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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): September 9, 1998
BEAR STEARNS ASSET BACKED SECURITIES, INC.
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(Exact name of registrant as specified in its charter)
Delaware 333-49015 13-3836437
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(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
245 Park Avenue
New York, New York 10167
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(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-4095
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Item 5. Other Events.
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Filing of Computational Materials
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In connection with the proposed offering of the GMACM Revolving Home
Equity Loan Trust 1998-2 Home Equity Loan-Backed Term Notes, Series 1998-2 (the
"Term Notes"), Bear, Stearns & Co. Inc., as the underwriter (the "Underwriter"),
has prepared certain materials (the "Series Term Sheet" including the
"Computational Materials") for distribution to their potential investors.
Although Bear Stearns Asset Backed Securities, Inc. (the "Company") provided the
Underwriter with certain information regarding the characteristics of the
mortgage loans (the "Mortgage Loans") in the related portfolio, the Company 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 Term
Notes, 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 is attached hereto as Exhibit 99.1.
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, filed
on Form 8-K dated September 9, 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/ Jonathan Lieberman
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Jonathan Lieberman
Vice President
Dated: September 9, 1998
Exhibit Index
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Exhibit Page
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99.1 The Series Term Sheet including Computational Materials, filed
on Form 8-K dated September 9, 1998
Exhibit 99.1
<TABLE>
<CAPTION>
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GMACM REVOLVING HOME EQUITY LOAN TRUST, 1998-2
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<S> <C> <C>
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o DC o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue
FRANKFORT o GENEVA o HONG KONG New York, New York 10167
LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax
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GMACM REVOLVING HOME EQUITY LOAN TRUST, SERIES 1998-2: COMPUTATIONAL MATERIALS
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FAX TO: DATE: September 9, 1998
COMPANY: # PAGES (incl. cover): 32
FAX NO: PHONE NO:
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FROM: PHONE NO:
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STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION
</TABLE>
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. The
Information is provided solely by Bear Stearns, not as agent for any issuer,
seller or servicer, and although it may be based on data supplied to it by an
issuer, seller or servicer, none of the issuer, seller or servicer makes any
representations regarding its accuracy or completeness. 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.
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Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials
may only use or rely on the information contained herein if read in
conjunction with the related Prospectus and Prospectus Supplement. If you
have not received the statement described above or the related Prospectus and
Prospectus Supplement, please contact your account executive at Bear, Stearns
& Co. Inc.
BEAR STEARNS
DESCRIPTION OF THE SELLER AND SERVICER
GMAC Mortgage Corporation ("GMACM") provides mortgage and home equity lending
services to residential customers. GMACM is an interrelated group of
specialized financial services businesses serving selected niche markets
nationwide.
In 1997, GMACM originated $446.5 million of lines of credit and closed end home
equity loans.
GMACM provides mortgage banking services including home equity lending and
refinancing to customers in all 50 states through its more than 200 offices.
GMACM's servicing portfolio consists of in excess of 1.1 million customer
accounts, making GMACM one of the largest mortgage banking firms in the United
States.
LOAN PROGRAMS
GMACM's core home equity loan programs consist primarily of (1) a fixed rate
closed end home equity product ("HEL") and (2) an open end variable rate home
equity line of credit ("HELOC") product, which is an adjustable rate loan that
generally indexes off of Prime plus a specified margin. A significant
percentage of GMACM's originations are second lien home equity product with
CLTV ranging from 80% up to 100%.
UNDERWRITING / CREDIT
GMACM's underwriting guidelines are periodically revised based on prevailing
conditions in the residential mortgage market and the market for mortgage
securities. Available line sizes at varying CLTVs are primarily influenced by
borrower credit quality. The company uses a variety of credible data sources to
assess the relative economic stability of each market. GMACM's loan decisions
are based on cash flow, credit quality, historical credit performance and
supplemented by collateral as a secondary source of loan repayment.
SERVICING
(1)SERVICING OPERATIONS - is comprised of the traditional loan servicing
functions: cashiering/payment processing, advances, customer service, escrow
management/taxes and insurance, records and collateral management,
reconveyances, demands and payoffs.
(2)ASSET RESOLUTION - proactively monitors delinquencies and decides how to
proceed (foreclosure, or repossession and resale) based upon an economic
analysis of the individual loan.
<PAGE>
SUMMARY OF TERMS
Issuer............................The GMACM Revolving Home Equity Loan Trust
1998-2 (the "ISSUER"), a Delaware business
trust, will be formed pursuant to a Trust
Agreement. The assets of the Issuer (the
"TRUST ESTATE") will consist of the HELOCs
and the HELs transferred to the Issuer on the
Closing Date (the "CLOSING DATE MORTGAGE
LOANS"), additional draws under the HELOCs
during the period from the Closing Date to
(but excluding) the commencement of the Rapid
Amortization Period (the "ADDITIONAL
BALANCES"), mortgage loans sold to the Issuer
subsequent to the Closing Date (the
"SUBSEQUENT MORTGAGE LOANS") and certain
related assets.
The Term Notes....................$160,000,000 Home Equity Loan-Backed Term
Notes, Series 1998-2, are offered hereby. The
Term Notes will be issued pursuant to an
indenture to be dated as of September 1,
1998, between the Issuer and the Indenture
Trustee (the "INDENTURE").
The Variable Funding Notes........Home Equity Loan-Backed Variable Funding
Notes, Series 1998-2. The Variable Funding
Notes are not offered hereby.
The Certificates..................Home Equity Loan-Backed Certificates, Series
1998-2. The Certificates are not offered
hereby.
Depositor.........................Bear Stearns Asset Backed Securities, Inc.
Seller and Servicer...............GMAC Mortgage Corporation, a Pennsylvania
corporation, will be the seller and servicer
(in such capacities, the "SELLER" and
"SERVICER", respectively) of the Mortgage
Loans. The Servicer will be obligated to
service the Mortgage Loans pursuant to the
sale and servicing agreement to be dated as
of September 1, 1998 (the "SALE AND SERVICING
AGREEMENT"), among the Servicer, the Issuer
and the Indenture Trustee.
Owner Trustee.....................Wilmington Trust Company.
Indenture Trustee.................Norwest Bank Minnesota, National Association.
Cut-Off Date......................The close of business on August 31, 1998.
Closing Date......................On or about September 18, 1998..
Payment Date......................The 18th day of each month (or, if such day
is not a Business Day, the next Business
Day), commencing in October 1998 (each, a
"PAYMENT DATE").
<PAGE>
Denominations and Registration....The Term Notes will be issued in minimum
denominations of $25,000 and integral
multiples of $1,000 in excess thereof. The
Term Notes will initially be issued in
book-entry form. Persons acquiring beneficial
ownership interests in the Term Notes ("TERM
NOTE OWNERS") may elect to hold their Term
Notes through DTC in the United States, or
Cedel Bank, societe anonyme ("CEDEL") or the
Euroclear System ("EUROCLEAR") in Europe.
Transfers within DTC, Cedel or Euroclear, as
the case may be, will be in accordance with
the usual rules and operating procedures of
the relevant system. No Term Note Owner will
be entitled to receive a physical certificate
representing such person's interest, except
in the event that Definitive Notes are issued
under the limited circumstances described
herein. All references herein to any Term
Notes reflect the rights of Term Note Owners
only as such rights may be exercised through
DTC and its participating organizations for
so long as such Term Notes are Book-Entry
Notes.
The Mortgage Pool.................Unless otherwise indicated, the statistical
information presented herein reflects the
initial pool of Mortgage Loans (the "INITIAL
MORTGAGE LOANS") as of the close of business
on July 31, 1998 (the "STATISTICAL
CALCULATION Date"). The aggregate outstanding
principal balance of the Initial Mortgage
Loans as of the Statistical Calculation Date
is approximately $93,356,503.53 (the
"STATISTICAL CALCULATION DATE POOL PRINCIPAL
BALANCE"). The outstanding principal balance
of each Initial Mortgage Loan as of the
Statistical Calculation Date is the
"STATISTICAL CALCULATION DATE BALANCE". The
Closing Date Mortgage Loans will also include
certain additional Mortgage Loans acquired
between the Statistical Calculation Date and
the Cut-Off Date. Information with respect to
the Closing Date Mortgage Loans as of the
Cut-Off Date will be presented in the
Prospectus Supplement. With respect to the
pool of Initial Mortgage Loans as to which
statistical information is presented herein,
some amortization of the pool is expected to
occur prior to the Closing Date. Moreover,
certain loans included in the pool of Initial
Mortgage Loans may prepay in full, or may be
determined not to meet the eligibility
requirements for the final pool of Closing
Date Mortgage Loans, and may not be included
in the final pool of Closing Date Mortgage
Loans. While the statistical distribution of
the characteristics as of the Closing Date
for the final pool of Closing Date Mortgage
Loans may vary somewhat from the statistical
distribution of such characteristics as of
the Statistical Calculation Date as presented
herein, such variance is not expected to be
material. Additionally, at any time and
subject to certain requirements set forth in
the Sale and Servicing Agreement and the
Indenture, additional Mortgage Loans may be
to added to the pool of Mortgage Loans, which
Mortgage Loans will be purchased with funds
drawn under the Variable Funding Note.
HELOCs to be sold to the Issuer will be
adjustable rate home equity revolving credit
line loans evidenced by the related loan
agreements (the "CREDIT LINE AGREEMENTS") and
secured by the related mortgages or deeds of
trust (the "MORTGAGES") on residential
properties (the "MORTGAGED PROPERTIES"). No
more than 92.99% of the Initial HELOC's (by
Statistical Calculation Date Balance) are
secured by second or subsequent mortgages or
deeds of trust and the remainder are secured
by first mortgages or deeds of trust. The
Trust Estate will include the unpaid
principal balance of the Initial HELOCs as of
the close of business on the Cut-Off Date and
the unpaid principal balance of the
Subsequent HELOCs as of the Subsequent
Cut-Off Date (as defined herein) of such
loans and any additions to the HELOCs as a
result of draws or new advances of money made
pursuant to the applicable Credit Line
Agreement after the related Cut-Off Date or
Subsequent Cut-Off Date (the "ADDITIONAL
Balances"). The unpaid principal balance of a
HELOC (the "PRINCIPAL BALANCE") on any day is
equal to its Cut-Off Date Balance or
Subsequent Cut-Off Date Balance (as defined
herein), as applicable, plus (i) any
Additional Balances in respect of such HELOC
conveyed to the Issuer prior to such day,
minus (ii) all collections credited against
the Principal Balance of such HELOC in
accordance with the related Credit Line
Agreement since the Cut-Off Date or
Subsequent Cut-Off Date, as applicable. The
Principal Balance of a liquidated HELOC after
the final recovery of related liquidation
proceeds shall be zero.
