-5-
Exhibit 99.1
-6-
THE MORTGAGE POOL
GENERAL
The pool of mortgage loans will consist of approximately 6,657
conventional, one- to four- family, adjustable-rate mortgage loans (the
"Mortgage Loans") secured by first liens on residential real properties (the
"Mortgaged Properties") and having an aggregate principal balance as of
July 1,
2000 (the "Cut-off Date") of approximately $653,875,747.06, after application of
scheduled payments due on or before the Cut-off Date whether or not received,
and subject to a permitted variance of plus or minus 5%. The Mortgage Loans have
original terms to maturity of not greater than 30 years from the date on which
the first payment was due on each Mortgage Loan.
References to percentages of the Mortgage Loans, unless otherwise
noted, are calculated based on the aggregate principal balance of the Mortgage
Loans as of the Cut-off Date.
The "Mortgage Rate" on each Mortgage Loan is the per annum rate of
interest specified in the related mortgage note. Each Mortgage Loan provides for
semi-annual adjustment to its Mortgage Rate; provided, however, that the rate
adjusts after an initial period of approximately two years with respect to
approximately 89.07% of the Mortgage Loans by aggregate principal balance as of
the Cut-off Date (the "Two Year Fixed/Adjustable Loans") or three years with
respect to approximately 10.93% of the Mortgage Loans by aggregate principal
balance as of the Cut-off Date (the "Three Year Fixed/Adjustable Loans"). In
connection with each Mortgage Rate adjustment, the Mortgage Loans provide for
corresponding adjustments to their monthly payment amounts, in each case on each
applicable adjustment date (each such date, an "Adjustment Date"). On each
Adjustment Date, the Mortgage Rate on each Mortgage Loan will be adjusted to
equal the sum, rounded to the nearest multiple of 0.125%, of the Index (as
described below) and a fixed percentage amount (the "Gross Margin") for that
Mortgage Loan specified in the related Mortgage Note; provided, however, that
with respect to all of the Mortgage Loans, the Mortgage Rate will generally
increase or decrease by no more than 1.0% per annum on any related Adjustment
Date (the "Periodic Rate Cap"), as provided in the related Mortgage Note, and
will not exceed a specified maximum Mortgage Rate over the life of such Mortgage
Loan (the "Maximum Mortgage Rate") or be less than a specified minimum Mortgage
Rate over the life of such Mortgage Loan (the "Minimum Mortgage Rate").
Notwithstanding the foregoing, the Mortgage Loans generally have a Periodic Rate
Cap of 2.0% (in the case of the Two Year Fixed/Adjustable Loans) and 3.0% (in
the case of the Three Year Fixed/Adjustable Loans), in each case, specified in
the related Mortgage Note, for their first Adjustment Date. Effective with the
first monthly payment due on each Mortgage Loan after each related Adjustment
Date, the monthly payment amount will be adjusted to an amount that will
amortize fully the outstanding principal balance of that Mortgage Loan over its
remaining term, and pay interest at the Mortgage Rate as so adjusted. Due to the
application of the Periodic Rate Caps and the Maximum Mortgage Rates, the
Mortgage Rate on each Mortgage Loan, as adjusted on any related Adjustment Date,
may be less than the sum of the Index, calculated as described herein, and the
related Gross Margin. See "--The Index" herein. None of the Mortgage Loans
permits the related mortgagor to convert the adjustable Mortgage Rate thereon to
a fixed Mortgage Rate.
-7-
The Mortgage Loans have scheduled monthly payments due on the first day
of the month (with respect to each Mortgage Loan, a "Due Date"). Each Mortgage
Loan will contain a customary "due-on-sale" clause which provides that (subject
to state and federal restrictions) the Mortgage Loan must be repaid at the time
of sale of the related Mortgaged Property or assumed by a creditworthy purchaser
of the related Mortgaged Property.
Approximately 56.94% of the Mortgage Loans by aggregate principal
balance as of the Cut- off Date provide for payment by the mortgagor of a
prepayment charge (a "Prepayment Charge") on certain voluntary prepayments in
full.
