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Previous: BEAR STEARNS ASSET BACKED SECURITIES INC, 424B5, 1998-06-09 |
Next: LIFE CYCLE MUTUAL FUNDS INC, PRE 14A, 1998-06-09 |
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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):June 5, 1998
BEAR STEARNS ASSET BACKED SECURITIES, INC.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-49015 13-3836437
- ---------------------------- ------------ -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
245 Park Avenue
New York, New York 10167
- --------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-4095
----- --------
- --------------------------------------------------------------------------------
Item 5. Other Events.
Filing of Computational Materials
In connection with the proposed offering of the Irwin Revolving Home Equity
Loan Trust 1998-1 Home Equity Loan-Backed Term Notes, Series 1998-1 (the "Term
Notes"), Bear, Stearns & Co. Inc., as the underwriter (the "Underwriter") has
prepared certain materials (the "Series Term Sheet" including "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 hererto as Exhibit 99.1.
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Series Term Sheet including Computational
Materials filed on Form 8-K dated June 5, 1998.
<PAGE>
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
-----------------------------
Name: Jonathan Lieberman
Title: Vice President
Dated: June 5, 1998
<PAGE>
Exhibit Index
Exhibit Page
- ------- ----
99.1 Series Term Sheet including Computational
Materials filed on Form 8-K dated June 5, 1998
IRWIN REVOLVING HOME EQUITY LOAN TRUST 1998-1
<TABLE>
<CAPTION>
<S> <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
</TABLE>
<TABLE>
<CAPTION>
IRWIN REVOLVING HOME EQUITY LOAN TRUST, SERIES 1998-1: COMPUTATIONAL MATERIALS
<S> <C>
FAX TO: DATE:
COMPANY: # PAGES (incl. cover):
FAX NO: PHONE NO:
FROM: PHONE NO:
</TABLE>
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES,
PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no 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.
IRWIN REVOLVING HOME EQUITY LOAN TRUST 1998-1
SUMMARY OF TERMS
Issuer...................................... The Irwin Revolving Home Equity
Loan Trust 1998-1, a Delaware
business trust (the "Trust"), will
be formed pursuant to a trust
agreement to be dated as of May 31,
1998 (the "Trust Agreement"),
between the Depositor and the Owner
Trustee. The assets of the Issuer
(the "Trust Estate") will consist
of the Initial HELOCs and the
Initial HELs (together, the
"Initial 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 Trust subsequent
to the Closing Date (the
"Subsequent Mortgage Loans") and
certain related assets.
The Term Notes.............................. $150,000,000 Home Equity Loan-
Backed Term Notes, Series 1998-1
(the "Term Notes").
The Variable Funding Notes.................. Home Equity Loan-Backed Variable
Funding Notes, Series 1998-1 (the
"Variable Funding Notes" and,
together with the Term Notes, the
"Notes"). The Variable Funding
Notes are not offered hereby.
The Certificates............................ Home Equity Loan-Backed
Certificates, Series 1998-1 (the
"Certificates" and, together with
the Notes, the "Securities"). The
Certificates are not offered
hereby.
Depositor................................... Bear Stearns Asset Backed
Securities, Inc.
Seller...................................... Irwin Funding Corp., a special
purpose corporation and a
wholly-owned subsidiary of either
Irwin Union Bank or Irwin Home
Equity Corporation.
Originator.................................. Irwin Home Equity Corporation.
Master Servicer............................. Irwin Union Bank and Trust Company
("Irwin Union Bank"). The
Originator initially will act as
subservicer on behalf of the Master
Servicer.
Owner Trustee............................... Wilmington Trust Company.
Indenture Trustee........................... Norwest Bank Minnesota, National
Association ("Norwest Bank").
Closing Date................................ On or about June 12, 1998.
Payment Date................................ The 15th day of each month (or, if
such day is not a Business Day, the
next succeeding Business Day),
beginning on July 15, 1998 (each, a
"Payment Date").
Denominations and Registration.............. The Term Notes will be issued in
minimum denominations of $1,000 and
integral multiples of $1,000 in
excess thereof. The Term Notes will
initially be issued in book-entry
form.
The Mortgage Pool........................... Unless otherwise indicated, the
statistical information regarding
the Mortgage Loans and the
Mortgaged Properties presented in
this Prospectus Supplement is based
upon the characteristics of the
Initial Mortgage Loans as of the
close of business on May 31, 1998
(the "Initial Cut-Off Date"), and
all percentages set forth in this
Prospectus Supplement are based
upon the aggregate Principal
Balances of the Initial Mortgage
Loans as of the Initial Cut-Off
Date, which is $75,000,053.34
The adjustable-rate home equity
lines of credit ("HELOCs") to be
included in the Trust will be home
equity Mortgage Loans evidenced by
the related loan agreements (the
"Loan Agreements") and secured by
mortgages or deeds of trust on one-
to four-family residential
properties. As to the Initial
HELOCs, approximately 98.26% are
junior mortgages, and the remainder
are first mortgages. A substantial
portion of the Initial HELOCs is
located in selected metropolitan
markets in the State of California,
and the Initial HELOCs generally
have original terms to stated
maturity of approximately 20 years
and scheduled monthly payments of
interest only for the first ten
years of their respective terms.
Beginning in their eleventh year,
substantially all HELOCs have
scheduled payments on a ten-year
fully amortizing basis. HELOCs
representing not more than 5% of
the Pool Balance may have combined
loan-to-value ratios ranging
between 101% and 125%, and thus
will not be fully secured.
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 Trust 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 added to the Trust and
principal payments received are
applied in reduction thereof. Under
the Loan 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. The
interest only payment obligation
terminates at the end of the
related Draw Period, after which
the Mortgagor must begin paying at
least a minimum monthly portion of
the average outstanding Principal
Balance of the HELOC together with
accrued interest.
The home equity loans ("HELs") to
be included in the Trust will be
fixed rate closed-end home equity
loans evidenced by promissory notes
(each, a "Mortgage Note") and
secured by mortgages (together with
the mortgages and deeds of trust
securing the HELOCs, the
"Mortgages") on one- to four-family
residential properties. As to the
Initial HELs, approximately 87.46%
are junior mortgages, and the
remainder are first mortgages. A
substantial portion of the Initial
HELs is located in selected
metropolitan markets in the States
of California and Massachusetts,
and all Initial HELs provide for
substantially equal payments in an
amount sufficient to amortize the
HELs over their terms.