From time to time prior to the expiration of
the related Draw Period, principal amounts on
the HELOCs may be drawn down, or may be
repaid. New draws under the HELOCs will
automatically become the property of the
Issuer prior to the commencement of the Rapid
Amortization Period. As a result, the
aggregate Principal Balance of the Mortgage
Loans will fluctuate from day to day during
the related period as new draws by Mortgagors
are transferred to the Issuer and principal
payments received are applied in reduction of
the Principal Balances. Under the Credit Line
Agreements, during the related Draw Period,
the related Mortgagor is obligated to pay the
amount of interest that accrues on the
related HELOC during the Billing Cycle, but
may also pay all or a portion of the
principal. In the case of HELOCs that have a
Repayment Period, the interest only payment
obligation terminates at the end of the
related Draw Period, after which the related
Mortgagor is obligated to make monthly
payments consisting of principal installments
which would substantially amortize the
Principal Balance of the HELOC by the related
maturity date, together with accrued
interest.
The HELs to be sold to the Issuer will be
fixed rate closed-end home equity loans
evidenced by the related promissory notes
(the "MORTGAGE NOTES") and secured by
Mortgages on the related Mortgaged
Properties. No more than 96.46% of the
Initial HEL's (by Statistical Calculation
Date Balance) are secured by second or
subsequent mortgages or deeds of trust and
the remainder are secured by first mortgages
or deeds of trust. The Trust Estate will
include the unpaid principal balance of the
Initial HELs as of the close of business on
the Cut-Off Date. The Initial HELs provide
for substantially equal payments in an amount
sufficient to amortize the HELs over their
terms.
Approximately $20 million of additional
Mortgage Loans originated or acquired by the
Seller prior to the Closing Date will also be
included in the assets of the Trust Estate.
Any purchase of such additional Mortgage
Loans is subject to certain requirements. The
Initial Mortgage Loans and such additional
Mortgage Loans are referred to herein
collectively as the "CLOSING DATE MORTGAGE
LOANS". Information with respect to the
Closing Date Mortgage Loans as of the Cut-Off
Date will be set forth in the Prospectus
Supplement.
Loan Rate.........................The "LOAN RATE" of each Mortgage Loan is the
per annum interest rate required to be paid
by the Mortgagor under the terms of the
related Mortgage Note or Credit Line
Agreement, as the case may be. The Loan Rate
borne by each Mortgage Loan, after the
completion of any initial teaser period
during which the Loan Rate may be fixed or a
set discounted variable rate for a period of
from three to six months, is (i) in the case
of a HELOC, adjustable on the date (each such
date, an "ADJUSTMENT DATE") specified in the
related Credit Line Agreement to a rate based
on an index (the "INDEX") which is either (x)
the prime rate published in the "Money Rates"
section of The Wall Street Journal or (y)
with respect to HELOCs originated in the
State of Washington, the rate for 26-week
Treasury Bills in effect following the first
auction of the month preceding the current
billing period and (ii) in the case of a HEL,
fixed as of the date of origination of such
HEL. Interest on each HELOC is computed daily
and payable monthly on the average daily
outstanding Principal Balance of such HELOC.
After any initial teaser period during which
the Loan Rate may be fixed or a set
discounted variable rate for approximately
three to six months, the Loan Rate on each
HELOC will be adjusted on each Adjustment
Date to a rate equal to the sum of the Index
and a fixed percentage (the "GROSS MARGIN")
specified in the related Credit Line
Agreement, and is generally subject to a
maximum Loan Rate over the life of the HELOC
("MAXIMUM LOAN RATE") specified in such
Credit Line Agreement. As of the Statistical
Calculation Date, the weighted average Loan
Rate for the HELOCs, after the expiration of
any applicable teaser periods, is
approximately 10.055% and for the HELs is
approximately 10.196%.
As of the Statistical Calculation Date, the
Gross Margins for the Initial HELOCs range
from 0.000% to 4.500%, and after the
expiration of any applicable teaser periods,
the weighted average Gross Margin is
approximately 1.56%. As of the Statistical
Calculation Date, for the Initial HELOCs with
specified Maximum Loan Rates, such caps range
from approximately 15.500% to 19.000% per
annum, and the weighted average Maximum Loan
Rate for such Initial HELOCs is approximately
18.394% per annum. The remaining Initial
HELOCs have no Maximum Loan Rates but are
subject to the maximum rate permitted by
applicable law.
Pre-Funding Account...............On the Closing Date, approximately
$45,000,000 (the "ORIGINAL PRE-FUNDED
AMOUNT") will be deposited into an account
(the "PRE-FUNDING ACCOUNT"), which amount
will be funded from the proceeds of the sale
of the Term Notes. During the Pre-Funding
Period funds on deposit in the Pre-Funding
Account will be used to acquire Subsequent
Mortgage Loans by the Issuer, subject to the
satisfaction of certain conditions. The
"PRE-FUNDING PERIOD" is the period commencing
on the Closing Date until the earlier of (i)
the date on which the amount on deposit in
the Pre-Funding Account is less than $100,000
or (ii) March 31, 1999. Subsequent Mortgage
Loans that are originated or acquired by the
Seller may be sold to the Depositor and then
sold by the Depositor to the Issuer. The
Subsequent Mortgage Loans, as well as all
Initial Mortgage Loans, will conform to
certain specified characteristics. Following
the end of the Pre-Funding Period, Subsequent
Mortgage Loans will continue to be acquired
by the Issuer through the end of the
Revolving Period, subject to certain
conditions.
Any funds remaining on deposit in the
Pre-Funding Account at the end of the
Pre-Funding Period will be applied to the
purchase of any Additional Balances then
available and thereafter will be deposited
into the Funding Account. Funds on deposit in
the Pre-Funding Account will be invested in
Permitted Investments. "PERMITTED
INVESTMENTS" are specified in the Indenture
and are generally limited to investments that
meet the criteria of the Enhancer.
Capitalized Interest Account......On the Closing Date, the Seller, if required
to do so by the Enhancer, will make a cash
deposit from the proceeds of the sale of the
Term Notes into an account held by the
Indenture Trustee (the "CAPITALIZED INTEREST
ACCOUNT"), unless a letter of credit in form
and substance, and from a provider,
acceptable to the Enhancer evidencing the
availability of such amount is delivered to
the Owner Trustee on the Closing Date.
Amounts on deposit in the Capitalized
Interest Account will be withdrawn, or
drawings under such letter of credit will be
made, on each Payment Date during the
Pre-Funding Period to cover any shortfall in
Interest Payments on the Notes attributable
to the pre-funding feature during the
Pre-Funding Period. Any amounts remaining in
the Capitalized Interest Account at the end
of the Pre-Funding Period will be paid, or
such letter of credit will be released, to
the Seller.
Funding Account...................The Funding Account will be established with
the Indenture Trustee on the Closing Date. On
each Payment Date during the Revolving
Period, Principal Collections for the related
Collection Period will be deposited into the
Funding Account and applied first to acquire
Additional Balances and thereafter to acquire
Subsequent Mortgage Loans, to the extent
available. In the event that not all
Principal Collections on deposit in the
Funding Account have been applied to acquire
Additional Balances and Subsequent Mortgage
Loans at the end of the Revolving Period, the
amount remaining on deposit in the Funding
Account will be distributed to Noteholders as
a payment of principal. During the Revolving
Period, it is expected that Subsequent
Mortgage Loans acquired with amounts on
deposit in the Funding Account will consist
primarily of HELOCs.
Interest Payments.................Interest Payments on the Term Notes will be
paid monthly on each Payment Date, commencing
in October 1998, at the Note Rate for the
related Interest Period, subject to the
limitations set forth below, which may result
in Interest Shortfalls, as described below.
The "NOTE RATE" for each Interest Period will
be a floating rate equal to the lesser of (i)
LIBOR plus [0. ]% per annum (or, on any
Payment Date on which the aggregate Term Note
Balance is less than 10% of the initial Term
Note Balance, LIBOR plus [0. ]% per annum),
(ii) the Net Loan Rate, as described herein,
and (iii) 14.5% per annum. However, on any
Payment Date for which the related Note Rate
has been determined pursuant to clause (ii)
above, the excess of (a) the amount of
interest that would have accrued on the Notes
during the related Interest Period had such
amount been determined pursuant to clause (i)
above over (b) the interest actually accrued
on the Notes during such Interest Period
(such excess, an "INTEREST Shortfall") will
be determined. Interest Shortfalls and
interest thereon at the Note Rate (as
adjusted from time to time) will be paid on
subsequent Payment Dates to the extent that
funds are available therefor. Interest
Shortfalls will not be covered by the Policy
and may remain unpaid on the Final Payment
Date. Interest on the Notes for each Payment
Date will accrue from the preceding Payment
Date (or, in the case of the first Payment
Date, from the Closing Date) through the day
preceding such Payment Date (each, an
"INTEREST PERIOD") on the basis of the actual
number of days in such Interest Period and a
360-day year.
As used herein, "NET LOAN RATE" shall mean,
with respect to any Payment Date, the
weighted average of (i) the Loan Rates on the
HELOCs and (ii) the Loan Rates on the HELs,
in each case as of the first day of the
calendar month in which the related Interest
Period begins, net of the premium rate on the
policy, the rate of the fee of each of the
Servicer, the Owner Trustee and the Indenture
Trustee, and, beginning on the thirteenth
Payment Date, 50 basis points, adjusted to an
effective rate reflecting interest calculated
on the basis of a 360-day year assumed to
consist of twelve thirty-day months.
Principal Payments................With respect to any Payment Date during the
Revolving Period, no principal will be paid
on the Notes, and all Principal Collections
will be deposited into the Funding Account
and may be used to purchase Additional
Balances and Subsequent Mortgage Loans. On
each Payment Date during the Managed
Amortization Period, the aggregate amount
payable in respect of principal of the Notes
will be equal to Net Principal Collections
for such Payment Date. On each Payment Date
during the Rapid Amortization Period, the
aggregate amount payable in respect of
principal of the Notes will be equal to
Principal Collections for such Payment Date.
In addition, with respect to any Payment Date
after the end of the Revolving Period, to the
extent of funds available therefor, holders
of the Term Notes (the "TERM NOTEHOLDERS")
and the Variable Funding Notes (together with
the Term Noteholders, the "NOTEHOLDERS") will
be entitled to receive certain additional
amounts to be applied in reduction of the
Note Balance of the related Notes, generally
equal to Liquidation Loss Amounts.
All principal payments due and payable on the
Notes will be allocated to the Term Notes and
the Variable Funding Notes pro rata based on
the outstanding principal balances thereof
until paid in full. In no event will
principal payments on the Notes on any
Payment Date exceed the related Note Balance
thereof on such Payment Date. On the Final
Payment Date, principal will be due and
payable on the Notes in an amount equal to
the related Note Balance remaining
outstanding on such Payment Date.
