FREMONT HOME LOAN TRUST 1999-3 ------------------------------------------------ -------------------------------- Deutsche Banc Alex. Brown PRELIMINARY BACKGROUND INFORMATION FREMONT HOME LOAN TRUST 1999-3 DISCLAIMER --------------...
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FREMONT HOME LOAN TRUST 1999-3
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Deutsche Banc ▇▇▇▇. ▇▇▇▇▇
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
DISCLAIMER
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The information included herein is produced and provided exclusively by Deutsche
Bank Securities Inc.("DBS") as one of the underwriters for the Fremont Home Loan
Trust 1999-3, Home Loan Asset-Backed Certificates, Series 1999-3, and not by or
as agent for Fremont Investment & Loan or any of its affiliates (collectively,
the "Transferor" and "Master Servicer") or for PaineWebber Mortgage Acceptance
Corporation IV (the "Depositor"). Neither the Depositor nor the Transferor has
prepared, reviewed or participated in the preparation hereof, nor are they
responsible for the accuracy hereof and they have not authorized the
dissemination hereof. The analysis in this report is accurate to the best of
DBS's knowledge and is based on information provided by the Transferor. DBS
makes no representations as to the accuracy of such information provided by the
Transferor. THE INFORMATION HEREIN IS PRELIMINARY, AND WILL BE SUPERSEDED IN ITS
ENTIRETY BY THE APPLICABLE PROSPECTUS SUPPLEMENT AND PROSPECTUS AND BY ANY OTHER
INFORMATION SUBSEQUENTLY FILED WITH THE SECURITIES AND EXCHANGE COMMISSION.
All opinions and conclusions in this report reflect DBS's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, DBS does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. DBS (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to herein,
and may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, DBS may make a market in the securities
referred to herein. Neither the information nor the opinions expressed shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy any securities, commodities or derivative instruments
mentioned herein. Finally, DBS has not addressed the legal, accounting and tax
implications of the analysis with respect to you and DBS strongly urges you to
seek advice from your counsel, accountant and tax advisor.
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Deutsche Banc ▇▇▇▇ ▇▇▇▇▇@
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF
THE MORTGAGE LOANS CONTAINED IN THE PROSPECTUS SUPPLEMENT
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FREMONT HOME LOAN TRUST 1999-3
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$475,000,000 (approximate) Offering Amount
Ambac Bond Insured
Bond Summary*
------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
Last Principal Expected
Approximate WAL Principal Window Ratings
Certificates Size Coupon (Years) Payment (Years) (▇▇▇▇▇'▇/S&P)
------------------ --------------- --------------------- -------- --------------- -------------- ----------------------
A-1 $325,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
A-2 $150,000,000 Floater 2.72 12/06 7.25 Aaa/AAA
B $13,934,637 Not Offered Hereby
------------------ --------------- --------------------- ------------------------ -------------- ----------------------
*At a pricing speed of 27% CPR and to the Optional Termination.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
(complete collateral tables on pages 12-27)
-------------------------------------------------------------- --------------------------- --------------------------
POOL 1 POOL 2
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Number of Loans: 2,492 789
Current Balance: $250,394,077 $115,584,286
Average Balance: $100,479 $146,495
Minimum Balance: $11,965 $19,268
Maximum Balance: $291,000 $500,000
Wtd Average Coupon: 9.952% 9.784%
Wtd Average Original Term (months): 358 359
Wtd Average Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool Principal Balance): 91.78% 93.69%
Fixed loans (% of Statistical Pool Principal Balance): 8.22% 6.31%
ARM Summary Information:
Wtd Avg Initial Periodic Rate Cap: 2.936% 2.922%
Wtd Avg Subsequent Periodic Rate Cap: 1.443% 1.449%
Wtd Avg Margin: 6.233% 6.217%
Wtd Avg Life Cap: 16.838% 16.658%
Wtd Avg Months to Roll: 29 27
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This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), is
privileged and confidential, is intended for use by the addressee only, and may
not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating such
information. Prospective investors are advised to read carefully, and should
rely solely on, the final prospectus and prospectus supplement (the "Final
Prospectus") related to the securities (the "Securities") in making their
investment decisions. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement, if applicable, and the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related securities
or perform for or solicit investment banking services from, any company
mentioned herein.
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
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CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.32 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
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CPR
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CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.40 5.06 3.76 2.72 2.01 1.46
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 08/28 02/13 09/09 12/06 01/05 08/03
WINDOW (YEARS) 28.92 13.42 10.00 7.25 5.33 3.92
----------------------------------------------------------------------------------------------------
TO MATURITY:
CPR
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CLASS A-1 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.37 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
----------------------------------------------------------------------------------------------------
CPR
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CLASS A-2 0% 15% 20% 27% 35% 45%
AVERAGE LIFE 21.45 5.46 4.10 2.96 2.19 1.59
FIRST PAY 10/99 10/99 10/99 10/99 10/99 10/99
LAST PAY 09/29 12/25 06/21 12/15 10/11 07/08
WINDOW (YEARS) 30.00 26.25 21.75 16.25 12.08 8.83
----------------------------------------------------------------------------------------------------
PRICING INFORMATION
PRICING SPEED: 27% CPR
PAYMENT DATE: The 25th day of each month (or the next
Business Day thereafter) commencing in
October of 1999.