Monthly payments for each Mortgage
Loan (each, a "Monthly Payment")
will be due on the fifteenth day of
each calendar month or, in the case
of certain HELs, the first day of
each calendar month (each, a "Due
Date").
The Mortgage Loans were originated
by the Originator on behalf of
Irwin Union Bank in accordance with
the underwriting standards of the
Originator developed at the
direction of Irwin Union Bank.
Mortgage Interest Rate...................... The "Mortgage Interest 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 Loan
Agreement, as the case may be. The
Mortgage Interest Rate borne by
each Mortgage Loan is (i) in the
case of a HELOC, adjustable on the
date (each such date, an "Interest
Adjustment Date") specified in the
related Loan Agreement to a rate
based on the highest prime rate as
published in the " Money Rates"
section of The Wall Street Journal
on the last Business Day of the
related calendar month and (ii) in
the case of a HEL, fixed as of the
date of origination of such HEL.
Interest on each HELOC is computed
and payable monthly on the average
daily outstanding Principal Balance
of such HELOC. The Mortgage
Interest Rate on each HELOC will be
adjusted on each Interest
Adjustment Date to a rate equal to
the sum of the applicable prime
rate and a fixed percentage (the
"Gross Margin") specified in the
related Loan Agreement, and is
generally subject to maximum and
minimum Mortgage Interest Rates
over the life of the related
Mortgage Loan ("Lifetime Rate Caps"
and "Lifetime Rate Floors",
respectively) specified in such
Loan Agreement. As of the Initial
Cut-Off Date, the weighted average
Mortgage Interest Rate for the
HELOCs was approximately 12.282%
and for the HELs was approximately
12.199%.
As of the Initial Cut-Off Date, the
Gross Margins for the Initial
HELOCs ranged from 0.100% to
7.900%, and the weighted average
Gross Margin was approximately
3.782%. As of the Initial Cut-Off
Date, the Lifetime Rate Caps for
the Initial HELOCs ranged from
approximately 16.000% to 25.000%
per annum, and the weighted average
Lifetime Rate Cap was approximately
19.769% per annum. As of the
Initial Cut-Off Date, the Lifetime
Rate Floors for the Initial HELOCs
ranged from approximately 6.600% to
15.400% per annum, and the weighted
average Lifetime Rate Floor was
approximately 10.266% per annum.
Pre-Funding Account......................... On the Closing Date, approximately
$75,000,000 (the "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. The Seller
will be obligated to sell
Subsequent Mortgage Loans to the
Trust and the Trust will be
obligated, subject to the consent
of the Enhancer and the
satisfaction of certain conditions,
to purchase such Subsequent
Mortgage Loans during the period
from 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
(the "Pre-Funding Period").
Subsequent Mortgage Loans, if
available, will be originated by
the Originator on behalf of Irwin
Union Bank, and thereafter sold to
the Seller, the Depositor and the
Trust, in succession. The
Subsequent Mortgage Loans, as well
as all Initial Mortgage Loans, must
conform to certain specified
characteristics. Following the end
of the Pre-Funding Period,
Subsequent Mortgage Loans will
continue to be acquired by the
Trust 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. Amounts
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 fund portions of the
interest payments on the Term Notes
to the extent set forth in the Sale
and Servicing Agreement.
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 solely
of HELOCs.
Interest Payments........................... Interest Payments on the Notes will
be paid monthly on each Payment
Date, beginning in July 1998, at
the Note Rate for the related
Interest Period, subject to the
limitations set forth below, which
may result in Interest
Carry-Forward Amounts, as described
below. The "Note Rate" for each
Interest Period will be a floating
rate equal to the least 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 Mortgage
Interest Rate, as described herein
under "Description of the
Securities--Interest Payments on
the Notes", and (iii) 15.0% 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
Carry-Forward Amount") will accrue
interest thereafter at the Note
Rate (as adjusted from time to
time) and will be paid on
subsequent Payment Dates to the
extent that funds are available
therefor as set forth herein under
"Description of the
Securities--Allocation of Payments
on the Mortgage Loans". Interest
Carry-Forward Amounts will not be
covered by the Policy and may
remain unpaid on the Final Payment
Date. Interest on the Notes in
respect of any 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.
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 for the
purchase of Additional Balances and
Subsequent Mortgage Loans. On each
Payment Date during the Managed
Amortization Period, the aggregate
amount due and 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 principal 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 (the "Term Note
Balance" and the "Variable Funding
Balance", respectively, and
together, the "Note Balance") 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 on such Payment Date.
"Net Principal Collections" means,
as to any Payment Date, the excess
of (i) Principal Collections over
(ii) certain amounts applied toward
the purchase of Additional Balances
and, as more fully described
herein.
The "Revolving Period" will be the
period beginning on the Closing
Date and ending on the earlier of
(i) December 31, 1999 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) December 31,
2003 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) December 31, 2003 and (ii) the
occurrence of a Rapid Amortization
Event, and ending upon the
termination of the Trust.
Allocation of Payments on the
Mortgage Loans.............................. All collections on the Mortgage
Loans will be allocated by the
Master Servicer between amounts
collected in respect of interest
and principal pursuant to the terms
of the Mortgage Documents governing
the related Mortgage Loans. See
"The Agreements--The Sale and
Servicing Agreement--Collections"
herein, which describes the
calculation of Principal
Collections and Interest
Collections on the Mortgage Loans
for the Collection Period related
to each Payment Date. The portion
of Interest Collections and
Principal Collections
(collectively, "P&I Collections")
payable to the Noteholders 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.
Principal Collections will be
applied to purchase Additional
Balances prior to the commencement
of the Rapid Amortization Period,
and will be applied to purchase
Subsequent Mortgage Loans during
the Revolving Period, 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, 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 Trust, up to
$15,000,000.00 (the "Maximum
Variable Funding Balance").
Credit Enhancement.......................... The Credit Enhancement provided for
the benefit of the Noteholders will
consist of (i) Excess Spread, (ii)
the Outstanding Reserve Amount 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
(representing excess Interest
Collections, if available), as
described herein, which will be
deposited into the Funding Account
during the Revolving Period or used
to make payments on the Notes
during the Amortization Periods, in
each case to the extent necessary
to cover Liquidation Loss Amounts.
"Liquidation Loss Amount" means,
with respect to any liquidated
Mortgage Loan, the unrecovered
Principal Balance thereof at the
end of the Collection Period during
which such Mortgage Loan became
liquidated, after giving effect to
any Liquidation Proceeds received
in connection therewith.
