<PAGE>
============================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported)
OCTOBER 15, 1999
BEAR STEARNS ASSET BACKED SECURITIES, INC.
ASSET-BACKED CERTIFICATES, SERIES 1999-2
---------------------------------------------------
(Exact name of Registrant as specified in its charter)
<TABLE>
<S> <C> <C>
DELAWARE 333-43091 13-3836437
- ---------------------------- ---------- -------------------
(State or other jurisdiction (Commission (I.R.S. employer
of incorporation) file number) identification no.)
</TABLE>
245 PARK AVENUE
NEW YORK, NEW YORK 10167
- --------------------------------------- ---------
(Address of principal executive offices) (ZIP Code)
(212) 272-2000
--------------------------------------------------
Registrant's telephone number, including area code
N/A
--------------------------------------
(Former name or former address, if changed since last report)
============================
<PAGE>
Item 5. Other Events
Attached as Exhibit 99.1 to this Current Report are certain materials
(the "Computational Materials") furnished to the Registrant by Bear, Stearns &
Co., Inc. (the "Underwriter") in respect to Bear Stearns Asset Backed
Securities, Inc., Asset-Backed Certificates, Series 1999-2, Class AF-1, Class
AF-2, Class MF-1, Class MF-2, Class BF, Class AV-1, Class AV-2, Class MV-1,
Class MV-2 and Class BV (the "Certificates"). The Certificates will be offered
pursuant to a Prospectus Supplement, to be dated on or about October 15, 1999,
and a Prospectus to be dated on or about July 23, 1999 (the Prospectus
Supplement and the Prospectus are collectively referred to herein as the
"Prospectus") to be filed with the Commission pursuant to Rule 424(b)(2) under
the Securities Act of 1933, as amended (the "Act"). The Certificates have been
registered pursuant to the Act under a Registration Statement on Form S-3
(Commission File No. 333-43091) (the "Registration Statement"). Capitalized
terms used but not otherwise defined herein shall have the meanings ascribed to
such terms in the Prospectus.
The Computational Materials were prepared solely by the Underwriters,
and the Registrant did not prepare or participate (other than providing to the
Underwriters the background information concerning the underlying pool of assets
upon which the Computational Materials are based) in the preparation of the
Computational Materials.
Any statements or information contained in these Computational
Materials shall be deemed to be modified or superseded for the purposes of the
Prospectus and the Registration Statement by statements or information contained
in the Prospectus.
Item 7. Financial Statements: Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials of the Underwriter
-2-
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
BEAR STEARNS ASSET BACKED
SECURITIES, INC.
By: /s/ Patricia Jehle
--------------------------------
Name: Patricia Jehle
Title: President
Dated: October 15, 1999
-3-
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EXHIBIT INDEX
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<CAPTION>
Exhibit No. Description of Exhibit
------------ ----------------------
<S> <C>
99.1 Computational Materials of the Underwriter
</TABLE>
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[BEAR STEARNS LETTERHEAD] [BEAR, STEARNS & CO. INC. LETTERHEAD]
BEAR STEARNS ASSET BACKED SECURITIES, INC. HOME EQUITY LOAN TRUST 1999-2
BEAR STEARNS MORTGAGE CAPITAL CORP. - SELLER
EMC MORTGAGE CORP. - MASTER SERVICER
COMPUTATIONAL MATERIALS
- --------------------------------------------------------------------------------
FAX TO: DATE:
COMPANY: # PAGES (incl. cover):
FAX NO: PHONE NO:
- --------------------------------------------------------------------------------
FROM: PHONE NO:
- --------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. 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 (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.
<PAGE>
$214,093,000
(approximate)
BEAR STEARNS ASSET BACKED SECURITIES, INC.
HOME EQUITY LOAN TRUST 1999-2
- --------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 2
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<CAPTION>
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FINAL
SCHEDULED
CLASS SIZE EXPECTED RATINGS AVERAGE PAYMENT PAYMENT DAY
CLASS ($ MM) TRANCHE TYPE (MOODY'S/FITCH) LIFE (1,2) DATE WINDOW PRICING COUNT
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AF-1(3) $112.373 Fixed Senior Aaa/AAA 2.51 years/CALL 3/25/29 11/99-06/07/92 mo. CALL 30/360
MF-1(3) 8.123 Fixed Mezzanine Aa2/AA 5.20 years/CALL 3/25/29 02/03-06/07/53 mo. CALL 30/360
MF-2(3) 7.108 Fixed Mezzanine A2/A 5.15 years/CALL 3/25/29 12/02-06/07/55 mo. CALL 30/360
BF-1(3) 7.108 Fixed Subordinate Baa3/BBB- 5.12 years/CALL 3/25/29 11/02-06/07/56 mo. CALL 30/360
AV-1(3) 61.897 ARM Floater Aaa/AAA 1.85 years/CALL 4/25/29 11/99-08/06/82 mo. CALL Act/360
MV-1(3) 6.431 Mezzanine Floater Aa2/AA 5.12 years/CALL 4/25/29 08/03-08/06/37 mo. CALL Act/360
MV-2(3) 5.024 Mezzanine Floater A2/A 4.82 years/CALL 4/25/29 04/03-08/06/41 mo. CALL Act/360
BV-1(3) 6.029 Subordinate Floater Baa3/BBB- 4.69 years/CALL 4/25/29 12/02-08/06/45 mo. CALL Act/360
TOTAL $214.093
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</TABLE>
(1) See "Prepayment Assumptions" below.
(2) All Certificates are priced to call. The coupon on the Fixed-Rate
Certificates will increase by 0.50% after the clean up call date. The spread
on the Class AV-1 Certificates will double and the spread on the Class MV-1,
MV-2 and BV-1 Certificates will increase by 1.5x after the clean-up call
date.
(3) See "Available Funds Cap" on page 5.
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DEPOSITOR: Bear Stearns Asset Backed Securities, Inc.
ISSUER: Home Equity Loan Trust 1999-2
SELLER: Bear Stearns Mortgage Capital Corp.
MASTER SERVICER: EMC Mortgage Corporation
ORIGINATORS OF COLLATERAL: ContiMortgage Corp. (69.0%), AMRESCO Residential Capital, Inc. (21.1%), Long Beach Mortgage
(4.8%), Provident Bank (2.5%) and others (2.6%).
SOLE MANAGER: Bear, Stearns & Co. Inc.
TRUSTEE: Bankers Trust Company of California, N.A.
STRUCTURE: Senior/subordinated structure with Certificates collateralized
by two separate mortgage loan groups. Each loan group will have
its own overcollateralization target, achieved by the
acceleration of the related Senior Certificates.
PREPAYMENT ASSUMPTION: FIXED-RATE GROUP: 5% CPR in month 1, increasing by 1.8182%
per month to 25% CPR in month 12.
ADJUSTABLE-RATE GROUP: 28% CPR
COLLATERAL: There will be a total of approximately $215,775,130 home equity
mortgage loans as of the Cut-off Date, consisting of two
separate collateral pools. Approximately $135,388,926 of the
collateral will be fixed-rate first and second lien loans
("Fixed-Rate Group"). Approximately $80,386,204 of the
collateral will be adjustable rate first lien loans consisting
of 6-month LIBOR loans, 2/28 hybrid loans, 3/27 hybrid loans and
5/25 hybrid loans ("Adjustable-Rate Group").
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<S> <C>
CUT-OFF DATE: September 1, 1999. All principal collected during the months of
September and October will be deposited in the Collection
Account for distribution on the November 1999 Payment Date. Only
interest collected during the month of October will be deposited
in the Collection Account for the November 1999 Payment Date.