None of the Mortgage Loans are Buydown Mortgage Loans.
The average principal balance of the Mortgage Loans at origination was
approximately $98,315.52. No Mortgage Loan had a principal balance at
origination greater than approximately $690,000.00 or less than approximately
$10,450.00. The average principal balance of the Mortgage Loans as of the
Cut-off Date was approximately $98,223.79. No Mortgage Loan had a principal
balance as of the Cut-off Date greater than approximately $687,955.82 or less
than approximately $10,449.13.
The Mortgage Loans had Mortgage Rates as of the Cut-off Date ranging
from approximately 8.00% per annum to approximately 15.66% per annum, and the
weighted average Mortgage Rate on the Mortgage Loans was approximately 10.348%
per annum. As of the Cut-off Date, the Mortgage Loans had Gross Margins ranging
from approximately 4.00% to approximately 7.15%, Minimum Mortgage Rates ranging
from approximately 8.00% per annum to approximately 15.66% per annum and Maximum
Mortgage Rates ranging from approximately 14.00% per annum to approximately
21.66% per annum. As of the Cut-off Date, the weighted average Gross Margin on
the Mortgage Loans was approximately 6.604%, the weighted average Minimum
Mortgage Rate on the Mortgage Loans was approximately 10.348% per annum and the
weighted average Maximum Mortgage Rate on the Mortgage Loans was approximately
16.348% per annum. The latest first Adjustment Date following the Cut-off Date
on any Mortgage Loan occurs in April, 2003 and the weighted average next
Adjustment Date for all of the Mortgage Loans following the Cut-off Date is
July, 2002.
The weighted average loan-to-value ratio at origination of the Mortgage
Loans was approximately 74.843%. At origination, no Mortgage Loan had a
loan-to-value ratio greater than approximately 90.00% or less than approximately
13.79%.
The weighted average remaining term to stated maturity of the Mortgage
Loans was approximately 29 years and 1 month as of the Cut-off Date. None of the
Mortgage Loans will have a first Due Date prior to October, 1999 or after
August, 2000, or will have a remaining term to stated maturity of less than 14
years and 2 months or greater than 30 years as of the Cut-off Date. The latest
maturity date of any Mortgage Loan is July, 2030.
The Mortgage Loans are expected to have the following characteristics
as of the Cut-off Date (the sum in any column may not equal the total indicated
due to rounding):
-8-
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AT ORIGINATION
% OF
AGGREGATE AGGREGATE
NUMBER ORIGINAL ORIGINAL
0F PRINCIPAL PRINCIPAL
RANGE ($) LOANS BALANCE BALANCE
--------- ------- -------- -------
0.01 - 50,000.00 . . . . . . 1,566 $ 56,991,355.00 8.71%
50,000.01 - 100,000.00 . . . . . . 2,676 194,426,749.00 29.71
100,000.01 - 150,000.00 . . . . . . 1,342 163,716,906.00 25.01
150,000.01 - 200,000.00 . . . . . . 547 94,415,704.00 14.43
200,000.01 - 250,000.00 . . . . . . 301 67,960,093.00 10.38
250,000.01 - 300,000.00 . . . . . . 83 22,926,987.00 3.50
300,000.01 - 350,000.00 . . . . . . 61 19,840,150.00 3.03
350,000.01 - 400,000.00 . . . . . . 36 13,425,550.00 2.05
400,000.01 - 450,000.00 . . . . . . 25 10,659,700.00 1.63
450,000.01 - 500,000.00 . . . . . . 18 8,863,236.00 1.35
550,000.01 - 600,000.00 . . . . . . 1 570,000.00 0.09
650,000.01 - 700,000.00 . . . . . . 1 690,000.00 0.11
----- ---------------- ------
Total.............................. 6,657 $ 654,486,430.00 100.00%
===== ================ ======
PRINCIPAL BALANCES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
0F OUTSTANDING AS OF OUTSTANDING AS OF
RANGE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
--------- ------- ----------------- -----------------
0.01 - 50,000.00. . . . . . . 1,571 $ 57,154,074.17 8.74%
