Loans Loan Balance Loan Balance
- ---------------- -------------- --------------- --------------
Up to 120 671 $ 19,926,885.98 6.64%
121 to 180 2,569 169,873,815.90 56.62
181 to 240 1,275 100,243,011.52 33.41
301 to 360 105 9,990,910.70 3.33
Total 4,620 $300,034,624.10 100.00%
Distribution by Occupancy Status
Number Of Home Aggregate % of Aggregate
Occupancy Status Equity Loans Loan Balance Loan Balance
- ---------------- -------------- --------------- --------------
Owner Occupied 4,343 $283,428,107.57 94.47%
Investor Owned 277 16,606,516.53 5.53
Total 4,620 $300,034,624.10 100.00%
Distribution by Lien Position
Number Of Home Aggregate % of Aggregate
Lien Position Equity Loans Loan Balance Loan Balance
- ------------- -------------- --------------- --------------
First Lien 3,103 $242,441,588.83 80.80%
Second Lien 1,517 57,593,035.27 19.20
Total 4,620 $300,034,624.10 100.00%
- -----------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information Relating to the Collateral (page 5 of 5)
- -----------------------------------------------------------------------------
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
FIXED RATE MORTGAGE LOANS
Preliminary characteristics of the Mortgage Loans as of the Cut-Off Date
(9/1/98):
<TABLE>
<CAPTION>
Weighted Avg.
Number of Home Aggregate % of Aggregate Weighted Avg. Original
Equity Loans Loan Balance Loan Balance Gross Coupon Term
--------------- -------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
TOTAL A CREDIT 3,364 $220,319,952.67 73.43% 10.238% 202
BALLOON 668 65,473,921.14 21.82 10.118% 180
0-180 668 65,473,921.14 21.82 10.118% 180
FULLY AMORTIZING 2,696 154,846,031.53 51.61 10.289% 211
0- 180 1,672 71,528,698.14 23.84 10.556% 165
181 or more 1,024 83,317,333.39 27.77 10.059% 251
TOTAL B CREDIT 646 40,959,656.87 13.65 11.257% 203
BALLOON 163 15,399,871.88 5.13 11.029% 180
0-180 163 15,399,871.88 5.13 11.029% 180
FULLY AMORTIZING 483 25,559,784.99 8.52 11.395% 216
0-180 294 10,546,400.00 3.52 11.740% 165
181 or more 189 15,013,384.99 5.00 11.153% 252
TOTAL C CREDIT 494 29,629,996.15 9.88 12.015% 197
BALLOON 133 12,505,958.20 4.17 11.651% 180
0-180 133 12,505,958.20 4.17 11.651% 180
FULLY AMORTIZING 361 17,124,037.95 5.71 12.281% 209
0-180 228 8,099,078.09 2.70 12.658% 167
181 or more 133 9,024,959.86 3.01 11.943% 247
TOTAL D CREDIT 116 9,125,018.41 3.04 12.668% 200
BALLOON 47 4,937,105.52 1.65 12.678% 180
0-180 47 4,937,105.52 1.65 12.678% 180
FULLY AMORTIZING 69 4,187,912.89 1.40 12.656% 223
0-180 35 1,309,668.91 0.44 12.723% 147
181 or more 34 2,878,243.98 0.96 12.626% 257
TOTAL 4,620 $300,034,624.10 100.00% 10.627% 202
Weighted Avg. Weighted Avg. Weighted Avg.
Remaining Amortization Remaining
Term Term Amortization Term
<S> <C> <C> <C>
TOTAL A CREDIT 197 256 251
BALLOON 176 360 356
0-180 176 360 356
FULLY AMORTIZING 206 211 206
0- 180 160 165 160
181 or more 246 251 246
TOTAL B CREDIT 198 270 265
BALLOON 176 360 356
0-180 176 360 356
FULLY AMORTIZING 211 216 211
0-180 160 165 160
181 or more 247 252 247
TOTAL C CREDIT 192 273 268
BALLOON 176 360 356
0-180 176 360 356
FULLY AMORTIZING 204 209 204
0-180 162 167 162
181 or more 242 247 242
TOTAL D CREDIT 195 297 293
BALLOON 176 360 356
0-180 176 360 356
FULLY AMORTIZING 218 223 218
0-180 143 147 143
181 or more 252 257 252
TOTAL 197 261 256
Note: Credit Grade per Champion's guidelines.