Outstanding Reserve Amount: The
"Outstanding Reserve Amount"
represents amounts on deposit in an
account (the "Reserve Account")
established for such purpose with
the Indenture Trustee. On the
Closing Date, the Seller will
deposit an amount equal to the
Reserve Amount Target into the
Reserve Account. The Outstanding
Reserve Amount will be invested in
Permitted Investments. Any
Liquidation Loss Amounts allocable
to the Notes that are not covered
by Excess Spread will be covered by
application of the Outstanding
Reserve Amount as described herein.
Initially, the Reserve Amount
Target will be at least 2.0% of the
Note Balance. Thereafter, the
Reserve Amount Target may increase
or decrease from time to time
pursuant to the terms of the
Insurance Agreement. See
"Description of the
Securities--Priority of
Distributions" herein.
Notwithstanding the foregoing, a
letter of credit (or equivalent
mechanism) may be delivered
evidencing the availability of the
Outstanding Reserve Amount from
time to time. In suc event,
drawings under such letter of
credit (or equivalent mechanism)
will be made in the amounts
corresponding to the required
application of the Outstanding
Reserve Amount as described above.
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 Carry-Forward Amounts)
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 Reserve Amount.
Interest Carry-Forward Amounts 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 Notes upon the
exercise by the Master 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 of such Mortgage
Loans will be the sum of the
outstanding Pool Balance and
accrued and unpaid interest thereon
(including Interest Carry- Forward
Amounts and interest thereon) at
the weighted average of the
Mortgage Interest Rates of such
Mortgage Loans through the day
preceding the Payment Date on which
such purchase occurs, together with
all amounts due and owing to the
Enhancer.
Final Payment of Principal
ontheNotes.................................. The Notes will be payable in full
on the January 2031 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 Master 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 certain Mortgage Loans.
Mortgage Loans so designated will
be removed without notice to the
Securityholders 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; (iii) the
Seller will represent and warrant
that no selection procedures
adverse to the interests of the
Enhancer or the Securityholders
were used by the Seller in
selecting such Mortgage Loans; and
(iv) the Seller shall have
delivered to the Indenture Trustee
an officer's certificate confirming
the conditions set forth in clauses
(i) through (iii) above.
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,
tax counsel to the Depositor and
the Seller, 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.
Ratings......................................It is a condition to the issuance
of the Notes that they be rated at
least "Aaa" By Moody's Investors
Service, Inc. and "AAA" by Standard
& Poor's, a division of The
McGraw-Hill Companies, Inc. 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 Mortgage
Loans, the likelihood of the
receipt of any amounts in respect
of Interest Carry-Forward Amounts
or any corresponding effect o nthe
yield to ivnestors. See "Yield and
Prepaymetn Considerations" and
"Ratings" herein.
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE INTEREST RATES OF INITIAL HELOCS
Range of Gross Mortgage Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial
Interest Rates HELOCs Principal Balance Cut-Off Date Pool Balance
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
8.501% - 9.000% 14 $ 756,331.04 2.02%
9.001% - 9.500% 15 $ 1,219,272.91 3.25%
9.501% - 10.000% 38 $ 2,673,266.64 7.13%
10.001% - 10.500% 88 $ 4,869,084.46 12.98%
10.501% - 11.000% 46 $ 2,413,382.05 6.43%
11.001% - 11.500% 66 $ 3,251,017.80 8.67%
11.501% - 12.000% 45 $ 2,474,909.37 6.60%
12.001% - 12.500% 88 $ 3,973,856.63 10.60%
12.501% - 13.000% 68 $ 2,902,740.18 7.74%
13.001% - 13.500% 68 $ 2,835,202.67 7.56%
13.501% - 14.000% 42 $ 1,575,020.89 4.20%
14.001% - 14.500% 165 $ 5,720,398.44 15.25%
14.501% - 15.000% 19 $ 574,255.41 1.53%
15.001% - 15.500% 69 $ 1,539,049.85 4.10%
15.501% - 16.000% 16 $ 396,376.56 1.06%
16.001% - 16.500% 15 $ 330,315.53 0.88%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average Mortgage Interest Rate of the Initial HELOCs is
approximately 12.282% per annum.
<TABLE>
<CAPTION>
GROSS MARGIN OF INITIAL HELOCS
Range of Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
Gross Margins HELOCs Principal Balance Date Pool Balance
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000% - 0.499% 13 $ 703,931.04 1.88%
0.500% - 1.000% 16 $ 1,271,672.91 3.39%
1.001% - 1.500% 38 $ 2,673,266.64 7.13%
1.501% - 2.000% 88 $ 4,869,084.46 12.98%
2.001% - 2.500% 46 $ 2,413,382.05 6.43%
2.501% - 3.000% 66 $ 3,251,017.80 8.67%
3.001% - 3.500% 45 $ 2,474,909.37 6.60%
3.501% - 4.000% 88 $ 3,973,856.63 10.60%
4.001% - 4.500% 68 $ 2,902,740.18 7.74%
4.501% - 5.000% 68 $ 2,835,202.67 7.56%
5.001% - 5.500% 42 $ 1,575,020.89 4.20%
5.501% - 6.000% 165 $ 5,720,398.44 15.25%
6.001% - 6.500% 19 $ 574,255.41 1.53%
6.501% - 7.000% 69 $ 1,539,049.85 4.10%
7.001% - 7.500% 16 $ 396,376.56 1.06%
7.501% - 8.000% 15 $ 330,315.53 0.88%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average Gross Margin of the Initial HELOCs is approximately
3.782% per annum.
<TABLE>
<CAPTION>
LIFETIME RATE CAPS OF INITIAL HELOCS
Range of Gross Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
Lifetime Rate Caps (%) HELOCs Principal Balance Date Pool Balance
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
15.501% - 16.000% 27 $ 934,478.89 2.49%
16.501% - 17.000% 13 $ 703,931.04 1.88%
17.001% - 17.500% 14 $ 1,169,352.91 3.12%
17.501% - 18.000% 157 $ 6,886,497.70 18.36%
18.001% - 18.500% 75 $ 4,207,649.43 11.22%
18.501% - 19.000% 42 $ 2,305,983.01 6.15%
19.001% - 19.500% 55 $ 2,919,568.47 7.78%
19.501% - 20.000% 71 $ 3,165,592.66 8.44%
20.001% - 20.500% 67 $ 2,911,593.40 7.76%
20.501% - 21.000% 71 $ 2,863,766.59 7.64%
21.001% - 21.500% 49 $ 2,161,062.00 5.76%
21.501% - 22.000% 34 $ 1,264,783.05 3.37%
22.001% - 22.500% 107 $ 3,884,790.81 10.36%
22.501% - 23.000% 14 $ 443,205.27 1.18%
23.001% - 23.500% 43 $ 1,017,816.85 2.71%
23.501% - 24.000% 15 $ 391,994.32 1.05%
24.001% and above 8 $ 272,414.03 0.73%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average Lifetime Rate Cap of the Initial HELOCs is
approximately 19.769% per annum.