INTEREST ACCRUAL PERIOD: For the Class A-1 and Class A-2
Certificates, the period beginning on the
prior payment date (or on the Closing Date
in the case of the first payment date) and
ending on the day prior to the relevant
payment date.
PAYMENT DELAY: 0 days.
SETTLEMENT (CLOSING) DATE: On or about September 23rd, 1999.
CUT-OFF DATE: September 1st, 1999 (close of business).
OPTIONAL TERMINATION DATE: The Optional Termination Date is the first
Payment Date on which the Aggregate Pool
Balance has declined to less than 10% of the
sum of (x) the aggregate balance of the
Initial Loans as of the Cut-Off Date and (y)
the amount on deposit in the Pre-funding
Account as of the Settlement Date.
OPTIONAL TERMINATION: The Servicer may (with the consent of the
Certificate Insurer, if such termination
would cause a payment to be made under the
Certificate Insurance Policy), at its option
(and if such option is not exercised by the
Servicer, the Certificate Insurer may, at
its option) effect an early termination of
the Trust on any Payment Date on or after
the Optional Termination Date by purchasing
all of the Home Equity Loans at a price
equal to or greater than the Termination
Price.
TERMINATION PRICE: The Termination Price will generally be an
amount equal to the greater of (i) the par
amount of all the loans and (ii) the fair
market value of the loans, and certain other
expenses.
AGGREGATE POOL BALANCE: The aggregate of the Pool 1 and Pool 2 (each
a "Pool") principal balances.
SERVICING/OTHER FEES: The collateral is subject to certain fees,
including a Master Servicing and Servicing
Fee totaling 0.50% per annum payable
monthly, Certificate Insurer Fees and
Trustee Fees.
ADVANCING: The Master Servicer is required to advance
any delinquent payment of interest and
principal to the extent such amounts are
deemed to be recoverable (the "Delinquency
Advances"). The Servicer is required to
advance reasonable and customary expense
advances with respect to the loans (for
items such as taxes and insurance) to the
extent such advances are deemed to be
recoverable ("Servicer Advances").
DESCRIPTION OF SECURITIES
TITLE OF SECURITIES: Fremont Home Loan Trust 1999-3, Home Loan
Asset-Backed Certificates, Series 1999-3.
OFFERING AMOUNT: Approximately $475,000,000.
LEAD UNDERWRITER: PaineWebber Incorporated
CO-UNDERWRITERS: Banc One Capital Markets, Inc.
Chase Securities Inc.
Credit Suisse First Boston
Deutsche Banc ▇▇▇▇. ▇▇▇▇▇
First Union Capital Markets
TRANSFEROR/MASTER SERVICER: Fremont Investment & Loan (a Fremont General
Company) Headquartered in Anaheim, CA
DEPOSITOR: PaineWebber Mortgage Acceptance Corporation
IV
SERVICER: Countrywide Home Loans, Inc.
TRUSTEE: [TBD]
STATISTICAL CALCULATION DATE: The loans described herein represent the
portion of the loans to be conveyed to the
Trust at closing (the "Initial Loans") that
have been identified by Fremont as of the
statistical calculation date of August 25,
1999. We anticipate that additional loans
will be conveyed to the issuer during the
three months following closing. In addition,
other loans may be substituted for the
currently identified loans.
It is anticipated that the total unpaid
principal balance of the collateral pool
conveyed to the Trust at closing will be
approximately $366,000,000.
PRE-FUNDING ACCOUNT: On the Closing Date, approximately
$122,957,000 will be deposited in an account
(the "Pre-Funding Account") and will be used
to acquire Subsequent Loans. The
"Pre-Funding Period" is the period
commencing on the Closing Date and ending
generally on the earlier to occur of (i) the
date on which the amount on deposit in the
Pre-Funding Account with respect to any pool
of loans is less than $50,000 and (ii)
December 21st, 1999.
FINAL POOL BALANCE: The Final Pool Balance, with respect to each
Pool, will equal the principal balance of
the Initial Loans for such Pool as of the
cut-off date and the Pool's allocation of
the Pre-Funding Account as of the Cut-off
Date.
CLASS B INTEREST: The Class B Certificates will receive
interest payments after the Senior
Certificates have received their monthly
interest. To the extent of a shortfall in
one Pool to cover it's allocation of the
Class B Certificate's interest, cash flow
can be crossed from the other Pool to cover
such shortfall.
CLASS B PRINCIPAL: The Class B Certificates will receive (1)
all Excess Spread remaining after payment of
Senior Principal and Interest and certain
other amounts and (2) all
Overcollateralization Reduction Amounts
until the bond is retired in full
(essentially all cashflow not required by
the Senior Certificates). As the
Subordination is reduced by application of
Excess Spread, the protection provided by
the accelerated amount of the Class B
Certificates to the Senior Certificates will
be replaced by Overcollateralization.
