EX-99.1
DEUTSCHE BANK SECURITIES@
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MORTGAGE LENDERS NETWORK HOME EQUITY LOAN TRUST 1999-2
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PUBLIC OFFERING: [$145,000,000] (APPROXIMATE)
MORTGAGE LENDERS NETWORK USA, INC. (SELLER)
MORTGAGE LENDERS NETWORK USA, INC. (SERVICER)
ACE SECURITIES CORP. (DEPOSITOR)
ESTIMATED ESTIMATED
APPROXIMATE ESTIMATED MODIFIED PAYMENT EXPECTED
SIZE WAL DURATION WINDOW STATED RATINGS
NOTES (000's) COUPON (YEARS) (YEARS) (# PMT MATURITY (MOODY'S/S&P)
DATES)
CLASS A [$144,953,790 [7.583%] [2.91] [2.40] [ 1 - 88 [12/25/2030] Aaa / AAA
] (88)]
(1) The Class A Notes will be priced to the 10% Optional Redemption.
(2) The Note Interest Rate will increase 50 bps after the Optional Redemption
Date.
PRICING INFORMATION
COLLATERAL: Approximately $[135,585,000] fixed and
$[9,369,000] adjustable rate, first and second
lien, closed-end mortgage loans ("Fixed Rate
Loans" and "Adjustable Rate Loans", respectively,
or "Mortgage Loans", collectively). The
Adjustable Rate Loans are 2/28 LIBOR loans.
PREPAYMENT PRICING 27% HEP.
SPEED ASSUMPTION:
PAYMENT DATE: The 25th day of each month, or if such day is not
a business day, on the following business day,
commencing December 27, 1999.
PAYMENT DELAY: 24 days.
PRICING DATE: November [12], 1999.
SETTLEMENT (CLOSING) DATE: On or about November [18], 1999.
STATISTICAL CALCULATION DATE: Close of business October 29, 1999.
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described in, and will be fully superseded by the preliminary prospectus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.
PRICING INFORMATION (continued)
CUT-OFF DATE: November 1, 1999.
OPTIONAL REDEMPTION DATE: The first Payment Date on which
the aggregate loan balance of the Mortgage Loans
("Current Principal Balance") has declined to
less than 10% of the aggregate loan balance as of
the Cut-Off Date ("Original Principal Balance").
INTEREST ACCRUAL PERIOD: Interest will accrue on the Class A Notes at a
fixed rate during the month prior to the month
of the related Payment Date. Interest will
accrue on a 30/360 day basis.
TITLE OF SECURITIES: Mortgage Lenders Network Home Equity Loan Trust
1999-2.
UNDERWRITER: Deutsche Bank Securities Inc. (Lead)
First Union Securities, Inc. (Co)
DEPOSITOR: ACE Securities Corp.
SERVICER: Mortgage Lenders Network USA, Inc.
SELLER: Mortgage Lenders Network USA, Inc.
INDENTURE TRUSTEE: Norwest Bank Minnesota, National Association
NOTE INSURER: Financial Security Assurance Inc.
FORM OF OFFERING: Book-Entry form, same-day funds through DTC,
Euroclear, and CEDEL.
OFFERED NOTES: Class A Notes.
DENOMINATIONS: Minimum denominations of $1,000 and multiples of
$1,000 in excess thereof.
SERVICING/OTHER FEES: The servicing fee will be 0.50% per annum payable
monthly. The collateral is subject to other fees,
including trustee fees and note insurer fees.
PRIMARY MORTGAGE INSURANCE: Approximately [15%] of the Mortgage Loans (each
having an LTV in excess of 80%) will carry primary
mortgage insurance ("PMI") down to a 70% LTV. PMI
will be provided by MGIC Investment Corporation
("PMI Provider"). PMI Provider Fee (approximately
[7] bps) will be paid monthly as described herein.
ADVANCING BY SERVICER: The Servicer is required to advance from its own
funds any delinquent payment of interest and
principal (the "Delinquency Advances") and all
"out of pocket" costs and expenses incurred in the
performance of its servicing obligations (the
"Servicing Advance"). The Servicer will not be
required to make a Delinquency Advance if such
advance is deemed to be non-recoverable.