The "REVOLVING PERIOD" will be the period
beginning on the Closing Date and ending on
the earlier of (i) March 31, 2000 and (ii)
the occurrence of a Managed Amortization
Event or a Rapid Amortization Event. The
"MANAGED AMORTIZATION PERIOD" will be the
period beginning on the first Payment Date
following the end of the Revolving Period and
ending on the earlier of (i) March 31, 2004
and (ii) the occurrence of a Rapid
Amortization Event. The "RAPID AMORTIZATION
PERIOD" (together with the Managed
Amortization Period, the "Amortization
Periods") will be the period beginning on the
earlier of (i) the first Payment Date
following the end of the Managed Amortization
Period and (ii) the occurrence of a Rapid
Amortization Event, and ending upon the
termination of the Issuer.
Allocation of Payments on the
Mortgage Loans....................All collections on the Mortgage Loans may be
allocated by the Servicer in accordance with
the terms of the related Credit Line
Agreement or Mortgage Note between amounts
collected in respect of interest and
principal. With respect to each Payment Date,
the portion of Interest Collections and
Principal Collections (collectively, "P&I
COLLECTIONS") available to be applied towards
the payment of interest and principal on the
Notes will equal, respectively, (i) Interest
Collections for such Payment Date and (ii)
(A) at any time during the Revolving Period,
zero, (B) at any time during the Managed
Amortization Period, Net Principal
Collections for such Payment Date and (C) at
any time during the Rapid Amortization
Period, Principal Collections for such
Payment Date.
During the Revolving Period, Principal
Collections will be applied to acquire
Subsequent Mortgage Loans and, during the
period from the Closing Date to the
commencement of the Rapid Amortization
Period, Principal Collections will be applied
to purchase Additional Balances, in each case
to the extent available. Principal
Collections will no longer be applied to
acquire Subsequent Mortgage Loans following
the end of the Revolving Period and will no
longer be applied to acquire Additional
Balances during the Rapid Amortization
Period.
Prior to the commencement of the Rapid
Amortization Period, the Variable Funding
Balance will be increased from time to time,
up to $25,000,000 (the "MAXIMUM VARIABLE
FUNDING BALANCE"), to the extent Principal
Collections and any amounts on deposit in the
Funding Account are insufficient or
unavailable to cover Additional Balances and
Subsequent Mortgage Loans sold to the Issuer.
Credit Enhancement................The Credit Enhancement provided for the
benefit of the Noteholders will consist of
(i) Excess Spread, (ii) overcollateralization
and (iii) the Policy, in each case as
described below.
Excess Spread: Noteholders will be protected
against Liquidation Loss Amounts as a result
of the preferential allocation to the Notes
of Excess Spread (defined herein), which will
be deposited into the Funding Account during
the Revolving Period or used to make
principal payments on the Notes during the
Amortization Periods, in each case to the
extent necessary to cover Liquidation Loss
Amounts (as defined herein).
Overcollateralization: Excess Spread, if any,
that is deposited in the Funding Account and
applied to acquire Additional Balances and/or
Subsequent Mortgage Loans may result in
overcollateralization. The "OUTSTANDING
OVERCOLLATERALIZATION AMOUNT" will equal, at
any time, the amount, if any, by which the
outstanding Principal Balance of the Mortgage
Loans and related property of the Issuer
exceeds the aggregate outstanding principal
balance of the Securities. The Outstanding
Overcollateralization Amount will initially
be equal to $0, and will be increased by
Excess Spread, if any, that is deposited in
the Funding Account and applied to acquire
Additional Balances and/or Subsequent
Mortgage Loans. The Outstanding
Overcollateralization Amount, if any, will be
available to absorb any Liquidation Loss
Amounts that are not covered by Excess
Spread. Any Liquidation Loss Amounts that are
not covered either by Excess Spread or by
overcollateralization will be covered by
draws on the Policy to the extent provided
herein.
Initially, the "OVERCOLLATERALIZATION TARGET
AMOUNT" will be at least 1.7% of the Note
Balance. Thereafter, the
Overcollateralization Target Amount may
increase or decrease from time to time
pursuant to the terms of the Indenture.
Policy: On the Closing Date, the Enhancer
will issue a Policy in favor of the Indenture
Trustee on behalf of the Issuer. The Policy
will unconditionally and irrevocably
guarantee interest on the Notes at the Note
Rate (exclusive of any Interest Shortfalls)
plus any Liquidation Loss Amounts allocated
to the Notes. On each Payment Date, a draw
will be made on the Policy to cover (i) any
shortfall in amounts available to make
payments of interest on the Notes at the Note
Rate and (ii) any Liquidation Loss Amount to
the extent not currently covered by Excess
Spread or application of the Outstanding
Overcollateralization Amount. Interest
Shortfalls will not be covered by the Policy.
The Enhancer......................Ambac Assurance Corporation, a Wisconsin-
domiciled stock insurance corporation.
Optional Redemption...............A principal payment may be made in redemption
of the Term Notes upon the exercise by the
Servicer of its option to purchase the
Mortgage Loans and related assets of the
Trust Estate after the aggregate Term Note
Balance is reduced to an amount less than or
equal to 10% of the initial Term Note
Balance. The purchase price payable by the
Servicer for such Mortgage Loans will be the
sum of (i) the aggregate outstanding
Principal Balance of the Mortgage Loans, plus
accrued and unpaid interest thereon at the
weighted average of the net Loan Rates of
such Mortgage Loans through the day preceding
the Payment Date on which such purchase
occurs (ii) an amount equal to any Interest
Shortfalls plus accrued and unpaid interest
thereon, and (iii) all amounts due and owing
the Enhancer.
Final Payment of Principal
on the Notes......................The Notes will be payable in full on the
September 2028 Payment Date (the "FINAL
PAYMENT DATE") to the extent of the
outstanding Note Balance on such date, if
any. In addition, the Issuer will pay the
Notes in full upon the exercise by the
Servicer of its option to purchase all
Mortgage Loans and all property acquired in
respect of such Mortgage Loans.
Optional Removal of Certain
Mortgage Loans....................Subject to the approval of the Enhancer, on
any Payment Date, the Seller, in its capacity
as the holder of the Certificates, may
designate for removal from the Trust Estate
certain Mortgage Loans. Mortgage Loans so
designated will be removed without notice to
the Noteholders but only upon satisfaction by
the Seller of certain conditions, including
the following: (i) an amount equal to the
purchase price for such Mortgage Loans shall
have been deposited into the Funding Account
from amounts otherwise distributable to the
Certificateholders (for so long as the Seller
or an affiliate thereof is the sole
Certificateholder); (ii) the Seller shall
have delivered to the Indenture Trustee and
the Enhancer a schedule containing a list of
all Mortgage Loans to be so removed; and
(iii) the Seller shall have delivered to the
Indenture Trustee an officer's certificate
confirming the conditions set forth in
clauses (i) and (ii) above.
In addition, in certain instances in which a
Mortgagor either (i) requests an increase in
the credit limit on the related HELOC above
the limit stated on the Credit Line
Agreement, or (ii) requests to place a lien
on the related Mortgaged Property senior to
the lien of the related HELOC, the Servicer
will have the option to purchase from the
Trust Estate the related HELOC at a price
equal to the Repurchase Price.
ERISA Considerations..............The Term Notes are eligible for purchase by
pension, profit-sharing or other employee
benefit plans as well as individual
retirement accounts and certain types of
Keogh Plans (each, a "PLAN"). However, any
fiduciary or other investor of assets of a
Plan that proposes to acquire or hold the
Term Notes on behalf of or with assets of any
Plan should consult with its counsel with
respect to the potential applicability of the
fiduciary responsibility provisions of ERISA
and the prohibited transaction provisions of
ERISA and the Code to the proposed
investment.
Certain Federal Income
Tax Considerations................In the opinion of Brown & Wood LLP, special
tax counsel to the Depositor, for federal
income tax purposes, the Term Notes will be
characterized as indebtedness, and the
Issuer, as created and governed pursuant to
the terms and conditions of the Trust
Agreement, will not be characterized as an
association (or a publicly traded
partnership) taxable as a corporation for
federal income tax purposes, or as a "taxable
mortgage pool" within the meaning of Section
7701(i) of the Internal Revenue Code of 1986,
as amended. In addition, each Noteholder, by
its acceptance of a Note, will agree to treat
such Note as debt for federal, state and
local tax purposes.
Legal Investment..................The Term Notes will not constitute "mortgage
related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of
1984, as amended, because the Trust Estate
includes Mortgage Loans secured by
subordinate liens on the related Mortgaged
Properties. Institutions the investment
activities of which are subject to legal
investment laws and regulations or to review
by certain regulatory authorities may be
subject to restrictions on investment in the
Term Notes.
Ratings...........................It is a condition to the issuance of the Term
Notes that they be rated at least "Aaa" by
Moody's and "AAA" by Standard & Poor's. A
security rating is not a recommendation to
buy, sell or hold securities, and may be
subject to revision or withdrawal at any time
by the assigning rating organization. A
security rating does not address the
frequency of prepayments of, or draws on, the
Mortgage Loans, the likelihood of the receipt
of any amounts in respect of Interest
Shortfalls or any corresponding effect on the
yield to investors.
<PAGE>
RISK FACTORS
Prospective Term Noteholders should consider, among other things, the
following factors in connection with the purchase of the Term Notes.
ADEQUACY OF THE MORTGAGED PROPERTIES AS SECURITY FOR THE MORTGAGE LOANS
Although the Mortgage Loans are secured by liens on Mortgaged
Properties, such collateral may not provide assurance of repayment of the
Mortgage Loans comparable to that provided under many first lien lending
programs, and the Mortgage Loans (especially those with high CLTVs) may have
risk of repayment characteristics more similar to unsecured consumer loans.
Approximately 94.696% (by Statistical Calculation Date Pool Principal
Balance) of the Initial Mortgage Loans are secured by second or subsequent
Mortgages that are subordinate to the rights of the mortgagee under a senior
mortgage or mortgages. The proceeds from any liquidation, insurance or
condemnation proceedings will be available to satisfy the outstanding Principal
Balance of such Mortgage Loans secured by second Mortgages only to the extent
that the claims of such senior mortgages have been satisfied in full, including
any related foreclosure costs. In circumstances where the Servicer determines
that it would be uneconomical to foreclose on the related Mortgaged Property,
the Servicer may write off the entire outstanding Principal Balance of the
related Mortgage Loan. The foregoing considerations will be particularly
applicable to Mortgage Loans secured by second Mortgages that have high
Combined Loan-to-Value Ratios because, in such cases, the Servicer is more
likely to determine that foreclosure would be uneconomical. Any such losses
will be borne by Noteholders to the extent that the applicable credit
enhancement were insufficient to absorb such losses.
Defaults on Mortgage Loans are generally expected to occur with
greater frequency in their early years. The rate of default of Mortgage Loans
secured by second Mortgages may be greater than that of Mortgage Loans secured
by first Mortgages on comparable properties.
No assurance can be given that the values of the Mortgaged Properties
have remained or will remain at their levels on the dates of origination of the
related Mortgage Loans. If the residential real estate market should experience
an overall decline in value, any such decline could extinguish the value of the
interest of a junior mortgagee in the Mortgaged Property before having any
adverse effect on the interest of the related senior mortgagees.
