- -----------------------------------------------------------------
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): July 21, 1999
BEAR STEARNS ASSET BACKED SECURITIES, INC.
------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-43091 13-3836437
- ---------------------------- ----------- --------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
245 Park Avenue
New York, New York 10167
- ------------------------- -------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-4095
-----------------------------------------------------------------
Item 5. Other Events.
Filing of Computational Materials
In connection with the proposed offering of the Bear Stearns Asset
Backed Securities, Inc., Asset-Backed Certificates, Series 1999-1, Bear,
Stearns & Co. Inc., as representative of the several underwriters (the
"Representative"), has prepared certain materials (the "Collateral Term
Sheets") for distribution to their potential investors. Although Bear Stearns
Asset Backed Securities, Inc. (the "Company") provided the Representative with
certain information regarding the characteristics of the mortgage loans in the
related portfolio, the Company did not participate in the preparation of the
Collateral Term Sheets.
The Collateral Term Sheets are attached hereto as Exhibit 99. These
Collateral Term Sheets supersede any prior collateral information which may
have been filed previously with the Securities and Exchange Commission.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits
The following is filed herewith. The exhibit number corresponds with
Item 601(b) of Regulation S-K.
Exhibit No. Description
-------------------------- ------------------------------------
99 Collateral Term Sheets
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/ Patricia Jehle
--------------------
Patricia Jehle
President
Dated: July 23, 1999
Exhibit Index
Exhibit Page
- ------- ----
99. Collateral Term Sheets 6
Exhibit 99
<TABLE>
<CAPTION>
<S> <C>
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO o DALLAS o LOS ANGELES ASSET-BACKED SECURITIES GROUP
NEW YORK o SAN FRANCISCO o Washington D.C. 245 Park Avenue
BEIJING o BUENOS AIRES o DUBLIN o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o Lugano o PARIS o SHANGHAI o TOKYO (212) 272-2000; (212) 272-7294 fax
</TABLE>
Bear Stearns Asset Backed Securities, Inc. Home Equity Loan Trust 1999-1
[OBJECT OMITTED]
Seller and 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>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- -------------------------------------------------------------------------------
$298,454,000
Bear, Stearns Asset Backed Securities, Inc.
Home Equity Loan Trust 1999-1
- -------------------------------------------------------------------------------
COMPUTATIONAL MATERIALS
[OBJECT OMITTED]
SELLER AND MASTER SERVICER
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
- -------------- ----------- ---------------------- ----------------- -------------------- ------------ ---------------------
Final
Scheduled
Class Size Expected Ratings Average Payment Payment
Class ($ MM) Tranche Type (Moody's/ Fitch) Life (1,2) Date Window
============== =========== ====================== ================= ==================== ============ =====================
<S> <C> <C> <C> <C> <C> <C>
AF-1 $49.414 Fixed Sequential Aaa / AAA 0.85 years / CALL 6/25/19 08/99-04/01 / 21 mo.
AF-2 13.038 Fixed Sequential Aaa / AAA 2.00 years / CALL 9/25/22 04/01-11/01 / 8 mo.
AF-3 19.726 Fixed Sequential Aaa / AAA 3.00 years / CALL 6/25/26 11/01-08/03 / 22 mo.
AF-4 10.127 Fixed Sequential Aaa / AAA 5.00 years / CALL 12/25/27 08/03-10/05 / 27 mo.
AF-5(3) 9.187 Fixed Sequential Aaa / AAA 7.55 years / CALL 3/25/29 10/05-05/07 / 20 mo.
AF-6(3) 8.880 Fixed NAS Aaa / AAA 6.34 years / CALL 3/25/29 11/02-05/07 / 55 mo.
MF-1(3) 6.660 Fixed Mezzanine Aa2 / AA 5.23 years / CALL 3/25/29 09/02-05/07 / 57 mo.
MF-2(3) 5.075 Fixed Mezzanine A2 / A 5.22 years / CALL 3/25/29 08/02-05/07 / 58 mo.
BF-1(3) 4.757 Fixed Subordinate Baa3 / BBB- 5.20 years / CALL 3/25/29 08/02-05/07 / 58 mo.
- -------------- ----------- ---------------------- ----------------- -------------------- ------------ ---------------------
AV-1(3) 142.420 ARM Floater Aaa / AAA 2.28 years / CALL 4/25/29 08/99-10/06 / 87 mo.
MV-1(3) 12.011 Mezzanine Floater Aa2 / AA 4.95 years / CALL 4/25/29 12/02-10/06 / 47 mo.
MV-2(3) 7.722 Mezzanine Floater A2 / A 4.87 years / CALL 4/25/29 10/02-10/06 / 49 mo.
BV-1(3) 9.437 Subordinate Floater Baa2 / BBB- 4.83 years / CALL 4/25/29 08/02-10/06 / 51 mo.
- -------------- ----------- ---------------------- ----------------- -------------------- ------------ ---------------------
Total $298.454
- -------------- ----------- ---------------------- ----------------- -------------------- ------------ ---------------------
</TABLE>
(Table continued...)
<TABLE>
<CAPTION>
- ------------ ----------- ---------
Day
Class Pricing Count
============ ========== ---------
<S> <C> <C>
AF-1 CALL 30/360
AF-2 CALL 30/360
AF-3 CALL 30/360
AF-4 CALL 30/360
AF-5(3) CALL 30/360
AF-6(3) CALL 30/360
MF-1(3) CALL 30/360
MF-2(3) CALL 30/360
BF-1(3) CALL 30/360
- ------------ --------- ---------
AV-1(3) CALL Act/360
MV-1(3) CALL Act/360
MV-2(3) CALL Act/360
BV-1(3) CALL Act/360
- ------------ --------- ---------
Total
- ------------ --------- ---------
</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 6.
<TABLE>
<CAPTION>
<S> <C>
Depositor: Bear Stearns Asset Backed Securities, Inc.
Issuer: Home Equity Loan Trust 1999-1
Seller and
Master Servicer: Countrywide Home Loans, Inc.
Originators of Collateral: AMRESCO Residential Capital, Inc.(94%) and Provident Bank(6%)
Lead Manager: Bear, Stearns & Co. Inc.
Co-Manager: Countrywide Securities Corporation
Trustee: The Bank of New York
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: 27% CPR
Collateral: There will be a total of approximately $298,454,000 home equity mortgage loans as of the
Cut-off Date, consisting of two separate collateral pools. Approximately $126,864,888 of
the collateral will be fixed-rate first and second lien loans ("Fixed-Rate Group").
Approximately $171,590,094 of the collateral will be adjustable rate first lien loans
consisting of 6-month LIBOR loans, 2/28 hybrid loans and 3/27 hybrid loans
("Adjustable-Rate Group").
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REGARDING ASSUMPTIONS AS
TO SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using or relying on the information contained herein. In
addition, recipients of these Computational Materials may only use or rely on the information contained herein if read in
conjunction with the related Prospectus and Prospectus Supplement. If you have not received the statement described above or the
related Prospectus and Prospectus Supplement, please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Cut-off Date: July 1, 1999
Expected Pricing Date: July 22, 1999
Expected Settlement Date: July 29, 1999
Payment Dates: The 25th day of each month or, if such day is not a business day, the next
succeeding business day, beginning on August 25, 1999.
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: 27% CPR
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 group will be available as credit
enhancement for the related 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 Senior Mortgage
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. The O/C amount will
be zero on the settlement date.
