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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): September 27, 1999
BEAR STEARNS ASSET BACKED SECURITIES, INC.
(Exact name of registrant as specified in its charter)
Delaware 333-83541 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
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(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-4095
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Item 5. Other Events.
Filing of Computational Materials
In connection with the proposed offering of the Bear Stearns Asset Backed
Securities, Inc., Mortgage Loan Trust, Series RASC 1999-RS3, Mortgage
Asset-Backed Pass-Through Certificates, Series 1999-RS3 (the "Certificates"),
Bear, Stearns & Co. Inc., as underwriter ("Bear Stearns"), has prepared
certain materials (the "Bear Stearns Computational Materials") for
distribution to its potential investors. Similarly, Residential Funding
Securities Corporation, ("RFSC"), as underwriter, has prepared certain
materials (the "RFSC Computational Materials") for distribution to its
potential investors. Although Bear Stearns Asset Backed Securities, Inc. (the
"Company") provided Bear Stearns and RFSC with certain information regarding
the characteristics of the mortgage loans (the "Mortgage Loans") in the
related portfolio, the Company did not participate in the preparation of the
Bear Stearns Computational Materials nor the RFSC Computational Materials.
For purposes of this Form 8-K, "Computational Materials" shall mean the
Series 1999-RS3 term sheet, computer generated tables and/or charts
displaying, with respect to the Certificates, any of the following: yield;
average life; duration, expected maturity; interest rate sensitivity; loss
sensitivity; cash flow characteristics; background information regarding the
Mortgage Loans; the proposed structure; decrement tables; or similar
information (tabular or otherwise) of a statistical, mathematical, tabular or
computational nature. The Bear Stearns Computational Materials are attached
hereto as Exhibit 99.1. The RFSC Computational Materials are attached hereto
as Exhibit 99.2.
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 The Bear Stearns Computational Materials, filed on Form 8-K dated
September 27, 1999.
99.2 The RFSC Computational Materials, filed on Form 8-K dated
September 27, 1999.
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/ Matthew Perkins
------------------------
Name: Matthew Perkins
Title: Vice President
Dated: September 27, 1999
Exhibit Index
Exhibit Page
99.1 The Bear Stearns Computational Materials, filed on Form 8-K 6
dated September 27, 1999
99.2 The RFSC Computational Materials, filed on Form 8-K 7
dated September 27, 1999
Exhibit 99.1
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[OBJECT OMITTED]
This information should be considered only after reading Bear Stearns'
Statement Regarding Assumptions as to Securities, Pricing Estimates and Other
Information (the "Statement"), which should be attached. Do not use or rely on
this information if you have not received and reviewed this Statement. You may
obtain a copy of the Statement from your sales representative.
[GRAPHIC OMITTED] BEAR, STEARNS & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 245 Park Avenue
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o PARIS o TOKYO (212) 272-2000; (212) 272-7294 fax
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RESIDENTIAL FUNDING CORPORATION
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MORTGAGE LOAN TRUST, SERIES RASC 1999-RS3
COMPUTATIONAL MATERIALS (AS OF TUESDAY, SEPTEMBER 14, 1999)
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FAX TO: DATE: 9/14/99
COMPANY: # PAGES (incl. Cover): 18
FAX NO: PHONE NO:
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FROM: Bear Stearns Wholeloan Desk PHONE NO: (212) 272-4976
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STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer,
and although it may be based on data supplied to it by an issuer, the issuer
has not participated in its preparation and makes no representations regarding
its accuracy or completeness. Should you receive Information that refers to
the "Statement Regarding Assumptions and Other Information," please refer to
this statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to
significant factors that may prove not to be as assumed. You should understand
the assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly
depending upon the value of the inputs given. Inputs to these models include
but are not limited to: prepayment expectations (economic prepayment models,
single expected lifetime prepayments or a vector of periodic prepayments),
interest rate assumptions (parallel and nonparallel changes for different
maturity instruments), collateral assumptions (actual pool level data,
aggregated pool level data, reported factors or imputed factors), volatility
assumptions (historically observed or implied current) and reported
information (paydown factors, rate resets, and trustee statements). Models
used in any analysis may be proprietary making the results difficult for any
third party to reproduce. Contact your registered representative for detailed
explanations of any modeling techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of
the security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of
these securities should be tested as assumptions different from those included
in the Information. The assumptions underlying the Information, including
structure and collateral, may be modified from time to time to reflect changed
circumstances. Any investment decision should be based only on the data in the
prospectus and the prospectus supplement or private placement memorandum
(Offering Documents) and the then current version of the Information. Any
information herein regarding the collateral or the securities supersedes any
prior information regarding the collateral or the securities and will be
superseded by information regarding the collateral and/or the securities
contained in the Offering Documents and any subsequent information regarding
the collateral or the securities. Offering Documents contain data that is
current as of their publication dates and after publication may no longer be
complete or current and any subsequent information regarding the collateral or
the securities. 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 employed thereby 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>
RESIDENTIAL FUNDING CORPORATION
RASC 1999-RS3
Computational Materials: Preliminary Term Sheet (PAGE 1 OF 10)
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$382,061,000 (APPROXIMATE)
ISSUER: Mortgage Loan Trust, Series RASC 1999-RS3
DEPOSITOR: Bear Stearns Asset Backed Securities, Inc.
SELLER: Residential Funding Corporation
UNDERWRITERS:
Class A-I Bear, Stearns & Co. Inc.
Class A-II Residential Funding Securities Corporation
CERTIFICATE INSURER: Ambac Assurance Corporation ("Ambac")
MASTER SERVICER: Residential Funding Corporation (the "Master
Servicer" or "RFC"), an affiliate of the Seller
and an indirect, wholly-owned subsidiary of GMAC
Mortgage Group, Inc.
SPECIAL SERVICER: RFC's Asset Resolution Division, a division of
HomeComings Financial Network, Inc.
("HomeComings") will act as Special Servicer
with respect to 51.71% of the Mortgage Loans
when such loans become 90 days or more
delinquent. HomeComings is a wholly-owned
subsidiary of RFC. The remaining 48.29% of the
Mortgage Loans are being serviced by other
entities as of the Cut-Off Date. HomeComings was
awarded a "Special Servicer" designation from
Standard & Poor's and Fitch IBCA, Inc. in March
1999.
TRUSTEE: Bank One, National Association.
CUSTODIAN: Norwest Bank Minnesota, National Association.
INTEREST RATE CAP PROVIDER: Bear Stearns Financial Products, Inc. ("BSFP"),
a wholly-owned subsidiary of Bear, Stearns & Co.
Inc. BSFP is rated "Aaa" by Moody's Investors
Service and "AAA" by Standard and Poor's Ratings
Group ("S&P").
CHARACTERISTICS OF THE CERTIFICATES (A), (B), (C), (D)
<TABLE>
<CAPTION>
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
ORIGINAL AVG LIFE PRINCIPAL PRINCIPAL FINAL SCH.
OFFERED LOAN PRINCIPAL TO CALL LOCKOUT WINDOW MATURITY RATINGS
CERTIFICATES GROUP BALANCE** COUPON (YEARS) (MONTHS) (MONTHS) DATE (S&P/FITCH)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-I I $260,259,708 Floating (e) 3.34 None 106 [9/25/29] AAA / AAA
Class A-II II $121,801,922 Floating (e) 3.57 None 106 [9/25/29] AAA / AAA
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
** Bond balances subject to a 10% variance.
</TABLE>
(a) Pricing Prepayment Speed Assumption: 18% CPR
(Fixed Rate Mortgage Loans); 25% CPR
(Adjustable Rate Mortgage Loans).
(b) Transaction priced to 10% clean-up call.
(c) 100% P&I guaranty by Ambac.
(d) The margin on each Certificate will double if the 10%
clean-up call is not exercised.
(e) The lesser of (i) One-Month LIBOR
plus 0._ % per annum and (ii) 14%, subject to the Net
WAC Cap Rate.
<PAGE>
THE CERTIFICATES: Mortgage Loan Trust, Series RASC 1999-RS3 will
issue 2 classes of senior Certificates (namely,
the Class A-I Certificates and the Class A-II
Certificates (together, the "Class A
Certificates")) and multiple residual
certificates (the "Class R Certificates"). The
Class R Certificates will not be offered hereby.
OFFERING: The Class A Certificates will be issued publicly
from a shelf registration.
FORM OF REGISTRATION: The Class A Certificates will be issued in
book-entry form through DTC, Cedel and
Euroclear.
PREPAYMENT PRICING
SPEED ASSUMPTION: The prepayment pricing speed assumption for the
Fixed Rate Mortgage Loans will be 18% CPR. The
prepayment pricing speed assumption for the
Adjustable Rate Mortgage Loans will be 25% CPR.
CUT-OFF DATE: As of September 1, 1999.
SETTLEMENT DATE: On or about September __, 1999.
DISTRIBUTION DATE: The 25th day of each month (or the next
succeeding business day), commencing October 25,
1999.
PASS-THROUGH RATE: On each Distribution Date, the Class A-I
Pass-Through Rate will be a per annum rate equal
to the lesser of (x) with respect to any
Distribution Date which occurs on or prior to
the Distribution Date after the Optional
Redemption Date, One-Month LIBOR plus __% (the
"Class A-I Spread"), and for any Distribution
Date thereafter, One-Month LIBOR plus 2.0 times
the Class A-I Spread, and (y) 14%, subject to
the Net WAC Cap Rate.
On each Distribution Date, the Class A-II
Pass-Through Rate will be a per annum rate equal
to the lesser of (x) with respect to any
Distribution Date which occurs on or prior to
the Distribution Date after the Optional
Redemption Date, One-Month LIBOR plus __% (the
"Class A-II Spread"), and for any Distribution
Date thereafter, One-Month LIBOR plus 2.0 times
the Class A-II Spread, and (y) 14%, subject to
the Net WAC Cap Rate.
