- -----------------------------------------------------------------
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): March 10, 1999
BEAR STEARNS ASSET BACKED SECURITIES, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-9532 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
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<PAGE>
Item 5. Other Events.
Filing of Computational Materials
In connection with the proposed offering of the United National Bank
Home Loan Asset-Backed Notes, Series 1999-1, Bear, Stearns & Co. Inc., and Coast
Partners Securities, Inc. as the underwriter (the "Underwriters"), has prepared
certain materials (the "Computational Materials") for distribution to their
potential investors. Although Bear Stearns Asset Backed Securities, Inc. (the
"Company") provided the Underwriters with certain information regarding the
characteristics of the home loans (the "Home 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 the
Series 1999-1 term sheet, computer generated tables and/or charts displaying 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 Computational Materials are
attached hereto as Exhibit 99.1.
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 The Computational Materials, filed on Form 8-K dated March 10,
1999.
<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/ Matt Perkins
---------------------
Name: Matt Perkins
Title: Managing Director
Dated: March 10, 1999
<PAGE>
Exhibit Index
Exhibit Page
99.1 The Computational Materials, filed on Form 8-K 6
dated March 10, 1999
<PAGE>
Exhibit 99.1
[GRAPHIC OMITTED] BEAR, STEARNS & CO. INC.
ATLANTA o B0OSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax
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UNITED NATIONAL BANK HOME LOAN OWNER TRUST 1999-1
- --------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
- ------------------- ------------------------------------------------------------
FAX TO: DATE:
COMPANY: # PAGES (incl. cover): 18
FAX NO: PHONE NO:
- ------------------- ------------------------ ------------------------------
FROM: PHONE NO:
- ------------------- ------------------------ ------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES,
PRICING ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by [Bear Stearns] [Coast Partners], 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. Any information herein
regarding the collateral or the securities supersedes any prior information
regarding the collateral or the securities and will be superseded by information
regarding the collateral and/or the securities contained in the Offering
Documents. 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] [Coast Partners] 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.
<PAGE>
[OBJECT OMITTED]
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may obtain
a copy of the Statement from your sales representative.
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] [Coast
Partners] 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] [Coast Partners] 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] [Coast
Partners].
<PAGE>
UNITED NATIONAL BANK HOME LOAN OWNER TRUST 1999-1
Computational Materials: Preliminary Term Sheet
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141,629,000 PUBLIC OFFERING
ISSUER: United National Bank Home Loan Owner Trust 1999-1
SELLER: United National Bank, N.A.
DEPOSITOR: Bear Stearns Asset Backed Securities Inc.
MASTER SERVICER: Advanta Mortgage Corp. USA
LEAD UNDERWRITER: Bear, Stearns & Co. Inc.
CO-UNDERWRITER: Coast Partners Securities Inc.
INDENTURE TRUSTEE: U.S. Bank, N.A.
OWNER TRUSTEE: Wilmington Trust Company
SECURITIES: The Trust will issue 3 classes of Asset Backed Notes
(namely, the Class A Notes (the "Senior Notes"), the
Class M-1 Notes and Class M-2 Notes (together, the
"Mezzanine Notes", and, together with the Senior Notes,
the "Offered Notes"); and 6 classes of Asset Backed
Certificates (namely, the Class IO, Class B-1, Class B-2,
Class B-3, Class B-4 and Residual Interest Certificates)
(collectively, the "Certificates"). THE CERTIFICATES ARE
NOT BEING OFFERED HEREBY.