CLASS B WRITEDOWNS: The Class B writedown for any Payment Date
(after allocation of collections in the
waterfall) will equal the excess, if any, of
(1) the sum of (a) the current Senior
Certificate Balance and (b) the current
Class B Certificate balance over (2) the
current Aggregate Pool Balance. The Class B
writedowns cannot exceed the current Class B
Certificate Balance and will be reimbursable
at the bottom of the waterfall.
CREDIT ENHANCEMENT: Credit enhancement for the Class A-1 and A-2
Certificates (together the "Senior
Certificates") will be provided by the
following:
EXCESS SPREAD: The interest on the loans in
each Pool is generally expected to be higher
than the sum of the Master Servicing and
Servicing Fee, the Trustee Fee, the premium
payable to the Certificate Insurer, such
Pool's allocable share of the Class B
interest, and the interest on such Senior
Certificates, thus generating Excess Spread
which will be available as principal
payments on the related Senior Certificates
on each Payment Date. Under certain
circumstances, Excess Spread from one Pool
may be used to cover shortfalls due to
delinquencies or losses on the other Pool.
OVERCOLLATERALIZATION/SUBORDINATION: Excess
Spread will be applied, to the extent
available, to make accelerated payments of
principal on the Senior Certificates; such
application will cause the principal balance
of the Senior Certificates to amortize more
rapidly than the loans, resulting in
Overcollateralization.
Overcollateralization/Subordination will be
calculated for each Pool as the related
Pool's current principal balance less the
related Senior Certificate's current
principal balance. The Class B Certificates
(the "Subordination") will be senior to the
overcollateralization, but subordinate to
the Senior Certificates. Each pool will be
allocated a portion of the Class B
Certificates.
The initial Subordination will equal [2.85%]
of the related cut-off date pool balance.
Prior to the Stepdown Date, the
Overcollateralization/Subordination target
will equal [5.15%] of the related Final Pool
Balance.
The Stepdown Date will be the later of (1)
the Payment Date in [April 2002] and (2) the
date that the Aggregate Pool Balance has
been reduced to 50% of the aggregate of the
Final Pool Balances.
On or after the Stepdown Date, the
Overcollateralization/Subordination (which
will be allocated to each Pool based on its
current Pool balance) will be equal to the
greatest of:
a) [10.30%] times the current Aggregate
Pool Balance;
b) two times the difference between (i)
50% of the 90+ delinquencies and (ii)
four times the monthly excess spread;
c) the sum of the three largest loans
remaining in the deal; and
d) 0.50% times the aggregate of the Final
Pool balances.
RESERVE ACCOUNT: Amounts required to be
deposited in the Reserve Account will equal
the excess of (i) the sum of the specified
Overcollateralization/Subordination targets
for both Pools over (ii) the sum of the
Overcollateralization/Subordination for both
Pools.
FINANCIAL GUARANTY INSURANCE POLICY: A
financial guaranty policy issued by Ambac
Assurance Corp. ("the Certificate Insurer").
Ambac will unconditionally and irrevocably
guarantee the timely payment of interest and
ultimate payment of principal on the Senior
Certificates (i.e. after any losses reduce
the Overcollateralization/Subordination to
zero, Ambac will cover the excess, if any,
of the current Senior Certificate Balance
over the current Aggregate Pool Balance).
The Insured Payments do not cover Realized
Losses except to the extent that the
aggregate principal balance of the Senior
Certificates exceeds the Aggregate Pool
Balance. Insured Payments do not cover the
Master Servicer's failure to make
Delinquency Advances except to the extent
that a shortfall of interest due on the
Senior Certificates would otherwise result
therefrom. The Ambac Insurance Policy is not
cancelable for any reason. The Ambac
Insurance Policy is not covered by the
property/casualty insurance security fund
specified in Article 76 of the New York
Insurance Law.
PASS-THROUGH RATE: CLASS A-1 CERTIFICATES: The Class A-1
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
CLASS A-2 CERTIFICATES: The Class A-2
Pass-Through Rate will be equal to the
lesser of (x) the applicable Formula Rate
and (y) the applicable Available Funds Cap.
FORMULA RATE: The Formula Rate for the Class A-1
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
The Formula Rate for the Class A-2
Certificates for any Payment Date will equal
the lesser of (i) with respect to any
Payment Date which occurs on or prior to the
Optional Termination Date, one-month LIBOR
plus [ %] per annum, or (ii) with respect to
any Payment Date that occurs after the
Optional Termination Date, one-month LIBOR
plus [ %] per annum.
AVAILABLE FUNDS CAP: The Available Funds Cap for the Senior
Certificates will equal the annualized rate
equal to (i) the interest due on the related
Pool less such Pool's share of the servicing
fee, the Master Servicing fee, the Trustee
fee, such Pool's share of the Class B
monthly interest and the premium payable to
the Certificate Insurer, such amount divided
by the principal balance of the applicable
Class of Senior Certificates. For any
Payment Date on or after October 2000, the
Available Funds Cap for the Senior
Certificates will be further reduced by
0.50%.
