FREMONT HOME LOAN TRUST 1999-3 ------------------------------------------------ -------------------------------- PAINEWEBBER INCORPORATED PRELIMINARY BACKGROUND INFORMATION FREMONT HOME LOAN TRUST 1999-3 ------------------------------ DISCLAIMER...
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FREMONT HOME LOAN TRUST 1999-3
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PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
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DISCLAIMER
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The information included herein is produced and provided exclusively by
PaineWebber Incorporated ("PW") 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
PW's knowledge and is based on information provided by the Transferor. PW 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 THE INFORMATION HEREIN IS PRELIMINARY, AND WILL BE SUPERSEDED IN ITS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 PW'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, PW 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. PW (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, PW 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, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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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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$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
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
BOND SENSITIVITY TO PREPAYMENTS
TO OPTIONAL TERMINATION:
CPR
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
CPR
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
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
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 substitute 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 a 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
------ ----------- ------
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
Rate Reset 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%