<TABLE>
<CAPTION>
CHARACTERISTICS OF THE OFFERED NOTES AND THE RETAINED CERTIFICATES:
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
ORIGINAL PERCENT AVG. LIFE PRINCIPAL PRINCIPAL EXPECTED
OFFERED/ PRINCIPAL OF POOL TO MTY LOCKOUT WINDOW RATINGS
SECURITIES RETAINED BALANCE BALANCE (YEARS) (MONTHS) (MONTHS) (S&P / MOODY'S /
FITCH )
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A NOTES OFFERED $112,893,000 55.0% 2.60 NONE 272 AAA/Aaa/AAA
Class A-IO Certificates Retained Notional 100.0% (1) (1) (1) (1)
CLASS M-1 NOTES OFFERED $14,368,000 7.0% 8.79 48 224 AA/AA2/AA
CLASS M-2 NOTES OFFERED $14,368,000 7.0% 8.79 48 224 A/A2/A
Class B-1 Certificates Retained $24,631,000 12.0% (1) (1) (1) (1)
Class B-2 Certificates Retained $6,158,000 3.0% (1) (1) (1) (1)
Class B-3 Certificates Retained $4,105,000 2.0% (1) (1) (1) (1)
Class B-4 Certificates Retained $28,737,000 14.0% (1) (1) (1) (1)
Residual Certificates Retained Notional 100.0% (1) (1) (1) (1)
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
</TABLE>
NOTE: (1) THE CERTIFICATES ARE NOT BEING OFFERED HEREBY.
CUT-OFF DATE: The close of business on February 28, 1999.
SETTLEMENT DATE: On or about March 26, 1999
<PAGE>
FORM OF REGISTRATION: Book-Entry form, same day funds through DTC.
PAYMENT DATES: The 25th of each month or, if such day is not a Business
Day, the next succeeding Business Day, commencing in
April 1999.
PAYMENT DELAY: 24 days
NOTE INTEREST ACCRUAL: Interest will accrue on the Notes on a "30/360" basis.
NOTIONAL AMOUNT: The Class A-IO Certificates are also referred to herein
as the "Interest Only Certificates". The Notional Amount
of the Class A-IO Certificates as of any Payment Date
will be equal to the then-current outstanding Pool
Principal Balance (the "Current Pool Principal Balance").
On any Payment Date, the Certificates Rate on the Class
A-IO Certificates will be equal to the excess of (X) the
weighted average gross coupon on the Home Loans and (Y)
[_.__]% (i.e., the coupon on the Notes and Certificates).
References herein to the Notional Amount are used solely
for certain calculations and do not represent the right
of the Class A-IO Certificates to receive distributions
of principal.
PRICING PREPAYMENT Starting at 0.0% CPR in the 1st month SPEED ASSUMPTION:
of the life of a Home Loan, thereafter increasing by
1.0714% per month to 15.0% in the 15th month. After the
15th month, the prepayment rate remains constant at
15.0% CPR.
ASSETS OF THE TRUST: The assets of the Trust will consist primarily of a pool
of home loans ("Home Loans") secured by mortgages, deeds
of trust or other security instruments ("Mortgages").
Substantially all of the mortgages for the Home Loans
will be junior in priority to one or more senior liens on
the related mortgaged properties, which will consist
primarily of owner occupied single family residences. In
addition, substantially all of the Home Loans will be
secured by liens on mortgaged properties in which the
borrowers have little or no equity (i.e., the related
combined loan-to-value ratios approach or exceed 100%).
It is expected that, as of the Cut-off Date, the Home
Loans will consist of loans having an aggregate principal
balance of approximately $205,259,057 and will consist of
5,539 loans.
SERVICING FEE/
TRUSTEE FEES: The Trust is subject to certain fees, including a
Servicing Fee of 0.75% per annum payable monthly, an
Indenture Trustee Fee and an Owner Trustee Fee of 0.02%
(combined) per annum payable monthly.
<PAGE>
ADVANCING: There is no required advancing of delinquent principal or
interest by the Servicer, the Trustees or any other
entity.
CREDIT ENHANCEMENT: Credit enhancement for the Notes will be provided by
subordination as described below:
------------------------ -------------------------
INITIAL
OFFERED SUBORDINATION
NOTES AS OF THE CLOSING DATE
------------------------ -------------------------
Class A Notes 45%
Class M-1 Notes 38%
Class M-2 Notes 31%
------------------------ -------------------------
The rights of the Class M-1 Notes to receive payments
will be subordinated to such rights of the Senior Notes
and the Class A-IO Certificates. The rights of the Class
M-2 Notes to receive payments will be subordinated to
such rights of the Senior Notes, the Class A-IO
Certificates and the Class M-1 Notes.