DESCRIPTION OF SECURITIES (continued)
CREDIT ENHANCEMENT: Credit enhancement with respect to the Class A
Notes will be provided by (1) excess spread; (2)
overcollateralization; and (3) the Note Insurance
Policy.
(1) EXCESS SPREAD: On each Payment Date, Excess Spread will equal
the excess of the interest due on the aggregate
Mortgage Loan portfolio over the amount needed
(i) to pay monthly interest to the Class A Notes
and (ii) certain fees and expenses for such
month (i.e. Servicing, Trustee, Note Insurer,
and PMI Provider, approximately [80] bps).
(2) OVERCOLLATERALIZATION:
Excess spread will be applied, to the extent
available, first to make accelerated payments of
principal to the securities then entitled to
receive payments of principal. Such application
will cause the aggregate principal balance of the
Class A Notes to amortize more rapidly than the
Mortgage Loans, resulting in
Overcollateralization.
(3) NOTE INSURANCE POLICY:
Financial Security Assurance Inc. will issue its
financial guaranty insurance policy to the
Indenture Trustee for the benefit of the
noteholders. The effect of the insurance policy is
to guaranty the timely payment of interest on, and
the ultimate payment of the principal amount of,
the Class A Notes. If the Note Insurer were unable
to pay under the financial guaranty insurance
policy, the Class A Notes could be subject to
losses.
ALLOCATION OF CASH FLOW Collections (net of the Servicing Fee) will
TO THE CLASS A NOTES: generally be allocated in the following priority:
i. Trustee Fee, PMI Provider Fee and Note
Insurer Fee;
ii. Current Interest to the noteholders, pro
rata;
iii. Monthly Principal to the noteholders;
iv. Reimbursement of draws made on the Note
Insurance Policy;
v. Overcollateralization Deficiency Amount;
and
vi. Any remaining to the residual holder.
APPLICATION OF REALIZED Realized Losses (as defined in the Prospectus
LOSSES: Supplement) will be absorbed first by the
application of Excess Spread, then by the
reduction of the Overcollateralization Amount.
Following the reduction of the
Overcollateralization Amount to zero, any
remaining amount of Realized Losses will be paid
by the Note Insurer. The Class A Notes will not
be reduced in respect of Realized Losses.
DESCRIPTION OF SECURITIES (continued)
OVERCOLLATERALIZATION AMOUNT: As of any Payment Date, the difference between the
aggregate loan balance of the Mortgage Loans and
the aggregate Note Principal Balance.
TARGETED
OVERCOLLATERALIZATION Prior to month 30, the Targeted
AMOUNT: Overcollateralization Amount will equal the
greater of:
(i) [4.0]% of the Original Principal
Balance and;
(ii) Step Up Requirement (defined below).
On or after month 30, provided a Step Down
Trigger Event has not occurred, the Targeted
Overcollateralization Amount will equal to the
greatest of:
(i) the lesser of [4.0%] of the Original
Principal Balance and [8.0%] of the
Current Principal Balance;
(ii) [0.50%] of the Original Principal Balance
and;
(iii) Step Up Requirement (defined below).
On or after month 30, provided a Step Down
Trigger Event has occurred, the Targeted
Overcollatalization Amount will equal the
greater of:
(i)[4.0]% of the Original Principal Balance
and;
(ii) Step Up Requirement (defined below).
STEP UP REQUIREMENT: If the most recent three month rolling average
90+ delinquent balance (including foreclosure and
REO) ("90+ Delinquencies") exceed [10%], the Step
Up Requirement will equal [90%] of the 90+
Delinquencies, provided, however, if 90+
Delinquencies exceed [10%] and either the Step Up
Loss Test or Step Up Rolling Loss Test (defined
below) is violated, the Step Up Requirement will
equal [150%] of the 90+ Delinquencies.
Step Up Loss Test: Cumulative losses incurred on
the collateral as a percentage of the Original
Principal Balance can not exceed the percentage
specified in the table below for the given year:
Year Cumulative Loss
1 [0.75%]
2 [1.50%]
3 [2.50%]
4 [3.75%]
5 [4.25%]
Step Up Rolling Loss Test: The aggregate loss
during the twelve months preceding a Payment
Date, as a percentage of the unpaid principal
balance of the Mortgage Loans as of the first
day of such twelve month period, can not exceed
[1.25%].