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.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
Subordination: All levels are preliminary and subject to change
---------------------------- --------------------------- -------------------------
<S> <C> <C>
Offered Certificates Adjustable-Rate Group Fixed-Rate Group
---------------------------- --------------------------- -------------------------
Class A 17.00% 13.00%
---------------------------- --------------------------- -------------------------
Class M-1 10.00% 7.75%
---------------------------- --------------------------- -------------------------
Class M-2 5.50% 3.75%
---------------------------- --------------------------- -------------------------
Class B 0.0% 0.0%
---------------------------- --------------------------- -------------------------
</TABLE>
<TABLE>
<CAPTION>
Class Sizes:
---------------------------- --------------------------- -------------------------
<S> <C> <C>
Offered Certificates Adjustable-Rate Group Fixed-Rate Group
---------------------------- --------------------------- -------------------------
Class A 83.00% 87.00%
---------------------------- --------------------------- -------------------------
Class M-1 7.00% 5.25%
---------------------------- --------------------------- -------------------------
Class M-2 4.50% 4.00%
---------------------------- --------------------------- -------------------------
Class B 5.50% 3.75%
---------------------------- --------------------------- -------------------------
Target O/C 2.75% 2.25%
---------------------------- --------------------------- -------------------------
Fixed Rate AFC: The Class AF-5, AF-6, MF-1, MF-2 and BF Certificates 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 servicing fees (50 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 servicing fees (50 bps).
Interest Accrual: For the Fixed Rate Certificates, interest will accrue 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 settlement 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 will double and the Coupon Margin on Classes MV-1, MV-2, and BV-1 will increase
by 1.5x of original.
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Shortfall
Reimbursement: If on any Payment Date the Pass-Through Rate is limited
by the related 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 related 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.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Cashflow Priority
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 Fixed-Rate Group Senior
Certificates, on a pro rata basis, then
monthly interest, including any interest
carryforward to the Class MF-1 Certificates,
then to the Class MF-2 Certificates and the
to the Class BF Certificates;
4) Fixed-Rate Group Principal Funds, as follows:
monthly principal, sequentially to the
Fixed-Rate Group Certificates as described
under "Principal Paydown," then monthly
principal to the Class MF-1 as described
under "Principal Paydown," then monthly
principal to the Class MF-2 as described
under "Principal Paydown" and then monthly
principal to the Class BF 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
interest carryforward to the Class MF-1
Certificates, then any unrealized loss amount
to the Class MF-1 Certificates, then any
interest carryforward to the Class MF-2
Certificates, then any unrealized loss amount
to the Class MF-2 Certificates, then any
interest carryforward to the Class BF
Certificates and then any unrealized loss
amount to the Class BF Certificates.
6) Excess cashflow to pay amounts under item 5
under "Adjustable Rate Certificates" below;
7) Excess cashflow to the Fixed Rate
Certificates, on a pro rata basis, the Fixed
Rate Certificate Carryover;
8) Any excess cashflow reverts to Countrywide.
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 the to the Class BV
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 as described under "Principal Paydown,"
then monthly principal to the Class MV-2 as
described under "Principal Paydown" and then
monthly principal to the Class BV 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
Certificates and then any unrealized loss
amount to the Class BV 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, the
Adjustable Rate Certificate Carryover;
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
8) Any excess cashflow reverts to Countrywide.
Class AF-6 Lockout
Distribution Amount: The applicable Class AF-6 Lockout Percentage
multiplied by the Class AF-6 pro rata
distribution amount.
<TABLE>
<CAPTION>
------------------------------ ---------------------------
Payment Date Percentage Lockout
------------------------------ ---------------------------
<S> <C>
1-36 0%
37-60 45%
61-76 80%
73-84 100%
85-end 300%
------------------------------ ---------------------------
</TABLE>
PRINCIPAL PAYDOWN
Prior to the Stepdown Date or if a Trigger Event exists:
<TABLE>
<CAPTION>
<S> <C>
Fixed-Rate Certificates: 1) To the Class AF-6 Certificateholders - the Class AF-6 Lockout
Distribution Amount.
2) All scheduled and unscheduled principal will be paid sequentially to the Fixed-Rate Group
Senior Certificates.
Adjustable-Rate Certificates: 3) All scheduled and unscheduled principal will be paid to the Class AV-1
Certificates.
</TABLE>
After the Stepdown Date and if no Trigger Event exists:
<TABLE>
<CAPTION>
<S> <C>
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 sequentially 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.
Stepdown Date: For each Mortgage Loan Group, the later of (i) the September, 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).
------------------------------------- ----------------------------------
Fixed-Rate Group Adjustable-Rate Group
Senior Specified Enhancement Senior Specified Enhancement
Percentage Percentage
------------------------------------- ----------------------------------
30.50% 39.50%
------------------------------------- ----------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
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
Enhancement Percentage for the Fixed Rate
Certificates and the Adjustable Rate
Certificates, respectively.
If the Subordinated Class Principal Distribution
Test is met, principal will be distributed in
amounts that will keep the subordination for
each class at its required level.
---------------------------------------------------------
Required Subordination Levels
---------------------------------------------------------
Fixed-Rate Group Adjustable-Rate Group
----------------------------- ---------------------------
Class AF 30.50% Class AV 39.50%
Class MF-1 20.00% Class MV-1 25.50%
Class MF-2 12.00% Class MV-2 16.50%
Class BF 4.50% Class BV 5.50%
------------------ ---------- --------------- -----------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
SENSITIVITY TABLES
Class AF-I (to call)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PV 0% 60% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 11.18 1.57 1.10 0.85 6.99 5.98
Modified Duration (years) 7.24 1.43 1.02 0.80 0.66 0.57
First Principal Payment 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99
Last Principal Payment 10/25/18 12/25/02 10/25/01 04/25/01 12/25/00 09/25/00
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 231 41 27 21 17 14
Illustrative Yield @ Par (30/360) 6.46% 6.22% 6.10% 5.98% 5.87% 5.76%
- --------------------------------------------------------------------------------------------------------------------------
Class AF-2 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 20.84 4.01 2.67 2.00 1.59 1.31
Modified Duration (years) 10.87 3.40 2.37 1.82 1.47 1.22
First Principal Payment 10/25/18 12/25/02 10/25/01 04/25/01 12/25/00 09/25/00
Last Principal Payment 01/25/22 03/25/04 08/25/02 11/25/01 05/25/01 01/25/01
Principal Lockout (months) 230 40 26 20 16 13
Principal Window (months) 40 16 11 8 6 5
Illustrative Yield @ Par (30/360) 6.80% 6.71% 6.66% 6.60% 6.54% 6.48%
- --------------------------------------------------------------------------------------------------------------------------
Class AF-3 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 24.79 6.75 4.23 3.00 2.25 1.85
Modified Duration (years) 11.60 5.20 3.55 2.62 2.02 1.68
First Principal Payment 01/25/22 03/25/04 08/25/02 11/25/01 05/25/01 01/25/01
Last Principal Payment 04/25/26 06/25/09 05/25/05 08/25/03 04/25/02 10/25/01
Principal Lockout (months) 269 55 36 27 21 17
Principal Window (months) 52 64 34 22 12 10
Illustrative Yield @ Par (30/360) 6.90% 6.85% 6.81% 6.77% 6.71% 6.67%
- --------------------------------------------------------------------------------------------------------------------------
Class AF-4 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 27.57 12.10 7.60 5.00 3.44 2.47
Modified Duration (years) 11.72 7.84 5.65 4.07 2.95 2.19
First Principal Payment 04/25/26 06/25/09 05/25/05 08/25/03 04/25/02 10/25/01
Last Principal Payment 11/25/27 12/25/13 08/25/09 10/25/05 01/25/04 04/25/02
Principal Lockout (months) 320 118 69 48 32 26
Principal Window (months) 20 55 52 27 22 7
Illustrative Yield @ Par (30/360) 7.20% 7.18% 7.15% 7.12% 7.08% 7.02%
- --------------------------------------------------------------------------------------------------------------------------
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
SENSITIVITY TABLES
<S> <C>
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