EXPECTED SETTLEMENT DATE: October 14, 1999
FIRST PAYMENT DATE: November 26, 1999
PAYMENT DATES: The 25th day of each month or, if such day is not a business
day, the next succeeding business day, beginning in November
1999.
ERISA ELIGIBILITY: The Class A Certificates will be ERISA eligible as
of closing. Prospective investors should consult their own
counsel with respect to an investment in the offered
Certificates.
SMMEA TREATMENT: The Certificates will not constitute "mortgage-related
securities" for purposes of SMMEA.
TAX STATUS: REMIC under the Internal Revenue Code.
CREDIT ENHANCEMENT
EXCESS INTEREST: Excess Interest cashflows from each loan group will be available
as credit enhancement for the related loan group.
OVERCOLLATERALIZATION: The credit enhancement provisions of the Trust are intended to
provide for the limited acceleration of the Senior Certificates
relative to the amortization of the related collateral pool,
generally in the early months of the transaction. Accelerated
amortization is achieved by applying certain excess interest
collected on the collateral to the payment of principal on the
related Senior Certificates resulting in the build up of
overcollateralization ("O/C"). By paying down the principal
balance of the Certificates faster than the principal
amortization of the respective loan group, an O/C amount equal
to the excess of the aggregate principal balance of the
collateral over the principal balance of the related
Certificates is created. Excess cash flows will be directed to
build each O/C amount until the respective Mortgage Loan Group
reaches its required O/C target. Upon this event, the
acceleration feature will cease, unless it is once again
necessary to maintain the required O/C level.
CROSS-COLLATERALIZATION: Excess spread from each of the two collateral groups, if not
needed to credit enhance its own group will be available to
credit enhance the other group.
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INITIAL SUBORDINATION: All levels are preliminary and subject to change
--------------------------------------------------------------
OFFERED CERTIFICATES FIXED-RATE GROUP ADJUSTABLE-RATE GROUP
--------------------------------------------------------------
Class A 17.00% 23.00%
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Class M-1 11.00% 15.00%
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Class M-2 5.75% 8.75%
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Class B 0.50% 1.25%
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CLASS SIZES:
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OFFERED CERTIFICATES FIXED-RATE GROUP ADJUSTABLE-RATE GROUP
------------------------------------------------------------------
Class A 83.00% 77.00%
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Class M-1 6.00% 8.00%
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Class M-2 5.25% 6.25%
------------------------------------------------------------------
Class B 5.25% 7.50%
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Initial O/C 0.50% 1.25%
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FIXED RATE AFC: All fixed rate coupons are subject to the fixed rate
available funds cap ("Fixed Rate AFC"). The Fixed Rate AFC is a rate
equal to the weighted average gross coupon rate for the Fixed-Rate
Group collateral less the servicing fee and the trustee fee
(51 bps).
ADJUSTABLE RATE AFC: All adjustable rate coupons are subject to the adjustable
rate available funds cap ("Adjustable Rate AFC"). The Adjustable
Rate AFC is a rate equal to the weighted average gross coupon rate
for the Adjustable-Rate Group collateral less the servicing fee and
the trustee fee (51 bps).
INTEREST ACCRUAL: For the Fixed Rate Certificates, interest will accrue, for the first
period, from October 1, 1999, and for each Payment Date thereafter,
from the 1st day of the preceding month until the 30th day of the
month. For the Adjustable Rate Certificates, interest will accrue
for the first accrual period from the settlement date and,
thereafter, from the 25th day of the preceding month, until the 24th
day of the current month (from Payment Date to Payment Date).
PAYMENT DELAY: Fixed Rate Certificates: 24 days
Adjustable Rate Certificates: 0 days
CLEAN-UP CALLS: The Master Servicer has the option to exercise a call when the
aggregate Stated Principal Balance for the related Mortgage Loan
Group is less than or equal to 10% of the Aggregate Stated Principal
Balance of such loan group as of the Cut-Off Date (i.e., separate
calls for each group). The call will be exercised at par plus
accrued interest.
COUPON STEP UP: FIXED RATE CERTIFICATES:
If the 10% Clean-Up Call is not exercised on the Fixed Rate
Certificates, the coupon on each outstanding class shall increase by
50 bps.
ADJUSTABLE RATE CERTIFICATES:
If the 10% Clean-Up Call is not exercised on the Adjustable Rate
Certificates, the Coupon Margin on the Class AV-1 Certificates will
double and the Coupon Margin on Classes MV-1, MV-2 and BV will
increase by 1.5x the original.
</TABLE>
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<S> <C>
SHORTFALL
REIMBURSEMENT: If on any Payment Date the Pass-Through Rate on the Adjustable-Rate
Certificates is limited by the Adjustable-Rate AFC, the amount of
such interest that would have been distributed if the Pass-Through
Rate had not been so limited over the amount of interest at the
Adjustable-Rate AFC and the aggregate of such shortfalls from
previous Payment Dates together with accrued interest at the
Pass-Through Rate will be carried forward to the next Payment Date
until paid. No interest carryforward will be paid once the related
Certificate principal balance has been reduced to zero.
</TABLE>
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CASHFLOW PRIORITY
<TABLE>
<S> <C>
FIXED-RATE CERTIFICATES:
1) Repayment of any unrecoverable, unreimbursed Servicer Advances;
2) Servicing Fees;
3) Fixed-Rate Group interest funds as follows: monthly interest,
including any interest carryforward to the Class AF-1 Certificates,
then monthly interest, including any interest carryforward to the
Class MF-1 Certificates, then to the Class MF-2 Certificates and
then to the Class BF-1 Certificates;
4) Fixed-Rate Group Principal Funds, as follows: monthly principal,
to the Class AF-1 Certificates as described under "Principal
Paydown," then monthly principal to the Class MF-1 Certificates as
described under "Principal Paydown," then monthly principal to the
Class MF-2 Certificates as described under "Principal Paydown" and
then monthly principal to the Class BF Certificates as described
under "Principal Paydown";
5) Excess cashflow to the Fixed-Rate Group Certificates in the order
as described under "Principal Paydown" to build O/C, then any
unrealized loss amount to the Class MF-1 Certificates, then any
unrealized loss amount to the Class MF-2 Certificates and then any
unrealized loss amount to the Class BF-1 Certificates.
6) Excess cashflow to pay amounts under item 5 under "Adjustable
Rate Certificates" below;
7) Any excess cashflow reverts to the Seller.
ADJUSTABLE-RATE CERTIFICATES:
1) Repayment of any unrecoverable, unreimbursed Servicer Advances;
2) Servicing Fees;
3) Adjustable-Rate Group interest funds as follows: monthly
interest, including any interest carryforward to the Class AV-1
Certificates, then monthly interest to the Class MV-1 Certificates,
then to the Class MV-2 Certificates and then to the Class BV-1
Certificates;
4) Adjustable-Rate Group Principal Funds, as follows: monthly
principal to the Class AV-1 Certificates as described under
"Principal Paydown," then monthly principal to the Class MV-1
Certificates as described under "Principal Paydown," then monthly
principal to the Class MV-2 Certificates as described under
"Principal Paydown" and then monthly principal to the Class BV-1
Certificates as described under "Principal Paydown."
5) Excess cashflow, as follows: to the Adjustable-Rate Group
Certificates to build O/C, then any interest carryforward to the
Class MV-1 Certificates, then any unrealized loss amount to the
Class MV-1 Certificates, then any interest carryforward to the Class
MV-2 Certificates, then any unrealized loss amount to the Class MV-2
Certificates, then any interest carryforward to the Class BV-1
Certificates and then any unrealized loss amount to the Class BV-1
Certificates.