DESCRIPTION OF SECURITIES (continued)
STEP DOWN TRIGGER EVENT: A Step Down Trigger Event has occurred if any of
the following tests are violated:
(i) Step Down Delinquency Test: The most
recent three month rolling 90+ day
average delinquency rate (including
foreclosures and REOs) can not exceed
[10%] of the related Mortgage Loan
balance.
(ii) Step Down Cumulative Loss Test:
Cumulative losses incurred on the
collateral as a percentage of the
Original Principal Balance can not
exceed the percentage specified in the
table below through the given month:
Month Cumulative Loss
30 [1.50%]
42 [2.00%]
54 [2.75%]
66+ [3.50%]
(iii) Step Down Rolling Loss Test: The
aggregate loss during the twelve months
preceding a Payment Date, as a
percentage of the unpaid principal
balance of the Mortgage Loans as of the
first day of such twelve month period,
can not exceed [1.00%].
PMI DEFAULT STEP UP Additional overcollateralization on the Class A
REQUIREMENT: Notes will be required in the event that the PMI
Provider rejects and/or reduces any claim
amounts.
FEDERAL TAX ASPECTS: The Class A Notes will be treated as debt for
federal, state and local tax purposes. With
the Class A Notes characterized as
indebtedness, interest paid or accrued on a
Class A Note will be treated as ordinary income
to the noteholders and principal payments on a
Class A Note will be treated as a return of
capital to the extent of the noteholder's basis
in the Class A Note allocable thereto.
ERISA CONSIDERATION: The Class A Notes are expected to be ERISA
eligible.
SMMEA ELIGIBILITY: The Class A Notes will not constitute
"mortgage-related securities" for purposes of
SMMEA.
DESCRIPTION OF SECURITIES (continued)
PROSPECTUS: The Class A Notes are being offered pursuant to
a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus").
Complete information with respect to the Class
A Notes and the Mortgage Loans is contained in
the Prospectus. The material presented herein
is qualified in its entirety by the information
appearing in the Prospectus. To the extent
that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Class A Notes may not
be consummated unless the purchaser has
received the Prospectus.
DEUTSCHE BANK SECURITIES@
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MORTGAGE LENDERS NETWORK HOME EQUITY LOAN TRUST 1999-2
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HEP assumes that a pool of loans prepays in the first month of the life of such
loans at a constant prepayment rate ("CPR") that corresponds to one tenth the
given HEP percentage and increases by an additional one-tenth each month
thereafter until the tenth month, where it remains at a CPR equal to the given
HEP percentage. For example, with respect to a pool of mortgage loans, a 25% HEP
assumes a CPR of 2.5% in the first month of the life of such loans and an
increase of 2.5% CPR each month thereafter until the tenth month. Beginning in
the tenth month and in each month thereafter during the life of such mortgage
loans, 25% HEP assumes a CPR of 25% each month.
BOND SENSITIVITY TO PREPAYMENTS
CLASS A (TO CALL)
Prepayment Assumption (HEP) 0% 15% 25% 27% 30% 35%
BEY @ 100.00 7.643 7.568 7.506 7.493 7.474 7.440
Average Life (years) 15.55 5.10 3.15 2.91 2.62 2.24
Modified Duration 8.32 3.73 2.56 2.40 2.20 1.92
First Principal Payment 12/25/99 12/25/99 12/25/99 12/25/99 12/25/99 12/25/99
Last Principal Payment 10/25/25 12/25/12 11/25/07 3/25/07 6/25/06 5/25/05
Principal Window (months) 311 157 96 88 79 66
CLASS A (TO MATURITY)
Prepayment Assumption (HEP) 0% 15% 25% 27% 30% 35%
BEY @ 100.00 7.644 7.581 7.536 7.526 7.509 7.480
Average Life (years) 15.66 5.33 3.39 3.15 2.83 2.42
Modified Duration 8.34 3.81 2.68 2.52 2.31 2.02
First Principal Payment 12/25/99 12/25/99 12/25/99 12/25/99 12/25/99 12/25/99
Last Principal Payment 12/25/28 12/25/22 2/25/15 9/25/14 4/25/14 1/25/12
Principal Window (months) 349 277 183 178 173 146
Modeling Assumptions:
(1) Settlement Date: [ 11/18/99 ]; Cut-off Date: [11/1/99 ]
(2) Payment Date: 25th of each month beginning December 1999.