APPLICATION OF ALLOCABLE
LOSS AMOUNTS: Any Allocable Loss Amounts will be applied in reduction
of principal, in the following order of priority: (1) the
Class B-4 Certificates, until the Class B-4 Certificates
have been reduced to zero; (2) the Class B-3
Certificates, until the Class B-3 Certificates have been
reduced to zero; (3) the Class B-2 Certificates, until
the Class B-2 Certificates have been reduced to zero; (4)
the Class B-1 Certificates, until the Class B-1
Certificates have been reduced to zero; (5) the Class M-2
Notes, until the Class M-2 Notes have been reduced to
zero; and (6) the Class M-1 Notes, until the Class M-1
Notes have been reduced to zero. The Senior Notes will
not be reduced for any Allocable Loss Amounts. Any
Allocable Loss Amounts applied in reduction of principal
of the Class M-1 Notes, Class M-2 Notes, Class B-1
Certificates, Class B-2 Certificates, Class B-3
Certificates or Class B-4 Certificates (the "Carryover
Amounts") will entitle each such class to receive
reimbursement for such amount on future payment dates, to
the extent funds are available therefor.
<PAGE>
PRIORITY OF PAYMENTS: Payments of interest of and principal on the Notes and
Certificates will be applied as follows:
1) To pay accrued and unpaid interest on the Senior
Notes and Class A-IO Certificates, PRO RATA (without
any priority);
2) To pay accrued and unpaid interest, sequentially,
on the Class M-1 Notes, Class M-2 Notes, Class B-1
Certificates, Class B-2 Certificates, Class B-3
Certificates and Class B-4 Certificates, in that
order;
3) To pay as principal, to the Senior Notes, an amount
necessary to reduce the balance of the Senior Notes to
the Senior Optimal Principal Balance;
4) To pay as principal to the Class M-1 Notes, an
amount necessary to reduce the balance of the Class
M-1 Notes to the Class M-1 Optimal Principal Balance;
5) To pay as principal to the Class M-2 Notes, an
amount necessary to reduce the balance of the Class
M-2 Notes to the Class M-2 Optimal Principal Balance;
6) To pay as principal to the Class B-1 Certificates,
an amount necessary to reduce the balance of the Class
B-1 Certificates to the Class B-1 Optimal Principal
Balance;
7) To pay as principal to the Class B-2 Certificates,
an amount necessary to reduce the balance of the Class
B-2 Certificates to the Class B-2 Optimal Principal
Balance;
8) To pay as principal to the Class B-3 Certificates,
an amount necessary to reduce the balance of the Class
B-3 Certificates to the Class B-3 Optimal Principal
Balance;
9) To pay as principal to the Class B-4 Certificates,
an amount necessary to reduce the balance of the Class
B-4 Certificates to the Class B-4 Optimal Principal
Balance;
10) To pay the Class M-1 Notes, Class M-2 Notes, Class
B-1 Certificates, Class B-2 Certificate, Class B-3
Certificates and Class B-4 Certificate, in that order,
any Carryover Amounts;
11) To pay any servicer reimbursable amounts; and
12) Any remaining amounts shall be paid to the holders
of the Residual Interest Certificate.
STEPDOWN DATE: The Stepdown Date is the Payment Date occurring on the
later of:
1) The first Payment Date after that of March 2002 (i.e. on
the 37th Payment Date); and
2) The first Payment Date on which the aggregate principal
balance of the Senior Notes has been reduced to an amount
less than or equal to 10.0% of the Pool Principal Balance
as of the preceding Determination Date.
<PAGE>
SENIOR OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, $0. With
respect to any other Payment Date, an amount equal to
10.0% of the Pool Principal Balance.
CLASS M-1 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class M-1 Notes. With
respect to any other Payment Date, the Pool Principal
Balance as of the end of the related collection period
MINUs the sum of (a) the principal balance of the Senior
Notes and (b) 76.0% of the Pool Principal Balance.