6) Excess cashflow to pay amounts under item 5 under "Fixed Rate
Certificates" above;
7) Excess cashflow to the Adjustable Rate Certificates, on a pro
rata basis, to pay the Adjustable Rate Certificate Carryover, if
any; and
8) Any excess cashflow reverts to the Seller.
PRINCIPAL PAYDOWN
PRIOR TO THE STEPDOWN DATE OR IF A TRIGGER EVENT EXISTS:
Fixed-Rate Certificates: 1) All scheduled and unscheduled principal will be paid to the Class
AF-1 Certificates.
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Adjustable-Rate Certificates: 1) All scheduled and unscheduled principal will be paid to the Class
AV-1 Certificates.
AFTER THE STEPDOWN DATE AND IF NO TRIGGER EVENT EXISTS:
With respect to each Mortgage Loan Group, all Certificates will be
entitled to receive payments of scheduled and unscheduled principal
in the following order of priority: first to the Class A
Certificates, second to the Class M-1 Certificates, third to the
Class M-2 Certificates, and fourth to the Class B Certificates, in
all cases to the extent necessary to satisfy the required
subordination levels described below.
STEPDOWN DATE: For each Mortgage Loan Group, the later of (i) the November 2002
Payment Date and (ii) the first Payment Date on which the Senior
Enhancement Percentage (i.e., the sum of the Subordinate
Certificates + the O/C amount for a particular Mortgage Loan Group
divided by the aggregate Loan Balance of the Mortgage Loans in such
Mortgage Loan Group) is greater than or equal to the related Group's
Senior Specified Enhancement Percentage, which is equal to two times
the initial AAA subordination (including O/C).
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Fixed-Rate Group Adjustable-Rate Group
Senior Specified Enhancement Senior Specified Enhancement
Percentage Percentage
--------------------------------------------------------------
39.50% 53.00%
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<TABLE>
<S> <C>
TRIGGER EVENT: With respect to each Mortgage Loan Group, a Trigger Event exists if:
the percentage obtained by dividing (x) the principal amount of 60+
Day Delinquent Loans (including foreclosures and REOs) in such
Mortgage Loan Group by (y) the aggregate outstanding Loan Balance of
the Mortgage Loans in such Mortgage Loan Group as of the last day of
the month immediately preceding the related Payment Date equals or
exceeds [0.50] and [0.40] multiplied by the Senior Specified
Enhancement Percentage for the Fixed Rate Certificates and the
Adjustable Rate Certificates, respectively.
REQUIRED SUBORDINATION LEVELS:
-------------------------------------------------------------
Required Subordination Levels
Fixed-Rate Group Adjustable-Rate Group
Class AF-1 39.50% Class AV-1 53.00%
Class MF-1 27.50% Class MV-1 37.00%
Class MF-2 17.00% Class MV-2 24.50%
Class BF-1 6.50% Class BV-1 9.50%
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</TABLE>
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SENSITIVITY TABLES
<TABLE>
<CAPTION>
Class AF-1 (to call)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 14.93 4.91 3.39 2.51 1.90 1.41
Modified Duration (years) 8.12 3.58 2.68 2.09 1.64 1.26
First Principal Payment 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment 04/25/27 03/25/14 01/25/10 06/25/07 10/25/05 08/25/04
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 330 173 123 92 72 58
Illustrative Yield @ Par (30/360) 7.43% 7.36% 7.31% 7.26% 7.19% 7.10%
- -------------------------------------------------------------------------------------------------------------------------
Class MF-1 (to call)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 22.60 9.78 6.77 5.20 4.61 4.70
Modified Duration (years) 10.01 6.38 4.93 4.05 3.71 3.79
First Principal Payment 03/25/14 07/25/04 01/25/03 02/25/03 06/25/03 12/25/03
Last Principal Payment 04/25/27 03/25/14 01/25/10 06/25/07 10/25/05 08/25/04
Principal Lockout (months) 172 56 38 39 43 49
Principal Window (months) 158 117 85 53 29 9
Illustrative Yield @ Par (30/360) 8.09% 8.06% 8.04% 8.01% 8.00% 8.00%
- -------------------------------------------------------------------------------------------------------------------------
Class AF-1 (to maturity)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 15.00 5.14 3.63 2.72 2.06 1.54
Modified Duration (years) 8.13 3.65 2.78 2.19 1.73 1.34
First Principal Payment 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment 02/25/29 10/25/25 02/25/20 06/25/15 03/25/13 09/25/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 352 312 244 188 161 131
Illustrative Yield @ Par (30/360) 7.43% 7.37% 7.33% 7.29% 7.24% 7.16%
- -------------------------------------------------------------------------------------------------------------------------
Class MF- 1 (to maturity)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 22.80 10.35 7.37 5.73 5.03 5.17
Modified Duration (years) 10.03 6.52 5.15 4.29 3.94 4.07
First Principal Payment 03/25/14 07/25/04 01/25/03 02/25/03 06/25/03 12/25/03
Last Principal Payment 01/25/29 09/25/22 09/25/16 11/25/13 12/25/10 10/25/08
Principal Lockout (months) 172 56 38 39 43 49
Principal Window (months) 179 219 165 130 91 59
Illustrative Yield @ Par (30/360) 8.09% 8.07% 8.06% 8.05% 8.04% 8.05%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
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SENSITIVITY TABLES
<TABLE>
<CAPTION>
Class AV-1 (to call)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 19.16 3.88 2.88 1.85 1.17 1.00
Modified Duration (years) 10.56 3.08 2.40 1.63 1.08 0.93
First Principal Payment 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment 04/25/28 02/25/13 09/25/09 08/25/06 10/25/02 04/25/02
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 342 160 119 82 36 30
Illustrative Yield @ Par (30/360) 5.93% 5.93% 5.93% 5.93% 5.93% 5.93%
- -------------------------------------------------------------------------------------------------------------------------
Class MV-1 (to call)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.81 8.75 6.48 5.12 5.12 3.18
Modified Duration (years) 12.75 6.40 5.08 4.24 4.26 2.80
First Principal Payment 08/25/23 11/25/03 11/25/02 08/25/03 10/25/02 04/25/02
Last Principal Payment 04/25/28 02/25/13 09/25/09 08/25/06 01/25/05 03/25/04
Principal Lockout (months) 285 48 36 45 35 29
Principal Window (months) 57 112 83 37 28 24
Illustrative Yield @ Par (30/360) 6.25% 6.25% 6.25% 6.25% 6.25% 6.25%
- -------------------------------------------------------------------------------------------------------------------------
Class AV-1 (to maturity)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 19.18 4.15 3.09 2.01 1.17 1.00
Modified Duration (years) 10.56 3.18 2.50 1.72 1.08 0.93
First Principal Payment 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99 11/25/99
Last Principal Payment 01/25/29 09/25/23 12/25/18 05/25/13 10/25/02 04/25/02
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 351 287 230 163 36 30
Illustrative Yield @ Par (30/360) 5.93% 5.94% 5.94% 5.95% 5.93% 5.93%
- -------------------------------------------------------------------------------------------------------------------------
Class MV-1 (to maturity)
- -------------------------------------------------------------------------------------------------------------------------
PPC 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 28% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.89 9.55 7.13 5.58 6.61 3.94
Modified Duration (years) 12.77 6.69 5.38 4.51 5.22 3.30
First Principal Payment 08/25/23 11/25/03 11/25/02 08/25/03 10/25/02 04/25/02
Last Principal Payment 12/25/28 04/25/21 07/25/16 07/25/11 03/25/10 08/25/08
Principal Lockout (months) 285 48 36 45 35 29
Principal Window (months) 65 210 165 96 90 77
Illustrative Yield @ Par (30/360) 6.25% 6.26% 6.27% 6.27% 6.32% 6.30%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 11
<PAGE>
COLLATERAL SUMMARY
(Fixed-Rate Collateral)
<TABLE>
<CAPTION>
FIXED RATE COLLATERAL
---------------------
<S> <C>
CUT-OFF DATE 9/1/99
TOTAL OUTSTANDING BALANCE: $135,388,925.62
NUMBER OF LOANS: 1,856
AVERAGE REMAINING BALANCE: $ 72,946.62 (range: $ 9,725.83 - $ 464,684.20)
LOAN TYPE: 100.00% fixed-rate loans
WA GROSS COUPON: 9.763% (range: 6.625% - 16.590%)
ORIGINAL WEIGHTED AVERAGE TERM: 281 months (range: 60 - 361 months)
REMAINING WEIGHTED AVERAGE TERM: 275 months (range: 55 - 359 months)
LIEN POSITION: 95.26% first, 4.74% second
WA CLTV RATIO: 80.32% (range: 9.00% - 100.00%)
DOCUMENTATION: 89.88% full Doc,
6.89% no Doc,
2.75% limited,
0.48% alternate.