(3) Note Insurer Fee: 22 bps; Servicing Fee: 50 bps; Indenture Trustee Fee:
1 bp; PMI Provider Fee: 7bps
DESCRIPTION OF THE STATISTICAL POOL OF
MORTGAGE LOANS AS OF THE CUT-OFF DATE
Aggregate Pool Fixed Rate Adjustable
Pool Rate Pool
--------------- ---- ---------
TOTAL NUMBER OF LOANS: 2,224 2,100 124
TOTAL OUTSTANDING LOAN BALANCE: $144,953,790 $135,585,156 $9,368,633
PERCENT OF AGGREGATE POOL: -- 93.54% 6.46%
AVERAGE LOAN PRINCIPAL BALANCE $65,177.06 $64,564.36 $75,553.49
(CURRENT):
WEIGHTED AVERAGE LTV: 76.19% 76.03% 78.49%
WEIGHTED AVERAGE CLTV: 77.60% 77.54% 78.49%
TOTAL 1ST LIEN POSITION : 97.03% 96.83% 100.00%
WEIGHTED AVERAGE COUPON: 10.821% 10.814% 10.911%
WEIGHTED AVERAGE GROSS MARGIN: -- -- 7.57%
WEIGHTED AVERAGE MAXIMUM INTEREST RATE: -- -- 17.91%
WEIGHTED AVERAGE REMAINING TERM TO 251 243 356
MATURITY (MONTHS):
WEIGHTED AVERAGE SEASONING (MONTHS): 2 2 2
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS): 253 245 359
RANGE OF ORIGINAL TERMS:
Up to 120: 0.82% 0.88% 0.00%
121-180: 52.75% 56.34% 0.83%
181-240: 7.45% 7.96% 0.00%
241-360: 38.98% 34.83% 99.17%
PROPERTY 72.74% 71.54% 90.23%
TYPE:
Single Family:
2-4 Family: 7.92% 8.07% 5.78%
PUD: 0.78% 0.83% 0.00%
Condo: 1.85% 1.94% 0.57%
Manufactured Housing: 16.70% 17.62% 3.42%
OCCUPANCY 91.22% 90.83% 96.88%
STATUS:
Owner Occupied:
Non-owner Occupied: 8.78% 9.17% 3.12%
GEOGRAPHIC 8.64% 8.22% 14.77%
DISTRIBUTION:
Ohio:
South Carolina: 8.39% 8.82% 2.23%
Tennessee: 6.31% 6.63% 1.73%
Illinois: 6.26% 6.26% 6.17%
Pennsylvania: 5.79% 5.83% 5.08%
(STATES NOT LISTED ACCOUNT FOR LESS
THAN 6.00% OF THE AGGREGATE POOL
OUTSTANDING LOAN BALANCE)
CREDIT 24.43% 24.36% 25.41%
QUALITY:
A,AA:
A+ : 16.32% 16.80% 9.36%
14.54% 14.37% 16.94%
B :
B+: 14.19% 14.55% 8.93%
C : 16.61% 16.78% 14.03%
C+ : 6.14% 5.71% 12.42%
C- : 5.71% 5.43% 9.79%
D : 2.07% 1.99% 3.11%
PERCENTAGE BY
CURRENT BALANCE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- ----- ----------------- -----------------
=< 100,000.00 1,953 74.194 107,547,474.48
100,000.01 - 200,000.00 250 22.429 32,512,085.70
200,000.01 - 250,000.00 18 2.814 4,079,547.79
250,000.01 - 300,000.00 3 0.562 814,681.62
TOTAL: 2,224 100.000 144,953,789.59
Avg: 65,177.06
Min: 9,600.27
Max: 275,901.58
PERCENTAGE BY
ORIGINAL BALANCE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- ----- ----------------- -----------------
=< 100,000 1,953 74.194 107,547,474.48
100,001 - 200,000 250 22.429 32,512,085.70
200,001 - 250,000 18 2.814 4,079,547.79
250,001 - 300,000 3 0.562 814,681.62
TOTAL: 2,224 100.000 144,953,789.59
Avg: 65,259
Min: 10,000
Max: 276,000
PERCENTAGE BY
CURRENT GROSS RATE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- ----- ----------------- -----------------
7.001 - 7.500 1 0.162 234,287.15
7.501 - 8.000 12 0.703 1,019,658.69
8.001 - 8.500 42 2.071 3,002,113.87
8.501 - 9.000 147 7.020 10,176,044.26
9.001 - 9.500 121 5.581 8,089,711.11
9.501 - 10.000 257 11.655 16,895,021.91
10.001 - 10.500 275 13.592 19,702,070.58
10.501 - 11.000 400 19.394 28,112,402.87
11.001 - 11.500 273 11.813 17,122,887.22
11.501 - 12.000 288 11.526 16,707,853.56
12.001 - 12.500 193 8.126 11,778,677.01
12.501 - 13.000 115 4.398 6,375,189.59
13.001 - 13.500 43 1.838 2,664,316.40
13.501 - 14.000 34 1.410 2,043,380.07
14.001 - 14.500 11 0.270 391,964.74
14.501 - 15.000 10 0.278 403,399.23