CLASS M-2 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class M-2 Notes. With
respect to any other Payment Date, the Pool Principal
Balance as of the end of the related collection period
MINUs the sum of (a) the aggregate principal balance of
the Senior Notes and the Class M-1 Notes and (b) 62.0% of
the Pool Principal Balance.
CLASS B-1 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class B-1 Certificates.
With respect to any other Payment Date, the Pool
Principal Balance as of the end of the related collection
period minus the sum of (a) the aggregate principal
balance of the Senior Notes, Class M-1 Notes and Class
M-2 Notes and (b) 38.0% of the Pool Principal Balance.
CLASS B-2 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class B-2 Certificates.
With respect to any other Payment Date, the Pool
Principal Balance as of the end of the related collection
period MINUs the sum of (a) the aggregate principal
balance of the Senior Notes, Class M-1 Notes, Class M-2
Notes and Class B-1 Certificates and (b) 32.0% of the
Pool Principal Balance.
<PAGE>
CLASS B-3 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class B-3 Certificates.
With respect to any other Payment Date, the Pool
Principal Balance as of the preceding Determination Date
MINUs the sum of (a) the aggregate principal balance of
the Senior Notes, Class M-1 Notes, Class M-2 Notes, Class
B-1 Certificates and Class B-2 Certificates and (b) 28.0%
of the Pool Principal Balance as of the preceding
Determination Date.
CLASS B-4 OPTIMAL PRINCIPAL
BALANCE: As to any Payment Date before the Stepdown Date, the
original principal balance of the Class B-4 Certificates.
With respect to any other Payment Date, the Pool
Principal Balance as of the preceding Determination Date
MINUs the sum of the aggregate principal balance of the
Senior Notes, Class M-1 Notes, Class M-2 Notes, Class B-1
Certificates, Class B-2 Certificates and Class B-3
Certificates.
OPTIONAL TERMINATION: The Seller may cause an early redemption of the Notes on
any Payment Date when the Current Pool Principal Balance
is less than or equal to [5]% of the Original Pool
Principal Balance (the first such Payment Date, the
"Initial Call Date"), by providing for the payment of the
redemption price.
TAX STATUS: For federal income tax purposes, the Notes will be
characterized as debt.
ERISA ELIGIBILITY: Subject to the conditions set forth in the Prospectus
Supplement, the Notes may be purchased by employee
benefit plans that are subject to ERISA.
SMMEA TREATMENT: The Notes will NOT constitute "mortgage related
securities" for purposes of SMMEA.
PROSPECTUS: The Notes are being offered pursuant to a Prospectus
which includes a Prospectus Supplement (together, the
"Prospectus"). Complete information with respect to the
Notes and the Home Loans is contained in the Prospectus.
The material presented herein is qualified in its
entirety by the information appearing in the Prospectus.
To the extent that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all respects.
Sales of the Notes may not be consummated unless the
purchaser has received the Prospectus.
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
TOTAL NUMBER OF LOANS: 5,539
INITIAL PRINCIPAL BALANCE: $205,259,057
AVERAGE LOAN BALANCE: $37,057
WA MORTGAGE RATE: 13.27%
RANGE OF MORTGAGE RATES: (11.00% - 17.99%)
WA REMAINING TERM (MONTHS): 242
RANGE OF REMAINING TERMS: (41 - 296)