<TABLE>
<CAPTION>
LIFETIME RATE FLOORS OF INITIAL HELOCS
Range of Gross Lifetime Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
Rate Floors (%) HELOCs Principal Balance Date Pool Balance
<S> <C> <C> <C>
6.501% - 7.000% 18 $ 1,026,908.53 2.74%
7.001% - 7.500% 14 $ 1,169,352.91 3.12%
7.501% - 8.000% 37 $ 2,523,266.64 6.73%
8.001% - 8.500% 88 $ 4,869,084.46 12.98%
8.501% - 9.000% 46 $ 2,413,382.05 6.43%
9.001% - 9.500% 66 $ 3,251,017.80 8.67%
9.501% - 10.000% 45 $ 2,474,909.37 6.60%
10.001% - 10.500% 88 $ 3,973,856.63 10.60%
10.501% - 11.000% 67 $ 2,857,940.18 7.62%
11.001% - 11.500% 67 $ 2,809,345.18 7.49%
11.501% - 12.000% 41 $ 1,544,934.92 4.12%
12.001% - 12.500% 162 $ 5,600,810.36 14.93%
12.501% - 13.000% 30 $ 884,687.59 2.36%
13.001% - 13.500% 63 $ 1,387,395.71 3.70%
13.501% - 14.000% 17 $ 426,462.53 1.14%
14.001% - 14.500% 12 $ 241,275.57 0.64%
15.001% - 15.500% 1 $ 49,850.00 0.13%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average Lifetime Rate Floor of the Initial HELOCs is
approximately 10.266% per annum.
<TABLE>
<CAPTION>
REMAINING TERM TO MATURITY OF INITIAL HELOCS
Range of Remaining Terms Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
to Maturity (Months) HELOCs Principal Balance Date Pool Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 215 7 $ 221,270.00 0.59%
216 - 227 4 $ 118,071.99 0.31%
228 - 240 851 $37,165,138.44 99.10%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average remaining term to maturity of the Initial HELOCs
is approximately 238 months.
<TABLE>
<CAPTION>
YEAR OF ORIGINATION OF INITIAL HELOCS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
Year of Origination HELOCs Principal Balance Date Pool Balance
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1995 3 $ 119,588.08 0.32%
1996 6 $ 180,964.52 0.48%
1997 21 $ 634,922.45 1.69%
1998 832 $36,569,005.38 97.51%
Total 862 $37,504,480.43 100.00%
</TABLE>
The earliest month and year of origination of any Initial HELOC is November
1995 and the latest month and year of origination is May 1998.
<TABLE>
<CAPTION>
CREDIT LIMIT UTILIZATION RATES OF INITIAL HELOCS
Range of Credit Limit Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Utilization Rates HELOCs Principal Balance Pool Balance
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000% - 10.000% 2 $ 3,319.80 0.01%
10.001% - 15.000% 1 $ 8,947.59 0.02%
15.001% - 20.000% 3 $ 78,077.88 0.21%
20.001% - 25.000% 3 $ 37,523.62 0.10%
25.001% - 30.000% 2 $ 20,064.33 0.05%
30.001% - 35.000% 6 $ 139,471.80 0.37%
35.001% - 40.000% 3 $ 59,513.83 0.16%
40.001% - 45.000% 5 $ 108,002.35 0.29%
45.001% - 50.000% 8 $ 252,018.64 0.67%
50.001% - 55.000% 5 $ 152,756.94 0.41%
55.001% - 60.000% 8 $ 221,237.97 0.59%
60.001% - 65.000% 9 $ 279,278.01 0.74%
65.001% - 70.000% 6 $ 217,511.43 0.58%
70.001% - 75.000% 9 $ 439,111.66 1.17%
75.001% - 80.000% 11 $ 461,601.34 1.23%
80.001% - 85.000% 14 $ 624,493.01 1.67%
85.001% - 90.000% 13 $ 558,841.84 1.49%
90.001% - 95.000% 23 $ 1,193,553.62 3.18%
95.001% - 100.000% 731 $32,649,154.77 87.05%
Total 862 $37,504,480.43 100.00%
</TABLE>
The weighted average credit limit utilization rate of the Initial HELOCs is
96.33%.
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL HELOCS
Range of Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
CLTV HELOCs Principal Balance Pool Balance
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
25.01% - 30.00% 1 $ 39,587.45 0.11%
30.01% - 35.00% 2 $ 77,810.56 0.21%
35.01% - 40.00% 4 $ 293,333.75 0.78%
40.01% - 45.00% 5 $ 192,863.35 0.51%
45.01% - 50.00% 2 $ 86,672.43 0.23%
50.01% - 55.00% 4 $ 285,193.05 0.76%
55.01% - 60.00% 6 $ 514,832.83 1.37%
60.01% - 65.00% 4 $ 135,056.75 0.36%
65.01% - 70.00% 13 $ 767,959.71 2.05%
70.01% - 75.00% 16 $ 636,807.61 1.70%
75.01% - 80.00% 70 $ 3,341,856.23 8.91%
80.01% - 85.00% 75 $ 3,431,609.89 9.15%
85.01% - 90.00% 106 $ 5,606,656.98 14.95%
90.01% - 95.00% 92 $ 4,354,950.51 11.61%
95.01% - 100.00% 364 $14,014,127.77 37.37%
100.01% - 105.00% 12 $ 410,558.49 1.09%
105.01% - 110.00% 19 $ 670,754.95 1.79%
110.01% - 115.00% 15 $ 635,879.33 1.70%
115.01% - 120.00% 15 $ 605,883.01 1.62%
120.01% - 125.00% 37 $ 1,402,085.78 3.74%
Total 862 $37,504,480.43 100.00%
</TABLE>
The minimum and maximum Combined Loan-to-Value Ratios of the Initial HELOCs as
of the Initial Cut-Off Date are approximately 29.30% and 124.99%, respectively,
and the weighted average Combined Loan-to-Value Ratio of the Initial HELOCs is
approximately 92.30%.