Class AF-5 (to call)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 28.41 14.73 10.47 7.55 5.56 3.68
Modified Duration (years) 11.35 8.61 7.00 5.56 4.38 3.08
First Principal Payment 11/25/27 12/25/13 08/25/09 10/25/05 01/25/04 04/25/02
Last Principal Payment 12/25/27 04/25/14 01/25/10 05/25/07 09/25/05 07/25/04
Principal Lockout (months) 339 172 120 74 53 32
Principal Window (months) 2 5 6 20 21 28
Illustrative Yield @ Par (30/360) 7.63% 7.61% 7.60% 7.58% 7.56% 7.51%
- --------------------------------------------------------------------------------------------------------------------------
Class AF-6 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 13.88 7.67 6.89 6.34 5.63 4.92
Modified Duration (years) 8.27 5.61 5.20 4.90 4.49 4.02
First Principal Payment 08/25/02 08/25/02 08/25/02 11/25/02 03/25/03 09/25/03
Last Principal Payment 12/25/27 04/25/14 01/25/10 05/25/07 09/25/05 07/25/04
Principal Lockout (months) 36 36 36 39 43 49
Principal Window (months) 305 141 90 55 31 11
Illustrative Yield @ Par (30/360) 7.15% 7.12% 7.12% 7.11% 7.10% 7.09%
- --------------------------------------------------------------------------------------------------------------------------
Class MF-1 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 25.89 10.02 6.93 5.23 4.43 4.16
Modified Duration (years) 10.97 6.60 5.08 4.10 3.61 3.44
First Principal Payment 11/25/20 07/25/04 11/25/02 09/25/02 12/25/02 02/25/03
Last Principal Payment 12/25/27 04/25/14 01/25/10 05/25/07 09/25/05 07/25/04
Principal Lockout (months) 255 59 39 37 40 42
Principal Window (months) 86 118 87 57 34 18
Illustrative Yield @ Par (30/360) 7.67% 7.63% 7.61% 7.59% 7.57% 7.56%
- --------------------------------------------------------------------------------------------------------------------------
Class MF-2 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 25.89 10.02 6.93 5.22 4.34 3.9l
Modified Duration (years) 10.52 6.45 5.00 4.04 3.50 3.22
First Principal Payment 11/25/20 07/25/04 11/25/02 08/25/02 10/25/02 11/25/02
Last Principal Payment 11/25/27 04/25/14 01/25/10 05/25/07 09/25/05 07/25/04
Principal Lockout (months) 255 59 39 36 38 39
Principal Window (months) 86 118 87 58 36 21
Illustrative Yield @ Par (30/360) 8.13% 8.09% 8.07% 8.04% 8.02% 8.01%
- --------------------------------------------------------------------------------------------------------------------------
Class BF-1 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 25.89 10.02 6.93 5.20 4.28 3.77
Modified Duration (years) 10.10 6.31 4.91 3.97 3.42 3.09
First Principal Payment 11/25/20 07/25/04 11/25/02 08/25/02 08/25/02 09/25/02
Last Principal Payment 12/25/27 04/25/14 01/25/10 05/25/07 09/25/05 07/25/04
Principal Lockout (months) 255 59 39 36 36 37
Principal Window (months) 86 118 87 58 38 23
Illustrative Yield @ Par (30/360) 8.60% 8.56% 8.54% 8.51% 8.49% 8.47%
- --------------------------------------------------------------------------------------------------------------------------
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
SENSITIVITY TABLES
Class AV-1 (to call)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 19.99 4.33 3.22 2.28 1.54 1.19
Modified Duration (years) 11.15 3.44 2.68 1.98 1.39 1.11
First Principal Payment 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99
Last Principal Payment 04/25/28 12/25/12 07/25/09 10/25/06 11/25/04 01/25/04
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 345 161 120 87 64 54
Illustrative Yield @ Par (30/360) 5.63% 5.63% 5.63% 5.63% 5.64% 5.64%
- --------------------------------------------------------------------------------------------------------------------------
Class MV-1 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.99 8.79 6.52 4.95 4.55 4.47
Modified Duration (years) 13.26 6.53 5.18 4.14 3.89 3.83
First Principal Payment 06/25/23 09/25/03 08/25/02 12/25/02 05/25/03 10/25/03
Last Principal Payment 04/25/28 12/25/12 07/25/09 10/25/06 11/25/04 01/25/04
Principal Lockout (months) 286 49 36 40 45 50
Principal Window (months) 59 112 84 47 19 4
Illustrative Yield @ Par (30/360) 5.89% 5.89% 5.89% 5.89% 5.89% 5.89%
- --------------------------------------------------------------------------------------------------------------------------
Class MV-2 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.99 8.79 6.52 4.87 4.13 4.05
Modified Duration (years) 12.52 6.36 5.07 4.01 3.51 3.46
First Principal Payment 06/25/23 09/25/03 08/25/02 10/25/02 01/25/03 03/25/03
Last Principal Payment 04/25/28 12/25/12 07/25/09 10/25/06 11/25/04 01/25/04
Principal Lockout (months) 286 49 36 38 41 43
Principal Window (months) 59 112 84 49 23 11
Illustrative Yield @ Par (30/360) 6.46% 6.46% 6.46% 6.46% 6.46% 6.46%
- --------------------------------------------------------------------------------------------------------------------------
Class BV-1 (to call)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.99 8.79 6.52 4.83 3.94 3.69
Modified Duration (years) 10.48 5.84 4.74 3.77 3.22 3.06
First Principal Payment 06/25/23 09/25/03 08/25/02 08/25/02 09/25/02 09/25/02
Last Principal Payment 04/25/28 12/25/12 07/25/09 10/25/06 11/25/04 01/25/04
Principal Lockout (months) 286 49 36 36 37 37
Principal Window (months) 59 112 84 51 27 17
Illustrative Yield @ Par (30/360) 8.34% 8.34% 8.34% 8.35% 8.35% 8.35%
- --------------------------------------------------------------------------------------------------------------------------
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
SENSITIVITY TABLES
<S> <C> <C> <C> <C> <C> <C>
Recipients of these Computational Materials must read and acknowledge the attached document "STATEMENT REG ING ASSUMPTIONS AS TO
SECURITIES, PRICING ESTIMATES, AND OTHER INFORMATION" before using,:rthrelyin,, n the information contained herein. In addition,
recipients of these Computational Materials may only use or rely c e inf ation contained herein if read in conjunction with the
related Prospectus and Prospectus Supplement. If you have not received the ment described above or the related Prospectus and
Prospectus Supplement, please contact your account executive at Bear, Steams & Inc.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
Class AF-5 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 28.99 19.24 13.93 10.12 6.98 3.84
Modified Duration (years) 11.42 9.75 8.24 6.72 5.12 3.18
First Principal Payment 11/25/27 12/25/13 08/25/09 10/25/05 01/25/04 04/25/02
Last Principal Payment 02/25/29 10/25/26 08/25/21 08/25/16 03/25/13 08/25/10
Principal Lockout (months) 339 172 120 74 53 32
Principal Window (months) 16 155 145 131 1ll 101
Illustrative Yield @ Par (30/360) 7.63% 7.68% 7.69% 7.68% 7.64% 7.53%
- --------------------------------------------------------------------------------------------------------------------------
Class AF-6 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 13.88 7.69 6.95 6.57 6.45 6.60
Modified Duration (years) 8.27 5.62 5.23 5.03 4.96 5.05
First Principal Payment 08/25/02 08/25/02 08/25/02 11/25/02 03/25/03 09/25/03
Last Principal Payment 12/25/28 07/25/26 05/25/21 05/25/16 12/25/12 06/25/10
Principal Lockout (months) 36 36 36 39 43 49
Principal Window (months) 317 288 226 163 118 82
Illustrative Yield @ Par (30/360) 7.15% 7.12% 7.12% 7.12% 7.16% 7.22%
- --------------------------------------------------------------------------------------------------------------------------
Class MF-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.01 10.89 7.58 5.75 4.83 4.49
Modified Duration (years) 10.98 6.83 5.33 4.35 3.83 3.64
First Principal Payment 11/25/20 07/25/04 11/25/02 09/25/02 12/25/02 02/25/03
Last Principal Payment 12/25/28 05/25/23 03/25/17 02/25/13 04/25/10 03/25/08
Principal Lockout (months) 255 59 39 37 40 42
Principal Window (months) 98 227 173 126 89 62
Illustrative Yield @ Par (30/360) 7.67% 7.65% 7.64% 7.62% 7.61% 7.60%
- --------------------------------------------------------------------------------------------------------------------------
Class MF-2 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 26.00 10.78 7.48 5.66 4.68 4.18
Modified Duration (years) 10.53 6.64 5.20 4.24 3.68 3.39
First Principal Payment 11/25/20 07/25/04 11/25/02 08/25/02 10/25/02 11/25/02
Last Principal Payment 11/25/28 08/25/21 07/25/15 10/25/11 03/25/09 05/25/07
Principal Lockout (months) 255 59 39 36 38 39
Principal Window (months) 97 206 153 1ll 78 55
Illustrative Yield @ Par (30/360) 8.13% 8.11% 8.09% 8.07% 8.06% 8.04%
- --------------------------------------------------------------------------------------------------------------------------
Class BF-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 76% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 25.95 10.42 7.22 5.43 4.45 3.91
Modified Duration (years) 10.10 6.41 5.02 4.08 3.51 3.18
First Principal Payment 11/25/20 07/25/04 11/25/02 08/25/02 08/25/02 09/25/02
Last Principal Payment 09/25/28 03/25/19 09/25/13 03/25/10 11/25/07 04/25/06
Principal Lockout (months) 255 59 39 36 36 37
Principal Window (months) 95 177 131 92 64 44
Illustrative Yield @ Par (30/360) 8.60% 8.57% 8.55% 8.53% 8.51% 8.49%
- --------------------------------------------------------------------------------------------------------------------------
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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Bear, Stearns Asset backed Securities, Inc.