</TABLE>
- -----------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 1 of 7)
- -------------------------------------------------------------------------------
TRANSACTION SUMMARY (a)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
Estimated Estimated Estimated
Wal Modified Principal Expected
Approximate Interest To Call Duration Window Ratings
Certificate Size Rate (Years) (Years) (Months) (Moody's/S&P)
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $300,000,000 Floating (b)(c) 3.38 2.81 122 Aaa/AAA
A-2 (d) $21,000,000 8.12% 2.99 1.43 36(e) Aaa/AAA
- ----------------------------------------------------------------------------------------------
</TABLE>
NOTES: (a) 115% Prepayment Assumption: 4.6-23% CPR in 12 months. Priced
to the 5% optional call.
(b) The spread to One-Month LIBOR will double on the
Distribution Date occurring after the date that the 5%
optional call may be exercised.
(c) On each Payment Date, the "Class A-1 Certificate Rate" will
be equal to the lesser of (x) One-Month LIBOR plus % per
-
annum, and (y) the Net Funds Cap.
(d) The Class A-2 Certificate Rate will be equal to [8.12]%.
Interest will be calculated on the Class A-2 Certificates on
each Distribution Date on the basis of a "Notional Principal
Balance" equal to, for the first [36] Distribution Dates,
the lesser of (a) the Pool Balance as of the first day of
the related collection period and (b) $[21,000,000], and
thereafter, zero.
(e) Represents interest payment window.
CLASS A-1 (TO MATURITY)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 115% 150% 200%
Ramp To (By Month 12)(CPR) 0% 10% 20% 23% 30% 40%
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ILLUSTRATIVE YIELD (PAR PRICE) 6.02% 6.02% 6.02% 6.02% 6.02% 6.02%
AVERAGE LIFE (YEARS) 11.86 6.38 3.93 3.48 2.69 1.98
MODIFIED DURATION (YEARS) 7.90 4.74 3.17 2.86 2.29 1.75
FIRST PRINCIPAL PAYMENT 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
LAST PRINCIPAL PAYMENT 10/25/26 12/25/17 5/25/14 5/25/13 1/25/12 8/25/08
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None
PRINCIPAL WINDOW (MONTHS) 337 231 188 176 160 119
- ------------------------------------------------------------------------------------------------------
</TABLE>
CLASS A-1 (TO 5% OPTIONAL CALL)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 100% 115% 150% 200%
RAMP TO (BY MONTH 12)(CPR) 0% 10% 20% 23% 30% 40%
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ILLUSTRATIVE YIELD (PAR PRICE) 6.02% 6.02% 6.02% 6.02% 6.02% 6.02%
AVERAGE LIFE (YEARS) 11.75 6.30 3.85 3.38 2.61 1.92
MODIFIED DURATION (YEARS) 7.87 4.71 3.13 2.81 2.25 1.71
FIRST PRINCIPAL PAYMENT 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
LAST PRINCIPAL PAYMENT 8/25/17 5/25/13 3/25/10 11/25/08 8/25/06 6/25/04
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None
PRINCIPAL WINDOW (MONTHS) 227 176 138 122 95 69
- ------------------------------------------------------------------------------------------------------
</TABLE>
- ------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 2 of 7)
- -------------------------------------------------------------------------------