PROPERTY TYPE: 85.66% single family,
5.25% 2-4 family,
3.56% man. housing,
3.55% PUD,
1.98% condo.
OWNER OCCUPANCY: 94.24% owner occupied,
5.76% non-owner occupied.
LOAN PURPOSE: 76.45% cash out refi,
14.81% rate/term refi,
8.74% purchase.
GEOGRAPHIC DISTRIBUTION: MI (9.34%), OH (9.06%), PA (8.99%),
(ALL STATES>=5.00%) CA (6.57%), IL (5.26%), NC (5.14%)
DELINQUENCY STATUS 89.69% current, 10.31% 30-59 days
</TABLE>
Page 12
<PAGE>
COLLATERAL SUMMARY
(Adjustable-Rate Collateral)
<TABLE>
<CAPTION>
ARM RATE COLLATERAL
-------------------
<S> <C>
CUT-OFF DATE 9/1/99
TOTAL OUTSTANDING BALANCE: $80,386,204.02
NUMBER OF LOANS: 694
AVERAGE REMAINING BALANCE: $115,830.27 (range: $19,441.88 - $ 577,632.50)
LOAN TYPE: 78.33% 2/28 LIBOR
14.73% 3/27 LIBOR
0.18% 5/25 LIBOR
6.76% 6 month LIBOR
WA GROSS COUPON: 9.852% (range: 5.500%-13.750%)
WA GROSS MARGIN 6.244% (range: 0.500%-9.800%)
WA MAX LOAN RATE 16.334%
ORIGINAL WEIGHTED AVERAGE TERM: 360 months (range: 360-360 months)
REMAINING WEIGHTED AVERAGE TERM: 353 months (range: 334-359 months)
LIEN POSITION: 100.00% first
WA LTV RATIO: 81.18% (range: 14.00%-97.12%)
DOCUMENTATION: 79.36% full doc,
12.19% no doc,
4.66% limited doc,
3.80% alternate.
PROPERTY TYPE: 82.11% single family,
7.39% PUD,
5.07% 2-4 family,
2.77% man. housing,
2.66% condo.
OWNER OCCUPANCY: 94.01% owner occupied,
5.99% non-owner occupied.
LOAN PURPOSE: 55.62% cash out refi,
31.16% purchase,
13.22% rate/term refi
GEOGRAPHIC DISTRIBUTION: CA (28.61%), MI (5.49%), IL (5.40%),
(ALL STATES>=5.00%) FL (5.37%), OR (5.29%)
DELINQUENCY STATUS 88.65% current, 11.35% 30-59 days
</TABLE>
Page 13
<PAGE>
FIXED-RATE LOAN GROUP - MORTGAGE LOAN PRINCIPAL BALANCES
<TABLE>
<CAPTION>
AGGREGATE
RANGE OF MORTGAGE LOAN PRINCIPAL NUMBER OF PRINCIPAL PERCENT OF LOAN
BALANCES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 -25,000.00 190 3,667,914.84 2.71%
- ------------------------------------------------------------------------------------------------
25,000.01-50,000.00 490 18,259,356.06 13.49%
- ------------------------------------------------------------------------------------------------
50,000.01-75,000.00 545 33,678,531.37 24.88%
- ------------------------------------------------------------------------------------------------
75,000.01-100,000.00 274 23,616,538.61 17.44%
- ------------------------------------------------------------------------------------------------
100,000.01-125,000.00 143 15,984,206.60 11.81%
- ------------------------------------------------------------------------------------------------
125,000.01-150,000.00 80 10,905,620.54 8.06%
- ------------------------------------------------------------------------------------------------
150,000.01-175,000.00 34 5,504,562.00 4.07%
- ------------------------------------------------------------------------------------------------
175,000.01-200,000.00 35 6,527,004.04 4.82%
- ------------------------------------------------------------------------------------------------
200,000.01-225,000.00 24 5,091,386.43 3.76%
- ------------------------------------------------------------------------------------------------
225,000.01-250,000.00 11 2,608,814.30 1.93%
- ------------------------------------------------------------------------------------------------
250,000.01 -275,000.00 8 2,099,577.61 1.55%
- ------------------------------------------------------------------------------------------------
275,000.01-300,000.00 7 2,013,890.05 1.49%
- ------------------------------------------------------------------------------------------------
300,000.01-325,000.00 4 1,261,940.18 0.93%
- ------------------------------------------------------------------------------------------------
325,000.01-350,000.00 4 1,315,948.15 0.97%
- ------------------------------------------------------------------------------------------------
350,000.01-375,000.00 2 712,468.08 0.53%
- ------------------------------------------------------------------------------------------------
375,000.01-400,000.00 1 388,698.60 0.29%
- ------------------------------------------------------------------------------------------------
400,000.01-425,000.00 2 839,802.76 0.62%
- ------------------------------------------------------------------------------------------------
425,000.01-450,000.00 1 447,981.20 0.33%
- ------------------------------------------------------------------------------------------------
450,000.00+ 1 464,684.20 0.34%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 14
<PAGE>
FIXED-RATE LOAN GROUP - MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF MORTGAGE RATES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.501 - 7.000 8 839,070.38 0.62%
- ------------------------------------------------------------------------------------------------
7.001 - 7.500 42 5,127,500.52 3.79%
- ------------------------------------------------------------------------------------------------
7.501 - 8.000 147 12,607,016.12 9.31%
- ------------------------------------------------------------------------------------------------
8.001 - 8.500 181 15,644,017.47 11.55%
- ------------------------------------------------------------------------------------------------
8.501 - 9.000 119 11,468,391.76 8.47%
- ------------------------------------------------------------------------------------------------
9.001 - 9.500 137 11,952,166.64 8.83%
- ------------------------------------------------------------------------------------------------
9.501 - 10.000 293 22,908,376.93 16.92%
- ------------------------------------------------------------------------------------------------
10.001- 10.500 257 18,807,714.77 13.89%
- ------------------------------------------------------------------------------------------------
10.501 - 11.000 210 13,087,364.35 9.67%
- ------------------------------------------------------------------------------------------------
11.001 - 11.500 155 8,020,885.74 5.92%
- ------------------------------------------------------------------------------------------------
11.501 - 12.000 136 7,273,165.86 5.37%
- ------------------------------------------------------------------------------------------------
12.001 - 12.500 63 3,188,950.22 2.36%
- ------------------------------------------------------------------------------------------------
12.501 - 13.000 44 1,909,062.03 1.41%
- ------------------------------------------------------------------------------------------------
13.001 - 13.500 18 697,088.39 0.51%
- ------------------------------------------------------------------------------------------------
13.501 - 14.000 26 1,050,015.98 0.78%
- ------------------------------------------------------------------------------------------------
14.001 + 20 808,138.46 0.60%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 15
<PAGE>
FIXED-RATE LOAN GROUP - REMAINING MONTHS TO STATED MATURITY
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 60 3 53,787.77 0.04%
- ------------------------------------------------------------------------------------------------
61 - 120 57 1,941,195.27 1.43%
- ------------------------------------------------------------------------------------------------
121 - 180 798 51,584,751.06 38.10%
- ------------------------------------------------------------------------------------------------
181 - 240 126 7,255,096.16 5.36%
- ------------------------------------------------------------------------------------------------
241 - 300 22 1,573,917.97 1.16%
- ------------------------------------------------------------------------------------------------
301+ 850 72,980,177.39 53.90%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
FIXED-RATE LOAN GROUP - COMBINED LOAN-TO-VALUE RATIOS
<TABLE>
<CAPTION>
AGGREGATE
RANGE OF COMBINED LOAN-TO-VALUE NUMBER OF PRINCIPAL PERCENT OF LOAN
RATIOS MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 1 14,855.75 0.01%
- -----------------------------------------------------------------------------------------------
15.01 - 20.00 5 70,581.35 0.05%
- -----------------------------------------------------------------------------------------------
20.01 - 25.00 3 116,611.36 0.09%
- -----------------------------------------------------------------------------------------------
25.01 - 30.00 7 236,760.95 0.17%
- -----------------------------------------------------------------------------------------------
30.01 - 35.00 9 364,461.96 0.27%
- -----------------------------------------------------------------------------------------------
35.01 - 40.00 9 439,495.87 0.32%
- -----------------------------------------------------------------------------------------------
40.01 - 45.00 19 639,081.30 0.47%
- -----------------------------------------------------------------------------------------------
45.01 - 50.00 29 1,139,850.43 0.84%
- -----------------------------------------------------------------------------------------------
55.01 - 55.00 36 2,554,130.05 1.89%
- -----------------------------------------------------------------------------------------------
55.01 - 60.00 57 2,782,973.68 2.06%
- -----------------------------------------------------------------------------------------------
60.01 - 65.00 83 4,924,078.83 3.64%
- -----------------------------------------------------------------------------------------------
65.01 - 70.00 128 8,621,624.58 6.37%
- -----------------------------------------------------------------------------------------------
70.01 - 75.00 198 13,481,083.79 9.96%
- -----------------------------------------------------------------------------------------------
75.01 - 80.00 383 31,247,120.28 23.08%
- -----------------------------------------------------------------------------------------------