<PAGE>
NET WAC CAP RATE: The "Net WAC Cap Rate" will be a per annum rate
equal to the weighted average Net Mortgage Rate
on the Mortgage Loans (calculated based on the
number of days in the preceding Interest Accrual
Period). The "Net Mortgage Rate" on each
Mortgage Loan is equal to the Mortgage Rate
thereon minus the sum of (i) the rate per annum
at which the related master servicing and
subservicing fees accrue (the "Servicing Fee
Rate") and (ii) the Policy Premium Rate.
Interest that would be payable on the Class A
Certificates, if the Pass-Through Rate were not
limited to the Net WAC Cap Rate, may be payable
as described below under the "Reserve Fund and
Yield Maintenance Agreement".
RESERVE FUND: On the Closing Date, the Trustee will establish
a reserve fund account (the "Reserve Fund") to
cover certain payments on the Class A
Certificates. In addition, on the Closing Date,
a Yield Maintenance Agreement (as described
herein) will be entered into between Bear
Stearns Financial Products Inc. ("BSFP") and the
Trustee, as trustee, for the benefit of the
Certificate Insurer and the Certificateholders.
Pursuant to the Yield Maintenance Agreement, on
each Distribution Date, an amount will be
deposited into the Reserve Fund equal to the
amounts received under the Yield Maintenance
Agreements (the "Reserve Fund Addition"). In
addition, on any Distribution Date for which the
Overcollateralization Amount is equal to the
Required Overcollateralization Amount and any
Basis Risk Shortfall Carry-Forward Amount
exists, which would not otherwise be covered by
amounts currently in the Reserve Fund, a portion
of the Net Monthly Excess Cash Flow will be
deposited in the Reserve Fund as described
herein.
ASSETS OF THE TRUST: On the Closing Date, the assets of the Trust are
expected to include: (i) the Mortgage Loans
(namely, the Group I Mortgage Loans and the
Group II Mortgage Loans); (ii) such assets as
from time to time as identified as deposited on
respect of the Mortgage Loans in the Custodial
Account and in the Certificate Account and
belonging to the Trust; (iii) property acquired
by foreclosure of such Mortgage Loans or deed in
lieu of foreclosure; (iv) any applicable Primary
Insurance Policies and standard hazard insurance
policies; (v) the Policy; (vi) the Yield
Maintenance Agreement and the Reserve Fund;
(vii) the right to receive amounts received from
any additional collateral that has been assigned
to the Trustee, and (viii) all proceeds of the
foregoing.
<PAGE>
COLLATERAL DESCRIPTION: The mortgage pool consists of approximately
$382,061,630 (as of September 1, 1999) of
performing Mortgage Loans that have been
originated or acquired by RFC.
Approximately 42% of the Mortgage Loans were
acquired or originated as adjustable-rate
mortgage loans with initial rate reset dates of
36 or 60 months, after which the rate on such
Mortgage Loans will reset every 6 or 12 months
(the "Hybrid Mortgage Loans"). The weighted
average Credit Score of the Hybrid Mortgage
Loans was 718 as of the Cut-off Date. In
addition, approximately 68% of the Hybrid
Mortgage Loans were underwritten to RFC's Jumbo
"A" Credit Guidelines. The remaining 32% have a
weighted average credit score of approximately
728 as of the Cut-off Date but fell outside the
RFC Jumbo A Credit Guidelines with respect to
certain limited features such as an interest
only amortization period or a semiannual
interest reset after the fixed period.
Approximately 58% of the Mortgage Loans have
been determined to be ineligible or otherwise
inappropriate for inclusion in a securitization
using standard selection criteria by affiliates
of the Seller. Such Mortgage Loans include loans
that:
(1) did not comply with the underwriting
standards for the program under which they
were originated (typically, because the
Loan-to-Value Ratio exceeded permitted
levels, or due to the lack of a Primary
Insurance Policy as required);
(2) have deficiencies in legal documentation;
(3) have prior delinquency histories that do
not comply with standard requirements for
securitizations;
(4) were originated for portfolio and not
pursuant to any particular program accepted
in the secondary mortgage market, many of
which have underwriting deficiencies such
as high Loan-to-Value Ratios or the lack of
a Primary Insurance Policy;
(5) have non-standard Distribution features,
such as balloon Distributions;
(6) represent high concentrations of risk;
(7) are seasoned loans, which may not conform
with current underwriting criteria or
documentation requirements;
(8) have borrowers with low Credit Scores;
(9) have other factors and characteristics that
cause the loan to be ineligible for
inclusion in another securitization, other
than on an exception basis.
The Mortgage Loans were underwritten to a wide
variety of underwriting standards under several
different programs, as more fully described in
the Prospectus Supplement.
PRIORITY OF DISTRIBUTIONS: On each Distribution Date, amounts distributable
to each Class of Class A Certificateholders will
be allocated in the following order of priority:
1. To pay accrued interest due on the Class A
Certificates;
2. To pay principal to the holders of the
Class A Certificates in an amount equal to
scheduled principal and principal
prepayments received in respect of the
Mortgage Loans;
3. To pay as principal to the Class A
Certificates an amount necessary to cover
Realized Losses on the Mortgage Loans;
4. To pay the Certificate Insurer the accrued
and unpaid premium for the Policy, and any
payments in connection with the limited
reimbursement agreement;
5. To pay permitted reimbursements to the
Certificate Insurer for prior draws on the
Policy;
6. To pay as additional principal on the Class
A Certificates, the amount of Excess Spread
(if any) necessary to bring the amount of
overcollateralization up to the Required
Overcollateralization Amount;
7. To pay, if necessary, (1) through (6) above
with respect to the Class A Certificates
relating to the other Mortgage Loan Group;
8. To the holder of the Class R Certificates.
On each Distribution Date, to the extent
required, the Trustee will withdraw from amounts
in the Reserve Fund to cover the following
items, in the following order:
1. To reimburse the Certificate Insurer for
any unreimbursed draws under the Policy;
2. To pay the Class A Certificates to cover
Realized Losses on the Mortgage Loans to
the extent not covered by Net Monthly
Excess Spread.
In addition, if following any Distribution Date,
the sum of the Overcollateralization Amount and
the amount in the Reserve Fund is greater than
the Required Overcollateralization Amount, such
excess will be paid from the Reserve Fund as
follows:
1. To pay the Class A Certificateholders for
any Basis Risk Shortfall Carry-Forward
Amount; and
2. To the holder of the Class R Certificates.
<PAGE>
BASIS RISK SHORTFALL
CARRY-FORWARD AMOUNT: The "Basis Risk Shortfall Carry-Forward Amount"
is equal to the aggregate amount of Basis Risk
Shortfall on such Distribution Date, plus any
unpaid Basis Risk Shortfall from prior
Distribution Dates, plus interest thereon to the
extent previously unreimbursed by amounts in the
Reserve Fund.
On any Distribution Date on which the Class A
Certificates receive interest based on the Net
WAC Cap Rate, "Basis Risk Shortfall" is equal to
the excess, if any, of (a) accrued Certificate
interest on the Class A Certificates calculated
pursuant to the lesser of (i) clause (x) of the
definition of Pass-Through Rate thereof and (ii)
14% over (b) accrued Certificate interest on the
Class A Certificates calculated pursuant to the
Net WAC Cap Rate. Basis Risk Shortfall will only
be recoverable from the Reserve Fund, including
Net Monthly Excess Cash Flow to the extent
deposited in the Reserve Fund, and not from the
Policy or otherwise.
STEPDOWN DATE:
The Stepdown Date is the Distribution Date
occurring on the later of:
(1) the [30]th Distribution Date after [March
2001]; and
(2) the first Distribution Date on which the
current Pool Principal Balance has been
reduced to an amount equal to 50% of the
original Pool Principal Balance.
ALLOCATION OF LOSSES: Realized Losses with respect to each Mortgage
Loan Group will not be allocated to the related
Class A Certificates, to the extent covered as
follows:
1. By the amount of Excess Spread available;
2. By the amounts in the Reserve Fund
(including the current distribution under
the Yield Maintenance Agreements);
3. By decreasing the amount of
overcollateralization in the Trust;
4. By the amount of excess spread or
overcollateralization available, if any,
with respect to the other Mortgage Loan
Group.
To the extent not covered as described above,
Realized Losses on the Mortgage Loans will be
allocated to the Class A Certificates. Any such
loss will be covered by the Policy.
ADVANCING: The Master Servicer will be obligated to advance
delinquent principal and interest through the
liquidation of REO or until deemed
unrecoverable.
YIELD MAINTENANCE AGREEMENTS: The Trust will benefit from a series of interest
rate cap payments pursuant to three amortizing
cap agreements (the "Yield Maintenance
Agreements") designed to partially mitigate the
interest rate risk that could arise from the
difference between the Pass-Through Rates and
the weighted average Net Mortgage Rates of the
Fixed Rate Mortgage Loans, the Adjustable Rate
Mortgage Loans with an original months to next
rate reset of 36 months (the "36-month Hybrid
Mortgage Loans") and, the Adjustable Rate
Mortgage Loans with an original months to next
rate reset of 60 months (the "60-month Hybrid
Mortgage Loans").
On each Distribution Date, payments under the
amortizing cap agreement on the Fixed Rate
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the Fixed Rate Mortgage Loans, based
on an amortization schedule applying a constant
10% CPR and (b) the actual balance of the Fixed
Rate Mortgage Loans relating to such
Distribution Date (the "Fixed Rate Mortgage Loan
Notional Balance"). The amount of such payment
will be equal to the product of (a) 1/12th of
the excess of (i) then-current LIBOR over (ii)
[7.40]% and (b) the then-current Fixed Rate
Mortgage Loan Notional Balance.