50,000.01 - 100,000.00. . . . . . . 2,676 194,506,834.84 29.75
100,000.01 - 150,000.00. . . . . . . 1,338 163,232,505.15 24.96
150,000.01 - 200,000.00. . . . . . . 547 94,395,760.06 14.44
200,000.01 - 250,000.00. . . . . . . 300 67,702,769.47 10.35
250,000.01 - 300,000.00. . . . . . . 83 22,907,061.34 3.50
300,000.01 - 350,000.00. . . . . . . 61 19,818,336.79 3.03
350,000.01 - 400,000.00. . . . . . . 36 13,405,030.95 2.05
400,000.01 - 450,000.00. . . . . . . 25 10,643,210.26 1.63
450,000.01 - 500,000.00. . . . . . . 18 8,852,742.23 1.35
550,000.01 - 600,000.00. . . . . . . 1 569,465.98 0.09
650,000.01 - 700,000.00. . . . . . . 1 687,955.82 0.11
----- ---------------- -------
Total.... . . . . . . . . . . . . . 6,657 $653,875,747.06 100.00%
===== =============== ======
-9-
MORTGAGE RATES OF THE MORTGAGE LOANS AT ORIGINATION
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ------------------ -----------------
8.000 - 8.499............................. 153 $ 23,676,360.30 3.62%
8.500 - 8.999............................. 407 60,899,303.39 9.31
9.000 - 9.499............................. 525 70,417,554.74 10.77
9.500 - 9.999............................. 1,168 137,042,041.55 20.96
10.000 - 10.499............................ 756 77,267,505.04 11.82
10.500 - 10.999............................ 1,351 126,182,061.23 19.30
11.000 - 11.499............................ 552 45,950,941.12 7.03
11.500 - 11.999............................ 643 48,405,752.83 7.40
12.000 - 12.499............................ 218 13,754,966.62 2.10
12.500 - 12.999............................ 289 17,796,282.03 2.72
13.000 - 13.499............................ 114 6,425,069.39 0.98
13.500 - 13.999............................ 197 11,170,216.92 1.71
14.000 - 14.499............................ 76 4,317,268.22 0.66
14.500 - 14.999............................ 206 10,462,885.89 1.60
15.000 - 15.499............................ 1 56,400.00 0.01
15.500 - 15.999............................ 1 51,137.79 0.01
----- ---------------- ------
Total...................................... 6,657 $ 653,875,747.06 100.00%
===== ================ ======
MORTGAGE RATES OF THE MORTGAGE LOANS AS OF THE CUT-OFF DATE
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
8.000 - 8.499..................................... 153 $ 23,676,360.30 3.62%
8.500 - 8.999..................................... 407 60,899,303.39 9.31
9.000 - 9.499..................................... 525 70,417,554.74 10.77
9.500 - 9.999..................................... 1,168 137,042,041.55 20.96
10.000 - 10.499.................................... 756 77,267,505.04 11.82
10.500 - 10.999.................................... 1,351 126,182,061.23 19.30
11.000 - 11.499.................................... 552 45,950,941.12 7.03
11.500 - 11.999.................................... 643 48,405,752.83 7.40
12.000 - 12.499.................................... 218 13,754,966.62 2.10
12.500 - 12.999.................................... 289 17,796,282.03 2.72
13.000 - 13.499.................................... 114 6,425,069.39 0.98
13.500 - 13.999.................................... 197 11,170,216.92 1.71
14.000 - 14.499.................................... 76 4,317,268.22 0.66
14.500 - 14.999.................................... 206 10,462,885.89 1.60
15.000 - 15.499.................................... 1 56,400.00 0.01
15.500 - 15.999.................................... 1 51,137.79 0.01
----- ---------------- ------
Total.............................................. 6,657 $653,875,747.06 100.00%
===== ================ ======
-10-
MAXIMUM MORTGAGE RATES OF THE MORTGAGE LOANS
% OF AGGREGATE
PRINCIPAL
AGGREGATE BALANCE
PRINCIPAL BALANCE OUTSTANDING AS
MAXIMUM NUMBER OUTSTANDING AS OF OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ------------------ ----------------