80.01 - 85.00 295 21,616,434.18 15.97%
- -----------------------------------------------------------------------------------------------
85.01 - 90.00 547 43,775,053.84 32.33%
- -----------------------------------------------------------------------------------------------
90.01 - 95.00 33 2,886,018.80 2.13%
- -----------------------------------------------------------------------------------------------
95.01+ 14 478,708.62 0.35%
- -----------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- -----------------------------------------------------------------------------------------------
</TABLE>
Page 16
<PAGE>
FIXED-RATE LOAN GROUP - FICO SCORES
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF FICO SCORES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 624 1,361 98,094,518.37 72.45%
- -------------------------------------------------------------------------------------------------
625 - 649 157 11,561,020.03 8.54%
- -------------------------------------------------------------------------------------------------
650 - 674 124 10,698,608.10 7.90%
- -------------------------------------------------------------------------------------------------
675 - 699 81 6,142,829.96 4.54%
- -------------------------------------------------------------------------------------------------
700 - 724 44 3,416,319.54 2.52%
- -------------------------------------------------------------------------------------------------
725 - 749 32 1,684,382.93 1.24%
- -------------------------------------------------------------------------------------------------
750 - 774 10 863,559.12 0.64%
- -------------------------------------------------------------------------------------------------
775 - 799 8 514,864.75 0.38%
- -------------------------------------------------------------------------------------------------
800 - 824 2 87,436.04 0.06%
- -------------------------------------------------------------------------------------------------
NA 37 2,325,386.78 1.72%
- -------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- -------------------------------------------------------------------------------------------------
</TABLE>
FIXED-RATE LOAN GROUP - LOAN PURPOSE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
LOAN PURPOSE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refi 1,494 103,504,581.25 76.45%
- ------------------------------------------------------------------------------------------------
Purchase 131 11,828,807.12 8.74%
- ------------------------------------------------------------------------------------------------
Rate/Term Refi 231 20,055,537.25 14.81%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
FIXED-RATE LOAN GROUP - PROPERTY TYPE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
PROPERTY TYPE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3-4 Family 18 1,496,841.53 1.11%
- ------------------------------------------------------------------------------------------------
Condo 33 2,676,257.31 1.98%
- ------------------------------------------------------------------------------------------------
Manuf. Housing 83 4,817,907.29 3.56%
- ------------------------------------------------------------------------------------------------
PUD 46 4,800,635.43 3.55%
- ------------------------------------------------------------------------------------------------
SF Detached 1,601 115,996,843.00 85.68%
- ------------------------------------------------------------------------------------------------
Two Family 75 5,600,441.06 4.14%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
FIXED-RATE LOAN GROUP - OCCUPANCY TYPE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
OCCUPANCY TYPE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investor 129 7,799,191.51 5.76%
- ------------------------------------------------------------------------------------------------
Owner 1,727 127,589,734.11 94.24%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 17
<PAGE>
FIXED-RATE LOAN GROUP - STATE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
STATE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AR 17 890,931.32 0.66%
- ------------------------------------------------------------------------------------------------
AZ 34 1,633,381.46 1.21%
- ------------------------------------------------------------------------------------------------
CA 82 8,898,779.06 6.57%
- ------------------------------------------------------------------------------------------------
CO 20 2,009,337.10 1.48%
- ------------------------------------------------------------------------------------------------
CT 16 1,815,077.44 1.34%
- ------------------------------------------------------------------------------------------------
DC 8 733,782.04 0.54%
- ------------------------------------------------------------------------------------------------
DE 1 125,771.82 0.09%
- ------------------------------------------------------------------------------------------------
FL 104 6,500,030.79 4.80%
- ------------------------------------------------------------------------------------------------
GA 75 5,273,355.49 3.89%
- ------------------------------------------------------------------------------------------------
HI 36 6,280,874.31 4.64%
- ------------------------------------------------------------------------------------------------
IA 16 895,286.42 0.66%
- ------------------------------------------------------------------------------------------------
ID 4 359,076.62 0.27%
- ------------------------------------------------------------------------------------------------
IL 102 7,126,323.17 5.26%
- ------------------------------------------------------------------------------------------------
IN 117 6,662,643.81 4.92%
- ------------------------------------------------------------------------------------------------
KS 9 439,377.51 0.32%
- ------------------------------------------------------------------------------------------------
KY 38 1,975,197.44 1.46%
- ------------------------------------------------------------------------------------------------
LA 23 1,266,044.30 0.94%
- ------------------------------------------------------------------------------------------------
MA 27 2,598,547.84 1.92%
- ------------------------------------------------------------------------------------------------
MD 55 4,480,476.47 3.31%
- ------------------------------------------------------------------------------------------------
ME 1 42,484.79 0.03%
- ------------------------------------------------------------------------------------------------
MI 185 12,641,142.13 9.34%
- ------------------------------------------------------------------------------------------------
MN 13 1,182,445.78 0.87%
- ------------------------------------------------------------------------------------------------
MO 37 2,444,145.18 1.81%
- ------------------------------------------------------------------------------------------------
MS 11 776,888.28 0.57%
- ------------------------------------------------------------------------------------------------
MT 1 30,467.41 0.02%
- ------------------------------------------------------------------------------------------------
NC 105 6,960,839.71 5.14%
- ------------------------------------------------------------------------------------------------
NE 9 560,918.94 0.41%
- ------------------------------------------------------------------------------------------------
NH 10 627,246.99 0.46%
- ------------------------------------------------------------------------------------------------
NJ 28 3,142,785.99 2.32%
- ------------------------------------------------------------------------------------------------
NM 15 758,304.95 0.56%
- ------------------------------------------------------------------------------------------------
NV 9 832,351.40 0.61%
- ------------------------------------------------------------------------------------------------
NY 57 4,401,503.37 3.25%
- ------------------------------------------------------------------------------------------------
OH 168 12,267,653.06 9.06%
- ------------------------------------------------------------------------------------------------
OK 11 544,260.93 0.40%
- ------------------------------------------------------------------------------------------------
OR 15 1,127,635.36 0.83%
- ------------------------------------------------------------------------------------------------
PA 181 12,175,074.04 8.99%
- ------------------------------------------------------------------------------------------------
RI 6 477,111.42 0.35%
- ------------------------------------------------------------------------------------------------
SC 35 2,153,873.58 1.59%
- ------------------------------------------------------------------------------------------------
SD 2 139,315.36 0.10%
- ------------------------------------------------------------------------------------------------
TN 34 2,194,530.30 1.62%
- ------------------------------------------------------------------------------------------------
TX 63 4,801,661.14 3.55%
- ------------------------------------------------------------------------------------------------
UT 14 1,145,260.07 0.85%
- ------------------------------------------------------------------------------------------------
VA 21 1,115,953.96 0.82%
- ------------------------------------------------------------------------------------------------
VT 1 54,408.35 0.04%
- ------------------------------------------------------------------------------------------------
WA 10 1,125,396.88 0.83%
- ------------------------------------------------------------------------------------------------
WI 15 900,435.96 0.67%