<PAGE>
SECOND MORTGAGE RATIOS OF INITIAL HELOCS(1)(2)
<TABLE>
<CAPTION>
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Range of Second Mortgage Ratios HELs Principal Balance Pool Balance
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000% - 5.000% 3 $ 60,588.04 0.16%
5.001% - 10.000% 51 $ 1,117,025.25 2.98%
10.001% - 15.000% 153 $ 4,816,658.43 12.84%
15.001% - 20.000% 159 $ 6,252,481.77 16.67%
20.001% - 25.000% 176 $ 6,875,292.14 18.33%
25.001% - 30.000% 117 $ 6,279,537.81 16.74%
30.001% - 35.000% 80 $ 4,304,973.34 11.48%
35.001% - 40.000% 38 $ 2,599,896.94 6.93%
40.001% - 45.000% 17 $ 913,998.52 2.44%
45.001% - 50.000% 15 $ 813,126.99 2.17%
50.001% - 55.000% 12 $ 897,774.88 2.39%
55.001% - 60.000% 9 $ 591,990.97 1.58%
60.001% - 65.000% 6 $ 417,386.10 1.11%
65.001% - 70.000% 3 $ 235,009.82 0.63%
70.001% - 75.000% 3 $ 214,400.00 0.57%
75.001% - 80.000% 2 $ 166,853.82 0.44%
80.001% - 85.000% 1 $ 130,000.00 0.35%
85.001% - 90.000% 1 $ 69,300.00 0.18%
90.001% - 95.000% 1 $ 53,900.00 0.14%
95.001% - 100.000% 15 $ 694,285.61 1.85%
Total 862 $37,504,480.43 100.00%
</TABLE>
(1) The Second Mortgage Ratio of an Initial HELOC is the ratio (expressed
as a percentage) of the credit limit of such Initial HELOC to the sum of such
credit limit and the outstanding balance of any senior mortgage computed as of
the date such Initial HELOC is underwritten.
(2) The weighted average Second Mortgage Ratio of the Initial HELOCs is
28.409%.
<TABLE>
<CAPTION>
OCCUPANCY TYPE OF THE INITIAL HELOCS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Occupancy Type HELOCs Principal Balance Pool Balance
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Non-Owner Occupied 15 $ 449,287.71 1.20%
Owner Occupied 847 $37,055,192.72 98.80%
Total 862 $37,504,480.43 100.00%
</TABLE>
<TABLE>
<CAPTION>
CREDIT SCORES OF INITIAL HELOCS
Number of Initia Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Range of Credit Scores HELOCs Principal Balance Pool Balance
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Excellent 842 $36,807,626.70 98.14%
Fair 6 $ 227,709.53 0.61%
Good 14 $ 469,144.20 1.25%
Total 862 $37,504,480.43 100.00%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
INITIAL CUT-OFF DATE PRINCIPAL BALANCES OF INITIAL HELOCS
Range of Initial Cut-Off Date Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Principal Balances HELOCs Principal Balance Pool Balance
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$0 - $10,000.00 13 $ 107,692.67 0.29%
$10,000.01 - $20,000.00 128 $ 2,137,936.47 5.70%
$20,000.01 - $30,000.00 203 $ 5,108,316.85 13.62%
$30,000.01 - $40,000.00 177 $ 6,180,191.21 16.48%
$40,000.01 - $50,000.00 105 $ 4,868,209.75 12.98%
$50,000.01 - $60,000.00 60 $ 3,312,256.93 8.83%
$60,000.01 - $70,000.00 51 $ 3,288,801.72 8.77%
$70,000.01 - $80,000.00 35 $ 2,647,960.23 7.06%
$80,000.01 - $90,000.00 23 $ 1,936,924.28 5.16%
$90,000.01 - $100,000.00 42 $ 4,105,008.61 10.95%
$100,000.01 - $110,000.00 1 $ 110,000.00 0.29%
$110,000.01 - $120,000.00 3 $ 344,500.00 0.92%
$120,000.01 - $130,000.00 8 $ 1,019,109.29 2.72%
$130,000.01 - $140,000.00 5 $ 689,300.00 1.84%
$140,000.01 - $150,000.00 1 $ 150,000.00 0.40%
$150,000.01 - $160,000.00 1 $ 160,000.00 0.43%
$180,000.01 - $190,000.00 1 $ 183,000.00 0.49%
$190,000.01 - $200,000.00 2 $ 396,272.42 1.06%
$200,000.01 - $225,000.00 1 $ 224,000.00 0.60%
$225,000.01 - $250,000.00 1 $ 250,000.00 0.67%
$275,000.01 - and above 1 $ 285,000.00 0.76%
Total 862 $37,504,480.43 100.00%
</TABLE>
The average Initial Cut-Off Date Principal Balance of the Initial HELOCs is
approximately $43,508.68.
<TABLE>
<CAPTION>
MORTGAGED PROPERTIES SECURING INITIAL HELOCS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Property Type HELOCs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Condominium 51 $ 1,827,886.05 4.87%
Multi-Family 9 $ 446,820.81 1.19%
Planned Unit Development 87 $ 4,417,434.08 11.78%
Single-Family Dwelling 715 $30,812,339.49 82.16%
Total 862 $37,504,480.43 100.00%
</TABLE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL HELOCS
<TABLE>
<CAPTION>
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
State HELs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California 263 $13,964,919.89 37.24%
Colorado 11 $ 334,611.52 0.89%
Connecticut 44 $ 1,972,815.98 5.26%
Florida 65 $ 2,316,270.04 6.18%
Georgia 25 $ 1,049,535.34 2.80%
Illinois 30 $ 1,224,891.49 3.27%
Indiana 6 $ 164,649.60 0.44%
Louisiana 15 $ 451,666.41 1.20%
Maryland 27 $ 1,127,223.46 3.01%
Massachusetts 53 $ 2,180,725.39 5.81%
Michigan 44 $ 1,865,485.84 4.97%
New Jersey 37 $ 1,709,954.82 4.56%
New York 35 $ 1,250,727.41 3.33%
North Carolina 23 $ 761,501.40 2.03%
Ohio 76 $ 2,331,538.06 6.22%
Oregon 25 $ 1,028,791.67 2.74%
Pennsylvania 10 $ 356,459.61 0.95%
South Carolina 17 $ 513,458.94 1.37%
Utah 2 $ 95,803.69 0.26%
Virginia 18 $ 885,087.88 2.36%
Washington 36 $ 1,918,361.99 5.12%
Total 862 $37,504,480.43 100.00%
</TABLE>
No more than approximately 0.84% of the Initial HELOCs are secured by
Mortgaged Properties located in any single United States postal zip code.