14.000 - 14.499............. 154 $ 23,722,560.30 3.63%
14.500 - 14.999............. 407 60,899,303.39 9.31
15.000 - 15.499............. 525 70,417,554.74 10.77
15.500 - 15.999............. 1,168 137,042,041.55 20.96
16.000 - 16.499............. 756 77,267,505.04 11.82
16.500 - 16.999............. 1,351 126,182,061.23 19.30
17.000 - 17.499............. 552 45,950,941.12 7.03
17.500 - 17.999............. 643 48,405,752.83 7.40
18.000 - 18.499............. 217 13,708,766.62 2.10
18.500 - 18.999............. 289 17,796,282.03 2.72
19.000 - 19.499............. 114 6,425,069.39 0.98
19.500 - 19.999............. 197 11,170,216.92 1.71
20.000 - 20.499............. 76 4,317,268.22 0.66
20.500 - 20.999............. 206 10,462,885.89 1.60
21.000 - 21.499............. 1 56,400.00 0.01
21.500 - 21.999............. 1 51,137.79 0.01
----- ---------------- ------
Total.................. 6,657 $653,875,747.06 100.00%
===== ================ ======
MINIMUM MORTGAGE RATES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
MINIMUM NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE RATE (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------- -------- ----------------- -----------------
8.000 - 8.499........... 153 $ 23,676,360.30 3.62%
8.500 - 8.999........... 407 60,899,303.39 9.31
9.000 - 9.499........... 525 70,417,554.74 10.77
9.500 - 9.999........... 1,168 137,042,041.55 20.96
10.000 - 10.499.......... 756 77,267,505.04 11.82
10.500 - 10.999.......... 1,351 126,182,061.23 19.30
11.000 - 11.499.......... 552 45,950,941.12 7.03
11.500 - 11.999.......... 643 48,405,752.83 7.40
12.000 - 12.499.......... 218 13,754,966.62 2.10
12.500 - 12.999.......... 289 17,796,282.03 2.72
13.000 - 13.499.......... 114 6,425,069.39 0.98
13.500 - 13.999.......... 197 11,170,216.92 1.71
14.000 - 14.499.......... 76 4,317,268.22 0.66
14.500 - 14.999.......... 206 10,462,885.89 1.60
15.000 - 15.499.......... 1 56,400.00 0.01
15.500 - 15.999.......... 1 51,137.79 0.01
----- --------------- ------
Total.................... 6,657 $653,875,747.06 100.00%
===== =============== ======
-11-
GROSS MARGINS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ---------------- -------- ----------------- -----------------
4.000 - 4.249...................... 9 $ 693,003.31 0.11%
4.250 - 4.499...................... 5 718,406.73 0.11
4.500 - 4.749...................... 17 1,578,322.43 0.24
4.750 - 4.999...................... 4 244,181.34 0.04
5.000 - 5.249...................... 21 1,744,566.32 0.27
5.250 - 5.499...................... 1 238,889.67 0.04
5.500 - 5.749...................... 380 30,695,348.41 4.69
5.750 - 5.999...................... 140 9,784,553.31 1.50
6.000 - 6.249...................... 86 8,017,213.83 1.23
6.250 - 6.499...................... 57 4,130,636.91 0.63
6.500 - 6.749...................... 3,347 397,817,180.23 60.84
6.750 - 6.999...................... 289 23,841,017.11 3.65
7.000 - 7.249...................... 2,301 174,372,427.46 26.67
----- --------------- ------
Total......................... 6,657 $653,875,747.06 100.00%
===== =============== ======
ORIGINAL LOAN-TO-VALUE RATIOS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
ORIGINAL NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN-TO-VALUE RATIO (%) OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------------- -------- ----------------- -----------------
Less than or equal to 25.00....... 32 $ 1,137,694.88 0.17%
25.01 - 30.00..................... 29 1,359,957.00 0.21
30.01 - 35.00..................... 30 1,721,880.14 0.26
35.01 - 40.00..................... 54 3,011,752.71 0.46
40.01 - 45.00..................... 76 5,271,495.72 0.81
45.01 - 50.00..................... 127 7,722,996.68 1.18
50.01 - 55.00..................... 196 14,396,804.99 2.20
55.01 - 60.00..................... 603 41,806,458.60 6.39