- ------------------------------------------------------------------------------------------------
WV 14 697,562.07 0.52%
- ------------------------------------------------------------------------------------------------
WY 1 102,973.81 0.08%
- ------------------------------------------------------------------------------------------------
1,856 135,388,925.62 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 18
<PAGE>
FIXED-RATE LOAN GROUP - ORIGINATOR DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
ORIGINATOR MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Accubank 2 128,004.50 0.09%
- -------------------------------------------------------------------------------------------
Amresco 268 22,532,650.80 14.27%
- -------------------------------------------------------------------------------------------
Conti 1,524 106,483,469.73 78.65%
- -------------------------------------------------------------------------------------------
IMP3 20 1,267,569.66 0.94%
- -------------------------------------------------------------------------------------------
Long Beach 17 1,598,243.70 1.18%
- -------------------------------------------------------------------------------------------
Option One 5 690,793.74 0.51%
- -------------------------------------------------------------------------------------------
Provident 20 2,688,193.49 1.99%
- -------------------------------------------------------------------------------------------
1,856 135,388,925.62 97.63%
- -------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - MORTGAGE LOAN PRINCIPAL BALANCE
<TABLE>
<CAPTION>
AGGREGATE
RANGE OF MORTGAGE LOAN PRINCIPAL NUMBER OF PRINCIPAL PERCENT OF LOAN
BALANCES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 -25,000.00 15 318,331.11 0.40%
- ------------------------------------------------------------------------------------------------
25,000.01-50,000.00 91 3,642,019.92 4.53%
- ------------------------------------------------------------------------------------------------
50,000.01-75,000.00 164 10,346,063.26 12.87%
- ------------------------------------------------------------------------------------------------
75,000.01-100,000.00 101 8,688,183.60 10.81%
- ------------------------------------------------------------------------------------------------
100,000.01-125,000.00 94 10,575,697.27 13.16%
- ------------------------------------------------------------------------------------------------
125,000.01-150,000.00 62 8,298,905.26 10.32%
- ------------------------------------------------------------------------------------------------
150,000.01-175,000.00 40 6,509,422.97 8.10%
- ------------------------------------------------------------------------------------------------
175,000.01-200,000.00 34 6,266,648.34 7.80%
- ------------------------------------------------------------------------------------------------
200,000.01-225,000.00 24 5,050,676.09 6.28%
- ------------------------------------------------------------------------------------------------
225,000.01-250,000.00 25 5,883,935.33 7.32%
- ------------------------------------------------------------------------------------------------
250,000.01 -275,000.00 10 2,649,827.73 3.30%
- ------------------------------------------------------------------------------------------------
275,000.01-300,000.00 10 2,855,728.88 3.55%
- ------------------------------------------------------------------------------------------------
300,000.01-325,000.00 2 630,708.70 0.78%
- ------------------------------------------------------------------------------------------------
325,000.01-350,000.00 5 1,673,548.97 2.08%
- ------------------------------------------------------------------------------------------------
350,000.01-375,000.00 5 1,798,635.95 2.24%
- ------------------------------------------------------------------------------------------------
375,000.01-400,000.00 5 1,930,109.28 2.40%
- ------------------------------------------------------------------------------------------------
400,000.01-425,000.00 3 1,240,824.15 1.54%
- ------------------------------------------------------------------------------------------------
450,000.00 + 4 2,026,937.21 2.52%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 19
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF MORTGAGE RATES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001 - 6.500 2 115,803.97 0.14%
- ------------------------------------------------------------------------------------------------
6.501 - 7.000 2 441,010.28 0.55%
- ------------------------------------------------------------------------------------------------
7.001 - 7.500 2 183,076.49 0.23%
- ------------------------------------------------------------------------------------------------
7.501 - 8.000 13 1,668,810.93 2.08%
- ------------------------------------------------------------------------------------------------
8.001 - 8.500 25 4,849,195.66 6.03%
- ------------------------------------------------------------------------------------------------
8.501 - 9.000 73 10,660,100.94 13.26%
- ------------------------------------------------------------------------------------------------
9.001 - 9.500 110 14,846,109.65 18.47%
- ------------------------------------------------------------------------------------------------
9.501 - 10.000 150 18,112,098.96 22.53%
- ------------------------------------------------------------------------------------------------
10.001- 10.500 103 11,509,820.83 14.32%
- ------------------------------------------------------------------------------------------------
10.501 - 11.000 91 8,315,699.90 10.34%
- ------------------------------------------------------------------------------------------------
11.001 - 11.500 55 4,581,145.94 5.70%
- ------------------------------------------------------------------------------------------------
11.501 - 12.000 41 3,016,140.89 3.75%
- ------------------------------------------------------------------------------------------------
12.001 - 12.500 15 1,530,375.93 1.90%
- ------------------------------------------------------------------------------------------------
12.501 - 13.000 9 440,252.52 0.55%
- ------------------------------------------------------------------------------------------------
13.001 - 13.500 2 78,106.97 0.10%
- ------------------------------------------------------------------------------------------------
13.501 - 14.000 1 38,454.16 0.05%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - REMAINING MONTHS TO STATED MATURITY
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
301 + 694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 20
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10.01 - 20.00 1 19,450.57 0.02%
- ------------------------------------------------------------------------------------------------
20.01 - 30.00 2 44,910.69 0.06%
- ------------------------------------------------------------------------------------------------
30.01 - 40.00 2 857,830.67 1.07%
- ------------------------------------------------------------------------------------------------
40.01 - 50.00 5 273,557.57 0.34%
- ------------------------------------------------------------------------------------------------
50.01 - 60.00 10 1,314,418.46 1.64%
- ------------------------------------------------------------------------------------------------
60.01 - 70.00 69 6,813,753.85 8.48%
- ------------------------------------------------------------------------------------------------
70.01 - 80.00 217 24,641,581.56 30.65%
- ------------------------------------------------------------------------------------------------
80.01 - 90.00 380 45,123,492.00 56.13%
- ------------------------------------------------------------------------------------------------
90.01 - 100.00 8 1,297,208.65 1.61%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - FICO SCORES
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF FICO SCORES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 - 624 518 60,671,531.61 75.48%
- ------------------------------------------------------------------------------------------------
625 - 649 77 7,931,236.54 9.87%
- ------------------------------------------------------------------------------------------------
650 - 674 36 4,345,275.15 5.41%
- ------------------------------------------------------------------------------------------------
675 - 699 19 2,515,314.09 3.13%
- ------------------------------------------------------------------------------------------------
700 - 724 12 1,502,737.28 1.87%
- ------------------------------------------------------------------------------------------------
725 - 749 5 752,533.93 0.94%
- ------------------------------------------------------------------------------------------------
NA 27 2,667,575.42 3.32%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 21
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - LOAN PURPOSE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
LOAN PURPOSE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refi 371 44,707,635.54 55.62%
- ------------------------------------------------------------------------------------------------
Purchase 225 25,052,042.28 31.16%
- ------------------------------------------------------------------------------------------------
Rate/Term Refi 98 10,626,526.20 13.22%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - PROPERTY TYPE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
PROPERTY TYPE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3-4 Family 11 1,699,400.47 2.11%
- ------------------------------------------------------------------------------------------------
Condo 18 2,140,013.90 2.66%