WA ORIGINAL TERM (MONTHS): 248
RANGE OF ORIGINAL TERMS: (48-300)
WA CREDIT SCORE: 687
RANGE OF CREDIT SCORES:
Up to 639 0.25%
640 to 679 44.78%
680 to 719 40.27%
720 or higher 14.69%
WA DEBT-TO-INCOME RATIO: 36.32%
Percent greater than 45% 4.52%
WA COMBINED LTV: 113.64%
Percent greater than 100% 88.61%
FIRST LIENS: 0.51%
FHA TITLE I: NONE
GEOGRAPHIC CONCENTRATION: CA 22.35%
(as a Percentage of the Aggregate Principal FL 12.35%
Balance)
(STATES NOT LISTED ACCOUNT FOR AZ 5.52%
LESS THAN 5% OF THE AGGREGATE
PRINCIPAL BALANCE OF THE CATEGORY)
<PAGE>
LOAN RATES
PERCENTAGE OF
RANGE OF NUMBER OF CUT-OFF DATE CUT-OFF DATE
LOAN RATES (%) HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
10.51 to 11.00 0.05%
3 $95,647
11.01 to 11.50 6.51
335 13,362,828
11.51 to 12.00 18.23
940 37,409,677
12.01 to 12.50 8.30
439 17,030,339
12.51 to 13.00 22.21
1,172 45,597,688
13.01 to 13.50 6.42
366 13,184,925
13.51 to 14.00 21.15
1,214 43,402,264
14.01 to 14.50 3.29
208 6,747,562
14.51 to 15.00 8.91
541 18,293,519
15.01 to 15.50 1.74
109 3,570,820
15.51 to 16.00 2.50
162 5,132,522
16.01 to 16.50 0.36
25 732,412
16.51 to 17.00 0.27
20 552,497
17.01 to 17.50 0.03
2 57,569
17.51 to 18.00 0.04
3 88,788
---------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
UNITED NATIONAL BANK HOME LOAN OWNER TRUST 1999-1
Computational Materials: Information Relating to the Collateral (PAGE 3 OF 9)
- -------------------------------------------------------------------------------=
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INFORMATION CONTAINED HEREIN WILL
BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL CONTAINED IN THE
PROSPECTUS SUPPLEMENT.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CURRENT HOME LOAN PRINCIPAL BALANCES
PERCENTAGE OF
RANGE OF CURRENT NUMBER OF CUT-OFF DATE CUT-OFF DATE
HOME LOAN AMOUNTS HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Up to $10,000.00 16 0.07%
$147,455
$10,000.01 to $20,000.00 493 8,352,335 4.07
$20,000.01 to $30,000.00 1,366 35,645,485 17.37
$30,000.01 to $40,000.00 1,838 65,322,611 31.82
$40,000.01 to $50,000.00 1,007 46,099,569 22.46
$50,000.01 to $60,000.00 592 33,583,632 16.36
$60,000.01 to $70,000.00 129 8,458,756 4.12
$70,000.01 to $80,000.00 66 4,939,692 2.41
$80,000.01 to $90,000.00 32 2,709,522 1.32
-----------------------------------------------------
TOTAL $205,259,057 100.00%
5,539
ORIGINAL HOME LOAN PRINCIPAL BALANCES
PERCENTAGE OF
RANGE OF ORIGINAL NUMBER OF CUT-OFF DATE CUT-OFF DATE
HOME LOAN AMOUNTS HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Up to $10,000.00 13 0.06%
$125,680
$10,000.01 to $20,000.00 485 8,210,934 4.00
$20,000.01 to $30,000.00 1,367 35,565,503 17.33
$30,000.01 to $40,000.00 1,835 65,117,625 31.72
$40,000.01 to $50,000.00 1,015 46,344,108 22.58
$50,000.01 to $60,000.00 595 33,722,776 16.43
$60,000.01 to $70,000.00 130 8,453,861 4.12
$70,000.01 to $80,000.00 66 4,936,437 2.40
$80,000.01 to $90,000.00 33 2,782,132 1.36
----------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
- --------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIOS
PERCENTAGE OF
RANGE OF COMBINED NUMBER OF HOME CUT-OFF DATE CUT-OFF DATE
LOAN-TO-VALUE RATIOS (%) HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Up to 80.00 90 $2,957,892 1.42%
80.01 to 85.00 54 1,739,311 0.85
85.01 to 90.00 92 2,793,656 1.36
90.01 to 95.00 167 5,772,864 2.81
95.01 to 100.00 298 10,111,949 4.93
100.01 to 105.00 505 17,404,824 8.48