On each Distribution Date, payments under the
amortizing cap agreement on the 36-month Hybrid
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the 36-month Hybrid Mortgage Loans,
based on an amortization schedule applying a
constant [15]% CPR and (b) the actual balance of
the 36-month Hybrid Mortgage Loans relating to
such Distribution Date (the "36-month Hybrid
Mortgage Loan Notional Balance"). The amount of
such payment will be equal to the product of (a)
1/12th of the excess of (i) then-current LIBOR
over (ii) [6.15]% and (b) the then-current
36-month Hybrid Mortgage Loan Notional Balance.
<PAGE>
YIELD MAINTENANCE AGREEMENTS
(CONT'D): On each Distribution Date, payments under the
amortizing cap agreement on the 60-month Hybrid
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the 60-month Hybrid Mortgage Loans,
based on an amortization schedule applying a
constant [15]% CPR and (b) the actual balance of
the 60-month Hybrid Mortgage Loans relating to
such Distribution Date (the "60-month Hybrid
Mortgage Loan Notional Balance"). The amount of
such payment will be equal to the product of (a)
1/12th of the excess of (i) then-current LIBOR
over (ii) [6.15]% and (b) the then-current
60-month Hybrid Mortgage Loan Notional Balance.
It is anticipated that the Yield Maintenance
Agreements on the Fixed Rate Mortgage Loans, the
36-month Hybrid Mortgage Loans and the 60-month
Hybrid Mortgage Loans will have a strike rate
and maturity date pursuant the following
schedule:
<TABLE>
<CAPTION>
------------------------------------------- ------------------ -----------
ESTIMATED
DESCRIPTION STRIKE RATE MONTHS
------------------------------------------- ------------------ -----------
<S> <C> <C>
Fixed Rate Mortgage Loans [7.40]% [1-96]
------------------------------------------- ------------------ -----------
36-month Hybrid Mortgage Loans [6.15]% [1-36]
------------------------------------------- ------------------ -----------
60-month Hybrid Mortgage Loans [6.15]% [1-60]
------------------------------------------- ------------------ -----------
</TABLE>
CREDIT ENHANCEMENT: Credit enhancement with respect to the
Certificates will be provided by (1) excess
spread, (2) overcollateralization, (3)
cross-collateralization, (4) a reserve fund and
(5) the Ambac Insurance Policy.
EXCESS SPREAD: The interest due on the Mortgage
Loans is generally expected to be higher than
the interest due on the Certificates and other
fees and expenses of the Trust, thus generating
excess interest collections ("Excess Spread"),
which will be available to fund distributions on
the Certificates, commencing with the
Distribution Date in November 1999. Such amount
can vary over time based on the prepayment and
default experience of the Mortgage Loans. On
each Distribution Date, excess spread generated
during the related collection period will be
available to cover losses and build
overcollateralization on such Distribution Date.
<PAGE>
CREDIT ENHANCEMENT (CONT'D): OVERCOLLATERALIZATION: The initial
overcollateralization amount will be equal to
0.00% of the Original Pool Principal Balance on
the Closing Date. Thereafter, excess spread will
be applied, to the extent available, to make
accelerated payments of principal to the Class A
Certificates; such application will cause the
aggregate principal balance of the Class A
Certificates to amortize more rapidly than the
Mortgage Loans, resulting in
overcollateralization. Prior to the Stepdown
Date, the "Required Overcollateralization
Amount" will be equal to [1.65]% of the original
Pool Principal Balance of the Group I Mortgage
Loans and [1.20]% of the original Pool Principal
Balance of the Group II Mortgage Loans. On or
after the Stepdown Date, the "Required
Overcollateralization Amount" will be permitted,
subject to certain performance triggers being
satisfied, to decrease to (a) [3.30]% of current
Pool Principal Balance of the Group I Mortgage
Loans, subject to a floor of 0.50% of the
original Pool Principal Balance of the Group I
Mortgage Loans, and (b) [2.40]% of current Pool
Principal Balance of the Group II Mortgage
Loans, subject to a floor of 0.50% of the
original Pool Principal Balance of the Group II
Mortgage Loans.
CROSS-COLLATERALIZATION: Excess spread from each
Mortgage Loan Group will be available to cover
losses and build overcollateralization in the
other Mortgage Loan Group.
RESERVE FUND: The Trustee will establish a
reserve fund (the "Reserve Fund") to make
certain payments on the Class A Certificates.
The Reserve Fund will generally be funded by
payments under the Yield Maintenance Agreements.
On each Distribution Date, the Trustee will make
draws from the Reserve Fund, to the extent of
funds available, to cover (a) reimbursements to
the Insurer; (b) distributions to the Class A
Certificates in respect of any Realized Losses
not covered by Excess Spread; and (c)
distributions to the Class A Certificates to
cover any Basis Risk Shortfall.
AMBAC INSURANCE POLICY: Ambac Assurance
Corporation (the "Certificate Insurer") will
unconditionally and irrevocably guarantee: (a)
timely payment of interest, (b) the amount of
any losses not covered by excess spread or
overcollateralization, and (c) the payment of
principal on the Class A Certificates by no
later than their respective final scheduled
maturity date (the "Policy"). The Policy is not
revocable for any reason. In addition, the
Certificate Insurer will be entitled to payments
under a limited reimbursement agreement.
<PAGE>
COMPENSATING INTEREST: The Master Servicer will be required to cover
interest shortfalls as a result of principal
prepayments in full up to the lesser of (a)
one-twelfth of [_.__]% and (b) the sum of the
Master Servicing Fee payable to the Master
Servicer plus reinvestment income for such
distribution date.
MINIMUM DENOMINATIONS: $25,000 and integral multiples of $1 in excess
thereof.
OPTIONAL CALL: The Master Servicer may, at its option, effect
an early redemption or termination of the Class
A Certificates on the first Distribution Date
after the Distribution Date on which the current
Pool Principal Balance declines to 10% or less
of the original Pool Principal Balance of the
Mortgage.
TAX STATUS: The Trust will be established as a REMIC for tax
purposes.
ERISA ELIGIBILITY: The Class A Certificates may be purchased by
employee benefit plans that are subject to
ERISA.
SMMEA TREATMENT: The Class A Certificates will constitute
"mortgage related securities" for purposes of
SMMEA.
<PAGE>
<TABLE>
<CAPTION>
CHARACTERISTICS OF THE CERTIFICATES (A), (B), (C), (D)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
ORIGINAL AVG LIFE PRINCIPAL PRINCIPAL FINAL SCH.
OFFERED LOAN PRINCIPAL TO CALL LOCKOUT WINDOW MATURITY RATINGS
CERTIFICATES GROUP BALANCE** COUPON (YEARS) (MONTHS) (MONTHS) DATE (S&P/FITCH)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-I I $260,259,708 Floating (e) 3.34 None 106 [9/25/29] AAA / AAA
Class A-II II $121,801,922 Floating (e) 3.57 None 106 [9/25/29] AAA / AAA
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
** Bond balances subject to a 10% variance.
NOTES:
a) Pricing Prepayment Speed Assumption: 18% CPR (Fixed Rate
Mortgage Loans); 25% CPR (Adjustable Rate Mortgage Loans).
b) Transaction priced to 10% clean-up call.
c) 100% P&I guaranty by Ambac.
d) The margin on each Certificate will double if the 10% clean-up
call is not exercised.
e) The lesser of (i) One-Month LIBOR plus 0._ % per annum and
(ii) 14%, subject to the Net WAC Cap Rate.