- ------------------------------------------------------------------------------------------------
Manuf. Housing 27 2,228,869.62 2.77%
- ------------------------------------------------------------------------------------------------
PUD 33 5,938,592.39 7.39%
- ------------------------------------------------------------------------------------------------
SF Detached 574 66,001,318.93 82.11%
- ------------------------------------------------------------------------------------------------
Two Family 31 2,378,008.71 2.96%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - OCCUPANCY TYPE
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
OCCUPANCY TYPE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Investor 50 4,815,756.02 5.99%
- ------------------------------------------------------------------------------------------------
Owner 644 75,570,448.00 94.01%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 22
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - STATE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
STATE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AL 1 126,040.22 0.16%
- ------------------------------------------------------------------------------------------------
AR 3 227,068.18 0.28%
- ------------------------------------------------------------------------------------------------
AZ 11 1,281,146.02 1.59%
- ------------------------------------------------------------------------------------------------
CA 127 22,995,306.68 28.61%
- ------------------------------------------------------------------------------------------------
CO 12 1,489,580.40 1.85%
- ------------------------------------------------------------------------------------------------
CT 6 672,263.20 0.84%
- ------------------------------------------------------------------------------------------------
DC 2 345,509.09 0.43%
- ------------------------------------------------------------------------------------------------
DE 2 212,737.38 0.26%
- ------------------------------------------------------------------------------------------------
FL 41 4,318,152.50 5.37%
- ------------------------------------------------------------------------------------------------
GA 10 1,244,246.28 1.55%
- ------------------------------------------------------------------------------------------------
HI 5 1,274,781.35 1.59%
- ------------------------------------------------------------------------------------------------
IA 5 453,685.43 0.56%
- ------------------------------------------------------------------------------------------------
ID 13 1,131,092.91 1.41%
- ------------------------------------------------------------------------------------------------
IL 38 4,337,361.97 5.40%
- ------------------------------------------------------------------------------------------------
IN 26 1,639,285.41 2.04%
- ------------------------------------------------------------------------------------------------
KS 4 325,960.04 0.41%
- ------------------------------------------------------------------------------------------------
KY 8 542,290.72 0.67%
- ------------------------------------------------------------------------------------------------
LA 3 235,679.18 0.29%
- ------------------------------------------------------------------------------------------------
MA 10 1,417,744.97 1.76%
- ------------------------------------------------------------------------------------------------
MD 15 1,532,131.01 1.91%
- ------------------------------------------------------------------------------------------------
ME 3 291,488.03 0.36%
- ------------------------------------------------------------------------------------------------
MI 48 4,415,485.01 5.49%
- ------------------------------------------------------------------------------------------------
MN 7 743,492.55 0.92%
- ------------------------------------------------------------------------------------------------
MO 16 1,225,857.40 1.52%
- ------------------------------------------------------------------------------------------------
MS 4 360,439.44 0.45%
- ------------------------------------------------------------------------------------------------
MT 3 276,222.78 0.34%
- ------------------------------------------------------------------------------------------------
NC 8 611,369.08 0.76%
- ------------------------------------------------------------------------------------------------
NE 2 173,785.84 0.22%
- ------------------------------------------------------------------------------------------------
NH 1 93,520.61 0.12%
- ------------------------------------------------------------------------------------------------
NJ 5 735,455.31 0.91%
- ------------------------------------------------------------------------------------------------
NM 13 1,208,602.37 1.50%
- ------------------------------------------------------------------------------------------------
NV 9 1,279,683.50 1.59%
- ------------------------------------------------------------------------------------------------
NY 7 906,155.04 1.13%
- ------------------------------------------------------------------------------------------------
OH 44 3,190,833.72 3.97%
- ------------------------------------------------------------------------------------------------
OK 9 680,271.18 0.85%
- ------------------------------------------------------------------------------------------------
OR 31 4,255,270.63 5.29%
- ------------------------------------------------------------------------------------------------
PA 36 2,575,136.00 3.20%
- ------------------------------------------------------------------------------------------------
RI 2 128,018.63 0.16%
- ------------------------------------------------------------------------------------------------
SC 2 151,938.11 0.19%
- ------------------------------------------------------------------------------------------------
SD 1 54,234.54 0.07%
- ------------------------------------------------------------------------------------------------
TN 2 164,690.49 0.20%
- ------------------------------------------------------------------------------------------------
TX 19 2,127,254.37 2.65%
- ------------------------------------------------------------------------------------------------
UT 28 3,558,210.38 4.43%
- ------------------------------------------------------------------------------------------------
VA 5 544,102.45 0.68%
- ------------------------------------------------------------------------------------------------
WA 21 3,124,065.61 3.89%
- ------------------------------------------------------------------------------------------------
WI 22 1,364,120.90 1.70%
- ------------------------------------------------------------------------------------------------
WV 3 268,347.78 0.33%
- ------------------------------------------------------------------------------------------------
WY 1 76,089.33 0.09%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 23
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - ORIGINATOR DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
ORIGINATOR MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Accubank 4 204,609.63 0.25%
- -------------------------------------------------------------------------------------------
Amresco 214 23,061,367.35 28.69%
- -------------------------------------------------------------------------------------------
Conti 370 42,358,276.55 52.69%
- -------------------------------------------------------------------------------------------
IMP3 4 232,554.51 0.29%
- -------------------------------------------------------------------------------------------
Long Beach 58 8,670,734.36 10.79%
- -------------------------------------------------------------------------------------------
Option One 29 3,181,606.30 3.96%
- -------------------------------------------------------------------------------------------
Provident 15 2,677,055.32 3.33%
- -------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- -------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - INITIAL FIXED RATE PERIOD
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
INITIAL FIXED RATE PERIOD (MONTHS) MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6 35 5,077,220.61 6.32%
- ------------------------------------------------------------------------------------------------
12 2 320,835.98 0.40%
- ------------------------------------------------------------------------------------------------
18 1 34,579.62 0.04%
- ------------------------------------------------------------------------------------------------
24 553 62,844,201.77 78.18%
- ------------------------------------------------------------------------------------------------
25 1 126,040.22 0.16%
- ------------------------------------------------------------------------------------------------
36 100 11,840,957.58 14.73%
- ------------------------------------------------------------------------------------------------
60 2 142,368.24 0.18%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 24
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - GROSS MARGIN
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
RANGE OF GROSS MARGINS MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001 - 4.000 2 189,790.87 0.24%
- ------------------------------------------------------------------------------------------------
4.001 - 5.000 36 6,462,014.16 8.04%
- ------------------------------------------------------------------------------------------------
5.001 - 6.000 222 27,822,719.37 34.61%
- ------------------------------------------------------------------------------------------------
6.001 - 7.000 290 33,651,593.64 41.86%
- ------------------------------------------------------------------------------------------------