15.001 - 15.500 1 0.023 33,135.78
15.501 - 16.000 1 0.139 201,675.55
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 10.8207
Min: 7.4500
Max: 15.7500
PERCENTAGE BY
AMORTIZATION TYPE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------------- ----- ----------------- ----------------
Fully Amortizing 1,268 54.904 79,584,998.35
Balloon 956 45.096 65,368,791.24
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
LIEN NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------- ----- ----------------- -----------------
1 2,086 97.032 140,650,851.62
2 138 2.968 4,302,937.97
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
ORIGINAL TERM NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------- ----- ----------------- -----------------
49 - 60 3 0.039 57,100.27
73 - 84 2 0.071 103,500.00
85 - 96 1 0.015 22,080.73
109 - 120 35 0.694 1,005,593.49
145 - 156 1 0.021 30,453.21
169 - 180 1,207 52.729 76,432,809.50
229 - 240 194 7.446 10,793,069.65
289 - 300 48 2.130 3,087,675.56
337 - 348 1 0.064 92,150.00
349 - 360 732 36.791 53,329,357.18
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 253
Min: 60
Max: 360
PERCENTAGE BY
STATED REMAINING TERM NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----------------------- ----- ----------------- -----------------
1 - 60 3 0.039 57,100.27
61 - 120 38 0.780 1,131,174.22
121 - 180 1,208 52.750 76,463,262.71
181 - 240 194 7.446 10,793,069.65
241 - 300 48 2.130 3,087,675.56
301 - 360 733 36.854 53,421,507.18
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 251
Min: 56
Max: 360
PERCENTAGE BY
AGE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------- ----- -----------------------------------
0 580 24.66 35,746,443
1 307 14.11 20,459,134
2 544 25.30 36,672,906
3 323 15.03 21,790,471
4 172 7.73 11,209,441
5 143 6.16 8,933,209
6 97 4.22 6,123,642
7 42 2.05 2,966,722
8 15 0.68 980,165
13 1 0.05 71,657
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 2.2
PERCENTAGE BY
REMAINING AMORTIZATION TERM NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
--------------------------- ----- ----------------- -----------------
1 - 60 3 0.039 57,100.27
61 - 120 38 0.780 1,131,174.22
121 - 180 252 7.654 11,094,471.47
181 - 240 194 7.446 10,793,069.65
241 - 300 48 2.130 3,087,675.56
301 - 360 1,689 81.950 118,790,298.42
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 332
Min: 57
Max: 360
PERCENTAGE BY
GROSS MARGIN NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------- ----- ----------------- -----------------
4.501 - 4.750 1 0.614 57,560.56
5.001 - 5.250 1 0.832 77,973.60
5.251 - 5.500 3 2.387 223,586.16
5.501 - 5.750 1 2.262 211,887.76
6.001 - 6.250 3 2.323 217,652.84
6.251 - 6.500 10 7.602 712,197.31
6.501 - 6.750 9 8.237 771,691.31
6.751 - 7.000 8 5.247 491,608.27
7.001 - 7.250 11 8.845 828,653.73
7.251 - 7.500 8 6.615 619,689.42
7.501 - 7.750 14 12.401 1,161,799.95
7.751 - 8.000 12 11.662 1,092,608.32
8.001 - 8.250 6 4.607 431,645.18
8.251 - 8.500 7 7.361 689,638.76
8.501 - 8.750 13 8.026 751,940.66
8.751 - 9.000 5 3.187 298,610.40
9.001 - 9.250 5 3.366 315,316.46
9.251 - 9.500 2 1.608 150,632.91
9.501 - 9.750 2 1.612 151,018.96
9.751 - 10.000 1 0.433 40,591.22
10.001 = 2 0.772 72,329.49
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 7.5680
Min: 4.650
Max: 10.500
ARM Loans Only