</TABLE>
<TABLE>
<CAPTION>
CLASS A-I (TO 10% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PREPAYMENT ASSUMPTION (CPR):
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 18.10 5.58 4.13 3.34 2.61 2.17 1.83
MODIFIED DURATION (YEARS) 10.21 4.24 3.33 2.79 2.25 1.91 1.63
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 12/25/26 12/25/13 6/25/10 7/25/08 7/25/06 5/25/05 6/25/04
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 327 171 129 106 82 68 57
ILLUSTRATIVE YIELD (30/360) 5.936% 5.936% 5.936% 5.936% 5.936% 5.936% 5.936%
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A-II (TO 10% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 16.41 5.94 4.34 3.57 2.70 2.23 1.88
MODIFIED DURATION (YEARS) 9.67 4.48 3.48 2.96 2.32 1.96 1.68
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 12/25/26 12/25/13 6/25/10 7/25/08 7/25/06 5/25/05 6/25/04
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 327 171 129 106 82 68 57
ILLUSTRATIVE YIELD (30/360) 5.884% 5.884% 5.884% 5.884% 5.884% 5.884% 5.884%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CLASS A-I (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
PREPAYMENT ASSUMPTION (CPR):
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 18.19 5.93 4.44 3.61 2.82 2.35 1.98
MODIFIED DURATION (YEARS) 10.22 4.37 3.47 2.92 2.38 2.02 1.74
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 4/25/29 6/25/25 9/25/21 8/25/18 7/25/14 4/25/12 5/25/10
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 355 309 264 227 178 151 128
ILLUSTRATIVE YIELD (30/360) 5.937% 5.948% 5.953% 5.955% 5.958% 5.960% 5.961%
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A-II (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 16.45 6.34 4.71 3.92 2.96 2.44 2.06
MODIFIED DURATION (YEARS) 9.68 4.63 3.65 3.14 2.48 2.10 1.80
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 2/25/29 8/25/24 12/25/21 6/25/09 1/25/15 11/25/12 11/25/10
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 353 299 267 237 184 158 134
ILLUSTRATIVE YIELD (30/360) 5.885% 5.896% 5.901% 5.905% 5.906% 5.908% 5.909%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
TOTAL POOL
<S> <C> <C> <C>
Number of Loans: 659 1,160 1,819
Aggregate UPB: $260,259,708 $121,801,922 $382,061,630
Average Current UPB: $394,931 $105,002 $210,039
Maximum Current UPB: $2,150,000 $239,781 $2,150,000
- ---------------------------------------------------------------------------------------------------------
WEIGHTED AVERAGES
Gross Coupon: 7.470% 8.638% 7.842%
Coupon Range:
Minimum 5.625% 5.875% 5.625%
Maximum 11.750% 15.990% 15.990%
Total coupon deductions: 0.367% 0.414% 0.382%
Net Coupon: 7.103% 8.224% 7.460%
Original Term 347 months 333 months 342 months
Stated Remaining Term: 326 months 291 months 316 months
Seasoning: 21 months 42 months 26 months
Original LTV: 75.86% 81.35% 77.61%
Credit Score (for loans with a Credit 699 644 681
Score):
- ---------------------------------------------------------------------------------------------------------
WEIGHTED AVERAGES (ARMS ONLY)
Gross Margin: 2.653% 3.732% 2.880%
Maximum Interest Rate: 12.690% 14.073% 12.982%
Months to Next Rate Adjustment: 46 mos 20 mos 41 mos
Periodic Rate Cap: 1.951% 1.42% 1.838%
- ---------------------------------------------------------------------------------------------------------
AMORTIZATION TYPE
Fixed Rate (Balloon) 3.53% 8.30% 5.05%
Fixed Rate (Fully Amortizing) 27.13% 52.53% 35.23%
1-year Treasury 5.77% 7.88% 6.44%
3-year Fixed Rate / 1-year CMT 8.19% 2.33% 6.32%
5-year Fixed IO / 6-month LIBOR 18.60% 4.81% 14.20%
5-year Fixed Rate / 1-year CMT 29.98% 2.11% 21.09%
6-month LIBOR 0.89% 10.65% 4.00%
11th District COFI 4.03% 9.02% 5.62%
Prime * 1.26% 0.72%
Fixed Rate IO 0.69% --- *
Miscellaneous Indices 0.72% 1.11% 0.84%
- ---------------------------------------------------------------------------------------------------------
LOAN TYPE
Conventional with LTV (=80%; no MI 76.74% 53.96% 69.48%
Conventional with LTV (=80%; with MI --- 0.78% *
Conventional with LTV > 80%; no MI 10.93% 23.42% 14.91%
Conventional with LTV > 80%; with MI 12.33% 20.57% 14.96%
FHA/VA --- 1.27% *
- ---------------------------------------------------------------------------------------------------------
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
OCCUPANCY
<S> <C> <C> <C>
Owner 94.66% 84.59% 91.45%
Second Home 4.10% 3.34% 3.86%
Investor 1.24% 12.07% 4.69%
- ---------------------------------------------------------------------------------------------------------
LOAN PURPOSE
Purchase 61.03% 56.90% 59.72%
Rate and Term Refinance 15.53% 19.76% 16.88%
Cashout Refinance 23.44% 23.34% 23.41%
- ---------------------------------------------------------------------------------------------------------
PROPERTY TYPE
Single Family 69.00% 69.40% 69.13%
Condo/PUD/Co-op 27.82% 21.27% 25.73%
2-4 Family 3.08% 6.75% 4.25%
Townhouse --- 1.23% *
Manufactured Housing * 1.34% *
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
STATE (> 4%)
California 40.81% 27.29% 36.50%
Florida --- 8.56% 5.04%
New Jersey 4.15% 4.40% 4.23%
New York 11.38% 6.38% 9.79%
Texas --- 5.69% ---
Virginia 4.94% --- 4.14%
- ---------------------------------------------------------------------------------------------------------
ZIP CODE CONCENTRATION (> 1.0%)
11963 (Sag Harbor, NY) 1.88% --- 1.28%
92660 (Newport Beach, CA) 1.22% --- ---
22066 (Great Falls, VA) 1.09% --- ---
- ---------------------------------------------------------------------------------------------------------
ORIGINAL TERM
Up to 60 months --- --- ---
61 to 180 months 7.27% 13.85% 9.37%
181 to 359 months 0.93% 3.91% 1.88%
360 months 91.80% 81.77% 88.60%
361 months or greater --- * *
- ---------------------------------------------------------------------------------------------------------
CONVERSION FEATURE
Fixed Rate 31.35% 60.83% 40.75%
Convertible to Fixed Rate 5.85% * 4.07%
Not convertible to Fixed Rate 62.80% 38.89% 55.18%
- ---------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS (AS OF 8/31/99)**
Current 99.67% 98.87% 99.41%
30 to 59 days delinquent * 0.97% 0.53%
60 to 89 days delinquent --- * *
- ---------------------------------------------------------------------------------------------------------
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
RATE/PAYMENT ADJUSTMENT FREQUENCIES
<S> <C> <C> <C>
Fixed Rate 31.35% 60.83% 40.75%
Monthly /Annual 3.06% 2.12% 2.76%
Semi-Annual /Semi-Annual 2.60% 8.29% 4.41%
Annual /Annual 5.99% 8.99% 6.94%
2yr Fixed / 6 mos ARMS --- 8.20% 2.61%
3yr Fixed / 6 mos ARMS --- 1.76% 0.56%
3yr Fixed / 1yr ARMS 8.19% 2.44% 6.36%
5yr Fixed / 1yr ARMS 29.98% 2.11% 21.09%
5yr IO Fixed / 6 mo ARMS 10.86% 4.63% 8.87%
5yr IO Fixed / 1yr ARMS 7.74% * 5.33%
- ---------------------------------------------------------------------------------------------------------
CURRENT BALANCE
$50,000 or less * 6.86% 2.20%
$50,001 to $100,000 * 22.32% 7.21%
$100,001 to $150,000 * 27.91% 9.02%
$150,001 to $200,000 0.74% 27.21% 9.18%
$200,001 to $250,000 9.40% 15.70% 11.41%
$250,001 to $300,000 17.97% --- 12.24%
$300,001 to $350,000 14.12% --- 9.62%
$350,001 to $400,000 9.75% --- 6.64%
$400,001 to $450,000 5.20% --- 3.54%
$450,001 to $500,000 6.59% --- 4.49%
$500,001 to $550,000 3.25% --- 2.21%
$550,001 to $600,000 3.58% --- 2.44%
$600,001 to $650,000 7.34% --- 5.00%
$650,001 to $700,000 1.06% --- 0.72%
$700,001 to $800,000 3.50% --- 2.38%
$800,001 to $900,000 2.00% --- 1.36%
$900,001 to $1,000,000 5.61% --- 3.82%
$1,000,001 or $2,000,000 7.11% --- 4.85%
$2,000,001 or greater 2.44% --- 1.66%
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
ORIGINAL LOAN TO VALUE
50% or less 6.20% 3.03% 5.19%
50.01% to 55.00% 1.86% 1.70% 1.81%
55.01% to 60.00% 3.40% 1.93% 2.93%
60.01% to 65.00% 7.00% 4.04% 6.06%
65.01% to 70.00% 9.35% 7.69% 8.82%
70.01% to 75.00% 16.44% 10.52% 14.55%
75.01% to 80.00% 32.49% 25.87% 30.38%
80.01% to 85.00% 2.97% 7.41% 4.39%
85.01% to 90.00% 10.56% 21.22% 13.96%
90.01% to 95.00% 3.71% 7.21% 4.83%
95.01% to 100.00% 4.81% 5.04% 4.88%
100.01% or greater 1.20% 4.36% 2.21%
- ---------------------------------------------------------------------------------------------------------
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
RATE GROSS
<S> <C> <C> <C>
Less than 7.000% 27.00% 7.51% 20.79%
7.000% to 7.499% 35.84% 18.21% 30.22%
7.500% to 7.999% 17.00% 13.97% 16.03%
8.000% to 8.499% 4.71% 11.38% 6.84%
8.500% to 8.999% 7.12% 12.84% 8.94%
9.000% to 9.499% 5.36% 7.33% 5.99%
9.500% to 9.999% 2.38% 9.08% 4.52%
10.000% to 10.499% * 6.68% 2.35%
10.500% to 10.999% --- 5.51% 1.76%
11.000% to 11.499% --- 2.50% 0.80%
11.500% to 11.999% * 3.02% 1.15%
12.000% or greater --- 1.97% 0.63%
- ------------------------------------------------ ----------------------- --
- ---------------------------------------------------------------------------------------------------------
CREDIT SCORE
Not provided 1.66% 2.26% 1.85%
600 or Below 10.22% 29.34% 16.32%
601 to 620 2.61% 8.34% 4.44%
621 to 640 5.05% 9.31% 6.41%
641 to 660 5.05% 10.38% 6.75%
661 to 680 11.39% 8.69% 10.53%
681 to 700 9.40% 7.81% 8.89%
701 or greater 54.62% 23.87% 44.82%
- --------------------------------------------------------------------------------------- --
- ---------------------------------------------------------------------------------------------------------
ARM MARGIN
Fixed Rate 31.35% 60.83% 40.75%
No Margin --- --- ---
Less Than 1.499% * 1.08% 0.66%
2.000% to 2.499% 14.09% 8.74% 12.38%
2.500% to 2.999% 50.87% 17.37% 40.19%
3.000% to 3.499% 2.13% 1.00% 1.77%
3.500% to 3.999% * * *
4.000% to 4.499% --- * *
4.500% to 4.999% --- --- ---
5.000% to 5.499% --- * *
5.500% to 5.999% * 0.55% *
6.000% to 6.499% * 1.92% 0.76%
6.500% to 6.999% * 2.26% 1.03%
7.000% to 7.499% --- 2.51% 0.80%
7.500% or greater --- 3.38% 1.08%
- ---------------------------------------------------------------------------------------------------------
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE COLLATERAL IN THE PROSPECTUS
SUPPLEMENT.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
MAXIMUM INTEREST RATE
<S> <C> <C> <C>
Fixed Rate 31.35% 60.83% 40.75%
Less Than 12.00% 9.33% 1.53% 6.84%
12.000% to 12.499 % 15.34% 6.17% 12.42%
12.500% to 12.999 % 19.34% 3.44% 14.27%
13.000% to 13.499 % 17.32% 9.11% 14.70%
13.500% to 13.999 % 4.89% 5.24% 5.00%
14.000% to 14.499 % 0.64% 1.59% 0.94%
14.500% to 14.999 % * 0.81% *
15.000% to 15.499 % 0.63% 0.84% 0.70%
15.500% to 15.999 % * 1.86% 0.81%
16.000% to 16.499 % * 1.02% 0.61%
16.500% to 16.999 % --- 2.78% 0.89%
17.000% to 17.499 % * 2.05% 0.73%
17.500% to 17.999 % --- 1.74% 0.55%
18.000% or greater --- 1.01% *
- ---------------------------------------------------------------------------------------------------------
PERIODIC RATE CAP
Fixed Rate 31.35% 60.83% 40.75%
None 14.02% 7.13% 11.82%
0.50% --- * *
1.00% 1.98% 8.92% 4.19%
1.50% * * *
2.00% 45.87% 12.75% 35.31%
2.00% then 1.00% --- * *
3.00% then 1.00% 0.90% 9.28% 3.57%
3.00% then 2.00% 5.39% 0.23% 3.74%
5.00% * --- *
5.00% then 2.00% * * *
7.00% --- * *
- ------------------------------------------------ --- --- --
- ---------------------------------------------------------------------------------------------------------
NEGATIVE AMORTIZATION PERCENT CAP
Fixed Rate 31.35% 60.83% 40.75%
None 65.69% 37.05% 56.49%
110% * * *
115% * * *
120% 2.70% 1.49% 2.31%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
* INDICATES A NUMBER THAT IS GREATER THAN ZERO BUT LESS THAN 0.5%
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
Exhibit 99.2
RESIDENTIAL FUNDING CORPORATION
RASC 1999-RS3
Computational Materials: Preliminary Term Sheet (PAGE 1 OF 10)
- ------------------------------------------------------------------------------
$382,061,000 (APPROXIMATE)
ISSUER: Mortgage Loan Trust, Series RASC 1999-RS3
DEPOSITOR: Bear Stearns Asset Backed Securities, Inc.