Home Equity Loan Trust 1999-1
Computational Materials
- --------------------------------------------------------------------------------------------------------------------------
SENSITIVITY TABLES
Class AV-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 20.02 4.66 3.49 2.48 1.69 1.27
Modified Duration (years) 11.16 3.57 2.81 2.10 1.49 1.15
First Principal Payment 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99 08/25/99
Last Principal Payment 02/25/29 08/25/25 03/25/21 10/25/15 08/25/11 10/25/09
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 355 313 260 195 145 123
Illustrative Yield @ Par (30/360) 5.63% 5.64% 5.65% 5.65% 5.66% 5.65%
- --------------------------------------------------------------------------------------------------------------------------
Class MV-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 27.07 9.64 7.22 5.46 4.93 5.48
Modified Duration (years) 13.28 6.85 5.51 4.43 4.14 4.55
First Principal Payment 06/25/23 09/25/03 08/25/02 12/25/02 05/25/03 10/25/03
Last Principal Payment 01/25/29 09/25/22 11/25/17 01/25/13 07/25/09 01/25/08
Principal Lockout (months) 286 49 36 40 45 50
Principal Window (months) 68 229 184 122 75 52
Illustrative Yield @ Par (30/360) 5.89% 5.90% 5.91% 5.91% 5.91% 5.93%
- --------------------------------------------------------------------------------------------------------------------------
Class MV-2 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 27.07 9.56 7.15 5.32 4.47 4.43
Modified Duration (years) 12.53 6.64 5.36 4.27 3.73 3.66
First Principal Payment 06/25/23 09/25/03 08/25/02 10/25/02 01/25/03 03/25/03
Last Principal Payment 12/25/28 12/25/20 03/25/16 09/25/11 07/25/08 03/25/07
Principal Lockout (months) 286 49 36 38 41 43
Principal Window (months) 67 208 164 108 67 49
Illustrative Yield @ Par (30/360) 6.46% 6.48% 6.49% 6.50% 6.50% 6.49%
- --------------------------------------------------------------------------------------------------------------------------
Class BV-1 (to maturity)
- --------------------------------------------------------------------------------------------------------------------------
PV 0% 50% 75% 100% 125% 150%
CPR 0% 15% 20% 27% 35% 40%
- --------------------------------------------------------------------------------------------------------------------------
Average Life (years) 27.05 9.31 6.94 5.13 4.16 3.88
Modified Duration (years) 10.48 6.00 4.90 3.93 3.36 3.19
First Principal Payment 06/25/23 09/25/03 08/25/02 08/25/02 09/25/02 09/25/02
Last Principal Payment 11/25/28 01/25/19 06/25/14 05/25/10 07/25/07 05/25/06
Principal Lockout (months) 286 49 36 36 37 37
Principal Window (months) 66 185 143 94 59 45
Illustrative Yield @ Par (30/360) 8.34% 8.38% 8.39% 8.40% 8.41% 8.41%
- --------------------------------------------------------------------------------------------------------------------------
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.
</TABLE>
<PAGE>
COLLATERAL SUMMARY
(Fixed-Rate Collateral)
Fixed Rate Collateral
<TABLE>
<CAPTION>
<S> <C>
Cut-Off Date 7/1/99
Total Outstanding Balance: $126,864,888.10
Number of Loans: 1,580
Average Remaining Balance: $80,294.23 (range: $13,208.79 - $447,334.42)
Loan Type: 100.00% fixed-rate loans
WA Gross Coupon: 9.709% (range: 6.63 - 14.50%)
Original Weighted Average Term: 335 months (range: 120 - 360 months)
Remaining Weighted Average Term: 330 months (range: 109 - 360 months)
WA Lien Position: 98.25% first, 1.75% second
WA CLTV Ratio: 75.47% (range: 12% - 90%)
Documentation: 72.63% full doc,
25.51% stated,
1.86% limited doc
Property Type: 79.80% single family,
7.70% 2-4 family,
7.55% PUD,
4.50% condo,
0.45% man. housing
Owner Occupancy: 88.73% owner occupied,
10.87% non-owner occupied,
0.40% second home
Loan Purpose: 61.72% cash out refi,
19.89% purchase,
18.39% rate/term refi
Geographic Distribution: HI (17.13%), CA (16.85%), TX (9.87%),
(all states >= 5.00%) PA (9.14%)
Deliquency Status 98.31% current, 1.69% 30-59 days
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
COLLATERAL SUMMARY
(Adjustable-Rate Collateral)
ARM Rate Collateral
<TABLE>
<CAPTION>
<S> <C>
Cut-Off Date 7/1/99
Total Outstanding Balance: $171,590,094.05
Number of Loans: 1,607
Average Remaining Balance: $106,776.66 (range: $11,690.52 - $498,044.67)
Loan Type: 84.19% 2/28 LIBOR
2.74% 3/27 LIBOR
0.84% 5/25 LIBOR
12.23% 6 month LIBOR
WA Gross Coupon: 9.768% (range: 6.88% - 13.75%)
WA Gross Margin 6.180% (range: 4.25% - 9.50%)
WA Max Loan Rate 16.674%
Original Weighted Average Term: 360 months (range: 180 - 360 months)
Remaining Weighted Average Term: 355 months (range: 48 - 360 months)
WA Lien Position: 100% first
WA LTV Ratio: 77.61% (range: 13% - 95%)
Documentation: 72.12% full doc,
26.41% stated,
1.47% limited doc
Property Type: 80.07% single family,
6.67% 2-4 family,
8.43% PUD,
4.35% condo,
0.42% man. housing,
0.06% other
Owner Occupancy: 94.25% owner occupied,
5.54% non-owner occupied,
0.21% second home
Loan Purpose: 46.65% cash out refi,
34.26% purchase,
19.09% rate/term refi
Geographic Distribution: CA (21.12%), OH (7.84%), FL (7.81%),
(all states >= 5.00%) OR (5.87%), PA (5.51%)
Deliquency Status 98.16% current, 1.84% 30-59 days
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
PRINCIPAL BALANCES OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Principal Balance Loans Balance Principal Balance
- ------------------ ----- ------- -----------------
<S> <C> <C> <C>
$0.00 - $25,000.00 ................... 103 $ 2,247,625.46 1.77%
$25,000.01 - $50,000.00 ................... 546 20,973,108.28 16.53%
$50,000.01 - $75,000.00 ................... 350 21,609,770.56 17.03%
$75,000.01 - $100,000.00 ................... 200 17,121,514.14 13.50%
$100,000.01 - $125,000.00 ................... 112 12,531,113.68 9.88%
$125,000.01 - $150,000.00 ................... 81 11,014,462.84 8.68%
$150,000.01 - $175,000.00 ................... 54 8,713,258.21 6.87%
$175,000.01 - $200,000.00 ................... 40 7,493,890.63 5.91%
$200,000.01 - $225,000.00 ................... 27 5,665,447.33 4.47%
$225,000.01 - $250,000.00 ................... 16 3,777,960.02 2.98%
$250,000.01 - $275,000.00 ................... 13 3,430,364.56 2.70%
$275,000.01 - $300,000.00 ................... 16 4,598,638.02 3.62%
$300,000.01 - $325,000.00 ................... 8 2,532,562.88 2.00%
$325,000.01 - $350,000.00 ................... 8 2,735,917.29 2.16%
$350,000.01 - $375,000.00 ................... 2 713,052.53 0.56%
$375,000.01 - $400,000.00 ................... 1 398,824.05 0.31%
$400,000.01 - $425,000.00 ................... 1 421,327.52 0.33%
greater than $450,000.00 ................... 2 886,050.10 0.70%
--------- ------------------ -------------
Total 1,580 $126,864,888.10 100.00%
========= ================== =============
</TABLE>
RANGE OF REMAINING TERMS TO MATURITY OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Range of Remaining Terms to Maturity (Months) Loans Balance Principal Balance