<TABLE>
<CAPTION>
DEBT-TO-INCOME RATIOS OF INITIAL HELOCS
Range of Debt-to-Income Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Ratios HELOCs Principal Balance Pool Balance
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% - 5.00% 1 $ 39,917.47 0.11%
10.01% - 15.00% 2 $ 29,659.17 0.08%
15.01% - 20.00% 12 $ 608,825.35 1.62%
20.01% - 25.00% 36 $ 1,611,991.83 4.30%
25.01% - 30.00% 59 $ 1,929,644.25 5.15%
30.01% - 35.00% 105 $ 3,692,270.56 9.84%
35.01% - 40.00% 158 $ 6,723,878.02 17.93%
40.01% - 45.00% 193 $ 8,598,636.27 22.93%
45.01% - 50.00% 216 $ 9,692,953.40 25.84%
50.01% - 55.00% 80 $ 4,576,704.11 12.20%
Total 862 $37,504,480.43 100.00%
</TABLE>
<TABLE>
<CAPTION>
MORTGAGE INTEREST RATES OF INITIAL HELS
Range of Mortgage Interest Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off
Rates HELs Principal Balance Date Pool Balance
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.501% - 8.000% 1 $ 318,000.00 0.85%
8.001% - 9.500% 39 $4,175,630.05 11.14%
9.501% - 10.000% 24 $2,023,424.88 5.40%
10.001% - 10.500% 42 $2,026,357.02 5.40%
10.501% - 11.000% 84 $3,685,587.33 9.83%
11.001% - 11.500% 46 $2,120,382.03 5.66%
11.501% - 12.000% 81 $3,435,990.43 9.16%
12.001% - 12.500% 71 $2,705,225.54 7.21%
12.501% - 13.000% 103 $3,939,310.13 10.51%
13.001% - 13.500% 75 $2,837,878.03 7.57%
13.501% - 14.000% 89 $2,823,663.24 7.53%
14.001% - 14.500% 61 $1,942,519.78 5.18%
14.501% - 15.000% 123 $4,066,860.52 10.85%
15.001% - 15.500% 16 $ 424,324.38 1.13%
15.501% - 16.000% 40 $ 851,743.96 2.27%
16.001% - 16.500% 1 $ 13,887.43 0.04%
16.501% - 17.000% 7 $ 104,788.16 0.28%
Total 903 $37,495,572.91 100.00%
</TABLE>
The weighted average Mortgage Interest Rate of the Initial HELs is
approximately 12.199% per annum.
<TABLE>
<CAPTION>
REMAINING TERM TO MATURITY OF INITIAL HELs
Range of Remaining Terms Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
to Maturity (months) HELs Principal Balance Pool Balance
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 96 1 $ 34,387.43 0.09%
97 - 120 415 $13,464,997.89 35.91%
121 - 180 471 $20,250,014.72 54.01%
241 - 360 16 $ 3,746,172.87 9.99%
Total 903 $37,495,572.91 100.00%
</TABLE>
<TABLE>
<CAPTION>
YEAR OF ORIGINATION OF INITIAL HELS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Year of Origination HELs Principal Balance Pool Balance
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1996 6 $ 154,577.60 0.41%
1997 111 $ 4,066,631.63 10.85%
1998 786 $33,274,363.68 88.74%
Total 903 $37,495,572.91 100.00%
</TABLE>
The earliest month and year of origination of any Initial HEL is April 1996
and the latest month and year of origination is May 1998.
<PAGE>
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL HELS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Range of CLTVs HELs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% - 10.00% 1 $ 24,625.93 0.07%
10.01% - 15.00% 1 $ 29,919.92 0.08%
20.01% - 25.00% 1 $ 43,273.83 0.12%
25.01% - 30.00% 1 $ 26,913.48 0.07%
30.01% - 35.00% 1 $ 24,725.20 0.07%
35.01% - 40.00% 1 $ 38,626.07 0.10%
40.01% - 45.00% 1 $ 42,122.13 0.11%
45.01% - 50.00% 3 $ 94,453.02 0.25%
50.01% - 55.00% 5 $ 240,477.34 0.64%
55.01% - 60.00% 2 $ 69,559.83 0.19%
60.01% - 65.00% 4 $ 204,518.11 0.55%
65.01% - 70.00% 13 $ 501,420.30 1.34%
70.01% - 75.00% 19 $ 776,210.01 2.07%
75.01% - 80.00% 66 $ 2,385,259.25 6.36%
80.01% - 90.00% 223 $ 9,913,456.15 26.44%
90.01% - 95.00% 154 $ 7,271,414.09 19.39%
95.01% - 100.00% 407 $15,808,598.25 42.16%
Total 903 $37,495,572.91 100.00%
</TABLE>
The minimum and maximum Combined Loan-to-Value Ratios of the Initial HELs
are approximately 9.92% and 100.00%, respectively, and the weighted average
Combined Loan-to-Value Ratio of the Initial HELs is approximately 91.48%.
<TABLE>
<CAPTION>
INITIAL CUT-OFF DATE PRINCIPAL BALANCES OF INITIAL HELs
Range of Initial Cut-Off Date Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Principal Balances HELs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
0.01 - $10,000.00 5 $ 47,480.83 0.13%
$10,000.01 - $20,000.00 99 $ 1,705,763.42 4.55%
$20,000.01 - $30,000.00 289 $ 7,367,182.05 19.65%
$30,000.01 - $40,000.00 219 $ 7,557,534.72 20.16%
$40,000.01 - $50,000.00 106 $ 4,872,702.00 13.00%
$50,000.01 - $60,000.00 62 $ 3,436,074.93 9.16%
$60,000.01 - $70,000.00 45 $ 2,908,933.37 7.76%
$70,000.01 - $80,000.00 26 $ 1,983,576.24 5.29%
$80,000.01 - $90,000.00 12 $ 1,034,444.98 2.76%
$90,000.01 - $100,000.00 19 $ 1,877,795.27 5.01%
$100,000.01 - $110,000.00 2 $ 219,110.45 0.58%
$120,000.01 - $130,000.00 1 $ 128,684.21 0.34%
$140,000.01 - $150,000.00 2 $ 300,000.00 0.80%
$160,000.01 - $170,000.00 1 $ 164,062.65 0.44%
$170,000.01 - $180,000.00 2 $ 354,424.72 0.95%
$180,000.01 - $190,000.00 3 $ 556,130.20 1.48%
$200,000.01 - $225,000.00 2 $ 421,900.00 1.13%
$250,000.01 - $275,000.00 3 $ 776,500.00 2.07%
$300,000.01 - $325,000.00 2 $ 619,500.00 1.65%
$325,000.01 - $350,000.00 2 $ 689,649.75 1.84%
$400,000.01 - and above 1 $ 474,123.12 1.26%
Total 903 $37,495,572.91 100.00%
</TABLE>
The average Initial Cut-Off Date Principal Balance of the Initial HELs is
approximately $41,523.34.