105.01 to 110.00 797 27,051,991 13.18
110.01 to 115.00 767 27,276,656 13.29
115.01 to 120.00 1,016 38,649,205 18.83
120.01 to 125.00 1,734 70,784,149 34.49
125.01 or higher 19 716,560 0.35
-----------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
THE INFORMATION COINTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
ORIGINAL TERM TO MATURITY
PERCENTAGE OF
ORIGINAL TERM NUMBER OF CUT-OFF DATE CUT-OFF DATE
TO MATURITY (IN MONTHS) HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
0 to 60 36 0.34%
$698,834
61 to 120 342 9,125,755 4.45
121 to 180 1,356 45,605,008 22.22
181 to 240 1,556 56,990,260 27.77
241 to 300 2,249 92,839,200 45.23
----------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
REMAINING TERM TO MATURITY
PERCENTAGE OF
REMAINING TERM NUMBER OF CUT-OFF DATE CUT-OFF DATE
TO MATURITY (IN MONTHS) HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
0 to 48 2 0.03%
$62,591
49 to 60 34 636,243 0.31
61 to 120 342 9,125,755 4.45
121 to 180 1,356 45,605,008 22.22
181 to 240 1,556 56,990,260 27.77
241 to 300 2,249 92,839,200 45.23
-----------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
DELINQUENCY STATUS
PERCENTAGE OF
NUMBER CUT-OFF DATE CUT-OFF DATE
DELINQUENCY STATUS HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Current 5,485 99.04%
$203,291,935
30 to 59 days 35 1,234,555 0.60
60 to 89 days 12 506,269 0.25
Greater than 90 days 7 226,298 0.11
----------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
STATE HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------
Alabama 156 $5,643,277.62 2.75%
Alaska 30 1,176,170 0.57
Arizona 326 11,338,999 5.52
Arkansas 41 1,393,781 0.68
California 1,162 45,875,135 22.35
Colorado 179 6,634,003 3.23
Connecticut 80 2,948,243 1.44
Delaware 7 294,321 0.14
Florida 688 25,353,074 12.35
Georgia 160 6,111,120 2.98
Idaho 53 1,992,050 0.97
Illinois 202 6,923,881 3.37
Indiana 141 5,377,437 2.62
Iowa 28 1,023,926 0.50
Kansas 64 2,330,104 1.14
Kentucky 89 3,274,834 1.60
Louisiana 86 3,309,736 1.61
Maine 22 809,211 0.39
Maryland 16 747,999 0.36
Massachusetts 88 2,948,177 1.44
Michigan 107 3,755,601 1.83
Minnesota 159 6,109,338 2.98
Mississippi 20 798,790 0.39
Missouri 43 1,402,898 0.68
Montana 8 313,068 0.15
Nebraska 64 2,490,540 1.21
Nevada 147 5,454,853 2.66
New Hampshire 11 450,092 0.22
New Jersey 19 728,560 0.35
New Mexico 88 3,557,827 1.73
New York 53 2,057,854 1.00
North Carolina 85 3,021,279 1.47
North Dakota 21 758,992 0.37
Ohio 91 2,490,562 1.21
Oklahoma 140 5,030,232 2.45
Oregon 136 5,223,960 2.55
Pennsylvania 197 6,802,115 3.31
Rhode Island 3 157,323 0.08
South Carolina 45 1,661,395 0.81
South Dakota 24 964,333 0.47
Tennessee 10 347,223 0.17
Texas 44 1,514,511 0.74
Utah 63 2,209,415 1.08
Virginia 72 2,420,058 1.18
Washington 162 6,021,774 2.93
West Virginia 3 87,252 0.04
Wisconsin 92 3,388,555 1.65
Wyoming 14 535,174 0.26
---------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
PROPERTY TYPE
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
PROPERTY TYPE HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Single Family 5,250 95.33%
$195,670,800
Condominium 223 7,283,524 3.55
Multifamily 30 984,002 0.48
Manufactured Housing 21 778,419 0.38
Two Family 15 542,312 0.26
------------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
LOAN PURPOSE
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