PERCENTAGE BY
MAXIMUM RATE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- ----- ----------------- -----------------
14.501 - 15.000 1 0.614 57,560.56
15.001 - 15.500 1 0.832 77,973.60
15.501 - 16.000 5 5.215 488,559.02
16.001 - 16.500 2 2.936 275,021.81
16.501 - 17.000 16 11.843 1,109,537.67
17.001 - 17.500 20 17.592 1,648,083.22
17.501 - 18.000 24 21.424 2,007,121.73
18.001 - 18.500 11 8.784 822,927.47
18.501 - 19.000 19 14.587 1,366,577.66
19.001 - 19.500 15 9.685 907,349.02
19.501 - 20.000 6 4.400 412,216.05
20.001 = 4 2.089 195,705.46
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 17.9113
Min: 14.9000
Max: 22.1000
ARM Loans Only
PERCENTAGE BY
MINIMUM RATE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
7.501 - 8.000 1 0.614 57,560.56
8.001 - 8.500 1 0.832 77,973.60
8.501 - 9.000 5 5.215 488,559.02
9.001 - 9.500 2 2.936 275,021.81
9.501 - 10.000 16 11.843 1,109,537.67
10.001 - 10.500 20 17.592 1,648,083.22
10.501 - 11.000 24 21.424 2,007,121.73
11.001 - 11.500 11 8.784 822,927.47
11.501 - 12.000 19 14.587 1,366,577.66
12.001 - 12.500 15 9.685 907,349.02
12.501 - 13.000 6 4.400 412,216.05
13.001 - 13.500 1 0.433 40,591.22
13.501 - 14.000 1 0.884 82,784.75
14.501 - 15.000 1 0.418 39,193.71
15.001 - 15.500 1 0.354 33,135.78
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 10.9113
Min: 7.9000
Max: 15.1000
ARM Loans Only
PERCENTAGE BY
LIFETIME RATE CAP NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
7.000 124 100.000 9,368,633.27
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 7.0000
ARM Loans Only
PERCENTAGE BY
OUTSTANDING
FIRST PERIODIC RATE CAP NUMBER OF PRINCIPAL OUTSTANDING
LOANS BALANCE PRINCIPAL BALANCE
3.000 124 100.000 9,368,633.27
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 3.0000
ARM Loans Only
PERCENTAGE BY
OUTSTANDING
SUBSEQUENT PERIODIC RATE CAP NUMBER OF PRINCIPAL OUTSTANDING
LOANS BALANCE PRINCIPAL BALANCE
---------------------------- --------- --------- -----------
1.000 124 100.000 9,368,633.27
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 1.0000
ARM Loans Only
PERCENTAGE BY
NEXT RATE ADJUSTMENT NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------------------------- --------- ----------------- ----------------
October 2000 1 0.765 71,657.18
March 2001 1 0.832 77,973.60
April 2001 3 1.962 183,807.82
May 2001 4 3.812 357,158.69
June 2001 4 2.869 268,746.03
July 2001 11 8.803 824,740.97
August 2001 15 11.721 1,098,076.50
September 2001 48 41.332 3,872,267.70
October 2001 37 27.904 2,614,204.78
TOTAL: 124 100.000 9,368,633.27
Wgt Avg: 2001-08-22
ARM Loans Only
PERCENTAGE BY
ORIGINAL LTV NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
=< 60.000 301 7.961 11,539,604.04
60.001 - 70.000 284 11.033 15,992,616.34
70.001 - 80.000 1,205 56.684 82,165,351.93
80.001 - 85.000 302 16.622 24,094,510.28
85.001 - 90.000 127 7.395 10,719,423.79
90.001 - 95.000 5 0.305 442,283.21
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 76.19
Min: 5.21
Max: 95.00
PERCENTAGE BY
COMBINED ORIGINAL LTV NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
=< 60.000 183 5.394 7,819,416.39
60.001 - 70.000 315 11.933 17,297,694.33
70.001 - 80.000 1,274 58.032 84,120,196.91
80.001 - 85.000 311 16.784 24,328,804.54
85.001 - 90.000 132 7.483 10,847,598.49
90.001 - 95.000 7 0.336 486,525.43