<TABLE>
<CAPTION>
MORTGAGED PROPERTIES SECURING INITIAL HELS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Property Type HELs Principal Balance Pool Balance
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Condominium 26 $ 898,920.65 2.40%
Multi-Family 10 $ 343,240.19 0.92%
Planned Unit Development 58 $ 3,636,732.57 9.70%
Single-Family Dwelling 809 $32,616,679.50 86.99%
Total 903 $37,495,572.91 100.00%
</TABLE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING INITIAL HELS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
State HELs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
California 245 $13,841,985.69 36.92%
Colorado 11 $ 509,323.11 1.36%
Florida 47 $ 1,763,406.53 4.70%
Georgia 65 $ 2,078,350.97 5.54%
Illinois 30 $ 1,040,240.24 2.77%
Louisiana 20 $ 671,986.98 1.79%
Maryland 24 $ 977,883.53 2.61%
Massachusetts 151 $ 5,097,981.74 13.60%
Michigan 40 $ 1,514,777.09 4.04%
New Jersey 50 $ 1,878,051.19 5.01%
North Carolina 36 $ 1,178,502.93 3.14%
Ohio 70 $ 2,599,769.64 6.93%
Oregon 16 $ 622,912.74 1.66%
Pennsylvania 13 $ 406,281.85 1.08%
South Carolina 18 $ 515,827.83 1.38%
Utah 3 $ 130,459.81 0.35%
Virginia 28 $ 1,237,179.80 3.30%
Washington 30 $ 1,092,948.28 2.91%
Wisconsin 6 $ 337,702.96 0.90%
Total 903 $37,495,572.91 100.00%
</TABLE>
No more than approximately 1.62% of the Initial HELs are secured by
Mortgaged Properties located in any single United States postal zip code.
<TABLE>
<CAPTION>
DEBT-TO-INCOME RATIOS OF INITIAL HELS
Range of Debt-to-Income Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Ratios HELs Principal Balance Pool Balance
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% - 5.00% 1 $ 31,500.00 0.08%
5.01% - 10.00% 1 $ 339,649.75 0.91%
15.01% - 20.00% 4 $ 140,830.55 0.38%
20.01% - 25.00% 30 $ 977,110.31 2.61%
25.01% - 30.00% 80 $ 3,071,940.93 8.19%
30.01% - 35.00% 139 $ 5,611,712.56 14.97%
35.01% - 40.00% 207 $ 8,079,709.99 21.55%
40.01% - 45.00% 232 $ 9,567,538.48 25.52%
45.01% - 50.00% 174 $ 7,570,514.09 20.19%
50.01% - 55.00% 35 $ 2,105,066.25 5.61%
Total 903 $37,495,572.91 100.00%
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPE OF INITIAL HELS
Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Occupancy Type HELs Principal Balance Pool Balance
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Non Owner Occupied 15 $ 503,687.32 1.34%
Owner Occupied 888 $36,991,885.59 98.66%
Total 903 $37,495,572.91 100.00%
</TABLE>
<TABLE>
<CAPTION>
CREDIT SCORES OF INITIAL HELS
Credit Score Number of Initial Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
HELs Principal Balance Pool Balance
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Excellent 885 $36,858,418.61 98.30%
Fair 6 $ 149,441.52 0.40%
Good 12 $ 487,712.78 1.30%
Total 903 $37,495,572.91 100.00%
</TABLE>
Original Term to Stated Maturity of Initial HELs
<TABLE>
<CAPTION>
Range of Original Terms to Number of Initial HELs Aggregate Initial Cut-Off Date Percentage of Initial Cut-Off Date
Stated Maturity (months) Principal Balance Pool Balance
<S> <C> <C> <C> <C>
97 - 120 416 $13,499,385.32 36.00%
121 - 180 471 $20,250,014.72 54.01%
241 - 360 16 $ 3,746,172.87 9.99%
Total 903 $37,495,572.91 100.00%
</TABLE>
PERCENTAGE OF INITIAL TERM NOTE BALANCE (1)(2)
<TABLE>
<CAPTION>
Payment Date CPR
----------------------------------------
<S> <C> <C> <C> <C> <C> <C>
HEL CPR 0% 15% 20% 27% 35% 40%
HELOC Gross CPR 0% 20% 25% 32% 40% 45%
Initial ................................. 100 100 100 100 100 100
June 199 ................................ 100 100 100 100 100 100
June 2000 ............................... 99 91 88 84 79 76
June 2001 ............................... 97 76 69 60 50 44
June 2002 ............................... 95 63 54 43 31 25
June 2003 ............................... 92 52 42 30 20 15
June 2004 ............................... 89 42 32 21 12 0
June 2005 ............................... 86 33 24 14 0 0
June 2006 ............................... 82 26 17 9 0 0
June 2007 ............................... 78 20 13 0 0 0
June 2008 ............................... 73 16 9 0 0 0
June 2009 ............................... 71 12 0 0 0 0
June 2010 ............................... 68 10 0 0 0 0
June 2011 ............................... 65 7 0 0 0 0
June 2012 ............................... 62 0 0 0 0 0
June 2013 ............................... 58 0 0 0 0 0
June 2014 ............................... 58 0 0 0 0 0
June 2015 ............................... 58 0 0 0 0 0
June 2016 ............................... 58 0 0 0 0 0
June 2017 ............................... 58 0 0 0 0 0
June 2018 ............................... 14 0 0 0 0 0
June 2019 ............................... 0 0 0 0 0 0
Weighted Average Life to 10% call (years) 15.23 6.00 5.03 4.14 3.49 3.19
Weighted Average Life to maturity (years) 15.40 6.25 5.28 4.36 3.67 3.36
</TABLE>
(1) Assumes (i) that an optional termination is exercised on the first
Payment Date on which the 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 5.0%.
(2) All percentages are rounded to the nearest 1%.