- --------------------------------------------- -------- --------------- ------------------
<S> <C> <C> <C>
61 - 120 ................... 5 $ 141,175.97 0.11%
121 - 180 ................... 261 15,778,050.05 12.44%
181 - 240 ................... 50 2,637,428.36 2.08%
241 - 300 ................... 1 69,733.18 0.05%
301 - 360 ................... 1,263 108,238,500.54 85.32%
------- ---------------- --------------------
Total 1,580 $126,864,888.10 100.00%
======= ================ ====================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
RANGE OF REMAINING TERMS TO MATURITY OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Range of Remaining Terms to Maturity (Months) Loans Balance Principal Balance
- --------------------------------------------- ----- ------- -----------------
<S> <C> <C> <C>
61 - 120 ............... 5 $ 141,175.97 0.11%
121 - 180 ............... 260 15,672,255.95 12.35%
181 - 240 ............... 50 2,637,428.36 2.08%
241 - 300 ............... 5 231,638.99 0.18%
301 - 360 ............... 1,260 108,182,388.83 85.27%
----------- -------------------- ----------------------
Total 1,580 $126,864,888.10 100.00%
=========== ==================== ======================
</TABLE>
PROPERTY TYPES OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Property Types Loans Balance Principal Balance
- -------------- --------- -------- -----------------
<S> <C> <C> <C>
Single Family Detached.............................. 1,300 $101,235,720.04 79.80%
PUD.............................. 96 9,578,285.89 7.55%
2-4 Family.............................. 108 9,772,071.85 7.70%
Condominium.............................. 65 5,702,805.39 4.50%
Manufactured Housing.............................. 11 576,004.93 0.45%
---------- ------------------- -----------------------
Total 1,580 $126,864,888.10 100.00%
========== =================== =======================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
OCCUPANCY STATUS OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Occupancy Status Loans Balance Principal Balance
- ---------------- --------- --------- -----------------
<S> <C> <C> <C>
Owner-occupied.............................. 1,330 $112,563,096.19 88.73%
Non Owner-occupied.............................. 246 13,790,029.85 10.87%
Second Home.............................. 4 511,762.06 0.40%
---------- ------------------ --------------------
Total 1,580 $126,864,888.10 100.00%
========== ================== ====================
</TABLE>
RANGE OF LOAN RATES OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Loan Rates (%) Loans Balance Principal Balance
- -------------- --------- --------- -----------------
<S> <C> <C> <C>
6.501 - 7.000...................... 7 $ 970,369.40 0.76%
7.001 - 7.500...................... 15 2,253,990.40 1.78%
7.501 - 8.000...................... 58 9,406,701.03 7.41%
8.001 - 8.500...................... 121 15,276,128.81 12.04%
8.501 - 9.000...................... 192 20,894,287.20 16.47%
9.001 - 9.500...................... 165 14,941,125.25 11.78%
9.501 - 10.000...................... 198 14,826,560.25 11.69%
10.001 - 10.500...................... 197 13,195,244.17 10.40%
10.501 - 11.000...................... 224 14,086,066.51 11.10%
11.001 - 11.500...................... 163 9,235,849.25 7.28%
11.501 - 12.000...................... 120 6,216,423.89 4.90%
12.001 - 12.500...................... 53 2,840,724.56 2.24%
12.501 - 13.000...................... 33 1,422,033.67 1.12%
13.001 - 13.500...................... 23 853,386.49 0.67%
13.501 - 14.000...................... 9 356,701.26 0.28%
14.001 - 14.500...................... 2 89,295.96 0.07%
----------- ------------------ ------------------------
Total 1,580 $126,864,888.10 100.00%
=========== ================== ========================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
COMBINED LOAN-TO-VALUE RATIOS OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Combined Loan-to-Value Ratio (%) Loans Balance Principal Balance
- -------------------------------- ----- ------- -----------------
<S> <C> <C> <C>
10.01 15.00........................... 1 $ 28,619.23 0.02%
15.01 - 20.00........................... 4 152,093.22 0.12%
20.01 - 25.00........................... 3 115,210.39 0.09%
25.01 - 30.00........................... 10 448,242.41 0.35%
30.01 - 35.00........................... 15 762,237.94 0.60%
35.01 - 40.00........................... 13 913,317.46 0.72%
40.01 - 45.00........................... 35 1,812,589.70 1.43%
45.01 - 50.00........................... 22 1,621,026.06 1.28%
50.01 - 55.00........................... 45 2,731,305.94 2.15%
55.01 - 60.00........................... 57 4,322,052.21 3.41%
60.01 - 65.00........................... 143 8,966,750.86 7.07%
65.01 - 70.00........................... 169 12,232,514.68 9.64%
70.01 - 75.00........................... 187 15,622,823.63 12.31%
75.01 - 80.00........................... 390 32,885,753.91 25.92%
80.01 - 85.00........................... 275 23,993,709.39 18.91%
85.01 - 90.00........................... 211 20,256,641.07 15.97%
---------- ------------------- -----------------------
Total 1,580 $126,864,888.10 100.00%
========== =================== =======================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
GEOGRAPHIC DISTRIBUTION OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Location Loans Balance Principal Balance
- -------- ----- ------- -----------------
<S> <C> <C> <C>
Alabama.............................. 1 $ 80,591.31 0.06%
Arizona.............................. 6 532,871.64 0.42%
Arkansas.............................. 65 3,378,597.88 2.66%
California.............................. 168 21,374,304.71 16.85%
Colorado.............................. 13 1,206,476.97 0.95%
Conneticut.............................. 8 664,803.74 0.52%
District of Columbia.............................. 7 730,424.08 0.58%
Florida.............................. 129 9,458,142.23 7.46%
Georgia.............................. 18 1,303,846.04 1.03%
Hawaii.............................. 123 21,733,176.81 17.13%
Idaho.............................. 1 67,784.98 0.05%
Illinois.............................. 25 1,492,225.89 1.18%
Indiana.............................. 61 3,362,833.52 2.65%
Kentucky.............................. 7 437,137.46 0.34%
Louisiana.............................. 18 1,102,423.77 0.87%
Maryland.............................. 54 2,571,125.72 2.03%
Massachusetts.............................. 19 2,329,588.63 1.84%
Michigan.............................. 49 3,333,788.31 2.63%
Mississippi.............................. 26 1,415,734.58 1.12%
Missouri.............................. 39 1,936,165.20 1.53%
Montana.............................. 3 206,842.67 0.16%
Nebraska.............................. 3 228,156.33 0.18%
Nevada.............................. 5 498,821.13 0.39%
New Jersey.............................. 8 598,768.71 0.47%
New York.............................. 10 780,372.19 0.62%
