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FREMONT HOME LOAN TRUST 1999-3
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BANC ONE CAPITAL MARKETS, INC.
PRELIMINARY BACKGROUND INFORMATION
FREMONT HOME LOAN TRUST 1999-3
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THE ANALYSIS ABOVE HAS BEEN PREPARED SOLELY FOR INFORMATIONAL PURPOSES AND IS
NOT AN OFFER TO BUY OR SELL OR A SOLICITATION OF AN OFFER TO BUY OR SELL ANY
SECURITY OR INSTRUMENT OR TO PARTICIPATE IN ANY PARTICULAR TRADING STRATEGY.
BANC ONE CAPITAL MARKETS, INC. ("BOCM") AND OTHERS ASSOCIATED WITH IT MAY HAVE
POSITIONS IN, AND MAY EFFECT TRANSACTIONS IN SECURITIES AND INSTRUMENTS OF THE
ISSUER MENTIONED HEREIN AND MAY ALSO PERFORM OR SEEK TO PERFORM INVESTMENT
BANKING SERVICES FOR THE ISSUER OF SUCH SECURITIES AND INSTRUMENTS. THE
INFORMATION PROVIDED ABOVE IS BASED ON OR DERIVED FROM INFORMATION PROVIDED BY
THE ISSUER. NO REPRESENTATION IS MADE THAT IT IS ACCURATE OR COMPLETE. XXXX
MAKES NO REPRESENTATIONS THAT THE ABOVE REFERENCED SECURITY WILL ACTUALLY
PERFORM AS DESCRIBED IN ANY SCENARIO PRESENTED. THIS MATERIAL SUPERSEDES ANY
PREVIOUS MATERIALS DISTRIBUTED AND WILL BE SUPERSEDED BY THE INFORMATION IN THE
FINAL PROSPECTUS SUPPLEMENT.
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THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE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) (XXXXX'X/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
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*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): 358 000
Xxx Xxxxxxx Seasoning (months): 2 2
Wtd Average Original Loan-To-Value: 78.50% 78.62%
Amortization Type:
ARM loans (% of Statistical Pool 91.78% 93.69%
Principal Balance):
Fixed loans (% of Statistical Pool 8.22% 6.31%
Principal Balance):
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
CLASS A-2 CPR
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 For the Class A-1 and Class A-2 Certificates, the
PERIOD: 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 The Optional Termination Date is the first Payment Date
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 Xxxx. Xxxxx
First Union Capital Markets
TRANSFEROR/MASTER Fremont Investment & Loan (a Fremont General Company)
SERVICER: 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/ Excess Spread will be applied, to the extent available,
SUBORDINATION: 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 If, on any Payment Date, the Available Funds Cap limits
CARRY FORWARD the Senior Certificate's Pass-Through Rate (i.e., the
AMOUNT: 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
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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
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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 1 75,824 0.03
Columbia
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 32 2,401,214 0.96
Housing
------ ------------ ------
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%
POOL 2 INFORMATION
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 8 767,873 0.66
Housing
------ ----------- ------
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%