AVAILABLE FUNDS TABLE
1) Assuming no change in interest rates, Prime Rate remains at 8.5%.
2) Assumes pool collateral mix of 50% / 50% fixed rate HELOC (Prime + margin),
with only HELOC added to the pool during the Revolving Period.
% % %
4.93 Jul-98 10.56 Apr-01 10.53 Jan-04
9.01 Aug-98 10.56 May-01 10.53 Feb-04
9.01 Sep-98 10.56 Jun-01 10.53 Mar-04
11.06 Oct-98 10.56 Jul-01 10.53 Apr-04
11.06 Nov-98 10.56 Aug-01 10.53 May-04
11.06 Dec-98 10.56 Sep-01 10.53 Jun-04
11.06 Jan-99 10.55 Oct-01 10.53 Jul-04
11.06 Feb-99 10.55 Nov-01 10.53 Aug-04
11.06 Mar-99 10.55 Dec-01 10.53 Sep-04
11.06 Apr-99 10.55 Jan-02 10.52 Oct-04
11.06 May-99 10.55 Feb-02 10.52 Nov-04
11.06 Jun-99 10.55 Mar-02 10.52 Dec-04
10.56 Jul-99 10.55 Apr-02 10.52 Jan-05
10.56 Aug-99 10.55 May-02 10.52 Feb-05
10.56 Sep-99 10.55 Jun-02 10.52 Mar-05
10.56 Oct-99 10.55 Jul-02 10.52 Apr-05
10.56 Nov-99 10.55 Aug-02 10.52 May-05
10.57 Dec-99 10.55 Sep-02 10.52 Jun-05
10.57 Jan-00 10.55 Oct-02 10.51 Jul-05
10.57 Feb-00 10.55 Nov-02 10.51 Aug-05
10.57 Mar-00 10.55 Dec-02 10.51 Sep-05
10.56 Apr-00 10.54 Jan-03 10.51 Oct-05
10.56 May-00 10.54 Feb-03 10.51 Nov-05
10.56 Jun-00 10.54 Mar-03 10.51 Dec-05
10.56 Jul-00 10.54 Apr-03 10.51 Jan-06
10.56 Aug-00 10.54 May-03 10.50 Feb-06
10.56 Sep-00 10.54 Jun-03 10.50 Mar-06
10.56 Oct-00 10.54 Jul-03 10.50 Apr-06
10.56 Nov-00 10.54 Aug-03 10.50 May-06
10.56 Dec-00 10.54 Sep-03 10.50 Jun-06
10.56 Jan-01 10.54 Oct-03 10.50 Jul-06
10.56 Feb-01 10.54 Nov-03 10.49 Aug-06
10.56 Mar-01 10.53 Dec-03
AVAILABLE FUNDS TABLE (CONT.)
1) Prime increase on January 1999 by 5.0% (from 8.5% to 13.5%).
2) Assumes pool collateral mix of 50% / 50% fixed rate HELOC (Prime + margin),
with only HELOC added to the pool during the Revolving Period.
% % %
4.93 Jul-98 14.08 Apr-01 14.18 Jan-04
9.01 Aug-98 14.08 May-01 14.18 Feb-04
9.01 Sep-98 14.08 Jun-01 14.19 Mar-04
11.06 Oct-98 14.08 Jul-01 14.19 Apr-04
11.06 Nov-98 14.09 Aug-01 14.20 May-04
11.06 Dec-98 14.09 Sep-01 14.20 Jun-04
11.06 Jan-99 14.09 Oct-01 14.21 Jul-04
13.97 Feb-99 14.09 Nov-01 14.21 Aug-04
14.03 Mar-99 14.10 Dec-01 14.22 Sep-04
14.09 Apr-99 14.10 Jan-02 14.22 Oct-04
14.14 May-99 14.10 Feb-02 14.23 Nov-04
14.20 Jun-99 14.10 Mar-02 14.23 Dec-04
13.75 Jul-99 14.11 Apr-02 14.24 Jan-05
13.81 Aug-99 14.11 May-02 14.24 Feb-05
13.86 Sep-99 14.11 Jun-02 14.25 Mar-05
13.91 Oct-99 14.11 Jul-02 14.26 Apr-05
13.96 Nov-99 14.12 Aug-02 14.26 May-05
14.00 Dec-99 14.12 Sep-02 14.27 Jun-05
14.05 Jan-00 14.12 Oct-02 14.27 Jul-05
14.05 Feb-00 14.13 Nov-02 14.28 Aug-05
14.05 Mar-00 14.13 Dec-02 14.29 Sep-05
14.05 Apr-00 14.13 Jan-03 14.29 Oct-05
14.06 May-00 14.14 Feb-03 14.30 Nov-05
14.06 Jun-00 14.14 Mar-03 14.31 Dec-05
14.06 Jul-00 14.14 Apr-03 14.31 Jan-06
14.06 Aug-00 14.15 May-03 14.32 Feb-06
14.06 Sep-00 14.15 Jun-03 14.33 Mar-06
14.06 Oct-00 14.16 Jul-03 14.34 Apr-06
14.07 Nov-00 14.16 Aug-03 14.34 May-06
14.07 Dec-00 14.16 Sep-03 14.35 Jun-06
14.07 Jan-01 14.17 Oct-03 14.36 Jul-06
14.07 Feb-01 14.17 Nov-03 14.37 Aug-06
14.07 Mar-01 14.18 Dec-03
- --------------------------------------------------------------------------------
IRWIN REVOLVING HOME EQUITY LOAN TRUST, 1998-1
- --------------------------------------------------------------------------------
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.
BROWN & WOOD LLP
One World Trade Center
New York, New York 10048
Telephone: (212) 839-5300
Facsimile: (212) 839-5599
June 9, 1998
VIA EDGAR
- ---------
Securities and Exchange Commission
Judiciary Plaza
450 Fifth Street, N.W.
Washington, D.C. 20549
Re: Bear Stearns Asset Backed Securities, Inc.
Irwin Revolving Home Equity Loan Trust 1998-1
Home Equity Loan-Backed Term Notes, Series 1998-1
-------------------------------------------------
Ladies and Gentlemen:
On behalf of Bear Stearns Asset Backed Securities, Inc. (the
"Company"), we enclose herewith for filing, pursuant to the Securities and
Exchange Act of 1934, as amended, the Company's Current Report on Form 8-K, for
the Series Term Sheet including Computational Materials in connection with the
above-referenced transaction.
Very truly yours,
/s/ TaeHun Kim
TaeHun Kim
Enclosure
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