60.01 - 65.00..................... 519 44,562,763.70 6.82
65.01 - 70.00..................... 832 77,325,080.41 11.83
70.01 - 75.00..................... 1,245 119,389,322.00 18.26
75.01 - 80.00..................... 1,645 178,755,088.77 27.34
80.01 - 85.00..................... 891 107,324,608.74 16.41
85.01 - 90.00..................... 378 50,089,842.72 7.66
----- --------------- ------
Total........................ 6,657 $653,875,747.06 100.00%
===== =============== ======
-12-
GEOGRAPHIC DISTRIBUTION OF THE MORTGAGED PROPERTIES
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOCATION OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- -------- -------- ----------------- -----------------
Alabama..................... 160 $ 10,069,285.56 1.54%
Alaska...................... 3 300,362.86 0.05
Arizona..................... 87 7,949,581.79 1.22
Arkansas.................... 33 1,827,499.15 0.28
California.................. 700 120,164,930.53 18.38
Colorado.................... 130 15,506,807.33 2.37
Connecticut................. 106 11,894,009.73 1.82
Delaware.................... 15 1,034,525.55 0.16
District of Columbia........ 15 1,589,204.80 0.24
Florida..................... 412 33,551,719.68 5.13
Georgia..................... 147 12,808,218.81 1.96
Hawaii...................... 36 6,924,541.14 1.06
Idaho....................... 9 1,074,973.91 0.16
Illinois.................... 399 44,457,980.98 6.80
Indiana..................... 158 11,926,478.92 1.82
Iowa........................ 89 6,261,386.38 0.96
Kansas...................... 35 2,219,732.29 0.34
Kentucky.................... 38 2,379,747.65 0.36
Louisiana................... 84 4,709,541.37 0.72
Maine....................... 3 183,967.63 0.03
Maryland.................... 107 10,222,001.99 1.56
Massachusetts............... 171 21,757,700.12 3.33
Michigan.................... 427 34,805,631.33 5.32
Minnesota................... 320 34,331,067.24 5.25
Mississippi................. 12 521,483.05 0.08
Missouri.................... 100 6,315,220.98 0.97
Montana..................... 3 275,986.68 0.04
Nebraska.................... 35 2,137,960.26 0.33
Nevada...................... 12 1,315,454.06 0.20
New Hampshire............... 15 1,277,857.61 0.20
New Jersey.................. 288 35,146,069.29 5.38
New Mexico.................. 32 2,675,948.88 0.41
New York.................... 367 42,412,731.20 6.49
North Carolina.............. 112 8,837,862.09 1.35
Ohio........................ 230 16,481,655.18 2.52
Oklahoma.................... 76 4,391,855.43 0.67
Oregon...................... 43 4,543,546.96 0.69
Pennsylvania................ 291 22,121,970.12 3.38
Rhode Island................ 52 5,106,965.12 0.78
South Carolina.............. 66 4,209,635.24 0.64
Tennessee................... 109 7,253,908.23 1.11
Texas....................... 816 55,824,968.32 8.54
Utah........................ 57 6,535,993.04 1.00
Vermont..................... 9 630,874.14 0.10
Washington.................. 155 20,370,047.18 3.12
West Virginia............... 7 322,492.06 0.05
Wisconsin................... 76 6,566,742.03 1.00
Wyoming..................... 10 647,623.17 0.10
----- --------------- -----
-13-
Total.................. 6,657 $653,875,747.06 100.00%
===== =============== ======
MORTGAGED PROPERTY TYPES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------- -------- ----------------- -----------------
Single Family Detached........................... 5,668 $558,336,194.06 85.39%
Single Family Attached........................... 55 2,968,131.11 0.45
Two- to Four-Family.............................. 330 35,407,645.87 5.42
Condominium...................................... 168 16,164,188.14 2.47
Town House....................................... 2 141,359.81 0.02
Planned Unit Development Detached................ 233 29,965,794.23 4.58