AVAILABLE FUNDS CAP
CARRY FORWARD AMOUNT: If, on any Payment Date, the Available Funds
Cap limits the Senior Certificate's
Pass-Through Rate (i.e., the rate set by the
Available Funds Cap is less than the Formula
Rate for the Class A-1 or Class A-2
Certificates), the amount of any such
shortfall will be carried forward and be due
and payable on future Payment Dates and
shall accrue interest at the applicable
Formula Rate, until paid (such shortfall,
together with such accrued interest, the
"Available Funds Cap Carry Forward Amount").
The Insurance Policy for the Senior
Certificates does not cover the Available
Funds Cap Carry Forward Amount; the payment
of such amount may be funded only from
Excess Spread remaining after (i) the
payment of interest and principal due on the
Senior Certificates for such Payment Date,
(ii) reimbursement of the Certificate
Insurer, (iii) payment of accelerated
principal on the Senior Certificates to
achieve the required overcollateralization
targets for such Payment Date, or for
required deposits into the Reserve Account,
and (iv) the payment of interest and
principal due on the Class B Certificates
for such Payment Date.
FEDERAL TAX ASPECTS: It is anticipated that the Certificates will
be treated as REMIC regular interests for
tax purposes
ERISA CONSIDERATIONS: The Senior Certificates are expected to be
ERISA eligible. The Subordinate Certificates
will NOT be ERISA eligible.
SMMEA ELIGIBILITY: The Certificates will NOT constitute
"mortgage-related securities" for purposes
of SMMEA.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
DENOMINATIONS: Minimum denominations of $25,000 and
multiples of $1,000 thereafter.
HOME EQUITY LOANS: - First lien, fixed and adjustable rate
mortgage loans.
- 1-4 Family residential properties,
condominium units and manufactured homes.
- A substantial percentage of the loans do
not conform to FNMA or FHLMC underwriting
standards or to those standards typically
applied by banks or other lending
institutions, particularly with regard to a
borrower's credit history.
- Approximately 91.34% (by Statistical
Calculation Date aggregate principal
balance) of the Home Equity Loans bear
prepayment premiums.
The Trust is comprised primarily of two
pools of mortgage loans. The first pool of
loans ("Pool 1 Loans") will support the
Class A-1 Certificates, in that payments on
the Pool 1 Loans will generally be used to
make payments on the Class A-1 Certificates.
Similarly, the second pool of loans ("Pool 2
Loans") will generally be used to make
payments on the Class A-2 Certificates.
POOL 1 LOANS: The Pool 1 Loans have an
aggregate principal balance of approximately
$250,394,077 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 1 Loans is expected to be
approximately $84,140,149. 91.78% of the
Pool 1 Loans, by Statistical Calculation
Date aggregate principal balance, are
adjustable rate Loans that, after a period
of six months, one year, two years, three
years, or five years following the date of
origination, adjust semi-annually based upon
six-month LIBOR. 8.22% of the Pool 1 Loans,
by Statistical Calculation Date aggregate
principal balance, will bear interest at a
fixed rate for the term of the loan. The
original principal balance of each Pool 1
Loan will not exceed the maximum loan
amounts shown in the table below.
MAXIMUM LOAN BALANCES OF POOL 1 LOANS
----------------------- --------------------------------------------------------
NUMBER OF UNITS MAXIMUM LOAN AMOUNT OF FIRST MORTGAGE
Continental United States Alaska or Hawaii
------------------------------ -------------------------
1 $240,000 $360,000
2 $307,100 $460,650
3 $371,200 $556,800
4 $461,350 $692,025
----------------------- ------------------------------ -------------------------
POOL 2 LOANS: The Pool 2 Loans have an
aggregate principal balance of approximately
$115,584,286 as of the Statistical
Calculation Date and the Pre-funded Amount
of the Pool 2 Loans is expected to be
$38,816,126. 93.69% of the Pool 2 Loans, by
Statistical Calculation Date aggregate
principal balance, are adjustable rate Loans
that, after a period of six months, two
years, three years, or five years following
the date of origination, adjust
semi-annually based upon six-month LIBOR.
6.31% of the Pool 2 Loans, by Statistical
Calculation Date aggregate principal
balance, will bear interest at a fixed rate
for the term of the loan. The original
principal balance of 45.83% of the Pool 2
Loans will exceed the maximum loan amounts
shown in the table above. The original
principal balance of 54.17% of the Pool 2
Loans will not exceed the maximum loan
amounts shown in the table above.