DEPENDENCY ON MORTGAGOR CREDIT
As a result of the foregoing considerations, the underwriting
standards and procedures applicable to the Mortgage Loans, as well as the
repayment prospects thereof, may be more dependent on the creditworthiness of
the borrower and less dependent on the adequacy of the Mortgaged Property as
collateral than would be the case under many first lien lending programs. As to
the Mortgage Loans, future changes in the borrower's economic circumstances
will have a significant effect on the likelihood of repayment, since additional
draws on the HELOCs may be made by the borrower in the future up to the
applicable credit limit. Although the HELOCs are generally subject to
provisions whereby the applicable credit limit may be reduced as a result of a
material adverse change in the borrower's economic circumstances, the Servicer
generally will not monitor for such changes and may not become aware of them
until after the borrower has defaulted. Under certain circumstances, a borrower
with a HELOC may draw his entire credit limit in response to personal financial
needs resulting from an adverse change in circumstances.
Under the home equity program of the Seller (the "GMACM HOME EQUITY
PROGRAM") relating to the HELOCs, Mortgagors are generally qualified based on
an assumed payment that reflects a Loan Rate significantly lower than the
related maximum Loan Rate. The repayment of any HELOC may thus be dependent on
the ability of the related Mortgagor to make larger interest payments following
the adjustment of the Loan Rate thereof during the life of such HELOC.
Future changes in a borrower's economic circumstances may result from
a variety of unforeseeable personal factors, including loss of employment,
reduction in income, illness and divorce. Any increase in prevailing market
interest rates may adversely affect a borrower by increasing debt service on
the related HELOC or other similar debt of the borrower. In addition, changes
in the payment terms of any related senior mortgage loan may adversely affect
the borrower's ability to pay principal and interest on such senior mortgage
loan. For example, such changes may result if the senior mortgage loan is an
adjustable rate loan and the interest rate thereon increases, which may occur
with or without an increase in prevailing market interest rates if the increase
is due to the phasing out of a reduced initial rate. Specific information about
such senior mortgage loans, other than the amount thereof at origination of the
corresponding Mortgage Loan, is not available and is not included herein.
General economic conditions, both on a national and regional basis,
will also have an impact on the ability of borrowers to repay their Mortgage
Loans. Certain geographic regions of the United States from time to time will
experience weaker regional economic conditions and housing markets, and,
consequently, will experience higher rates of loss and delinquency than will be
experienced on mortgage loans generally. For example, a region's economic
condition and housing market may be directly, or indirectly, adversely affected
by natural disasters or civil disturbances such as earthquakes, hurricanes,
floods, eruptions or riots. The economic impact of any of these types of events
may also be felt in areas beyond the region immediately affected by the
disaster or disturbance. The Mortgage Loans may be concentrated in these
regions, and such concentration may present risk considerations in addition to
those generally present for similar mortgage-backed securities without such
concentration. Investors should note that approximately 28.649% and 15.104% (by
Statistical Calculation Date Pool Principal Balance) of the Initial Mortgage
Loans are secured by Mortgaged Properties located in the States of California
and Michigan, respectively. In addition, any change in the deductibility for
federal income tax purposes of interest payments on home equity loans may also
have an impact on the ability of borrowers to repay their Mortgage Loans.
INTEREST-ONLY FEATURE FOR HELOCS
As to 82.37% (by Statistical Calculation Date Balance) of the Initial
HELOCs, borrowers are not required to make any principal payments until the
maturity of such loans (the "BALLOON LOANS"). As a result, a borrower generally
will be required to pay the entire remaining principal amount of the HELOC at
its maturity. The ability of a borrower to make such a payment may depend on
the ability of the borrower to obtain refinancing of the balance due on the
HELOC. An increase in interest rates over the Loan Rate applicable at the time
the HELOC was originated may have an adverse effect on the borrower's ability
to obtain refinancing or to pay the required monthly payment. Collections on
the HELOCs may also vary due to seasonal purchasing and payment habits of
borrowers.
The required minimum monthly payments on the HELOCs are generally
equal to or not significantly larger than the amount of interest currently
accruing thereon, and therefore are not expected to significantly amortize the
outstanding principal amount of such HELOCs prior to maturity, which amount may
include substantial draws recently made. As a result, a borrower will generally
be required to pay a substantial principal amount at the maturity of a HELOC.
The ability of a borrower to make such a payment may be dependent on the
ability to obtain refinancing of the balance due on such HELOC or to sell the
related Mortgaged Property. Furthermore, HELOCs generally have adjustable rates
that are subject to much higher maximum rates than typically apply to
adjustable rate first mortgage loans, and which may be as high as applicable
usury limitations. Borrowers under such HELOCs are generally qualified based on
an assumed payment which reflects either the initial interest rate or a rate
significantly lower than the maximum rate. An increase in the interest rate
over the Loan Rate applicable at the time the HELOC was originated may have an
adverse effect on the borrower's ability to pay the required monthly payment.
In addition, an increase in prevailing market interest rates may reduce the
borrower's ability to obtain refinancing and to pay the balance of a HELOC at
its maturity.
With respect to certain HELOCs, general credit risk may also be
greater to Noteholders than to holders of instruments representing interests
solely in level payment first mortgage loans since no payment of principal
generally is required until after either a five, ten or fifteen year Draw
Period under the related Credit Line Agreements. Minimum monthly payments will
at least equal and may exceed accrued interest. Even assuming that the
Mortgaged Properties provide adequate security for the HELOCs, substantial
delays could be encountered in connection with the liquidation of HELOCs that
are delinquent and resulting shortfalls in payments to Noteholders could occur
if the credit support described herein were insufficient to absorb such losses.
Further, liquidation expenses (such as legal fees, real estate taxes, and
maintenance and preservation expenses) will reduce the liquidation proceeds
otherwise payable to Noteholders. In the event any Mortgaged Property fails to
provide adequate security for the related Mortgage Loan, any losses in
connection therewith will be borne by Noteholders to the extent that the
applicable credit enhancement were insufficient to absorb such losses.
RISK OF LOAN RATES REDUCING THE NOTE RATE ON THE TERM NOTES
The Note Rate on the Term Notes will be a floating rate equal to the
least of (i) LIBOR plus [___]% per annum (or, on any Payment Date on which the
aggregate Term Note Balance is less than 10% of the initial Term Note Balance,
LIBOR plus [___]% per annum), (ii) the Net Loan Rate, and (iii) 14.5% per
annum. The Loan Rates of the HELs are fixed and do not adjust. As a result, if
one-month LIBOR rises, the foregoing limitations on the Note Rate could result
in Term Noteholders receiving interest at a rate less than LIBOR plus the
specified margin. In addition, the weighted average Loan Rate of the Mortgage
Loans will change, and may decrease, over time due to scheduled amortization of
the Mortgage Loans, prepayments of Mortgage Loans, transfers to the Issuer of
Subsequent Mortgage Loans and removal of Mortgage Loans by the Seller. There
can be no assurance that the weighted average Loan Rate of the Mortgage Loans
will not decrease after the Closing Date.
YIELD AND PREPAYMENT CONSIDERATIONS
The yield to maturity of the Term Notes will depend on the rate and
timing of principal payments (including payments in excess of required
installments, prepayments or terminations, liquidations and repurchases) on the
Mortgage Loans, the rate and timing of draws on the related HELOCs, and the
price paid by the holders of the Term Notes. Such yield may be adversely
affected by a higher or lower than anticipated rate of principal payments or
draws on the related HELOCs. The Mortgage Loans generally may be prepaid in
full or in part without penalty. The yield to maturity of the Term Notes will
also be affected by the rate and timing of defaults on the Mortgage Loans.
During the Revolving Period, if the Seller does not sell a sufficient
amount of Additional Balances and/or Subsequent Mortgage Loans to the Issuer,
amounts on deposit in the Funding Account will not be fully applied to the
purchase of Additional Balances and Subsequent Mortgage Loans by the Issuer by
the end of the Revolving Period. Such remaining amounts will be paid to the
Noteholders as principal on the first Payment Date following the end of the
Revolving Period.
LIMITATIONS ON REPURCHASE OR REPLACEMENT OF DEFECTIVE MORTGAGE LOANS BY THE
SELLER
No assurance can be given that, at any particular time, the Seller
will be capable, financially or otherwise, of repurchasing or replacing
Defective Mortgage Loans as described herein. If the Seller repurchases or is
obligated to repurchase defective mortgage loans from any other series of asset
backed securities, the financial ability of the Seller to repurchase Defective
Mortgage Loans from the Issuer may be adversely affected. In addition, other
events relating to the Seller and its operations could occur that would
adversely affect the financial ability of the Seller to repurchase Defective
Mortgage Loans from the Issuer, including, without limitation, the termination
of borrowing arrangements that provide the Seller with funding for its
operations, or the sale or other disposition of all or any significant portion
of the Seller's assets. If the Seller does not repurchase or replace a
Defective Mortgage Loan, then the Servicer, on behalf of the Issuer, will make
other customary and reasonable efforts to recover the maximum amount possible
with respect to such Defective Mortgage Loan, and any resulting delay or loss
will be borne by the Noteholders, to the extent not covered by the related
credit enhancement.
VARIATIONS IN SUBSEQUENT MORTGAGE LOANS FROM INITIAL MORTGAGE LOANS
Each Subsequent Mortgage Loan will satisfy the eligibility criteria
referred to herein at the time of its conveyance to the Issuer. However,
Subsequent Mortgage Loans may be originated or acquired by the Seller using
credit criteria different from those applied to the Initial Mortgage Loans and
may be of a different credit quality. Therefore, following the transfer of
Subsequent Mortgage Loans to the Issuer, the aggregate characteristics of the
Mortgage Loans then part of the Trust Estate may vary from those of the Initial
Mortgage Loans.
LEGAL CONSIDERATIONS
The Mortgage Loans are secured by Mortgages. With respect to Mortgage
Loans that are secured by first Mortgages, the Servicer has the power under
certain circumstances to consent to a new mortgage lien on the related
Mortgaged Property having priority over such Mortgage. Mortgage Loans secured
by second Mortgages are entitled to proceeds that remain from the sale of the
related Mortgaged Property after any senior mortgage loans and prior statutory
liens have been satisfied. In the event that such proceeds are insufficient to
satisfy such senior loans and prior liens in the aggregate, the Issuer, and
accordingly, the Noteholders, bear (i) the risk of delay in distributions while
a deficiency judgment (to the extent available in the related state) against
the related Mortgagor is obtained and (ii) the risk of loss if the deficiency
judgment cannot be obtained or is not realized upon.
In the event of an insolvency of the Seller, the receiver of the
Seller may attempt to recharacterize the sale of the Mortgage Loans as a
borrowing by the Seller secured by a pledge of the Mortgage Loans. If the
receiver decided to challenge such transfer, delays in payments on the Term
Notes and possible reductions in the amount thereof could occur. The Depositor
will warrant that the transfer of its interest in the Mortgage Loans to the
Issuer is a valid transfer and assignment of such interest.