PURPOSE HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- ----------------------------------------------------------------------------
Debt Consolidation 5,515 $204,299,887 88.68%
Home Improvement 23 934,244 10.86
Refinance / Cash Out 1 24,926 0.46
--------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
LIEN POSITION
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
LIEN POSITION HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
First Lien 29 0.51%
$1,039,001
Junior Lien 5,510 204,220,056 99.49
---------------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
OCCUPANCY TYPE
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
OCCUPANCY TYPE HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Owner Occupied 5,538 99.99%
$205,239,140
Non-Owner Occupied 1 19,917 0.01
---------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
DEBT-TO-INCOME RATIO
PERCENTAGE OF
NUMBER OF CUT-OFF DATE CUT-OFF DATE
DEBT-TO-INCOME RATIO (%) HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- -----------------------------------------------------------------------------
5.01 to 10.00 4 0.06%
$120,915
10.01 to 15.00 9 303,939 0.15
15.01 to 20.00 95 3,281,211 1.60
20.01 to 25.00 363 12,335,214 6.01
25.01 to 30.00 732 25,865,439 12.60
30.01 to 35.00 1,205 42,801,588 20.85
35.01 to 40.00 1,499 55,016,467 26.80
40.01 to 45.00 1,421 56,257,450 27.41
45.01 to 50.00 205 9,066,543 4.42
50.01 to 55.00 5 175,334 0.09
55.01 to 60.00 1 34,956 0.02
----------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
CREDIT SCORES
PERCENTAGE OF
RANGE OF NUMBER CUT-OFF DATE CUT-OFF DATE
CREDIT SCORES HOME LOANS PRINCIPAL BALANCE PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Up to 399 1 0.02%
$33,721
620 to 639 16 481,443 0.23
640 to 659 1,093 35,406,374 17.25
660 to 679 1,492 56,515,085 27.53
680 to 699 1,243 47,497,392 23.14
700 to 719 905 35,168,653 17.13
720 to 739 468 17,826,113 8.68
740 to 759 187 7,063,191 3.44
760 to 779 98 3,844,055 1.87
780 to 799 32 1,239,658 0.60
800 or higher 4 183,371 0.09
---------------------------------------------------------
TOTAL 5,539 $205,259,057 100.00%
<PAGE>
<TABLE>
<CAPTION>
TRANSACTION SUMMARY (1), (2), (3)
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
ORIGINAL PERCENT AVG. LIFE PRINCIPAL PRINCIPAL EXPECTED
OFFERED OFFERED/ PRINCIPAL OF POOL TO MTY LOCKOUT WINDOW RATINGS
SECURITIES RETAINED BALANCE BALANCE (YEARS) (MONTHS) (MONTHS) (S&P / MOODY'S /
FITCH )
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A NOTES OFFERED $112,893,000 55.0% 2.60 NONE 272 AAA/Aaa/AAA
Class A-IO Certificates Retained Notional 100.0% (1) (1) (1) (1)
CLASS M-1 NOTES OFFERED $14,368,000 7.0% 8.79 48 224 AA/AA2/AA
CLASS M-2 NOTES OFFERED $14,368,000 7.0% 8.79 48 224 A/A2/A
Class B-1 Certificates Retained $24,631,000 12.0% (1) (1) (1) (1)
Class B-2 Certificates Retained $6,158,000 3.0% (1) (1) (1) (1)
Class B-3 Certificates Retained $4,105,000 2.0% (1) (1) (1) (1)
Class B-4 Certificates Retained $28,737,000 14.0% (1) (1) (1) (1)
Residual Certificates Retained Notional 100.0% (1) (1) (1) (1)
- ------------------------- ------------ -------------- ----------- ----------- ------------ ----------- ----------------------
</TABLE>
NOTE: (1) The Certificates are not being offered hereby.
(2) 100% Prepayment Assumption: 0.0% CPR in month 1, and an
additional 1.0714% per annum in each month thereafter until
month 15. On and after month 15, 15.0% CPR
(3) The Transaction will be priced to maturity.