SELLER: Residential Funding Corporation
UNDERWRITERS:
Class A-I Bear, Stearns & Co. Inc.
Class A-II Residential Funding Securities Corporation
CERTIFICATE INSURER: Ambac Assurance Corporation ("Ambac")
MASTER SERVICER: Residential Funding Corporation (the "Master
Servicer" or "RFC"), an affiliate of the Seller
and an indirect, wholly-owned subsidiary of GMAC
Mortgage Group, Inc.
SPECIAL SERVICER: RFC's Asset Resolution Division, a division of
HomeComings Financial Network, Inc.
("HomeComings") will act as Special Servicer
with respect to 51.71% of the Mortgage Loans
when such loans become 90 days or more
delinquent. HomeComings is a wholly-owned
subsidiary of RFC. The remaining 48.29% of the
Mortgage Loans are being serviced by other
entities as of the Cut-Off Date. HomeComings was
awarded a "Special Servicer" designation from
Standard & Poor's and Fitch IBCA, Inc. in March
1999.
TRUSTEE: Bank One, National Association.
CUSTODIAN: Norwest Bank Minnesota, National Association.
INTEREST RATE CAP PROVIDER: Bear Stearns Financial Products, Inc. ("BSFP"),
a wholly-owned subsidiary of Bear, Stearns & Co.
Inc. BSFP is rated "Aaa" by Moody's Investors
Service and "AAA" by Standard and Poor's Ratings
Group ("S&P").
<TABLE>
<CAPTION>
CHARACTERISTICS OF THE CERTIFICATES (A), (B), (C), (D)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
ORIGINAL AVG LIFE PRINCIPAL PRINCIPAL FINAL SCH.
OFFERED LOAN PRINCIPAL TO CALL LOCKOUT WINDOW MATURITY RATINGS
CERTIFICATES GROUP BALANCE** COUPON (YEARS) (MONTHS) (MONTHS) DATE (S&P/FITCH)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-I I $260,259,708 Floating (e) 3.34 None 106 [9/25/29] AAA / AAA
Class A-II II $121,801,922 Floating (e) 3.57 None 106 [9/25/29] AAA / AAA
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
</TABLE>
** Bond balances subject to a 10% variance.
NOTES:
(a) Pricing Prepayment Speed Assumption: 18% CPR (Fixed Rate
Mortgage Loans); 25% CPR (Adjustable Rate Mortgage Loans).
(b) Transaction priced to 10% clean-up call.
(c) 100% P&I guaranty by Ambac.
(d) The margin on each Certificate will double if the 10%
clean-up call is not exercised.
(e) The lesser of (i) One-Month LIBOR plus 0._ % per annum and
(ii) 14%, subject to the Net WAC Cap Rate.
<PAGE>
THE CERTIFICATES: Mortgage Loan Trust, Series RASC 1999-RS3 will
issue 2 classes of senior Certificates (namely,
the Class A-I Certificates and the Class A-II
Certificates (together, the "Class A
Certificates")) and multiple residual
certificates (the "Class R Certificates"). The
Class R Certificates will not be offered hereby.
OFFERING: The Class A Certificates will be issued publicly
from a shelf registration.
FORM OF REGISTRATION: The Class A Certificates will be issued in
book-entry form through DTC, Cedel and
Euroclear.
PREPAYMENT PRICING
SPEED ASSUMPTION: The prepayment pricing speed assumption for the
Fixed Rate Mortgage Loans will be 18% CPR. The
prepayment pricing speed assumption for the
Adjustable Rate Mortgage Loans will be 25% CPR.
CUT-OFF DATE: As of September 1, 1999.
SETTLEMENT DATE: On or about September __, 1999.
DISTRIBUTION DATE: The 25th day of each month (or the next
succeeding business day), commencing October 25,
1999.
PASS-THROUGH RATE: On each Distribution Date, the Class A-I
Pass-Through Rate will be a per annum rate equal
to the lesser of (x) with respect to any
Distribution Date which occurs on or prior to
the Distribution Date after the Optional
Redemption Date, One-Month LIBOR plus __% (the
"Class A-I Spread"), and for any Distribution
Date thereafter, One-Month LIBOR plus 2.0 times
the Class A-I Spread, and (y) 14%, subject to
the Net WAC Cap Rate.
On each Distribution Date, the Class A-II
Pass-Through Rate will be a per annum rate equal
to the lesser of (x) with respect to any
Distribution Date which occurs on or prior to
the Distribution Date after the Optional
Redemption Date, One-Month LIBOR plus __% (the
"Class A-II Spread"), and for any Distribution
Date thereafter, One-Month LIBOR plus 2.0 times
the Class A-II Spread, and (y) 14%, subject to
the Net WAC Cap Rate.
<PAGE>
NET WAC CAP RATE: The "Net WAC Cap Rate" will be a per annum rate
equal to the weighted average Net Mortgage Rate
on the Mortgage Loans (calculated based on the
number of days in the preceding Interest Accrual
Period). The "Net Mortgage Rate" on each
Mortgage Loan is equal to the Mortgage Rate
thereon minus the sum of (i) the rate per annum
at which the related master servicing and
subservicing fees accrue (the "Servicing Fee
Rate") and (ii) the Policy Premium Rate.
Interest that would be payable on the Class A
Certificates, if the Pass-Through Rate were not
limited to the Net WAC Cap Rate, may be payable
as described below under the "Reserve Fund and
Yield Maintenance Agreement".
RESERVE FUND: On the Closing Date, the Trustee will establish
a reserve fund account (the "Reserve Fund") to
cover certain payments on the Class A
Certificates. In addition, on the Closing Date,
a Yield Maintenance Agreement (as described
herein) will be entered into between Bear
Stearns Financial Products Inc. ("BSFP") and the
Trustee, as trustee, for the benefit of the
Certificate Insurer and the Certificateholders.
Pursuant to the Yield Maintenance Agreement, on
each Distribution Date, an amount will be
deposited into the Reserve Fund equal to the
amounts received under the Yield Maintenance
Agreements (the "Reserve Fund Addition"). In
addition, on any Distribution Date for which the
Overcollateralization Amount is equal to the
Required Overcollateralization Amount and any
Basis Risk Shortfall Carry-Forward Amount
exists, which would not otherwise be covered by
amounts currently in the Reserve Fund, a portion
of the Net Monthly Excess Cash Flow will be
deposited in the Reserve Fund as described
herein.
ASSETS OF THE TRUST: On the Closing Date, the assets of the Trust are
expected to include: (i) the Mortgage Loans
(namely, the Group I Mortgage Loans and the
Group II Mortgage Loans); (ii) such assets as
from time to time as identified as deposited on
respect of the Mortgage Loans in the Custodial
Account and in the Certificate Account and
belonging to the Trust; (iii) property acquired
by foreclosure of such Mortgage Loans or deed in
lieu of foreclosure; (iv) any applicable Primary
Insurance Policies and standard hazard insurance
policies; (v) the Policy; (vi) the Yield
Maintenance Agreement and the Reserve Fund;
(vii) the right to receive amounts received from
any additional collateral that has been assigned
to the Trustee, and (viii) all proceeds of the
foregoing.
<PAGE>
COLLATERAL DESCRIPTION: The mortgage pool consists of approximately
$382,061,630 (as of September 1, 1999) of
performing Mortgage Loans that have been
originated or acquired by RFC.