If a conservator, receiver or trustee were appointed for the Seller,
or if certain other events relating to the insolvency of the Seller were to
occur, Additional Balances and Subsequent Mortgage Loans would no longer be
transferred by the Seller to the Depositor pursuant to the Purchase Agreement.
In such an event, an Event of Default under the Trust Agreement and the
Indenture would occur, and the Owner Trustee would attempt to sell the Mortgage
Loans (unless the Enhancer or Holders of Securities evidencing undivided
interests aggregating at least 51% of the aggregate Securities Balance of the
Securities instruct otherwise), thereby causing early payment of the Term Note
Balance of the Term Notes.
In the event of a bankruptcy or insolvency of the Servicer, the
related bankruptcy trustee or receiver may have the power to prevent the
appointment of a successor Servicer.
REPURCHASE OPTION OF THE SERVICER
In certain instances in which a Mortgagor either (i) requests an
increase in the credit limit on the related HELOC above the limit stated in the
Credit Line Agreement, or (ii) requests to place a lien on the related
Mortgaged Property senior to the lien of the related Mortgage Loan, the
Servicer will have the option to purchase from the Trust Estate the related
Mortgage Loan at a price equal to the Repurchase Price. There are no
limitations on the frequency of such repurchases or the characteristics of the
Mortgage Loans so repurchased. Such repurchases may lead to an increase in
prepayments on the Mortgage Loans, which may reduce the yield on the Term
Notes. In addition, such repurchases may affect the characteristics of the
Mortgage Loans in the aggregate with respect to Loan Rates and credit quality.
LIMITATIONS AND REDUCTION AND SUBSTITUTION OF CREDIT ENHANCEMENT
Credit enhancement will be provided for the Notes in the form of (i)
Excess Spread (representing excess interest collections, if available), (ii)
overcollateralization and (iii) the Policy, to the limited extent described
herein. None of the Seller, the Depositor, the Servicer or any of their
respective affiliates will be required to take any other action to maintain, or
have any obligation to replace or supplement, such credit enhancement or any
rating of the Term Notes. To the extent that losses are incurred on the
Mortgage Loans that are not covered by Excess Spread, overcollateralization or
the Policy, Securityholders (including the Term Noteholders) will bear the risk
of such losses.
SOCIAL, ECONOMIC AND OTHER FACTORS
The ability of the Issuer to purchase Subsequent Mortgage Loans is
largely dependent upon whether mortgagors perform their payment and other
obligations required by the related mortgage loans in order that such mortgage
loans meet the specified requirements for transfer on a Subsequent Transfer
Date as a Subsequent Mortgage Loan. The performance by such mortgagors may be
affected as a result of a variety of social and economic factors. Economic
factors include interest rates, unemployment levels, the rate of inflation and
consumer perception of economic conditions generally. There is no way to
predict whether or to what extent economic or social factors will affect the
performance by such mortgagors and the availability of Subsequent Mortgage
Loans.
<PAGE>
INITIAL HELOC CHARACTERISTICS
Set forth below is a description of certain additional characteristics
of the Initial HELOCs as of the Statistical Calculation Date. Unless otherwise
specified, all principal balances of the Initial HELOCs are as of the
Statistical Calculation Date and are rounded to the nearest dollar. All
percentages are approximate percentages by aggregate principal balance as of
the Statistical Calculation Date (except as indicated otherwise).
PROPERTY TYPE
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Property Type HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Two to Four Family 15 $ 230,667.69 0.49%
Condominium 92 $ 1,610,595.15 3.39%
Manufactured 4 $ 27,476.15 0.06%
Multi-Family 1 $ 45,000.00 0.09%
Planned Unit Development 143 $ 3,102,246.93 6.52%
Single-Family Dwelling 2,090 $42,538,663.57 89.45%
----- -------------- ------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
OCCUPANCY TYPES
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Occupancy Number of Initial Statistical Calculation Statistical Calculation
(as indicated by Borrower) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Owner Occupied 2,324 $46,840,545.71 98.50%
Non-Owner Occupied 21 $ 714,103.78 1.50%
-- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
DOCUMENTATION TYPE
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Documentation HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Alternative 140 $ 2,011,765.08 4.23%
Expanded No Income No Appraisal ("NINA") 1 $ 7,500.00 0.02%
Express 36 $ 1,220,445.49 2.57%
Family First Division 251 $ 5,135,225.29 10.80%
Full 15 $ 187,259.56 0.39%
NINA 100 $ 1,469,848.32 3.09%
No Income Verification ("NIV") 54 $ 1,182,019.47 2.49%
Quick 8 $ 142,816.63 0.30%
Relocation 2 $ 25,269.20 0.05%
Select 94 $ 2,847,836.18 5.99%
Standard 1,600 $32,103,094.74 67.51%
Streamline 13 $ 466,259.76 0.98%
Super Express 31 $ 755,309.77 1.59%
-- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
PRINCIPAL BALANCES
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Principal Balances ($) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
$0.00 to $25,000.00 1,747 $18,915,249.22 39.78%
$25,000.01 to $50,000.00 444 $15,745,637.32 33.11%
$50,000.01 to $75,000.00 97 $ 5,997,089.77 12.61%
$75,000.01 to $100,000.00 36 $ 3,204,479.53 6.74%
$100,000.01 to $125,000.00 6 $ 669,716.21 1.41%
$125,000.01 to $150,000.00 3 $ 409,769.13 0.86%
$150,000.01 to $175,000.00 3 $ 490,361.06 1.03%
$175,000.01 to $200,000.00 6 $ 1,174,238.25 2.47%
$225,000.01 to $250,000.00 1 $ 248,109.00 0.52%
$325,000.01 to $350,000.00 2 $ 700,000.00 1.47%
- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The average Principal Balance as of the Statistical Calculation
Date is $20,279.17.
GEOGRAPHICAL DISTRIBUTIONS
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
State HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Alabama 16 $ 295,221.51 0.62%
Alaska 8 $ 164,894.31 0.35%
Arizona 22 $ 415,537.16 0.87%
California 487 $12,980,521.20 27.30%
Colorado 48 $ 1,268,937.40 2.67%
Connecticut 40 $ 1,006,378.75 2.12%
Delaware 10 $ 96,610.29 0.20%
District of Columbia 1 $ 62,500.00 0.13%
Florida 67 $ 1,264,499.97 2.66%
Georgia 33 $ 524,728.53 1.10%
Idaho 25 $ 387,957.94 0.82%
Illinois 84 $ 1,482,017.87 3.12%
Indiana 46 $ 765,670.05 1.61%
Iowa 13 $ 137,728.20 0.29%
Kansas 5 $ 59,914.61 0.13%
Kentucky 6 $ 162,436.85 0.34%
Louisiana 16 $ 189,178.72 0.40%
Maine 14 $ 362,144.28 0.76%
Maryland 13 $ 208,447.42 0.44%
Massachusetts 56 $ 1,408,861.67 2.96%
Michigan 545 $ 9,867,898.69 20.75%
Minnesota 21 $ 519,703.61 1.09%
Mississippi 9 $ 98,977.39 0.21%
Missouri 46 $ 636,698.15 1.34%
Montana 8 $ 126,976.37 0.27%
Nebraska 6 $ 158,365.84 0.33%
Nevada 22 $ 381,753.71 0.80%
New Hampshire 26 $ 430,958.50 0.91%
New Jersey 112 $ 2,385,669.30 5.02%
New Mexico 8 $ 128,963.39 0.27%
New York 82 $ 1,654,542.17 3.48%
North Carolina 46 $ 918,419.32 1.93%
Ohio 35 $ 383,096.07 0.81%
Oklahoma 9 $ 133,447.93 0.28%
Oregon 47 $ 860,322.88 1.81%
Pennsylvania 95 $ 1,564,439.60 3.29%
Rhode Island 6 $ 65,039.72 0.14%
South Carolina 8 $ 163,919.34 0.34%
South Dakota 2 $ 17,225.99 0.04%
Tennessee 31 $ 425,977.39 0.90%
Utah 3 $ 84,397.06 0.18%
Vermont 14 $ 303,616.09 0.64%
Virginia 42 $ 1,037,218.42 2.18%
Washington 76 $ 1,478,660.86 3.11%
Wisconsin 29 $ 308,502.66 0.65%
Wyoming 7 $ 175,672.31 0.37%
- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Range of Combined Number of Initial Statistical Calculation Statistical Calculation
Loan-to-Value Ratios(%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
5.001% to 10.000% 5 $ 114,265.90 0.24%
10.001% to 15.000% 6 $ 289,201.54 0.61%
15.001% to 20.000% 4 $ 64,738.72 0.14%
20.001% to 25.000% 3 $ 25,759.48 0.05%
25.001% to 30.000% 6 $ 77,947.24 0.16%
30.001% to 35.000% 18 $ 546,222.60 1.15%
35.001% to 40.000% 11 $ 146,104.75 0.31%
40.001% to 45.000% 27 $ 560,842.76 1.18%
45.001% to 50.000% 27 $ 599,265.17 1.26%
50.001% to 55.000% 20 $ 324,652.05 0.68%
55.001% to 60.000% 46 $ 1,351,124.78 2.84%
60.001% to 65.000% 61 $ 1,428,952.34 3.00%
65.001% to 70.000% 96 $ 2,294,766.41 4.83%
70.001% to 75.000% 164 $ 3,471,072.08 7.30%
75.001% to 80.000% 521 $10,986,352.88 23.10%
80.001% to 85.000% 128 $ 2,522,324.44 5.30%
85.001% to 90.000% 1,065 $19,268,830.24 40.52%
90.001% to 95.000% 61 $ 1,836,150.90 3.86%
95.001% to 100.000% 76 $ 1,646,075.21 3.46%
-- -------------- -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The minimum and maximum Combined Loan-to-Value Ratios of the Initial
HELOCs as of the Statistical Calculation Date are approximately 6.67% and
100.00%, respectively, and the weighted average Combined Loan-to-Value Ratio of
the Initial HELOCs as of the Statistical Calculation Date is approximately
80.08%.
JUNIOR RATIOS(1)(2)
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Junior Ratios(%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
0.00% 74 $ 3,356,805.23 7.06%
0.01% to 9.99% 186 $ 2,147,661.43 4.52%
10.00% to 19.99% 1,179 $19,787,848.79 41.61%
20.00% to 29.99% 447 $ 9,469,699.70 19.91%
30.00% to 39.99% 223 $ 5,605,240.46 11.79%
40.00% to 49.99% 133 $ 3,557,656.64 7.48%
50.00% to 59.99% 48 $ 1,509,201.67 3.17%
60.00% to 69.99% 26 $ 952,294.42 2.00%
70.00% to 79.99% 15 $ 523,278.08 1.10%
80.00% to 89.99% 8 $ 536,890.18 1.13%
90.00% to 99.99% 6 $ 108,072.89 0.23%
- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
(1) The Junior Ratio of a HELOC is the ratio (expressed as a
percentage) of the credit limit of such HELOC to the sum of such credit
limit and the outstanding balance of any senior mortgage computed as of
the date such HELOC is underwritten.