North Carolina.............................. 54 3,981,194.48 3.14%
Ohio.............................. 111 6,554,397.99 5.17%
Oklahoma.............................. 23 1,282,218.63 1.01%
Oregon.............................. 19 2,205,198.59 1.74%
Pennsylvania.............................. 175 11,594,040.15 9.14%
Rhode Island.............................. 1 20,612.23 0.02%
South Carolina.............................. 6 281,168.89 0.22%
Tennessee.............................. 49 2,391,662.47 1.89%
Texas.............................. 205 12,527,756.74 9.87%
Utah.............................. 9 678,550.41 0.53%
Virginia.............................. 15 1,311,693.86 1.03%
Washington.............................. 22 2,191,301.78 1.73%
West Virginia.............................. 7 307,133.50 0.24%
Wisconsin.............................. 18 712,953.88 0.56%
---------- ------------------ -------------------
Total 1,580 $126,864,888.10 100.00%
========== ================== ===================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
FIXED-RATE GROUP
DOCUMENTATION LEVEL OF THE FIXED RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Documentation Level Loans Balance Principal Balance
- ------------------- ----- ------- -----------------
<S> <C> <C> <C>
Full Documentation................. 1,203 $ 92,141,408.73 72.63%
Stated Income or No Documentation................. 350 32,365,591.86 25.51%
Limited or Lite Documentation................. 27 2,357,887.51 1.86%
---------- ------------------- --------------------
Total 1,580 $126,864,888.10 100.00%
========== =================== ====================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
PRINCIPAL BALANCES OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Principal Balance Loans Balance Principal Balance
- ----------------- ----- ------- -----------------
<S> <C> <C> <C>
$0.00 - $25,000.00.......................... 26 $ 574,789.09 0.33%
$25,000.01 - $50,000.00.......................... 256 10,252,481.96 5.97%
$50,000.01 - $75,000.00.......................... 383 23,912,986.08 13.94%
$75,000.01 - $100,000.00.......................... 287 25,060,018.97 14.60%
$100,000.01 - $125,000.00.......................... 207 23,109,828.28 13.47%
$125,000.01 - $150,000.00.......................... 129 17,669,033.59 10.30%
$150,000.01 - $175,000.00.......................... 94 15,160,710.87 8.84%
$175,000.01 - $200,000.00.......................... 50 9,350,725.08 5.45%
$200,000.01 - $225,000.00.......................... 57 12,080,183.83 7.04%
$225,000.01 - $250,000.00.......................... 39 9,298,040.04 5.42%
$250,000.01 - $275,000.00.......................... 17 4,450,312.56 2.59%
$275,000.01 - $300,000.00.......................... 21 6,066,374.52 3.54%
$300,000.01 - $325,000.00.......................... 10 3,110,413.64 1.81%
$325,000.01 - $350,000.00.......................... 19 6,514,290.07 3.80%
$350,000.01 - $375,000.00.......................... 3 1,089,532.19 0.63%
$375,000.01 - $400,000.00.......................... 3 1,161,516.20 0.68%
$425,000.01 - $450,000.00.......................... 4 1,776,834.25 1.04%
$450,000.01 - $475,000.00.......................... 1 453,978.16 0.26%
$475,000.01 - $500,000.00.......................... 1 498,044.67 0.29%
---------- ------------------- --------------------
Total 1,607 $171,590,094.05 100.00%
========== =================== ====================
</TABLE>
RANGE OF ORIGINAL TERMS TO MATURITY OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Range of Original Terms (months) Loan Balance Principal Balance
- -------------------------------- ---- ------- -----------------
<S> <C> <C> <C>
121 - 180.............................. 6 $ 438,811.86 0.26%
301 - 360.............................. 1,601 171,151,282.19 99.74%
----------- ------------------- ------------------------
Total 1,607 $171,590,094.05 100.00%
=========== =================== ========================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
RANGE OF REMAINING TERMS TO MATURITY OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Range of Remaining Terms to Maturity (months) Loans Balance Principal Balance
- --------------------------------------------- ----- ------- -----------------
<S> <C> <C> <C>
0 - 60............................ 1 $ 11,690.52 0.01%
121 - 180............................ 5 427,121.34 0.25%
241 - 300............................ 2 257,814.11 0.15%
301 - 360............................ 1,599 170,893,468.08 99.59%
---------- ------------------ --------------------
Total 1,607 $171,590,094.05 100.00%
========== ================== ====================
</TABLE>
PROPERTY TYPES OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Property Types Loans Balance Principal Balance
- -------------- ----- ------- -----------------
<S> <C> <C> <C>
Single Family Detached........................ 1,311 $137,397,578.87 80.07%
PUD........................ 98 14,457,556.99 8.43%
2-4 Family........................ 115 11,444,229.27 6.67%
Condominium........................ 74 7,466,030.39 4.35%
Manufactured Housing........................ 8 718,652.14 0.42%
Other........................ 1 106,046.39 0.06%
=========== =================== =====================
Total 1,607 $171,590,094.05 100.00%
=========== =================== =====================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
OCCUPANCY STATUS OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Occupancy Status Loans Balance Principal Balance
- ---------------- ----- ------- -----------------
<S> <C> <C> <C>
Owner-occupied.............................. 1,470 $161,729,600.83 94.25%
Non Owner-occupied.............................. 134 9,503,268.21 5.54%
Second Home.............................. 3 357,225.01 0.21%
============ =================== =====================
Total 1,607 $171,590,094.05 100.00%
============ =================== =====================
</TABLE>
RANGE OF LOAN RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Loan Rates (%) Loans Balance Principal Balance
- ------------- --------- --------- -----------------
<S> <C> <C> <C>
6.501 - 7.000 ................ 2 $ 304,130.06 0.18%
7.001 - 7.500 ................ 18 3,349,108.90 1.95%
7.501 - 8.000 ................ 56 7,600,348.42 4.43%
8.001 - 8.500 ................ 79 11,047,430.14 6.44%
8.501 - 9.000 ................ 165 23,987,116.54 13.98%
9.001 - 9.500 ................ 268 31,285,442.21 18.23%
9.501 - 10.000 ................ 311 34,132,247.11 19.89%
10.001 - 10.500 ................ 228 20,687,122.53 12.06%
10.501 - 11.000 ................ 204 19,037,401.31 11.09%
11.001 - 11.500 ................ 113 8,890,157.40 5.18%
11.501 - 12.000 ................ 84 5,905,739.48 3.44%
12.001 - 12.500 ................ 42 2,790,005.33 1.63%
12.501 - 13.000 ................ 19 1,286,686.85 0.75%
13.001 - 13.500 ................ 11 742,679.36 0.43%
13.501 - 14.000 ................ 7 544,478.41 0.32%