Approximately 42% of the Mortgage Loans were
acquired or originated as adjustable-rate
mortgage loans with initial rate reset dates of
36 or 60 months, after which the rate on such
Mortgage Loans will reset every 6 or 12 months
(the "Hybrid Mortgage Loans"). The weighted
average Credit Score of the Hybrid Mortgage
Loans was 718 as of the Cut-off Date. In
addition, approximately 68% of the Hybrid
Mortgage Loans were underwritten to RFC's Jumbo
"A" Credit Guidelines. The remaining 32% have a
weighted average credit score of approximately
728 as of the Cut-off Date but fell outside the
RFC Jumbo A Credit Guidelines with respect to
certain limited features such as an interest
only amortization period or a semiannual
interest reset after the fixed period.
Approximately 58% of the Mortgage Loans have
been determined to be ineligible or otherwise
inappropriate for inclusion in a securitization
using standard selection criteria by affiliates
of the Seller. Such Mortgage Loans include loans
that:
(1) did not comply with the underwriting
standards for the program under which they
were originated (typically, because the
Loan-to-Value Ratio exceeded permitted
levels, or due to the lack of a Primary
Insurance Policy as required);
(2) have deficiencies in legal documentation;
(3) have prior delinquency histories that do not
comply with standard requirements for
securitizations;
(4) were originated for portfolio and not
pursuant to any particular program accepted
in the secondary mortgage market, many of
which have underwriting deficiencies such as
high Loan-to-Value Ratios or the lack of a
Primary Insurance Policy;
(5) have non-standard Distribution features,
such as balloon Distributions;
(6) represent high concentrations of risk;
(7) are seasoned loans, which may not conform
with current underwriting criteria or
documentation requirements;
(8) have borrowers with low Credit Scores;
(9) have other factors and characteristics that
cause the loan to be ineligible for
inclusion in another securitization, other
than on an exception basis.
The Mortgage Loans were underwritten to a wide
variety of underwriting standards under several
different programs, as more fully described in
the Prospectus Supplement.
PRIORITY OF DISTRIBUTIONS:
On each Distribution Date, amounts distributable
to each Class of Class A Certificateholders will
be allocated in the following order of priority:
1. To pay accrued interest due on the Class A
Certificates;
2. To pay principal to the holders of the Class
A Certificates in an amount equal to
scheduled principal and principal
prepayments received in respect of the
Mortgage Loans;
3. To pay as principal to the Class A
Certificates an amount necessary to cover
Realized Losses on the Mortgage Loans;
4. To pay the Certificate Insurer the accrued
and unpaid premium for the Policy, and any
payments in connection with the limited
reimbursement agreement;
5. To pay permitted reimbursements to the
Certificate Insurer for prior draws on the
Policy;
6. To pay as additional principal on the Class
A Certificates, the amount of Excess Spread
(if any) necessary to bring the amount of
overcollateralization up to the Required
Overcollateralization Amount;
7. To pay, if necessary, (1) through (6) above
with respect to the Class A Certificates
relating to the other Mortgage Loan Group;
8. To the holder of the Class R Certificates.
On each Distribution Date, to the extent
required, the Trustee will withdraw from amounts
in the Reserve Fund to cover the following
items, in the following order:
1. To reimburse the Certificate Insurer for any
unreimbursed draws under the Policy;
2. To pay the Class A Certificates to cover
Realized Losses on the Mortgage Loans to the
extent not covered by Net Monthly Excess
Spread.
In addition, if following any Distribution Date,
the sum of the Overcollateralization Amount and
the amount in the Reserve Fund is greater than
the Required Overcollateralization Amount, such
excess will be paid from the Reserve Fund as
follows:
1. To pay the Class A Certificateholders for
any Basis Risk Shortfall Carry-Forward
Amount; and
2. To the holder of the Class R Certificates.
<PAGE>
BASIS RISK SHORTFALL
CARRY-FORWARD AMOUNT: The "Basis Risk Shortfall Carry-Forward Amount"
is equal to the aggregate amount of Basis Risk
Shortfall on such Distribution Date, plus any
unpaid Basis Risk Shortfall from prior
Distribution Dates, plus interest thereon to the
extent previously unreimbursed by amounts in the
Reserve Fund.
On any Distribution Date on which the Class A
Certificates receive interest based on the Net
WAC Cap Rate, "Basis Risk Shortfall" is equal to
the excess, if any, of (a) accrued Certificate
interest on the Class A Certificates calculated
pursuant to the lesser of (i) clause (x) of the
definition of Pass-Through Rate thereof and (ii)
14% over (b) accrued Certificate interest on the
Class A Certificates calculated pursuant to the
Net WAC Cap Rate. Basis Risk Shortfall will only
be recoverable from the Reserve Fund, including
Net Monthly Excess Cash Flow to the extent
deposited in the Reserve Fund, and not from the
Policy or otherwise.
STEPDOWN DATE: The Stepdown Date is the Distribution Date
occurring on the later of:
(1) the [30]th Distribution Date after [March
2001]; and
(2) the first Distribution Date on which the
current Pool Principal Balance has been
reduced to an amount equal to 50% of the
original Pool Principal Balance.
ALLOCATION OF LOSSES: Realized Losses with respect to each Mortgage
Loan Group will not be allocated to the related
Class A Certificates, to the extent covered as
follows:
1. By the amount of Excess Spread available;
2. By the amounts in the Reserve Fund
(including the current distribution under
the Yield Maintenance Agreements);
3. By decreasing the amount of
overcollateralization in the Trust;
4. By the amount of excess spread or
overcollateralization available, if any,
with respect to the other Mortgage Loan
Group.
To the extent not covered as described above,
Realized Losses on the Mortgage Loans will be
allocated to the Class A Certificates. Any such
loss will be covered by the Policy.
ADVANCING: The Master Servicer will be obligated to advance
delinquent principal and interest through the
liquidation of REO or until deemed
unrecoverable.
YIELD MAINTENANCE AGREEMENTS: The Trust will benefit from a series of interest
rate cap payments pursuant to three amortizing
cap agreements (the "Yield Maintenance
Agreements") designed to partially mitigate the
interest rate risk that could arise from the
difference between the Pass-Through Rates and
the weighted average Net Mortgage Rates of the
Fixed Rate Mortgage Loans, the Adjustable Rate
Mortgage Loans with an original months to next
rate reset of 36 months (the "36-month Hybrid
Mortgage Loans") and, the Adjustable Rate
Mortgage Loans with an original months to next
rate reset of 60 months (the "60-month Hybrid
Mortgage Loans").
On each Distribution Date, payments under the
amortizing cap agreement on the Fixed Rate
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the Fixed Rate Mortgage Loans, based
on an amortization schedule applying a constant
10% CPR and (b) the actual balance of the Fixed
Rate Mortgage Loans relating to such
Distribution Date (the "Fixed Rate Mortgage Loan
Notional Balance"). The amount of such payment
will be equal to the product of (a) 1/12th of
the excess of (i) then-current LIBOR over (ii)
[7.40]% and (b) the then-current Fixed Rate
Mortgage Loan Notional Balance.
On each Distribution Date, payments under the
amortizing cap agreement on the 36-month Hybrid
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the 36-month Hybrid Mortgage Loans,
based on an amortization schedule applying a
constant [15]% CPR and (b) the actual balance of
the 36-month Hybrid Mortgage Loans relating to
such Distribution Date (the "36-month Hybrid
Mortgage Loan Notional Balance"). The amount of
such payment will be equal to the product of (a)
1/12th of the excess of (i) then-current LIBOR
over (ii) [6.15]% and (b) the then-current
36-month Hybrid Mortgage Loan Notional Balance.
<PAGE>
YIELD MAINTENANCE AGREEMENTS
(CONT'D): On each Distribution Date, payments under the
amortizing cap agreement on the 60-month Hybrid
Mortgage Loans will be made relating to an
amount equal to the lesser of (a) the notional
balance of the 60-month Hybrid Mortgage Loans,
based on an amortization schedule applying a
constant [15]% CPR and (b) the actual balance of
the 60-month Hybrid Mortgage Loans relating to
such Distribution Date (the "60-month Hybrid
Mortgage Loan Notional Balance"). The amount of
such payment will be equal to the product of (a)
1/12th of the excess of (i) then-current LIBOR
over (ii) [6.15]% and (b) the then-current
60-month Hybrid Mortgage Loan Notional Balance.
It is anticipated that the Yield Maintenance
Agreements on the Fixed Rate Mortgage Loans, the
36-month Hybrid Mortgage Loans and the 60-month
Hybrid Mortgage Loans will have a strike rate
and maturity date pursuant the following
schedule:
<TABLE>
<CAPTION>
------------------------------------------- ------------------ -----------
ESTIMATED
DESCRIPTION STRIKE RATE MONTHS
------------------------------------------- ------------------ -----------
<S> <C> <C>
Fixed Rate Mortgage Loans [7.40]% [1-96]
------------------------------------------- ------------------ -----------
36-month Hybrid Mortgage Loans [6.15]% [1-36]
------------------------------------------- ------------------ -----------
60-month Hybrid Mortgage Loans [6.15]% [1-60]
------------------------------------------- ------------------ -----------
</TABLE>
CREDIT ENHANCEMENT: Credit enhancement with respect to the
Certificates will be provided by (1) excess
spread, (2) overcollateralization, (3)
cross-collateralization, (4) a reserve fund and
(5) the Ambac Insurance Policy.
EXCESS SPREAD: The interest due on the Mortgage
Loans is generally expected to be higher than
the interest due on the Certificates and other
fees and expenses of the Trust, thus generating
excess interest collections ("Excess Spread"),
which will be available to fund distributions on
the Certificates, commencing with the
Distribution Date in November 1999. Such amount
can vary over time based on the prepayment and
default experience of the Mortgage Loans. On
each Distribution Date, excess spread generated
during the related collection period will be
available to cover losses and build
overcollateralization on such Distribution Date.