DESCRIPTION OF THE SERVICER
o Countrywide Home Loans, Inc ("Countrywide") is a New York corporation and a
subsidiary of Countrywide Credit Industries, Inc.
o Countrywide is engaged primarily in the mortgage banking business, and as
such, originates, purchases, sells and services mortgage loans.
o Countrywide originates mortgage loans through a retail branch system and
through mortgage loan brokers and correspondents nationwide.
o Countrywide's mortgage loans are principally first-lien, fixed or
adjustable rate mortgage loans secured by single-family residences.
o As of August 31, 1999, Countrywide provided servicing for mortgage loans
with an aggregate principal balance of approximately $236.4 billion.
o As of August 31, 1999, Countrywide provided servicing for approximately
$4.1 billion in B&C quality mortgage loans.
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
POOL 1 INFORMATION
-------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
-------------------------------------------------------------------------------------------------------
State California 576 76,332,459 30.48
Illinois 195 17,894,756 7.15
Florida 203 17,212,726 6.87
Washington 142 16,651,218 6.65
New York 112 11,417,820 4.56
New Jersey 103 10,764,441 4.30
Utah 93 9,561,841 3.82
Michigan 135 9,212,219 3.68
Ohio 102 7,178,782 2.87
Arizona 80 7,061,485 2.82
Massachusetts 54 6,865,154 2.74
Oregon 62 6,739,093 2.69
Colorado 60 6,209,288 2.48
Nevada 40 4,551,684 1.82
Missouri 63 4,305,274 1.72
Indiana 58 3,965,013 1.58
Pennsylvania 57 3,428,446 1.37
Georgia 34 3,207,038 1.28
North Carolina 31 2,835,912 1.13
Idaho 34 2,737,884 1.09
Wisconsin 37 2,688,091 1.07
Connecticut 21 1,979,647 0.79
New Hampshire 17 1,682,406 0.67
Minnesota 21 1,644,873 0.66
Kansas 19 1,606,778 0.64
South Carolina 15 1,407,608 0.56
Texas 16 1,399,712 0.56
Maryland 13 1,363,902 0.54
Oklahoma 17 1,309,058 0.52
New Mexico 12 1,087,299 0.43
Alaska 9 1,073,715 0.43
Tennessee 11 790,296 0.32
Montana 8 674,580 0.27
Rhode Island 7 658,552 0.26
Maine 5 457,169 0.18
Virginia 4 415,691 0.17
Delaware 3 357,374 0.14
Kentucky 5 352,378 0.14
Hawaii 2 257,500 0.10
Mississippi 2 186,963 0.07
Vermont 2 177,816 0.07
West Virginia 3 164,960 0.07
Arkansas 2 150,940 0.06
Nebraska 2 121,184 0.05
Louisiana 3 114,799 0.05
District of Columbia 1 75,824 0.03
Iowa 1 62,428 0.02
------ ----------- ------
2,492 $250,394,077 100.00%
Original LTV 10.001% - 15.000% 1 25,000 0.01
15.001% - 20.000% 2 59,900 0.02
20.001% - 25.000% 5 232,470 0.09
25.001% - 30.000% 7 523,188 0.21
30.001% - 35.000% 10 573,658 0.23
35.001% - 40.000% 11 486,403 0.19
40.001% - 45.000% 16 948,526 0.38
45.001% - 50.000% 35 2,464,039 0.98
50.001% - 55.000% 26 1,924,702 0.77
55.001% - 60.000% 74 5,349,278 2.14
60.001% - 65.000% 130 10,622,053 4.24
65.001% - 70.000% 241 21,088,817 8.42
70.001% - 75.000% 374 38,585,940 15.41
75.001% - 80.000% 827 82,539,421 32.96
80.001% - 85.000% 361 40,422,345 16.14
85.001% - 90.000% 372 44,548,338 17.79
------ ----------- ------
2,492 $250,394,077 100.00%
Current Coupon 7.001% - 8.000% 49 6,710,843 2.68
8.001% - 9.000% 438 53,135,852 21.22
9.001% - 10.000% 855 90,674,410 36.21
10.001% - 11.000% 699 63,888,360 25.52
11.001% - 12.000% 323 27,396,221 10.94
12.001% - 13.000% 102 7,099,822 2.84
13.001% - 14.000% 26 1,488,569 0.59
------ ----------- ------
2,492 $250,394,077 100.00%
Current Balance $10,000.01- $15,000.00 2 26,939 0.01
$15,000.01- $20,000.00 5 99,946 0.04
$20,000.01- $30,000.00 56 1,519,129 0.61
$30,000.01- $40,000.00 150 5,328,826 2.13