(2) The weighted average Junior Ratio of the Initial HELOCs as of the
Statistical Calculation Date is 23.46%.
LOAN RATES
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Loan Rates(%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
5.990% to 6.000% 102 $ 2,624,638.56 5.52%
6.001% to 7.000% 3 $ 58,315.00 0.12%
7.001% to 8.000% 1,716 $35,017,358.98 73.64%
8.001% to 9.000% 32 $ 1,101,011.67 2.32%
9.001% to 10.000% 153 $ 2,477,871.58 5.21%
10.001% to 11.000% 204 $ 3,565,250.54 7.50%
11.001% to 12.000% 115 $ 2,249,714.47 4.73%
12.001% to 13.000% 20 $ 460,488.69 0.97%
-- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average Loan Rate as of the Statistical Calculation Date
is 8.029%.
FULLY INDEXED GROSS MARGIN
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Fully Indexed Gross Margins(%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
0.000% to 1.000% 962 $22,273,445.47 46.84%
1.001% to 2.000% 1,128 $19,572,364.05 41.16%
2.001% to 3.000% 136 $ 2,922,417.44 6.15%
3.001% to 4.000% 115 $ 2,707,235.58 5.69%
Greater than 4.000% 4 $ 79,186.95 0.17%
- ----------- -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average fully indexed margin as of the Statistical
Calculation Date is approximately 1.560% per annum.
CREDIT UTILIZATION RATES
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Credit Utilization Rates (%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
0.01 to 5.00% 58 $ 148,716.44 0.31%
5.01 to 10.00% 145 $ 541,424.35 1.14%
10.01 to 15.00% 132 $ 759,777.70 1.60%
15.01 to 20.00% 155 $ 1,107,256.06 2.33%
20.01 to 25.00% 119 $ 1,045,257.17 2.20%
25.01 to 30.00% 106 $ 1,175,220.27 2.47%
30.01 to 35.00% 100 $ 1,289,707.27 2.71%
35.01 to 40.00% 88 $ 1,469,959.68 3.09%
40.01 to 45.00% 102 $ 1,416,720.34 2.98%
45.01 to 50.00% 94 $ 1,804,771.89 3.80%
50.01 to 55.00% 75 $ 1,325,302.41 2.79%
55.01 to 60.00% 67 $ 1,196,612.57 2.52%
60.01 to 65.00% 62 $ 1,349,792.19 2.84%
65.01 to 70.00% 77 $ 1,800,199.99 3.79%
70.01 to 75.00% 66 $ 1,733,451.26 3.65%
75.01 to 80.00% 66 $ 1,662,531.80 3.50%
80.01 to 85.00% 65 $ 1,982,067.28 4.17%
85.01 to 90.00% 82 $ 2,313,663.08 4.87%
90.01 to 95.00% 87 $ 2,300,803.06 4.84%
95.01 to 100.00% 599 $21,131,414.68 44.44%
--- -------------- ------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average Credit Utilization Rate based on the Statistical
Calculation Date Credit Limit of the Initial HELOCs as of the Statistical
Calculation Date is 52.34%.
CREDIT LIMITS
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Credit Limits($) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
$0.01 to $25,000.00 1,030 $10,870,178.60 22.86%
$25,000.01 to $50,000.00 881 $18,130,260.74 38.13%
$50,000.01 to $75,000.00 184 $ 6,320,161.30 13.29%
$75,000.01 to $100,000.00 189 $ 7,227,846.75 15.20%
$100,000.01 to $125,000.00 14 $ 712,594.93 1.50%
$125,000.01 to $150,000.00 16 $ 959,118.14 2.02%
$150,000.01 to $175,000.00 8 $ 667,189.01 1.40%
$175,000.01 to $200,000.00 4 $ 429,732.67 0.90%
$200,000.01 to $225,000.00 8 $ 482,214.66 1.01%
$225,000.01 to $250,000.00 7 $ 816,256.27 1.72%
$325,000.01 to $350,000.00 2 $ 700,000.00 1.47%
$425,000.01 to $450,000.00 1 $ 48,209.84 0.10%
Greater than $450,000.00 1 $ 190,886.58 0.40%
- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average of the Credit Limits as of the Statistical
Calculation Date is $64,191.33.
MAXIMUM LOAN RATES
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Maximum Loan Rates (%) HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
15.001% to 16.000% 17 $ 336,520.46 0.71%
16.001% to 17.000% 8 $ 229,887.73 0.48%
17.001% to 18.000% 275 $ 7,222,965.02 15.19%
18.001% to 19.000% 2,038 $39,642,942.69 83.36%
Uncapped 7 $ 122,333.59 0.26%
- ------------ -----
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average Maximum Loan Rate as of the Statistical
Calculation Date is approximately 18.394%. For purposes of calculating the
weighted average Maximum Loan Rate, uncapped HELOCs were excluded.
MONTHS REMAINING TO SCHEDULED MATURITY
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Months HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
0 to 120 2,070 $40,347,765.98 84.85%
121 to 180 59 $ 1,516,343.03 3.19%
Greater than 180 216 $ 5,690,540.48 11.97%
--- -------------- ------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
The weighted average months remaining to scheduled maturity as of the
Statistical Calculation Date is 139 months.
ORIGINATION YEAR
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Origination Year HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
1988 1 $ 10,000.00 0.02%
1990 3 $ 36,031.79 0.08%
1991 3 $ 89,080.82 0.19%
1992 5 $ 184,162.75 0.39%
1993 11 $ 212,843.80 0.45%
1994 9 $ 117,178.72 0.25%
1995 21 $ 263,344.43 0.55%
1996 36 $ 495,367.63 1.04%
1997 177 $ 2,297,868.43 4.83%
1998 2,079 $43,848,771.12 92.21%
----- -------------- ------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
LIEN PRIORITY
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Number of Initial Statistical Calculation Statistical Calculation
Lien Position HELOCs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
First 72 $ 3,332,326.03 7.01%
Second 2,273 $44,222,323.46 92.99%
----- -------------- ------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
</TABLE>
DEBT-TO-INCOME RATIOS
<TABLE>
<CAPTION>
Percent of
Initial HELOCs by
Range of Debt-to-Income Number of Initial Statistical Calculation Date Statistical Calculation Date
Ratios(%) HELOCs Balance Balance
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% to 9.99% 10 $ 285,241.37 0.60%
10.00% to 19.99% 117 $ 2,340,933.75 4.92%
20.00% to 29.99% 515 $10,467,186.15 22.01%
30.00% to 39.99% 839 $15,697,931.74 33.01%
40.00% to 49.99% 690 $14,827,607.48 31.18%
50.00% to 59.99% 140 $ 2,916,540.69 6.13%
60.00% to 69.99% 34 $ 1,019,208.31 2.14%
-- -------------- -----
-----------------------------------------------------------------------------------------------------------------------
TOTAL 2,345 $47,554,649.49 100.00%
===== ============== =======
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
INITIAL HEL CHARACTERISTICS
Set forth below is a description of certain additional characteristics
of the Initial HELs as of the Statistical Calculation Date. Unless otherwise
specified, all principal balances of the Initial HELs are as of the Statistical
Calculation Date and are rounded to the nearest dollar. All percentages are
approximate percentages by aggregate principal balance as of the Statistical
Calculation Date (except as indicated otherwise).
PROPERTY TYPE
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Initial Statistical Calculation Statistical Calculation
Property Type HELs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
2-4 Family 14 $ 327,876.08 0.72%
2-4 Unit (duplex) 5 $ 167,996.72 0.37%
Condominium 69 $ 1,397,244.32 3.05%
Manufactured 5 $ 80,697.01 0.18%
PUD 67 $ 2,063,607.45 4.51%
Single-Family Dwelling 1,751 $41,764,432.46 91.19%
----- -------------- ------
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
OCCUPANCY TYPES
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Occupancy Number of Initial Statistical Calculation Statistical Calculation
(as indicated by Borrower) HELs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Owner Occupied 1,906 $45,693,677.98 99.76%
Non-Owner Occupied 5 $ 108,176.06 0.24%
- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
DOCUMENTATION TYPE
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Initial Statistical Calculation Statistical Calculation
Documentation HELs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
Alternative 136 $ 3,192,140.52 6.97%
Expanded NINA 157 $ 2,917,443.82 6.37%
Expanded NIV 25 $ 662,372.34 1.45%
Express 1 $ 17,200.00 0.04%
Family First Division 126 $ 3,010,100.40 6.57%
Full 16 $ 551,928.58 1.21%
NINA 409 $ 8,314,486.40 18.15%
NIV 146 $ 3,868,413.44 8.45%
Quick 2 $ 73,362.47 0.16%
Relocation 2 $ 84,883.05 0.19%
Select 20 $ 770,134.80 1.68%
Standard 847 $21,763,973.69 47.52%
Streamline 2 $ 18,258.97 0.04%
Super Express 22 $ 557,155.56 1.22%
-- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
PRINCIPAL BALANCES
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Initial Statistical Calculation Statistical Calculation
Range of Principal Balances($) HELs Date Balance Date Balance
- --------------------------------------- ---------------------- ----------------------- -----------------------
<S> <C> <C> <C>
$0.00 to $25,000.00 1,219 $19,299,999.91 42.14%
$25,000.01 to $50,000.00 622 $21,591,110.05 47.14%
$50,000.01 to $75,000.00 49 $ 2,942,180.10 6.42%
$75,000.01 to $100,000.00 18 $ 1,573,761.00 3.44%
$100,000.01 to $125,000.00 1 $ 103,075.19 0.23%
$125,000.01 to $150,000.00 1 $ 140,601.80 0.31%
$150,000.01 to $175,000.00 1 $ 151,125.99 0.33%
- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
The average Principal Balance as of the Statistical Calculation Date
is approximately $23,967.48.