<PAGE>
CREDIT ENHANCEMENT (CONT'D): OVERCOLLATERALIZATION: The initial
overcollateralization amount will be equal to
0.00% of the Original Pool Principal Balance on
the Closing Date. Thereafter, excess spread will
be applied, to the extent available, to make
accelerated payments of principal to the Class A
Certificates; such application will cause the
aggregate principal balance of the Class A
Certificates to amortize more rapidly than the
Mortgage Loans, resulting in
overcollateralization. Prior to the Stepdown
Date, the "Required Overcollateralization
Amount" will be equal to [1.65]% of the original
Pool Principal Balance of the Group I Mortgage
Loans and [1.20]% of the original Pool Principal
Balance of the Group II Mortgage Loans. On or
after the Stepdown Date, the "Required
Overcollateralization Amount" will be permitted,
subject to certain performance triggers being
satisfied, to decrease to (a) [3.30]% of current
Pool Principal Balance of the Group I Mortgage
Loans, subject to a floor of 0.50% of the
original Pool Principal Balance of the Group I
Mortgage Loans, and (b) [2.40]% of current Pool
Principal Balance of the Group II Mortgage
Loans, subject to a floor of 0.50% of the
original Pool Principal Balance of the Group II
Mortgage Loans.
CROSS-COLLATERALIZATION: Excess spread from each
Mortgage Loan Group will be available to cover
losses and build overcollateralization in the
other Mortgage Loan Group.
RESERVE FUND: The Trustee will establish a
reserve fund (the "Reserve Fund") to make
certain payments on the Class A Certificates.
The Reserve Fund will generally be funded by
payments under the Yield Maintenance Agreements.
On each Distribution Date, the Trustee will make
draws from the Reserve Fund, to the extent of
funds available, to cover (a) reimbursements to
the Insurer; (b) distributions to the Class A
Certificates in respect of any Realized Losses
not covered by Excess Spread; and (c)
distributions to the Class A Certificates to
cover any Basis Risk Shortfall.
AMBAC INSURANCE POLICY: Ambac Assurance
Corporation (the "Certificate Insurer") will
unconditionally and irrevocably guarantee: (a)
timely payment of interest, (b) the amount of
any losses not covered by excess spread or
overcollateralization, and (c) the payment of
principal on the Class A Certificates by no
later than their respective final scheduled
maturity date (the "Policy"). The Policy is not
revocable for any reason. In addition, the
Certificate Insurer will be entitled to payments
under a limited reimbursement agreement.
<PAGE>
COMPENSATING INTEREST: The Master Servicer will be required to cover
interest shortfalls as a result of principal
prepayments in full up to the lesser of (a)
one-twelfth of [_.__]% and (b) the sum of the
Master Servicing Fee payable to the Master
Servicer plus reinvestment income for such
distribution date.
MINIMUM DENOMINATIONS: $25,000 and integral multiples of $1 in excess
thereof.
OPTIONAL CALL: The Master Servicer may, at its option, effect
an early redemption or termination of the Class
A Certificates on the first Distribution Date
after the Distribution Date on which the current
Pool Principal Balance declines to 10% or less
of the original Pool Principal Balance of the
Mortgage.
TAX STATUS: The Trust will be established as a REMIC for tax
purposes.
ERISA ELIGIBILITY: The Class A Certificates may be purchased by
employee benefit plans that are subject to
ERISA.
SMMEA TREATMENT: The Class A Certificates will constitute
"mortgage related securities" for purposes of
SMMEA.
<PAGE>
<TABLE>
<CAPTION>
CHARACTERISTICS OF THE CERTIFICATES (A), (B), (C), (D)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
ORIGINAL AVG LIFE PRINCIPAL PRINCIPAL FINAL SCH.
OFFERED LOAN PRINCIPAL TO CALL LOCKOUT WINDOW MATURITY RATINGS
CERTIFICATES GROUP BALANCE** COUPON (YEARS) (MONTHS) (MONTHS) DATE (S&P/FITCH)
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-I I $260,259,708 Floating (e) 3.34 None 106 [9/25/29] AAA / AAA
Class A-II II $121,801,922 Floating (e) 3.57 None 106 [9/25/29] AAA / AAA
- ---------------- --------- -------------- ------------- ---------- ----------- ----------- ------------- ----------------
</TABLE>
** Bond balances subject to a 10% variance.
NOTES:
a) Pricing Prepayment Speed Assumption: 18% CPR (Fixed Rate
Mortgage Loans); 25% CPR (Adjustable Rate Mortgage Loans).
b) Transaction priced to 10% clean-up call.
c) 100% P&I guaranty by Ambac.
d) The margin on each Certificate will double if the 10%
clean-up call is not exercised.
e) The lesser of (i) One-Month LIBOR plus 0._ % per annum
and (ii) 14%, subject to the Net WAC Cap Rate.
<TABLE>
<CAPTION>
CLASS A-I (TO 10% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE (YEARS) 18.10 5.58 4.13 3.34 2.61 2.17 1.83
MODIFIED DURATION (YEARS) 10.21 4.24 3.33 2.79 2.25 1.91 1.63
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 12/25/26 12/25/13 6/25/10 7/25/08 7/25/06 5/25/05 6/25/04
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 327 171 129 106 82 68 57
ILLUSTRATIVE YIELD (30/360) 5.936% 5.936% 5.936% 5.936% 5.936% 5.936% 5.936%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CLASS A-II (TO 10% CLEAN-UP CALL)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 16.41 5.94 4.34 3.57 2.70 2.23 1.88
MODIFIED DURATION (YEARS) 9.67 4.48 3.48 2.96 2.32 1.96 1.68
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 12/25/26 12/25/13 6/25/10 7/25/08 7/25/06 5/25/05 6/25/04
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 327 171 129 106 82 68 57
ILLUSTRATIVE YIELD (30/360) 5.884% 5.884% 5.884% 5.884% 5.884% 5.884% 5.884%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
CLASS A-I (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 18.19 5.93 4.44 3.61 2.82 2.35 1.98
MODIFIED DURATION (YEARS) 10.22 4.37 3.47 2.92 2.38 2.02 1.74
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 4/25/29 6/25/25 9/25/21 8/25/18 7/25/14 4/25/12 5/25/10
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 355 309 264 227 178 151 128
ILLUSTRATIVE YIELD (30/360) 5.937% 5.948% 5.953% 5.955% 5.958% 5.960% 5.961%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CLASS A-II (TO MATURITY)
- -------------------------------------------------------------------------------------------------------------------------------
PREPAYMENT ASSUMPTION (CPR):
<S> <C> <C> <C> <C> <C> <C> <C>
FIXED RATE MORTGAGE LOANS 0% 10% 15% 18% 25% 30% 35%
ADJUSTABLE RATE MORTGAGE LOANS 0% 15% 20% 25% 30% 35% 40%
- -------------------------------------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 16.45 6.34 4.71 3.92 2.96 2.44 2.06
MODIFIED DURATION (YEARS) 9.68 4.63 3.65 3.14 2.48 2.10 1.80
FIRST PRINCIPAL DISTRIBUTION 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99 10/25/99
LAST PRINCIPAL DISTRIBUTION 2/25/29 8/25/24 12/25/21 6/25/09 1/25/15 11/25/12 11/25/10
PRINCIPAL LOCKOUT (MONTHS) None None None NONE None None None
PRINCIPAL WINDOW (MONTHS) 353 299 267 237 184 158 134
ILLUSTRATIVE YIELD (30/360) 5.885% 5.896% 5.901% 5.905% 5.906% 5.908% 5.909%
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
RESIDENTIAL FUNDING CORPORATION
RASC 1999-RS3
Computational Materials: Information Relating to the Collateral (PAGE 1 OF 5)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
TOTAL POOL
<S> <C> <C> <C>
Number of Loans: 659 1,160 1,819
Aggregate UPB: $260,259,708 $121,801,922 $382,061,630
Average Current UPB: $394,931 $105,002 $210,039
Maximum Current UPB: $2,150,000 $239,781 $2,150,000
- ---------------------------------------------------------------------------------------------------------
WEIGHTED AVERAGES
Gross Coupon: 7.470% 8.638% 7.842%
Coupon Range:
Minimum 5.625% 5.875% 5.625%
Maximum 11.750% 15.990% 15.990%
Total coupon deductions: 0.367% 0.414% 0.382%
Net Coupon: 7.103% 8.224% 7.460%
Original Term 347 months 333 months 342 months
Stated Remaining Term: 326 months 291 months 316 months
Seasoning: 21 months 42 months 26 months
Original LTV: 75.86% 81.35% 77.61%
Credit Score (for loans with a Credit 699 644 681
Score):
- ---------------------------------------------------------------------------------------------------------
WEIGHTED AVERAGES (ARMS ONLY)