$40,000.01- $50,000.00 183 8,372,555 3.34
$50,000.01- $100,000.00 1,020 75,671,096 30.22
$100,000.01- $250,000.00 1,073 158,556,078 63.32
$250,000.01- $500,000.00 3 819,508 0.33
------ ----------- ------
2,492 $250,394,077 100.00%
Property Type Single Family 2,176 220,670,482 88.13
2-4 Family 184 18,733,684 7.48
Condominium 100 8,588,697 3.43
Manufactured Housing 32 2,401,214 0.96
------ ----------- ------
2,492 $250,394,077 100.00%
Loan Age 0 909 88,119,593 35.19
1 770 79,636,119 31.80
2 147 15,403,675 6.15
3 102 10,838,089 4.33
4 56 5,806,591 2.32
5 65 6,355,670 2.54
6 60 5,918,785 2.36
7 51 5,193,120 2.07
8 or more 332 33,122,433 13.23
------ ----------- ------
2,492 $250,394,077 100.00%
Remaining Term Less than 353 372 35,983,008 14.37
353 50 5,144,826 2.05
354 57 5,634,656 2.25
355 64 6,303,233 2.52
356 55 5,774,904 2.31
357 98 10,438,938 4.17
358 147 15,403,675 6.15
359 756 78,698,393 31.43
360 893 87,012,443 34.75
------ ----------- ------
2,492 $250,394,077 100.00%
Occupancy Owner Occupied 2,244 232,362,796 92.80
Non-Owner Occupied 248 18,031,281 7.20
------ ----------- ------
2,492 $250,394,077 100.00%
Credit Grade A 369 38,090,914 15.21
A- 801 92,684,755 37.02
B 693 67,813,059 27.08
C 483 40,744,355 16.27
C- 97 7,390,150 2.95
D 49 3,670,844 1.47
------ ----------- ------
2,492 $250,394,077 100.00%
Margin Fixed 250 20,577,587 8.22
3.501 - 3.750% 1 48,490 0.02
3.751 - 4.000% 1 55,584 0.02
4.251 - 4.500% 3 337,708 0.13
4.501 - 4.750% 7 719,183 0.29
4.751 - 5.000% 17 1,928,620 0.77
5.001 - 5.250% 31 3,046,037 1.22
5.251 - 5.500% 170 19,976,674 7.98
5.501 - 5.750% 119 12,970,027 5.18
5.751 - 6.000% 543 58,223,275 23.25
6.001 - 6.250% 552 56,856,677 22.71
6.251 - 6.500% 197 20,726,639 8.28
6.501 - 6.750% 264 26,750,620 10.68
6.751 - 7.000% 77 7,202,043 2.88
7.001 - 7.250% 119 9,714,161 3.88
7.251 - 7.500% 49 3,915,448 1.56
7.501 - 7.750% 38 2,945,775 1.18
7.751 - 8.000% 23 1,980,354 0.79
8.001 - 8.250% 9 892,413 0.36
8.251 - 8.500% 11 703,076 0.28
8.501 - 8.750% 5 409,351 0.16
8.751 - 9.000% 3 246,975 0.10
9.001 - 9.250% 1 88,971 0.04
9.251 - 9.500% 1 42,575 0.02
9.751 - 10.000% 1 35,816 0.01
------ ----------- ------
2,492 $250,394,077 100.00%
Rate Reset Fixed 250 20,577,587 8.22
1999/10 6 865,549 0.35
1999/11 9 940,063 0.38
1999/12 10 884,068 0.35
2000/01 18 1,607,013 0.64
2000/02 8 857,196 0.34
2000/03 3 648,707 0.26
2000/04 5 414,231 0.17
2000/06 3 279,857 0.11
2000/07 9 462,670 0.18
2000/08 11 867,894 0.35
2000/09 17 1,868,826 0.75
2000/10 73 7,478,369 2.99
2000/11 126 12,726,897 5.08
2000/12 51 5,153,257 2.06
2001/01 22 2,321,364 0.93
2001/02 52 5,347,973 2.14
2001/03 48 4,840,351 1.93
2001/04 28 2,633,269 1.05
2001/05 25 2,453,512 0.98
2001/06 65 7,054,366 2.82
2001/07 345 37,672,743 15.05
2001/08 303 30,773,142 12.29
2001/09 65 6,293,733 2.51
2001/10 11 948,216 0.38
2001/11 17 1,560,726 0.62
2001/12 8 605,477 0.24
2002/01 4 463,975 0.19
2002/02 5 331,084 0.13
2002/03 16 1,577,043 0.63
2002/04 22 2,729,483 1.09
2002/05 83 8,598,066 3.43
2002/06 27 2,745,456 1.10
2002/07 231 23,432,438 9.36
2002/08 201 19,899,589 7.95
2002/09 52 5,273,040 2.11
2003/06 1 63,489 0.03
2003/12 1 139,031 0.06
2004/05 1 179,772 0.07
2004/06 13 1,307,217 0.52
2004/07 128 13,274,584 5.30
2004/08 93 10,040,223 4.01
2004/09 26 2,202,530 0.88
------ ----------- ------
2,492 $250,394,077 100.00%
Life Cap Fixed 250 20,577,587 8.22
13.001% - 14.000% 8 958,786 0.38
14.001% - 15.000% 75 10,198,373 4.07
15.001% - 16.000% 429 51,464,286 20.55
16.001% - 17.000% 778 82,145,076 32.81