CLASS A-2 (TO MATURITY)
<TABLE>
<CAPTION>
- -----------------------------------------------
% OF PREPAYMENT ASSUMPTION 115% -------------------------------------------
RAMP FROM (CPR) 4.6% 30% 40% 50% 60%
RAMP TO (BY MONTH 12)(CPR) 23.0% 30% 40% 50% 60%
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ILLUSTRATIVE YIELD (PRICE 21.3833%) 6.78% 6.78% 6.78% 6.78% 6.65%
AVERAGE LIFE (YEARS) 2.99 2.99 2.99 2.99 2.98
MODIFIED DURATION (YEARS) 1.43 1.43 1.43 1.43 1.43
FIRST CASHFLOW PAYMENT 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
LAST CASHFLOW PAYMENT 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
CASHFLOW LOCKOUT (MONTHS) NONE None None None None
CASHFLOW WINDOW (MONTHS) 361 36 36 36 36
- ---------------------------------------------------------------------------------------------
</TABLE>
CLASS A-2 (TO 5% OPTIONAL CALL)
<TABLE>
<CAPTION>
- -----------------------------------------------
% OF PREPAYMENT ASSUMPTION 115% -------------------------------------------
RAMP FROM (CPR) 4.6% 30% 40% 50% 60%
RAMP TO (BY MONTH 12)(CPR) 23.0% 30% 40% 50% 60%
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ILLUSTRATIVE YIELD (PRICE 21.3833%) 6.78% 6.78% 6.78% 6.78% 6.65%
AVERAGE LIFE (YEARS) 2.99 2.99 2.99 2.99 2.98
MODIFIED DURATION (YEARS) 1.43 1.43 1.43 1.43 1.43
FIRST CASHFLOW PAYMENT 10/25/98 10/25/98 10/25/98 10/25/98 10/25/98
LAST CASHFLOW PAYMENT 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
CASHFLOW LOCKOUT (MONTHS) NONE None None None None
CASHFLOW WINDOW (MONTHS) 36 36 36 36 36
- ---------------------------------------------------------------------------------------------
</TABLE>
- ------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
<PAGE>
CHAMPION HOME EQUITY LOAN TRUST 1998-1
Computational Materials: Information relating to the Certificates (page 3 of 7)
- -------------------------------------------------------------------------------
NET FUNDS CAP ANALYSIS (a)
- ---------------------------------------
CLASS A-1
PERIOD DISTRIBUTION NET
DATE FUNDS CAP
- ---------------------------------------
1 10/1/98 9.559%
2 ll/l/98 9.590%
3 12/l/98 9.611%
4 l/l/99 9.624%
5 2/l/99 9.615%
6 3/l/99 9.605%
7 4/l/99 9.593%
8 5/l/99 9.580%
9 6/l/99 9.567%
10 7/1/99 9.554%
11 8/l/99 9.540%
12 9/l/99 9.525%
13 10/1/99 9.511%
14 ll/l/99 9.496%
15 12/1/99 9.481%
16 1/l/00 9.465%
17 2/l/00 9.449%
18 3/l/00 9.432%
19 4/l/00 9.415%
20 5/1/00 9.398%
21 6/l/00 9.380%
22 7/l/00 9.362%
23 8/1/00 9.343%
24 9/l/00 9.324%
25 10/1/00 9.304%
26 11/1/00 9.284%
27 12/1/00 9.263%
28 1/1/01 9.242%
29 2/l/01 9.220%
30 3/l/01 9.198%
31 4/1/01 9.175%
32 5/1/01 9.151%
33 6/1/01 9.124%
34 7/l/01 9.095%
35 8/l/01 9.065%
36 9/1/01 9.035%
37 10/1/01 10.304%
38 11/1/01 10.304%
39 12/1/01 10.304%
40 1/l/02 10.303%
41 2/l/02 10.303%
42 3/l/02 10.303%
43 4/1/02 10.302%
44 5/l/02 10.302%
45 6/l/02 10.302%
46 7/l/02 10.301%
47 8/l/02 10.301%
48 9/l/02 10.301%
49 10/1/02 10.300%
50 11/1/02 10.300%
51 12/1/02 10.300%
52 1/1/03 10.299%
53 2/1/03 10.299%
54 3/1/03 10.298%
55 4/1/03 10.298%
56 5/1/03 10.297%
57 6/l/03 10.300%
58 7/1/03 10.304%