7.001 - 8.000 121 10,489,104.41 13.05%
- ------------------------------------------------------------------------------------------------
8.001 - 9.000 21 1,665,813.99 2.07%
- ------------------------------------------------------------------------------------------------
9.001 - 10.000 2 105,167.58 0.13%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - MINIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE
RANGE OF MINIMUM MORTGAGE NUMBER OF PRINCIPAL PERCENT OF LOAN
RATES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000 - 5.000 14 2,654,622.09 3.30%
- ------------------------------------------------------------------------------------------------
5.001 - 6.000 129 16,748,262.25 20.83%
- ------------------------------------------------------------------------------------------------
6.001 - 7.000 212 26,135,754.95 32.51%
- ------------------------------------------------------------------------------------------------
7.001 - 8.000 101 8,844,577.25 11.00%
- ------------------------------------------------------------------------------------------------
8.001 - 9.000 51 7,074,152.98 8.80%
- ------------------------------------------------------------------------------------------------
9.001 - 10.000 76 9,980,785.90 12.42%
- ------------------------------------------------------------------------------------------------
10.001 - 11.000 63 5,769,166.10 7.18%
- ------------------------------------------------------------------------------------------------
11.001 - 12.000 34 2,459,015.63 3.06%
- ------------------------------------------------------------------------------------------------
12.001 - 13.000 12 642,472.44 0.80%
- ------------------------------------------------------------------------------------------------
13.001 - 14.000 2 77,394.43 0.10%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 25
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - MAXIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE
RANGE OF MAXIMUM MORTGAGE NUMBER OF PRINCIPAL PERCENT OF LOAN
RATES MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12.001 - 13.000 4 658,160.46 0.82%
- ------------------------------------------------------------------------------------------------
13.001 - 14.000 6 764,064.05 0.95%
- ------------------------------------------------------------------------------------------------
14.001 - 15.000 54 7,793,482.13 9.70%
- ------------------------------------------------------------------------------------------------
15.001 - 16.000 205 27,386,683.15 34.07%
- ------------------------------------------------------------------------------------------------
16.001 - 17.000 207 24,381,986.74 30.33%
- ------------------------------------------------------------------------------------------------
17.001 - 18.000 137 13,247,994.14 16.48%
- ------------------------------------------------------------------------------------------------
18.001 - 19.000 62 5,152,358.04 6.41%
- ------------------------------------------------------------------------------------------------
19.001 - 20.000 16 884,914.18 1.10%
- ------------------------------------------------------------------------------------------------
20.001 - 21.000 3 116,561.13 0.15%
- ------------------------------------------------------------------------------------------------
694 80,386,204.02 100.00%
- ------------------------------------------------------------------------------------------------
</TABLE>
ADJUSTABLE-RATE LOAN GROUP - NEXT ADJUSTMENT DATE FOR THE 6-MONTH LIBOR
MORTGAGE LOANS
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
October-99 6 819,509.41 1.02%
- ------------------------------------------------------------------------------------------------
November-99 4 781,680.94 0.97%
- ------------------------------------------------------------------------------------------------
December-99 6 659,365.05 0.82%
- ------------------------------------------------------------------------------------------------
January-00 10 1,618,679.96 2.01%
- ------------------------------------------------------------------------------------------------
February-00 3 758,772.21 0.94%
- ------------------------------------------------------------------------------------------------
March-00 8 717,652.59 0.89%
- ------------------------------------------------------------------------------------------------
January-01 1 168,436.65 0.21%
- ------------------------------------------------------------------------------------------------
July-01 1 34,579.62 0.04%
- ------------------------------------------------------------------------------------------------
39 5,558,676.43 6.91%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 26
<PAGE>
ADJUSTABLE-RATE LOAN GROUP - NEXT ADJUSTMENT DATE FOR
THE 2/28, 3/27 AND 5/25 MORTGAGE LOANS
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF PRINCIPAL PERCENT OF LOAN
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE GROUP
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
January-00 1 93,494.67 0.12%
- ------------------------------------------------------------------------------------------------
February-00 2 139,797.78 0.17%
- ------------------------------------------------------------------------------------------------
March-00 1 44,527.19 0.06%
- ------------------------------------------------------------------------------------------------
April-00 5 938,210.26 1.17%
- ------------------------------------------------------------------------------------------------
May-00 3 372,825.94 0.46%
- ------------------------------------------------------------------------------------------------
June-00 7 1,015,050.37 1.26%
- ------------------------------------------------------------------------------------------------
July-00 6 1,262,500.94 1.57%
- ------------------------------------------------------------------------------------------------
August-00 11 1,200,191.65 1.49%
- ------------------------------------------------------------------------------------------------
September-00 12 1,613,530.57 2.01%
- ------------------------------------------------------------------------------------------------
October-00 12 1,259,772.13 1.57%
- ------------------------------------------------------------------------------------------------
November-00 14 2,585,925.47 3.22%
- ------------------------------------------------------------------------------------------------
December-00 42 6,678,265.24 8.31%
- ------------------------------------------------------------------------------------------------
January-01 69 8,388,839.95 10.44%
- ------------------------------------------------------------------------------------------------
February-01 60 6,476,073.28 8.06%
- ------------------------------------------------------------------------------------------------
March-01 100 10,937,478.97 13.61%
- ------------------------------------------------------------------------------------------------
April-01 146 14,525,938.98 18.07%
- ------------------------------------------------------------------------------------------------
May-01 19 1,292,027.94 1.61%
- ------------------------------------------------------------------------------------------------
June-01 8 547,776.87 0.68%
- ------------------------------------------------------------------------------------------------
July-01 7 637,546.38 0.79%
- ------------------------------------------------------------------------------------------------
August-01 2 216,551.83 0.27%
- ------------------------------------------------------------------------------------------------
September-01 3 344,340.60 0.43%
- ------------------------------------------------------------------------------------------------
October-01 7 947,450.10 1.18%
- ------------------------------------------------------------------------------------------------
November-01 10 1,375,848.57 1.71%
- ------------------------------------------------------------------------------------------------
December-01 5 400,758.10 0.50%
- ------------------------------------------------------------------------------------------------
January-02 11 1,363,900.30 1.70%
- ------------------------------------------------------------------------------------------------
February-02 13 1,177,229.98 1.46%
- ------------------------------------------------------------------------------------------------
March-02 20 2,143,314.73 2.67%
- ------------------------------------------------------------------------------------------------
April-02 40 4,944,578.14 6.15%
- ------------------------------------------------------------------------------------------------
May-02 11 1,292,741.73 1.61%
- ------------------------------------------------------------------------------------------------
June-02 1 53,944.39 0.07%
- ------------------------------------------------------------------------------------------------
October-02 2 102,303.41 0.13%
- ------------------------------------------------------------------------------------------------
December-02 1 66,170.66 0.08%
- ------------------------------------------------------------------------------------------------
February-03 1 66,468.71 0.08%
- ------------------------------------------------------------------------------------------------
June-03 1 179,783.52 0.22%
- ------------------------------------------------------------------------------------------------
January-04 2 142,368.24 0.18%
- ------------------------------------------------------------------------------------------------
655 74,827,527.59 93.09%
- ------------------------------------------------------------------------------------------------
</TABLE>
Page 27