GEOGRAPHICAL DISTRIBUTIONS
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Statistical Calculation Statistical Calculation
State Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
Alabama 7 $ 140,747.65 0.31%
Alaska 6 $ 271,894.06 0.59%
Arizona 90 $ 1,861,687.95 4.06%
California 487 $13,764,856.44 30.05%
Colorado 21 $ 452,075.01 0.99%
Connecticut 29 $ 869,407.92 1.90%
Delaware 11 $ 304,200.33 0.66%
Florida 66 $ 1,372,064.42 3.00%
Georgia 43 $ 1,120,799.97 2.45%
Idaho 12 $ 269,151.80 0.59%
Illinois 41 $ 995,978.22 2.17%
Indiana 33 $ 717,439.57 1.57%
Iowa 55 $ 822,942.79 1.80%
Kansas 11 $ 196,045.31 0.43%
Kentucky 10 $ 236,340.13 0.52%
Louisiana 13 $ 310,091.61 0.68%
Maine 12 $ 249,240.10 0.54%
Maryland 31 $ 684,249.61 1.49%
Massachusetts 69 $ 1,532,742.71 3.35%
Michigan 179 $ 4,232,446.55 9.24%
Minnesota 34 $ 709,017.04 1.55%
Mississippi 8 $ 156,659.49 0.34%
Missouri 35 $ 714,240.06 1.56%
Montana 6 $ 156,579.04 0.34%
Nebraska 3 $ 52,389.51 0.11%
Nevada 24 $ 526,967.06 1.15%
New Hampshire 16 $ 374,049.11 0.82%
New Jersey 86 $ 2,112,558.40 4.61%
New Mexico 17 $ 415,617.07 0.91%
New York 63 $ 1,761,716.37 3.85%
North Carolina 28 $ 562,121.41 1.23%
North Dakota 3 $ 31,800.47 0.07%
Ohio 50 $ 1,015,182.70 2.22%
Oklahoma 24 $ 429,995.33 0.94%
Oregon 18 $ 460,478.30 1.01%
Pennsylvania 86 $ 1,674,217.15 3.66%
Rhode Island 11 $ 243,577.44 0.53%
South Carolina 7 $ 150,612.85 0.33%
South Dakota 2 $ 28,329.57 0.06%
Tennessee 30 $ 709,849.16 1.55%
Texas 7 $ 175,226.87 0.38%
Utah 8 $ 250,581.69 0.55%
Vermont 8 $ 134,294.42 0.29%
Virginia 36 $ 881,119.32 1.92%
Washington 56 $ 1,276,515.63 2.79%
West Virginia 1 $ 15,649.02 0.03%
Wisconsin 17 $ 371,090.82 0.81%
Wyoming 1 $ 7,016.59 0.02%
- ---------- -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Range of Combined Number of Statistical Calculation Statistical Calculation
Loan-to-Value Ratios(%) Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
0.000% to 5.000% 1 $ 7,393.91 0.02%
5.001% to 10.000% 5 $ 63,374.94 0.14%
10.001% to 15.000% 5 $ 81,423.37 0.18%
15.001% to 20.000% 13 $ 267,661.00 0.58%
20.001% to 25.000% 15 $ 271,965.96 0.59%
25.001% to 30.000% 17 $ 406,224.69 0.89%
30.001% to 35.000% 15 $ 296,018.12 0.65%
35.001% to 40.000% 20 $ 473,817.64 1.03%
40.001% to 45.000% 27 $ 605,705.55 1.32%
45.001% to 50.000% 39 $ 867,469.57 1.89%
50.001% to 55.000% 45 $ 938,825.06 2.05%
55.001% to 60.000% 56 $ 1,492,388.26 3.26%
60.001% to 65.000% 79 $ 2,066,352.51 4.51%
65.001% to 70.000% 101 $ 2,446,185.29 5.34%
70.001% to 75.000% 168 $ 4,279,071.74 9.34%
75.001% to 80.000% 368 $ 9,134,316.19 19.94%
80.001% to 85.000% 201 $ 4,759,199.58 10.39%
85.001% to 90.000% 660 $15,598,971.67 34.06%
90.001% to 95.000% 30 $ 563,057.61 1.23%
95.001% to 100.000% 46 $ 1,182,431.38 2.58%
-- -------------- -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
The minimum and maximum Combined Loan-to-Value Ratios of the Initial
HELs as of the Statistical Calculation Date are approximately 2.00% and
100.00%, respectively, and the weighted average Combined Loan-to-Value Ratio of
the Initial HELs as of the Statistical Calculation Date is approximately
77.17%.
JUNIOR RATIOS(1)(2)
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Statistical Calculation Statistical Calculation
Range of Junio Ratios(%) Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
[0.000]% to 9.999% 299 $ 4,554,124.07 9.94%
10.000% to 19.999% 809 $17,391,610.87 37.97%
20.000% to 29.999% 448 $12,392,029.31 27.06%
30.000% to 39.999% 202 $ 6,214,917.68 13.57%
40.000% to 49.999% 84 $ 2,942,658.58 6.42%
50.000% to 59.999% 25 $ 972,418.45 2.12%
60.000% to 69.999% 14 $ 501,409.73 1.09%
70.000% to 79.999% 14 $ 415,924.94 0.91%
80.000% to 89.999% 9 $ 221,992.41 0.48%
90.000% to 99.999% 7 $ 194,768.00 0.43%
- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
(1) The Junior Ratio of a HEL is the ratio (expressed as a percentage)
of the credit limit of such HEL to the sum of such credit limit and the
outstanding balance of any senior mortgage computed as of the date such
HEL is underwritten.
(2) The weighted average Junior Ratio of the Initial HELs as of the
Statistical Calculation Date is 24.60%.
LOAN RATES
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Statistical Calculation Statistical Calculation
Range of Loan Rates(%) Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
6.000% 2 $ 19,504.97 0.04%
6.001% to 7.000% 26 $ 226,343.64 0.49%
7.001% to 8.000% 34 $ 234,669.27 0.51%
8.001% to 9.000% 7 $ 236,007.26 0.52%
9.001% to 10.000% 789 $21,425,260.90 46.78%
10.001% to 11.000% 802 $19,430,288.87 42.42%
11.001% to 12.000% 236 $ 3,993,857.11 8.72%
12.001% to 13.000% 15 $ 235,922.02 0.52%
-- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
The weighted average Loan Rate as of the Statistical Calculation Date
is approximately 10.196%.
MONTHS REMAINING TO SCHEDULED MATURITY
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Statistical Calculation Statistical Calculation
Range of Months Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
24 to 47 10 $ 126,404.96 0.28%
48 to 71 329 $ 5,637,566.14 12.31%
72 to 95 1 $ 17,912.13 0.04%
96 to 119 665 $14,522,530.15 31.71%
120 to 143 1 $ 19,973.70 0.04%
144 to 167 4 $ 78,303.52 0.17%
168 to 191 877 $24,675,552.69 53.87%
216 to 239 20 $ 617,441.18 1.35%
288 to 311 4 $ 106,169.57 0.23%
- ------------ -----
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
The weighted average months remaining to scheduled maturity as of the
Statistical Calculation Date is approximately 141 months.
LIEN PRIORITY
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Number of Statistical Calculation Statistical Calculation
Lien Position Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
First 61 $ 1,619,446.89 3.54%
Second 1,850 $44,182,407.15 96.46%
----- -------------- ------
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
</TABLE>
DEBT-TO-INCOME RATIOS
<TABLE>
<CAPTION>
Percent of
Initial HELs by
Range of Debt-to-Income Number of Statistical Calculation Statistical Calculation
Ratios(%) Initial HELs Date Balance Date Balance
- --------------------------------------- ---------------- ----------------------- -----------------------
<S> <C> <C> <C>
0.00% to 9.99% 4 $ 40,633.50 0.09%
10.00% to 19.99% 81 $ 1,668,261.94 3.64%
20.00% to 29.99% 356 $ 7,856,295.10 17.15%
30.00% to 39.99% 807 $19,568,518.21 42.72%
40.00% to 49.99% 595 $14,932,716.55 32.60%
50.00% to 59.99% 61 $ 1,516,242.95 3.31%
60.00% to 69.99% 6 $ 204,618.05 0.45%
70.00% to 79.99% 1 $ 14,567.74 0.03%
- ----------- -----
- -----------------------------------------------------------------------------------------------------------------
TOTAL 1,911 $45,801,854.04 100.00%
===== ============== =======
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
The information set forth in the preceding sections is based upon
information provided by the Seller and tabulated by the Depositor. The
Depositor makes no representation as to the accuracy or completeness of such
information.
PERCENTAGE OF INITIAL TERM NOTE BALANCE (1)(2)
<TABLE>
<CAPTION>
PAYMENT DATE CPR
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
HEL CPR 0% 20% 25% 30% 35% 40% 45%
HELOC GROSS CPR 0% 20% 25% 30% 35% 40% 45%
INITIAL........................................ 100 100 100 100 100 100 100
SEPTEMBER 1999................................. 100 100 100 100 100 100 100
SEPTEMBER 2000................................. 99 92 90 87 84 80 77
SEPTEMBER 2001................................. 95 79 72 65 59 52 46
SEPTEMBER 2002................................. 92 68 58 49 41 34 28
SEPTEMBER 2003................................. 88 59 47 38 29 23 17
SEPTEMBER 2004................................. 84 48 37 27 20 14 10
SEPTEMBER 2005................................. 79 37 27 19 13 8 0
SEPTEMBER 2006................................. 74 29 19 13 8 0 0
SEPTEMBER 2007................................. 72 23 14 9 0 0 0
SEPTEMBER 2008................................. 21 0 0 0 0 0 0
SEPTEMBER 2009................................. 18 0 0 0 0 0 0
SEPTEMBER 2010................................. 16 0 0 0 0 0 0
SEPTEMBER 2011................................. 13 0 0 0 0 0 0
SEPTEMBER 2012................................. 10 0 0 0 0 0 0
SEPTEMBER 2013................................. 0 0 0 0 0 0 0
WEIGHTED AVERAGE LIFE TO 10% CALL (YEARS)...... 9.22 5.94 5.22 4.63 4.08 3.64 3.31
WEIGHTED AVERAGE LIFE TO MATURITY (YEARS)...... 9.91 6.11 5.30 4.66 4.16 3.76 3.43
=========
</TABLE>
(1) ASSUMES (I) EXCEPT WHERE INDICATED, THAT AN OPTIONAL
TERMINATION IS EXERCISED ON THE FIRST PAYMENT DATE ON WHICH THE TERM
TERM NOTE BALANCE AS OF THE LAST DATE OF THE RELATED COLLECTION
PERIOD IS LESS THAN OR EQUAL TO 10% OF THE INITIAL TERM NOTE BALANCE
AND (II) IN THE CASE OF THE HELOCS, A CONSTANT DRAW RATE OF 12.0%.
(2) ALL PERCENTAGES ARE ROUNDED TO THE NEAREST 1%.
(3) ASSUMES PRICING SPEED OF 35% CPR ON HELS AND GROSS CPR OF 35%
ON HELOCS.
AVAILABLE FUNDS TABLE
1) Assuming no change in interest rates, Prime Rate remains at 8.5%.
2) Assumes initial pool collateral mix of 46% fixed rate HELs/54%
adjustable rate HELOCs (Index + margin), with Subsequent Mortgage Loans
representing a mix of 10% fixed rate HELs/ 90% adjustable rate HELOCs
added to the pool during the Revolving Period.
3) Assumes CPR of 35% on HELs and Gross CPR of 35% and Draw Rate of 12%
on HELOCs.
4) Available Funds represents the Net Loan Rate which is the weighted
average Loan Rates less the servicing fee, trustee fees and credit
enhancer fee (approximately 0.635%) and, commencing on the thirteenth
Payment Date, a Credit Enhancer carveout of 0.50%.