17.001% - 18.000% 585 54,336,695 21.70
18.001% - 19.000% 277 23,985,156 9.58
19.001% - 20.000% 78 5,887,116 2.35
20.001% - 21.000% 12 841,001 0.34
------ ----------- ------
2,492 $250,394,077 100.00%
Life Floor Fixed 250 20,577,587 8.22
7.001% - 8.000% 49 6,530,634 2.61
8.001% - 9.000% 404 49,990,345 19.96
9.001% - 10.000% 777 82,863,145 33.09
10.001% - 11.000% 626 58,182,492 23.24
11.001% - 12.000% 290 25,079,869 10.02
12.001% - 13.000% 81 6,156,614 2.46
13.001% - 14.000% 15 1,013,390 0.40
------ ----------- ------
2,492 $250,394,077 100.00%
--------------------------------------------------------------------------------------------------------
DESCRIPTION OF HOME EQUITY LOANS AS OF THE STATISTICAL CALCULATION DATE (8/25/99)
POOL 2 INFORMATION
-------------------------------------------------------------------------------------------------------
AGGREGATE FIELD DESCRIPTION COUNT BALANCE$ POOL%
-------------------------------------------------------------------------------------------------------
State California 239 50,129,942 43.37
Illinois 78 9,170,093 7.93
Washington 51 7,130,382 6.17
New Jersey 43 6,976,709 6.04
Florida 58 6,020,586 5.21
Michigan 32 3,770,524 3.26
New York 32 3,728,605 3.23
Utah 19 2,965,306 2.57
Arizona 22 2,828,061 2.45
Massachusetts 18 2,122,180 1.84
Nevada 14 1,985,591 1.72
Georgia 9 1,869,356 1.62
Oregon 14 1,816,254 1.57
Ohio 25 1,674,634 1.45
Connecticut 10 1,394,827 1.21
Colorado 16 1,325,637 1.15
Pennsylvania 16 1,131,463 0.98
Maryland 4 757,042 0.65
Wisconsin 6 745,684 0.65
Minnesota 5 743,399 0.64
Missouri 12 732,634 0.63
Kansas 6 726,974 0.63
Hawaii 3 644,840 0.56
North Carolina 4 642,747 0.56
Montana 4 559,471 0.48
New Mexico 5 558,414 0.48
Idaho 6 477,154 0.41
Virginia 2 434,164 0.38
Indiana 8 402,145 0.35
Oklahoma 3 345,430 0.30
South Carolina 4 328,646 0.28
New Hampshire 4 282,556 0.24
Alaska 2 216,088 0.19
Vermont 2 171,108 0.15
Kentucky 3 154,755 0.13
Texas 3 139,074 0.12
Arkansas 2 128,687 0.11
Louisiana 1 113,955 0.10
Delaware 1 93,934 0.08
Tennessee 1 69,700 0.06
Maine 1 39,920 0.03
Iowa 1 35,613 0.03
------ ----------- ------
789 $115,584,286 100.00%
Original LTV 20.001% - 25.000% 2 56,992 0.05
25.001% - 30.000% 4 170,408 0.15
30.001% - 35.000% 4 348,516 0.30
35.001% - 40.000% 3 144,498 0.13
40.001% - 45.000% 9 547,012 0.47
45.001% - 50.000% 6 311,336 0.27
50.001% - 55.000% 13 2,014,173 1.74
55.001% - 60.000% 22 3,289,696 2.85
60.001% - 65.000% 28 3,763,193 3.26
65.001% - 70.000% 61 7,664,278 6.63
70.001% - 75.000% 127 18,534,954 16.04
75.001% - 80.000% 264 39,132,837 33.86
80.001% - 85.000% 126 19,337,633 16.73
85.001% - 90.000% 120 20,268,761 17.54
------ ----------- ------
789 $115,584,286 100.00%
Current Coupon 7.001% - 8.000% 22 3,506,838 3.03
8.001% - 9.000% 135 25,822,201 22.34
9.001% - 10.000% 304 47,857,531 41.40
10.001% - 11.000% 218 28,235,260 24.43
11.001% - 12.000% 86 8,093,574 7.00
12.001% - 13.000% 19 1,661,588 1.44
13.001% - 14.000% 5 407,293 0.35
------ ----------- ------
789 $115,584,286 100.00%
Current Balance $15,000.01- $20,000.00 3 59,260 0.05
$20,000.01- $30,000.00 12 334,114 0.29
$30,000.01- $40,000.00 38 1,346,418 1.16
$40,000.01- $50,000.00 42 1,907,088 1.65
$50,000.01- $100,000.00 253 18,708,028 16.19
$100,000.01- $250,000.00 293 46,875,749 40.56
$250,000.01- $500,000.00 148 46,353,630 40.10
------ ----------- ------
789 $115,584,286 100.00%
Property Type Single Family 689 103,136,068 89.23
2-4 Family 61 7,568,291 6.55
Condominium 31 4,112,055 3.56