----------- -------------------- -------------------------
Total 1,607 $171,590,094.05 100.00%
=========== ==================== =========================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
RANGE OF GROSS MARGIN OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Gross Margin (%) Loans Balance Principal Balance
- ----------------
<S> <C> <C> <C>
- 5.000 ................ 164 $ 20,405,855.63 11.89%
5.001 - 6.000 ................ 582 68,098,003.24 39.69%
6.001 - 7.000 ................ 549 56,304,017.17 32.81%
7.001 - 8.000 ................ 275 23,195,361.68 13.52%
8.001 - 9.000 ................ 33 3,288,314.45 1.92%
9.001 - 10.000 ................ 4 298,541.88 0.17%
----------- ------------------ ------------------------
Total 1,607 $171,590,094.05 100.00%
=========== =================== ========================
</TABLE>
RANGE OF MINIMUM LOAN RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Minimum Loan Rates (%) Loans Balance Principal Balance
- --------------------- --------- -------------- -----------------
<S> <C> <C> <C>
- 5.000 .................... 1 $ 65,150.03 0.04%
6.001 - 7.000 .................... 3 435,142.56 0.25%
7.001 - 8.000 .................... 77 11,168,813.66 6.51%
8.001 - 9.000 .................... 243 35,347,662.05 20.60%
9.001 - 10.000 .................... 580 65,180,667.67 37.99%
10.001 - 11.000 .................... 427 39,232,911.25 22.86%
11.001 - 12.000 .................... 197 14,795,896.88 8.62%
12.001 - 13.000 .................... 61 4,076,692.18 2.38%
13.001 - 14.000 .................... 18 1,287,157.77 0.75%
----------- -------------------- -------------------------
Total 1,607 $171,590,094.05 100.00%
=========== ==================== =========================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
RANGE OF MAXIMUM LOAN RATES OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Maximum Loan Rates (%) Loans Balance Principal Balance
- --------------------- --------- ------------- ------------------------
<S> <C> <C> <C>
13.001 - 14.000 .................. 6 $ 1,019,002.85 0.59%
14.001 - 15.000 .................. 113 16,747,537.43 9.76%
15.001 - 16.000 .................. 248 35,763,058.10 20.84%
16.001 - 17.000 .................. 551 59,735,215.85 34.81%
17.001 - 18.000 .................. 414 38,371,328.80 22.36%
18.001 - 19.000 .................. 196 14,590,101.07 8.50%
19.001 - 20.000 .................. 61 4,076,692.18 2.38%
20.001 - 21.000 .................. 18 1,287,157.77 0.75%
----------- ------------------- ------------------------
Total 1,607 $171,590,094.05 100.00%
=========== =================== ========================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
RANGE OF NEXT ADJUSTMENT DATE OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Next Adjustament Date (month-year) Loans Balance Principal Balance
- ---------------------------------- --------- ------------- -----------------
<S> <C> <C> <C>
July-99 ................ 38 4,769,423.46 2.78%
August-99 ................ 41 5,346,181.46 3.12%
September-99 ................ 50 7,102,574.56 4.14%
October-99 ................ 14 1,121,209.41 0.65%
November-99 ................ 4 578,054.40 0.34%
December-99 ................ 15 1,737,189.57 1.01%
January-00 ................ 1 217,800.00 0.13%
September-01 ................ 7 1,152,215.94 0.67%
October-01 ................ 5 813,935.43 0.47%
November-01 ................ 33 3,859,473.87 2.25%
December-01 ................ 150 16,233,836.14 9.46%
January-01 ................ 268 27,806,843.88 16.21%
February-01 ................ 286 30,618,343.19 17.84%
March-01 ................ 286 28,045,457.41 16.34%
April-01 ................ 197 20,749,418.56 12.09%
May-01 ................ 32 2,587,471.14 1.51%
June-01 ................ 89 8,333,124.19 4.86%
July-01 ................ 47 4,490,243.32 2.62%
October-01 ................ 2 307,226.74 0.18%
December-01 ................ 6 745,849.71 0.43%
January-02 ................ 3 240,917.69 0.14%
February-02 ................ 17 2,665,684.28 1.55%
March-02 ................ 1 188,642.99 0.11%
April-02 ................ 3 318,626.13 0.19%
May-02 ................ 2 113,131.14 0.07%
November-03 ................ 1 135,631.83 0.08%
December-03 ................ 1 52,345.44 0.03%
January-04 ................ 2 214,270.87 0.12%
February-04 ................ 3 203,483.94 0.12%
March-04 ................ 1 61,921.80 0.04%
April-04 ................ 2 779,565.56 0.45%
---------- ------------------- -----------------------
1,607 $171,590,094.05 100.00%
========== =================== =======================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
INITIAL FIXED RATE TERM/SUBSEQUENT ADJUSTABLE RATE TERM
OF THE ADJUSTABLE RATE MORTGAGE LOANS AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Initial Fixed Rate Term/Subsequent Adjustable Rate Term Loans Balance Principal Balance
- ------------------------------------------------------- ---------- ------------------- -----------------------
<S> <C> <C> <C>
Two Years/Twenty-Eight Years ............... 1,398 $144,455,070.92 84.19%
Three Years/Twenty-Seven Years ............... 35 4,699,078.68 2.74%
Five Years/Twenty-Five Years ............... 10 1,447,219.44 0.84%
6 Month LIBOR ............... 164 20,988,725.01 12.23%
---------- ------------------- -----------------------
Total 1,607 $171,590,094.05 100.00%
========== =================== =======================
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIOS OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Original Loan-to-Value Ratio (%) Loans Balance Principal Balance
- -------------------------------- --------- ------------- -----------------
<S> <C> <C> <C>
10.01 - 20.00 ............... 1 $ 25,149.80 0.01%
20.01 - 30.00 ............... 6 290,731.16 0.17%
30.01 - 40.00 ............... 20 1,630,017.61 0.95%
40.01 - 50.00 ............... 30 2,425,546.06 1.41%
50.01 - 60.00 ............... 71 6,778,424.80 3.95%
60.01 - 70.00 ............... 281 25,123,736.77 14.64%
70.01 - 80.00 ............... 577 63,452,320.26 36.98%
80.01 - 90.00 ............... 618 71,327,535.93 41.57%
90.01 - 100.00 ............... 3 536,631.66 0.31%
----------- ------------------- ---------------------
Total 1,607 $171,590,094.05 100.00%
=========== =================== =====================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
GEOGRAPHIC DISTRIBUTION OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Location Loans Balance Principal Balance
- -------- --------- --------- -------------------
<S> <C> <C> <C>
Arizona ............... 3 $ 187,132.10 0.11%
Arkansas ............... 23 1,745,171.96 1.02%
California ............... 216 36,235,728.67 21.12%
Colorado ............... 22 2,667,166.28 1.55%
Conneticut ............... 13 1,101,506.41 0.64%
District of Columbia ............... 5 584,825.95 0.34%
Florida ............... 122 13,401,127.08 7.81%
Georgia ............... 27 3,680,025.93 2.14%
Hawaii ............... 27 4,935,447.54 2.88%