<TABLE>
<CAPTION>
% % % % % %
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.40 Oct-98 8.94 Nov-02 8.92 Dec-06 8.83 Jan-11 8.81 Feb-15 8.81 Mar-19
8.37 Nov-98 8.93 Dec-02 8.92 Jan-07 8.83 Feb-11 8.81 Mar-15 8.81 Apr-19
8.43 Dec-98 8.93 Jan-03 8.92 Feb-07 8.83 Mar-11 8.81 Apr-15 8.81 May-19
8.41 Jan-99 8.93 Feb-03 8.92 Mar-07 8.83 Apr-11 8.81 May-15 8.81 Jun-19
8.40 Feb-99 8.93 Mar-03 8.92 Apr-07 8.83 May-11 8.81 Jun-15 8.81 Jul-19
9.47 Mar-99 8.93 Apr-03 8.92 May-07 8.83 Jun-11 8.81 Jul-15 8.81 Aug-19
9.47 Apr-99 8.93 May-03 8.92 Jun-07 8.83 Jul-11 8.81 Aug-15 8.81 Sep-19
9.45 May-99 8.93 Jun-03 8.92 Jul-07 8.83 Aug-11 8.81 Sep-15 8.81 Oct-19
9.45 Jun-99 8.93 Jul-03 8.92 Aug-07 8.83 Sep-11 8.81 Oct-15 8.81 Nov-19
9.44 Jul-99 8.93 Aug-03 8.92 Sep-07 8.83 Oct-11 8.81 Nov-15 8.81 Dec-19
9.44 Aug-99 8.93 Sep-03 8.92 Oct-07 8.83 Nov-11 8.81 Dec-15 8.81 Jan-20
9.44 Sep-99 8.93 Oct-03 8.92 Nov-07 8.82 Dec-11 8.81 Jan-16 8.81 Feb-20
8.96 Oct-99 8.93 Nov-03 8.92 Dec-07 8.82 Jan-12 8.81 Feb-16 8.81 Mar-20
8.95 Nov-99 8.93 Dec-03 8.92 Jan-08 8.82 Feb-12 8.81 Mar-16 8.81 Apr-20
8.95 Dec-99 8.93 Jan-04 8.92 Feb-08 8.82 Mar-12 8.81 Apr-16 8.81 May-20
8.95 Jan-00 8.93 Feb-04 8.92 Mar-08 8.82 Apr-12 8.81 May-16 8.81 Jun-20
8.95 Feb-00 8.93 Mar-04 8.92 Apr-08 8.82 May-12 8.81 Jun-16 8.81 Jul-20
8.95 Mar-00 8.93 Apr-04 8.92 May-08 8.82 Jun-12 8.81 Jul-16 8.81 Aug-20
8.94 Apr-00 8.93 May-04 8.92 Jun-08 8.82 Jul-12 8.81 Aug-16 8.81 Sep-20
8.94 May-00 8.93 Jun-04 8.87 Jul-08 8.82 Aug-12 8.81 Sep-16 8.81 Oct-20
8.94 Jun-00 8.93 Jul-04 8.87 Aug-08 8.82 Sep-12 8.81 Oct-16 8.81 Nov-20
8.94 Jul-00 8.93 Aug-04 8.87 Sep-08 8.82 Oct-12 8.81 Nov-16 8.81 Dec-20
8.94 Aug-00 8.93 Sep-04 8.86 Oct-08 8.82 Nov-12 8.81 Dec-16 8.81 Jan-21
8.94 Sep-00 8.93 Oct-04 8.86 Nov-08 8.82 Dec-12 8.81 Jan-17 8.81 Feb-21
8.94 Oct-00 8.93 Nov-04 8.86 Dec-08 8.81 Jan-13 8.81 Feb-17 8.81 Mar-21
8.94 Nov-00 8.93 Dec-04 8.86 Jan-09 8.81 Feb-13 8.81 Mar-17 8.81 Apr-21
8.94 Dec-00 8.93 Jan-05 8.86 Feb-09 8.81 Mar-13 8.81 Apr-17 8.81 May-21
8.94 Jan-01 8.93 Feb-05 8.86 Mar-09 8.81 Apr-13 8.81 May-17 8.81 Jun-21
8.94 Feb-01 8.93 Mar-05 8.85 Apr-09 8.81 May-13 8.81 Jun-17 8.81 Jul-21
8.94 Mar-01 8.93 Apr-05 8.85 May-09 8.81 Jun-13 8.81 Jul-17 8.81 Aug-21
8.94 Apr-01 8.93 May-05 8.85 Jun-09 8.81 Jul-13 8.81 Aug-17 8.81 Sep-21
8.94 May-01 8.93 Jun-05 8.85 Jul-09 8.81 Aug-13 8.81 Sep-17 8.81 Oct-21
8.94 Jun-01 8.93 Jul-05 8.85 Aug-09 8.81 Sep-13 8.81 Oct-17 8.81 Nov-21
8.94 Jul-01 8.93 Aug-05 8.85 Sep-09 8.81 Oct-13 8.81 Nov-17 8.81 Dec-21
8.94 Aug-01 8.93 Sep-05 8.85 Oct-09 8.81 Nov-13 8.81 Dec-17 8.81 Jan-22
8.94 Sep-01 8.93 Oct-05 8.85 Nov-09 8.81 Dec-13 8.81 Jan-18
8.94 Oct-01 8.93 Nov-05 8.85 Dec-09 8.81 Jan-14 8.81 Feb-18
8.94 Nov-01 8.93 Dec-05 8.85 Jan-10 8.81 Feb-14 8.81 Mar-18
8.94 Dec-01 8.93 Jan-06 8.84 Feb-10 8.81 Mar-14 8.81 Apr-18
8.94 Jan-02 8.92 Feb-06 8.84 Mar-10 8.81 Apr-14 8.81 May-18
8.94 Feb-02 8.92 Mar-06 8.84 Apr-10 8.81 May-14 8.81 Jun-18
8.94 Mar-02 8.92 Apr-06 8.84 May-10 8.81 Jun-14 8.81 Jul-18
8.94 Apr-02 8.92 May-06 8.84 Jun-10 8.81 Jul-14 8.81 Aug-18
8.94 May-02 8.92 Jun-06 8.84 Jul-10 8.81 Aug-14 8.81 Sep-18
8.94 Jun-02 8.92 Jul-06 8.84 Aug-10 8.81 Sep-14 8.81 Oct-18
8.94 Jul-02 8.92 Aug-06 8.84 Sep-10 8.81 Oct-14 8.81 Nov-18
8.94 Aug-02 8.92 Sep-06 8.84 Oct-10 8.81 Nov-14 8.81 Dec-18
8.94 Sep-02 8.92 Oct-06 8.84 Nov-10 8.81 Dec-14 8.81 Jan-19
8.94 Oct-02 8.92 Nov-06 8.84 Dec-10 8.81 Jan-15 8.81 Feb-19
</TABLE>
DELINQUENCY AND LOSS EXPERIENCE
===============================================================================
HOME EQUITY LOAN PORTFOLIO DELINQUENCY EXPERIENCE (1)
<TABLE>
<CAPTION>
===================================================================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
AT JUNE 30, 1998 AT DECEMBER 31, 1997 AT DECEMBER 31, 1996 AT DECEMBER 31, 1995
$ LOANS % BY $ $ LOANS % BY $ $ LOANS % BY $ $ LOANS % BY $
------- ------ ------- ------ ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Number of Loans 23,044 20,159 17,344 11,577
Total Portfolio $617,815,357 100.00% $568,400,751 100.00% $496,073,600 100.00% $348,925,061 100.00%
Period of Delinquency
30-59 Days 4,534,046 0.74% 8,475,141 1.49% 7,472,812 1.51% 6,155,371 1.76%
60-89 Days 989,780 0.16% 1,169,433 0.21% 1,052,747 0.21% 1,147,721 0.33%
90+ Days 1,737,621 0.28% 2,008,257 0.35% 2,018,333 0.41% 1,114,707 0.32%
------------ ------- ------------ ------- ------------- ------- ------------- --------
------------ ------- ------------ ------- ------------- ------- ------------- --------
Total Loans 7,261,447 1.18% 11,652,831 2.05% 10,543,892 2.13% 8,417,799 2.41%
------------ ------- ------------ ------- ------------- ------- ------------- --------
------------ ------- ------------ ------- ------------- ------- ------------- --------
Foreclosure 3,283,302 0.53% 3,533,381 0.62% 2,808,028 0.57% 2,647,576 0.76%
Foreclosed 329,743 0.05% 1,730,913 0.30% 1,749,156 0.35% 1,545,197 0.44%
------------ ------- ------------ ------- ------------- ------- ------------- --------
------------ ------- ------------ ------- ------------- ------- ------------- --------
Total Loans in Foreclosure 3,613,045 0.58% 5,264,294 0.93% 4,557,184 0.92% 4,192,773 1.20%
------------ ------- ------------ ------- ------------- ------- ------------- --------
------------ ------- ------------ ------- ------------- ------- ------------- --------
------------ ------- ------------ ------- ------------- ------- ------------- --------
-=========== ------- ============ ------- --=========== ------- --=========== --------
Total Delinquent Loans 10,874,492 1.76% $16,917,125 2.98% $15,101,076 3.04% $12,610,572 3.61%
-=========== ------- ============ ------- --=========== ------- --=========== --------
</TABLE>
===============================================================================
HOME EQUITY LOAN PORTFOLIO LOSS AND FORECLOSURE EXPERIENCE (1)
===============================================================================
<TABLE>
<CAPTION>
AT JUNE 30, 1998 AT DECEMBER 31, 1997 AT DECEMBER 31, 1996 AT DECEMBER 31, 1995
$ LOANS % BY $ $ LOANS % BY $ $ LOANS % BY $ $ LOANS % BY $
------- ------ ------- ------ ------- ------ ------- ------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Number of Loans 23,044 20,159 17,344 11,577
Total Portfolio $617,815,357 100.00% $568,400,751 100.00% $496,073,600 100.00% $348,925,061 100.00%
------------- -------- ------------- -------- ------------- -------- ------------- --------
------------- -------- ------------- -------- ------------- -------- ------------- --------
Total Loans in Foreclosure 3,613,045 0.58% 5,264,294 0.93% 4,557,184 0.92% 4,192,773 1.20%
------------- -------- ------------- -------- ------------- -------- ------------- --------
------------- -------- ------------- -------- ------------- -------- ------------- --------
------------- -------- ------------- -------- ------------- -------- ------------- --------
============= -------- ============= -------- ============= -------- ============= ========
Net Chargeoffs for Period $694,298 0.11% $1,332,166 0.23% $1,553,129 0.31% $522,013 0.15%
============= -------- ============= -------- ============= -------- ============= ========
</TABLE>
(1) Performing loans in bankruptcy are not included in delinquency
statistics.
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not
received the statement described above or the related Prospectus and
Prospectus Supplement, please contact your account executive at Bear, Stearns
& Co. Inc.