Manufactured Housing 8 767,873 0.66
------ ----------- ------
789 $115,584,286 100.00%
Loan Age 0 302 41,260,730 35.70
1 215 33,352,893 28.86
2 64 8,280,822 7.16
3 26 4,331,139 3.75
4 23 3,685,435 3.19
5 23 3,176,284 2.75
6 18 2,465,110 2.13
7 17 1,546,079 1.34
8 or more 101 17,485,794 15.13
------ ----------- ------
789 $115,584,286 100.00%
Remaining Term Less than 353 105 18,017,223 15.59
353 17 1,546,079 1.34
354 17 2,371,381 2.05
355 23 3,176,284 2.75
356 23 3,685,435 3.19
357 26 4,331,139 3.75
358 64 8,280,822 7.16
359 215 33,352,893 28.86
360 299 40,823,030 35.32
------ ----------- ------
789 $115,584,286 100.00%
Occupancy Owner Occupied 722 107,823,501 93.29
Non-Owner Occupied 67 7,760,785 6.71
------ ----------- ------
789 $115,584,286 100.00%
Credit Grade A 130 21,831,492 18.89
A- 277 44,519,927 38.52
B 212 29,524,169 25.54
C 132 15,875,200 13.73
C- 26 2,900,401 2.51
D 12 933,097 0.81
------ ----------- ------
789 $115,584,286 100.00%
Margin Fixed 66 7,293,424 6.31
4.001 - 4.250% 2 99,151 0.09
4.501 - 4.750% 3 531,888 0.46
4.751 - 5.000% 7 1,252,956 1.08
5.001 - 5.250% 9 1,664,469 1.44
5.251 - 5.500% 52 7,818,170 6.76
5.501 - 5.750% 32 6,639,910 5.74
5.751 - 6.000% 182 29,234,532 25.29
6.001 - 6.250% 169 23,250,665 20.12
6.251 - 6.500% 76 12,149,031 10.51
6.501 - 6.750% 94 13,243,317 11.46
6.751 - 7.000% 22 4,305,533 3.73
7.001 - 7.250% 41 4,239,070 3.67
7.251 - 7.500% 13 1,557,162 1.35
7.501 - 7.750% 12 1,003,190 0.87
7.751 - 8.000% 5 652,092 0.56
8.001 - 8.250% 3 451,770 0.39
8.501 - 8.750% 1 197,955 0.17
------ ----------- ------
789 $115,584,286 100.00%
Rate Reset Fixed 66 7,293,424 6.31
1999/10 3 626,840 0.54
1999/11 5 855,874 0.74
1999/12 2 298,159 0.26
2000/01 8 1,210,577 1.05
2000/02 3 557,701 0.48
2000/04 1 138,519 0.12
2000/06 3 617,058 0.53
2000/07 2 418,554 0.36
2000/08 3 520,061 0.45
2000/09 6 1,490,149 1.29
2000/10 27 3,735,217 3.23
2000/11 33 5,947,880 5.15
2000/12 10 1,224,110 1.06
2001/01 6 814,712 0.70
2001/02 20 2,438,535 2.11
2001/03 18 2,565,306 2.22
2001/04 12 1,587,059 1.37
2001/05 10 1,501,474 1.30
2001/06 26 3,961,140 3.43
2001/07 112 17,773,486 15.38
2001/08 106 15,831,342 13.70
2001/09 19 2,188,250 1.89
2001/10 4 1,002,540 0.87
2001/11 4 619,094 0.54
2001/12 3 362,586 0.31
2002/01 4 450,241 0.39
2002/02 2 330,016 0.29
2002/03 5 1,329,815 1.15
2002/04 5 747,704 0.65
2002/05 20 3,258,355 2.82
2002/06 12 1,412,408 1.22
2002/07 74 11,463,713 9.92
2002/08 66 9,553,857 8.27
2002/09 16 3,380,435 2.92
2003/04 1 75,461 0.07
2003/05 1 80,078 0.07
2004/06 5 336,640 0.29
2004/07 27 3,509,568 3.04
2004/08 33 3,294,300 2.85
2004/09 6 782,050 0.68
------ ----------- ------
789 $115,584,286 100.00%
Life Cap Fixed 66 7,293,424 6.31
12.001% - 13.000% 1 303,599 0.26
13.001% - 14.000% 4 752,516 0.65
14.001% - 15.000% 30 5,048,329 4.37
15.001% - 16.000% 136 25,644,291 22.19
16.001% - 17.000% 274 44,392,646 38.41
17.001% - 18.000% 186 23,506,751 20.34
18.001% - 19.000% 75 7,012,469 6.07
19.001% - 20.000% 16 1,477,261 1.28
20.001% - 21.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
Life Floor Fixed 66 7,293,424 6.31
6.001% - 7.000% 1 303,599 0.26
7.001% - 8.000% 22 3,762,462 3.26
8.001% - 9.000% 125 24,103,085 20.85
9.001% - 10.000% 284 46,225,599 39.99
10.001% - 11.000% 196 24,941,464 21.58
11.001% - 12.000% 78 7,324,392 6.34
12.001% - 13.000% 16 1,477,261 1.28
13.001% - 14.000% 1 153,000 0.13
------ ----------- ------
789 $115,584,286 100.00%
--------------------------------------------------------------------------------------------------------