Idaho ............... 8 814,817.77 0.47%
Illinois ............... 44 4,103,661.42 2.39%
Indiana ............... 43 3,128,549.87 1.82%
Iowa ............... 3 192,552.34 0.11%
Kansas ............... 4 370,226.77 0.22%
Kentucky ............... 12 936,395.98 0.55%
Louisiana ............... 15 1,385,763.76 0.81%
Maine ............... 3 531,885.69 0.31%
Maryland ............... 46 4,279,192.51 2.49%
Massachusetts ............... 31 3,735,476.51 2.18%
Michigan ............... 63 6,985,340.97 4.07%
Minnesota ............... 7 434,450.44 0.25%
Mississippi ............... 11 987,047.20 0.58%
Missouri ............... 100 7,939,291.78 4.63%
Montana ............... 2 174,991.82 0.10%
Nebraska ............... 12 1,010,503.35 0.59%
Nevada ............... 6 694,286.79 0.40%
New Hampshire ............... 16 1,380,999.22 0.80%
New Jersey ............... 16 1,667,234.73 0.97%
New Mexico ............... 7 707,393.91 0.41%
New York ............... 21 3,233,388.71 1.88%
North Carolina ............... 38 2,886,521.02 1.68%
Ohio ............... 171 13,450,421.54 7.84%
Oklahoma ............... 19 2,070,852.46 1.21%
Oregon ............... 75 10,079,988.72 5.87%
Pennsylvania ............... 115 9,457,969.55 5.51%
Rhode Island ............... 7 480,400.33 0.28%
South Carolina ............... 3 273,776.97 0.16%
Tennessee ............... 6 650,254.90 0.38%
Texas ............... 65 5,775,423.37 3.37%
Utah ............... 48 6,050,943.54 3.53%
Virginia ............... 18 2,662,362.97 1.55%
Washington ............... 19 2,500,516.28 1.46%
West Virginia ............... 8 381,433.45 0.22%
Wisconsin ............... 82 5,343,056.36 3.11%
Wyoming ............... 5 294,589.13 0.17%
----------- ----------------- ----------------
Total 1,607 $171,590,094.05 100.00%
=========== ================= ================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
ADJUSTABLE-RATE GROUP
DOCUMENTATION LEVEL OF THE ADJUSTABLE RATE MORTGAGE LOANS
AS OF THE CUT-OFF DATE
<TABLE>
<CAPTION>
Aggregate Percentage of
Number of Unpaid Cut-off
Mortgage Principal Date Aggregate
Documentation Level Loans Balance Principal Balance
- ------------------- --------- ---------- -----------------
<S> <C> <C> <C>
Full Documentation............... 1,199 $123,756,191.41 72.12%
Stated Income or No Documentation............... 391 45,318,044.39 26.41%
Limited or Lite Documentation............... 17 2,515,858.25 1.47%
--------- ------------------- -----------------------
Total 1,607 $171,590,094.05 100.00%
========= =================== =======================
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
1 9.269
2 9.269
3 9.269
4 9.269
5 9.269
6 9.269
7 9.404
8 9.404
9 9.404
10 9.404
11 9.404
12 9.404
13 9.526
14 9.526
15 9.526
16 9.526
17 9.526
18 9.526
19 9.584
20 9.584
21 9.584
22 9.584
23 9.584
24 9.584
25 11.185
26 11.185
27 11.185
28 11.186
29 11.186
30 11.186
31 11.186
32 11.186
33 11.186
34 11.186
35 11.186
36 11.186
37 11.255
38 11.255
39 11.255
40 11.255
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
41 11.255
42 11.255
43 11.256
44 11.256
45 11.256
46 11.256
47 11.256
48 11.256
49 11.256
50 11.256
51 11.256
52 11.256
53 11.256
54 11.256
55 11.256
56 11.256
57 11.256
58 11.256
59 11.256
60 11.256
61 11.279
62 11.279
63 11.279
64 11.279
65 11.279
66 11.279
67 11.279
68 11.279
69 11.279
70 11.279
71 11.279
72 11.279
73 11.279
74 11.279
75 11.279
76 11.279
77 11.279
78 11.279
79 11.279
80 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
81 11.279
82 11.279
83 11.279
84 11.279
85 11.279
86 11.279
87 11.279
88 11.279
89 11.279
90 11.279
91 11.279
92 11.279
93 11.279
94 11.279
95 11.279
96 11.279
97 11.279
98 11.279
99 11.279
100 11.279
101 11.279
102 11.279
103 11.279
104 11.279
105 11.279
106 11.279
107 11.279
108 11.279
109 11.279
110 11.279
111 11.279
112 11.279
113 11.279
114 11.279
115 11.279
116 11.279
117 11.279
118 11.279
119 11.279
120 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
121 11.279
122 11.279
123 11.279
124 11.279
125 11.279
126 11.279
127 11.279
128 11.279
129 11.279
130 11.279
131 11.279
132 11.279
133 11.279
134 11.279
135 11.279
136 11.279
137 11.279
138 11.279
139 11.279
140 11.279
141 11.279
142 11.279
143 11.279
144 11.279
145 11.279
146 11.279
147 11.279
148 11.279
149 11.279
150 11.279
151 11.279
152 11.279
153 11.279
154 11.279
155 11.279
156 11.279
157 11.279
158 11.279
159 11.279
160 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
------------------------
161 11.279
162 11.279
163 11.279
164 11.279
165 11.279
166 11.279
167 11.279
168 11.279
169 11.279
170 11.279
171 11.279
172 11.279
173 11.279
174 11.279
175 11.279
176 11.279
177 11.279
178 11.279
179 11.279
180 11.279
181 11.279
182 11.279
183 11.279
184 11.279
185 11.279
186 11.279
187 11.279
188 11.279
189 11.279
190 11.279
191 11.279
192 11.279
193 11.279
194 11.279
195 11.279
196 11.279
197 11.279
198 11.279
199 11.279
200 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
201 11.279
202 11.279
203 11.279
204 11.279
205 11.279
206 11.279
207 11.279
208 11.279
209 11.279
210 11.279
211 11.279
212 11.279
213 11.279
214 11.279
215 11.279
216 11.279
217 11.279
218 11.279
219 11.279
220 11.279
221 11.279
222 11.279
223 11.279
224 11.279
225 11.279
226 11.279
227 11.279
228 11.279
229 11.279
230 11.279
231 11.279
232 11.279
233 11.279
234 11.279
235 11.279
236 11.279
237 11.279
238 11.279
239 11.279
240 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
241 11.279
242 11.279
243 11.279
244 11.279
245 11.279
246 11.279
247 11.279
248 11.279
249 11.279
250 11.279
251 11.279
252 11.279
253 11.279
254 11.279
255 11.279
256 11.279
257 11.279
258 11.279
259 11.279
260 11.279
261 11.279
262 11.279
263 11.279
264 11.279
265 11.279
266 11.279
267 11.279
268 11.279
269 11.279
270 11.279
271 11.279
272 11.279
273 11.279
274 11.279
275 11.279
276 11.279
277 11.279
278 11.279
279 11.280
280 11.279
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
-------------------------
281 11.279
282 11.280
283 11.279
284 11.280
285 11.280
286 11.279
287 11.280
288 11.279
289 11.280
290 11.280
291 11.279
292 11.280
293 11.280
294 11.280
295 11.280
296 11.280
297 11.280
298 11.280
299 11.280
300 11.280
301 11.280
302 11.280
303 11.280
304 11.280
305 11.280
306 11.280
307 11.280
308 11.280
309 11.280
310 11.280
311 11.280
312 11.280
313 11.280
314 11.280
315 11.280
316 11.280
317 11.280
318 11.280
319 11.280
320 11.280
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
<PAGE>
Available Funds Cap
Available
Period Funds Cap(%)
--------------------------
321 11.280
322 11.280
323 11.280
324 11.281
325 11.280
326 11.280
327 11.280
328 11.281
329 11.280
330 11.281
331 11.281
332 11.280
333 11.280
334 11.281
335 11.281
336 11.282
337 11.282
338 11.282
339 11.281
340 11.281
341 11.280
342 11.282
343 11.281
344 11.282
345 11.283
346 11.284
347 11.282
348 11.284
349 11.286
350 11.279
351 11.290
352 11.281
353 11.288
354 11.298
355 11.290
356 9.524
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