<TABLE>
<CAPTION>
CLASS A (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE (YEARS) 10.07 4.28 3.24 2.60 2.16 1.80
MODIFIED DURATION (YEARS) 6.52 3.28 2.59 2.14 1.82 1.55
FIRST PRINCIPAL PAYMENT 4/25/99 4/25/99 4/25/99 4/25/99 4/25/99 4/25/99
LAST PRINCIPAL PAYMENT 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None
PRINCIPAL WINDOW (MONTHS) 272 272 272 272 272 272
ILLUSTRATIVE YIELD (30/360) 7.330% 7.259% 7.220% 7.182% 7.144% 7.100%
- -------------------------------------------------------------------------------------------------------------------
CLASS A (TO 5% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 10.07 4.27 3.22 2.57 2.13 1.77
MODIFIED DURATION (YEARS) 6.52 3.28 2.58 2.13 1.81 1.54
FIRST PRINCIPAL PAYMENT 4/25/99 4/25/99 4/25/99 4/25/99 4/25/99 4/25/99
LAST PRINCIPAL PAYMENT 5/25/21 3/25/19 8/25/16 10/25/13 9/25/11 12/25/09
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None
PRINCIPAL WINDOW (MONTHS) 266 240 209 175 150 129
ILLUSTRATIVE YIELD (30/360) 7.954% 8.098% 8.203% 8.321% 8.449% 8.538%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CLASS M-1 (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE (YEARS) 19.40 13.13 10.67 8.79 7.37 6.54
MODIFIED DURATION (YEARS) 9.73 7.74 6.72 5.85 5.14 4.74
FIRST PRINCIPAL PAYMENT 12/25/13 4/25/06 6/25/04 4/25/03 8/25/02 12/25/02
LAST PRINCIPAL PAYMENT 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21
PRINCIPAL LOCKOUT (MONTHS) 176 84 62 48 40 44
PRINCIPAL WINDOW (MONTHS) 96 188 210 224 232 228
ILLUSTRATIVE YIELD (30/360) 7.954% 8.100% 8.209% 8.334% 8.468% 8.562%
- -------------------------------------------------------------------------------------------------------------------
CLASS M-1 (TO 5% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 19.37 13.00 10.43 8.48 7.07 6.25
MODIFIED DURATION (YEARS) 9.73 7.71 6.67 5.78 5.06 4.65
FIRST PRINCIPAL PAYMENT 12/25/13 4/25/06 6/25/04 4/25/03 8/25/02 12/25/02
LAST PRINCIPAL PAYMENT 5/25/21 3/25/19 8/25/16 10/25/13 9/25/11 12/25/09
PRINCIPAL LOCKOUT (MONTHS) 176 84 62 48 40 44
PRINCIPAL WINDOW (MONTHS) 90 156 147 127 110 85
ILLUSTRATIVE YIELD (30/360) 7.954% 8.100% 8.209% 8.334% 8.468% 8.562%
- -------------------------------------------------------------------------------------------------------------------
CLASS M-2 (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 19.40 13.13 10.67 8.79 7.37 6.34
MODIFIED DURATION (YEARS) 9.37 7.48 6.50 5.66 4.97 4.44
FIRST PRINCIPAL PAYMENT 12/25/13 4/25/06 6/25/04 4/25/03 8/25/02 7/25/02
LAST PRINCIPAL PAYMENT 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21 11/25/21
PRINCIPAL LOCKOUT (MONTHS) 176 84 62 48 40 39
PRINCIPAL WINDOW (MONTHS) 96 188 210 224 232 228
ILLUSTRATIVE YIELD (30/360) 8.708% 9.044% 9.292% 9.571% 9.874% 10.167%
- -------------------------------------------------------------------------------------------------------------------
CLASS M-2 (TO 5% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------
% OF PREPAYMENT ASSUMPTION 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 19.37 13.00 10.13 8.48 7.07 6.05
MODIFIED DURATION (YEARS) 9.37 7.46 6.46 5.60 4.90 4.37
FIRST PRINCIPAL PAYMENT 12/25/13 4/25/06 6/25/04 4/25/03 8/25/02 7/25/02
LAST PRINCIPAL PAYMENT 5/25/21 3/25/19 8/25/16 10/25/13 9/25/11 12/25/09
PRINCIPAL LOCKOUT (MONTHS) 176 84 62 48 40 39
PRINCIPAL WINDOW (MONTHS) 90 156 147 127 110 90
ILLUSTRATIVE YIELD (30/360) 8.708% 9.049% 9.305% 9.599% 9.914% 10.220%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