Planned Unit Development Attached................ 18 2,081,542.02 0.32
Manufactured Housing............................. 183 8,810,891.82 1.35
----- --------------- ------
Total....................................... 6,657 $653,875,747.06 100.00%
===== =============== ======
MORTGAGED PROPERTY OCCUPANCY STATUS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ---------------- -------- ----------------- -----------------
Owner-Occupied............................. 6,141 $618,177,273.40 94.54%
Non Owner Occupied......................... 485 32,335,419.48 4.95
Second Home................................ 31 3,363,054.18 0.51
----- --------------- ------
Total............................ 6,657 $653,875,747.06 100.00%
===== =============== ======
The occupancy status of a Mortgaged Property is as represented by the
mortgagor in its loan application.
PURPOSE OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------ -------- ----------------- -----------------
Purchase................................. 63 $ 7,417,549.84 1.13%
Equity-out Refinance..................... 3,600 324,155,724.60 49.57
Refinance................................ 2,994 322,302,472.62 49.29
----- -------------- -----
Total.......................... 6,657 $653,875,747.06 100.00%
===== =============== ======
-14-
LOAN PROGRAMS OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PROGRAM OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------ -------- ----------------- -----------------
Full Documentation Program.................. 5,450 $519,041,157.14 79.38%
Fast Trac Documentation Program............. 623 81,064,724.39 12.40
Stated Income Documentation Program......... 584 53,769,865.53 8.22
----- --------------- ------
Total............................. 6,657 $653,875,747.06 100.00%
===== =============== ======
RISK CATEGORIES OF THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
RISK CATEGORIES OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- --------------- -------- ----------------- -----------------
AAA........................................ 1,014 $122,123,496.34 18.68%
AA......................................... 1,575 164,446,232.86 25.15
A.......................................... 1,203 122,458,222.85 18.73
B.......................................... 1,324 121,205,218.22 18.54
C.......................................... 972 82,564,433.00 12.63
D.......................................... 569 41,078,143.79 6.28
----- --------------- ------
Total............................ 6,657 $653,875,747.06 100.00%
===== =============== ======
NEXT ADJUSTMENT DATES FOR THE MORTGAGE LOANS
AGGREGATE % OF AGGREGATE
PRINCIPAL BALANCE PRINCIPAL BALANCE
NUMBER OUTSTANDING AS OF OUTSTANDING AS OF
MONTH OF NEXT ADJUSTMENT DATE OF LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ----------------------------- -------- ----------------- -----------------
March 2002............................. 56 $ 5,392,856.82 0.82%
April 2002............................. 73 8,648,817.27 1.32
May 2002............................... 1,667 152,315,063.04 23.29
June 2002.............................. 2,670 263,022,867.93 40.23
July 2002.............................. 1,525 153,034,345.00 23.40
September 2002......................... 5 436,560.24 0.07
October 2002........................... 36 3,695,616.59 0.57
November 2002.......................... 76 7,579,461.83 1.16
December 2002.......................... 96 9,777,669.13 1.50
January 2003........................... 282 30,325,387.30 4.64
February 2003.......................... 149 17,216,953.73 2.63
March 2003............................. 21 2,322,844.93 0.36
April 2003............................. 1 107,303.25 0.02
----- --------------- ------
Total........................ 6,657 $653,875,747.06 100.00%
===== =============== ======