Gross Margin: 2.653% 3.732% 2.880%
Maximum Interest Rate: 12.690% 14.073% 12.982%
Months to Next Rate Adjustment: 46 mos 20 mos 41 mos
Periodic Rate Cap: 1.951% 1.42% 1.838%
- ---------------------------------------------------------------------------------------------------------
AMORTIZATION TYPE
Fixed Rate (Balloon) 3.53% 8.30% 5.05%
Fixed Rate (Fully Amortizing) 27.13% 52.53% 35.23%
1-year Treasury 5.77% 7.88% 6.44%
3-year Fixed Rate / 1-year CMT 8.19% 2.33% 6.32%
5-year Fixed IO / 6-month LIBOR 18.60% 4.81% 14.20%
5-year Fixed Rate / 1-year CMT 29.98% 2.11% 21.09%
6-month LIBOR 0.89% 10.65% 4.00%
11th District COFI 4.03% 9.02% 5.62%
Prime * 1.26% 0.72%
Fixed Rate IO 0.69% --- *
Miscellaneous Indices 0.72% 1.11% 0.84%
- ---------------------------------------------------------------------------------------------------------
LOAN TYPE
Conventional with LTV (=80%; no MI 76.74% 53.96% 69.48%
Conventional with LTV (=80%; with MI --- 0.78% *
Conventional with LTV > 80%; no MI 10.93% 23.42% 14.91%
Conventional with LTV > 80%; with MI 12.33% 20.57% 14.96%
FHA/VA --- 1.27% *
- ---------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
OCCUPANCY
<S> <C> <C> <C>
Owner 94.66% 84.59% 91.45%
Second Home 4.10% 3.34% 3.86%
Investor 1.24% 12.07% 4.69%
- ---------------------------------------------------------------------------------------------------------
LOAN PURPOSE
Purchase 61.03% 56.90% 59.72%
Rate and Term Refinance 15.53% 19.76% 16.88%
Cashout Refinance 23.44% 23.34% 23.41%
- ---------------------------------------------------------------------------------------------------------
PROPERTY TYPE
Single Family 69.00% 69.40% 69.13%
Condo/PUD/Co-op 27.82% 21.27% 25.73%
2-4 Family 3.08% 6.75% 4.25%
Townhouse --- 1.23% *
Manufactured Housing * 1.34% *
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
STATE (> 4%)
California 40.81% 27.29% 36.50%
Florida --- 8.56% 5.04%
New Jersey 4.15% 4.40% 4.23%
New York 11.38% 6.38% 9.79%
Texas --- 5.69% ---
Virginia 4.94% --- 4.14%
- ---------------------------------------------------------------------------------------------------------
ZIP CODE CONCENTRATION (> 1.0%)
11963 (Sag Harbor, NY) 1.88% --- 1.28%
92660 (Newport Beach, CA) 1.22% --- ---
22066 (Great Falls, VA) 1.09% --- ---
- ---------------------------------------------------------------------------------------------------------
ORIGINAL TERM
Up to 60 months --- --- ---
61 to 180 months 7.27% 13.85% 9.37%
181 to 359 months 0.93% 3.91% 1.88%
360 months 91.80% 81.77% 88.60%
361 months or greater --- * *
- ---------------------------------------------------------------------------------------------------------
CONVERSION FEATURE
Fixed Rate 31.35% 60.83% 40.75%
Convertible to Fixed Rate 5.85% * 4.07%
Not convertible to Fixed Rate 62.80% 38.89% 55.18%
- ---------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS (AS OF 8/31/99)**
Current 99.67% 98.87% 99.41%
30 to 59 days delinquent * 0.97% 0.53%
60 to 89 days delinquent --- * *
- ---------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
RATE/PAYMENT ADJUSTMENT FREQUENCIES
<S> <C> <C> <C>
Fixed Rate 31.35% 60.83% 40.75%
Monthly /Annual 3.06% 2.12% 2.76%
Semi-Annual /Semi-Annual 2.60% 8.29% 4.41%
Annual /Annual 5.99% 8.99% 6.94%
2yr Fixed / 6 mos ARMS --- 8.20% 2.61%
3yr Fixed / 6 mos ARMS --- 1.76% 0.56%
3yr Fixed / 1yr ARMS 8.19% 2.44% 6.36%
5yr Fixed / 1yr ARMS 29.98% 2.11% 21.09%
5yr IO Fixed / 6 mo ARMS 10.86% 4.63% 8.87%
5yr IO Fixed / 1yr ARMS 7.74% * 5.33%
- ---------------------------------------------------------------------------------------------------------
CURRENT BALANCE
$50,000 or less * 6.86% 2.20%
$50,001 to $100,000 * 22.32% 7.21%
$100,001 to $150,000 * 27.91% 9.02%
$150,001 to $200,000 0.74% 27.21% 9.18%
$200,001 to $250,000 9.40% 15.70% 11.41%
$250,001 to $300,000 17.97% --- 12.24%
$300,001 to $350,000 14.12% --- 9.62%
$350,001 to $400,000 9.75% --- 6.64%
$400,001 to $450,000 5.20% --- 3.54%
$450,001 to $500,000 6.59% --- 4.49%
$500,001 to $550,000 3.25% --- 2.21%
$550,001 to $600,000 3.58% --- 2.44%
$600,001 to $650,000 7.34% --- 5.00%
$650,001 to $700,000 1.06% --- 0.72%
$700,001 to $800,000 3.50% --- 2.38%
$800,001 to $900,000 2.00% --- 1.36%
$900,001 to $1,000,000 5.61% --- 3.82%
$1,000,001 or $2,000,000 7.11% --- 4.85%
$2,000,001 or greater 2.44% --- 1.66%
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
ORIGINAL LOAN TO VALUE
50% or less 6.20% 3.03% 5.19%
50.01% to 55.00% 1.86% 1.70% 1.81%
55.01% to 60.00% 3.40% 1.93% 2.93%
60.01% to 65.00% 7.00% 4.04% 6.06%
65.01% to 70.00% 9.35% 7.69% 8.82%
70.01% to 75.00% 16.44% 10.52% 14.55%
75.01% to 80.00% 32.49% 25.87% 30.38%
80.01% to 85.00% 2.97% 7.41% 4.39%
85.01% to 90.00% 10.56% 21.22% 13.96%
90.01% to 95.00% 3.71% 7.21% 4.83%
95.01% to 100.00% 4.81% 5.04% 4.88%
100.01% or greater 1.20% 4.36% 2.21%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
RATE GROSS
<S> <C> <C> <C>
Less than 7.000% 27.00% 7.51% 20.79%
7.000% to 7.499% 35.84% 18.21% 30.22%
7.500% to 7.999% 17.00% 13.97% 16.03%
8.000% to 8.499% 4.71% 11.38% 6.84%
8.500% to 8.999% 7.12% 12.84% 8.94%
9.000% to 9.499% 5.36% 7.33% 5.99%
9.500% to 9.999% 2.38% 9.08% 4.52%
10.000% to 10.499% * 6.68% 2.35%
10.500% to 10.999% --- 5.51% 1.76%
11.000% to 11.499% --- 2.50% 0.80%
11.500% to 11.999% * 3.02% 1.15%
12.000% or greater --- 1.97% 0.63%
- ------------------------------------------------ ----------------------- --
- ---------------------------------------------------------------------------------------------------------
CREDIT SCORE
Not provided 1.66% 2.26% 1.85%
600 or Below 10.22% 29.34% 16.32%
601 to 620 2.61% 8.34% 4.44%
621 to 640 5.05% 9.31% 6.41%
641 to 660 5.05% 10.38% 6.75%
661 to 680 11.39% 8.69% 10.53%
681 to 700 9.40% 7.81% 8.89%
701 or greater 54.62% 23.87% 44.82%
- --------------------------------------------------------------------------------------- --
- ---------------------------------------------------------------------------------------------------------
ARM MARGIN
Fixed Rate 31.35% 60.83% 40.75%
No Margin --- --- ---
Less Than 1.499% * 1.08% 0.66%
2.000% to 2.499% 14.09% 8.74% 12.38%
2.500% to 2.999% 50.87% 17.37% 40.19%
3.000% to 3.499% 2.13% 1.00% 1.77%
3.500% to 3.999% * * *
4.000% to 4.499% --- * *
4.500% to 4.999% --- --- ---
5.000% to 5.499% --- * *
5.500% to 5.999% * 0.55% *
6.000% to 6.499% * 1.92% 0.76%
6.500% to 6.999% * 2.26% 1.03%
7.000% to 7.499% --- 2.51% 0.80%
7.500% or greater --- 3.38% 1.08%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
CHARACTERISTICS GROUP I GROUP II TOTAL
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
MAXIMUM INTEREST RATE
<S> <C> <C> <C>
Fixed Rate 31.35% 60.83% 40.75%
Less Than 12.00% 9.33% 1.53% 6.84%
12.000% to 12.499 % 15.34% 6.17% 12.42%
12.500% to 12.999 % 19.34% 3.44% 14.27%
13.000% to 13.499 % 17.32% 9.11% 14.70%
13.500% to 13.999 % 4.89% 5.24% 5.00%
14.000% to 14.499 % 0.64% 1.59% 0.94%
14.500% to 14.999 % * 0.81% *
15.000% to 15.499 % 0.63% 0.84% 0.70%
15.500% to 15.999 % * 1.86% 0.81%
16.000% to 16.499 % * 1.02% 0.61%
16.500% to 16.999 % --- 2.78% 0.89%
17.000% to 17.499 % * 2.05% 0.73%
17.500% to 17.999 % --- 1.74% 0.55%
18.000% or greater --- 1.01% *
- ---------------------------------------------------------------------------------------------------------
PERIODIC RATE CAP
Fixed Rate 31.35% 60.83% 40.75%
None 14.02% 7.13% 11.82%
0.50% --- * *
1.00% 1.98% 8.92% 4.19%
1.50% * * *
2.00% 45.87% 12.75% 35.31%
2.00% then 1.00% --- * *
3.00% then 1.00% 0.90% 9.28% 3.57%
3.00% then 2.00% 5.39% 0.23% 3.74%
5.00% * --- *
5.00% then 2.00% * * *
7.00% --- * *
- ------------------------------------------------ --- --- --
- ---------------------------------------------------------------------------------------------------------
NEGATIVE AMORTIZATION PERCENT CAP
Fixed Rate 31.35% 60.83% 40.75%
None 65.69% 37.05% 56.49%
110% * * *
115% * * *
120% 2.70% 1.49% 2.31%
- ---------------------------------------------------------------------------------------------------------
</TABLE>
* INDICATES A NUMBER THAT IS GREATER THAN ZERO BUT LESS THAN 0.5%
NOTE: THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION
OF THE COLLATERAL IN THE PROSPECTUS SUPPLEMENT.