59 8/l/03 10.309%
60 9/1/03 10.313%
61 10/1/03 10.318%
62 ll/l/03 10.323%
63 12/1/03 10.328%
64 1/1/04 10.333%
65 2/l/04 10.338%
66 3/l/04 10.344%
67 4/l/04 10.350%
68 5/1/04 10.355%
69 6/l/04 10.361%
70 7/1/04 10.368%
71 8/l/04 10.374%
72 9/1/04 10.380%
73 10/1/04 10.387%
74 ll/l/04 10.394%
75 12/1/04 10.401%
76 l/l/05 10.408%
77 2/l/05 10.416%
78 3/l/05 10.424%
79 4/l/05 10.432%
80 5/l/05 10.440%
81 6/l/05 10.449%
82 7/l/05 10.457%
83 8/l/05 10.466%
84 9/l/05 10.476%
85 10/1/05 10.485%
86 ll/l/05 10.495%
87 12/1/05 10.505%
88 l/l/06 10.516%
89 2/l/06 10.526%
90 3/1/06 10.538%
91 4/l/06 10.549%
92 5/l/06 10.561%
93 6/1/06 10.573%
94 7/l/06 10.586%
95 8/l/06 10.599%
96 9/l/06 10.612%
97 10/1/06 10.626%
98 ll/l/06 10.641%
99 12/1/06 10.656%
100 l/l/07 10.671%
101 2/1/07 10.687%
102 3/l/07 10.703%
103 4/l/07 10.720%
104 5/l/07 10.737%
105 6/l/07 10.756%
106 7/1/07 10.774%
107 8/l/07 10.794%
108 9/l/07 10.814%
109 10/1/07 10.834%
110 11/1/07 10.855%
1ll 12/1/07 10.876%
112 1/1/08 10.899%
113 2/1/08 10.922%
114 3/1/08 10.946%
115 4/1/08 10.970%
116 5/l/08 10.996%
117 6/l/08 11.022%
118 7/l/08 11.049%
119 8/1/08 11.078%
120 9/l/08 11.107%
121 10/1/08 11.137%
122 11/l/08 11.168%
123 12/1/08 11.200%
124 1/1/09 11.234%
125 2/1/09 11.269%
126 3/1/09 11.305%
127 4/1/09 11.342%
128 5/1/09 11.381%
129 6/1/09 11.421%
130 7/1/09 11.463%
131 8/1/09 11.506%
132 9/1/09 11.551%
133 10/1/09 11.598%
134 11/1/09 11.646%
135 12/1/09 11.697%
136 1/l/10 11.750%
137 2/1/10 11.804%
138 3/1/10 11.861%
139 4/1/10 11.921%
140 5/l/10 11.983%
141 6/1/10 12.047%
142 7/1/10 12.115%
143 8/1/10 12.185%
144 9/1/10 12.259%
145 10/1/10 12.336%
146 11/1/10 12.416%
147 12/1/10 12.500%
148 1/1/11 12.589%
149 2/1/11 12.681%
150 3/1/11 12.778%
151 4/1/11 12.880%
152 5/1/11 12.987%
153 6/1/11 13.100%
154 7/1/11 13.219%
155 8/1/11 13.344%
156 9/1/11 13.476%
157 10/1/11 13.615%
158 11/1/11 13.763%
159 12/1/11 13.919%
160 1/1/12 14.084%
161 2/1/12 14.260%
162 3/1/12 14.447%
163 4/1/12 14.646%
164 5/1/12 14.858%
165 6/1/12 15.085%
166 7/1/12 15.327%
167 8/1/12 15.588%
168 9/1/12 15.867%
169 10/1/12 16.169%
170 11/1/12 16.494%
171 12/1/12 16.846%
172 1/1/13 17.229%
173 2/1/13 17.646%
174 3/1/13 18.102%
175 4/1/13 18.601%
176 5/1/13 19.152%
(a) Prepayment Speed Assumption: Fixed (4.6-23% CPR in 12 months). Class
A-1 Net Funds Cap is equal to, as a percentage of the Class A-1
Certificate Principal Balance, (1) the interest due on the Mortgage
Loans, less (2) the sum of (a) the Servicing Fee, (b) the Trustee
Fee, (c) the MBIA Insurance Premium and (d) on or before month [36],
the Class A-2 Interest Distribution, and after month [36], zero.
- ------------------------------------------------------------------------------
KEY CAPITAL MARKETS
This information should be considered only after reading Key Capital Markets,
Inc.'s Statement Regarding Assumptions as to Securities, Pricing Estimates and
Other Information (the "Statement"), which should be attached. Do not use or
rely on this information if you have not received or reviewed this Statement.
You may obtain a copy of the Statement from your sales representative.