95.001 = 2 0.037 53,553.50
TOTAL: 2,224 100.000 144,953,789.59
Wgt Avg: 77.60
Max: 100.00
Min: 12.67
PERCENTAGE BY
STATE CONCENTRATION NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------- --------- ----------------- -----------------
OH 204 8.642 12,526,813.02
SC 196 8.394 12,166,711.72
TN 161 6.315 9,153,338.60
IL 133 6.257 9,070,326.16
PA 135 5.786 8,386,486.41
NY 90 5.666 8,212,871.18
MD 125 5.615 8,139,612.02
NC 119 5.391 7,813,930.88
FL 129 5.239 7,594,096.43
GA 96 4.665 6,762,552.25
Other 836 38.031 55,127,050.92
TOTAL: 2,224 100.000 144,953,789.59
Other represents 35 States
PERCENTAGE BY
OCCUPANCY TYPE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
-------------- --------- ----------------- ----------------
Primary 1,993 91.217 132,222,808.55
Secondary 5 0.244 354,016.48
Investor 226 8.539 12,376,964.56
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
PROPERTY TYPE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
Single Family 1,624 72.743 105,443,879.33
2-4 Family 151 7.903 11,456,323.10
PUD 13 0.777 1,126,985.55
Condo 46 1.853 2,685,735.35
Manufactured Housing 389 16.702 24,210,866.26
Multi-Family 1 0.021 30,000.00
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
LOAN PURPOSE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ --------- ----------- -----------
Purchase 386 19.775 28,664,343.75
Rate/Term Refi 35 1.750 2,536,558.67
Cash Out Refi 1,803 78.475 113,752,887.17
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
DOCUMENTATION TYPE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ --------- ----------- -----------
Full Documentation 1,869 82.642 119,793,112.96
Limited 113 6.323 9,166,020.06
Stated 242 11.034 15,994,656.57
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
PRODUCT NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ --------- ----------- -----------
30 Year Fixed Rate 852 40.020 58,011,190.47
15 Year Fixed Rate 1,248 53.516 77,573,965.85
2/28 124 6.463 9,368,633.27
TOTAL: 2,224 100.000 144,953,789.59
PERCENTAGE BY
DEBT RATIOS NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
------------------ --------- ----------- -----------
=< 28.00 408 15.787 22,884,058.53
28.01 - 32.00 224 9.606 13,923,695.49
32.01 - 36.00 258 10.607 15,375,075.94
36.01 - 42.00 406 18.028 26,132,935.62
42.01 - 46.00 348 17.124 24,821,296.61
46.01 = 580 28.848 41,816,727.40
TOTAL: 2,224 100.000 144,953,789.59
Wgt. Avg: 38.618
PERCENTAGE BY
FICO SCORE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
---------- --------- ----------- -----------
=<540.000 519 22.986 33,318,577.45
540.001 - 560.000 291 13.181 19,107,042.14
560.001 - 580.000 304 12.663 18,355,588.92
580.001 - 600.000 267 13.065 18,937,618.95
600.001 - 620.000 256 11.645 16,879,597.55
620.001 - 640.000 202 9.034 13,095,276.72
640.001 - 660.000 143 6.450 9,349,700.44
660.001 - 680.000 95 4.398 6,374,671.76
680.001 = 147 6.578 9,535,715.66
TOTAL: 2,224 100.000 144,953,789.59
Wgt. Avg: 588.453
Max: 838.000
Min: 0.000
PERCENTAGE BY
GRADE NUMBER OF OUTSTANDING OUTSTANDING
LOANS PRINCIPAL BALANCE PRINCIPAL BALANCE
----- --------- ----------- -----------
A 510 24.041 34,848,608.95
AA 5 0.389 563,244.66
A+ 346 16.317 23,652,236.34
B 328 14.540 21,076,507.62
B+ 299 14.189 20,567,120.01
C 413 16.605 24,069,449.37
C- 137 5.713 8,281,004.57
C+ 134 6.142 8,902,949.67
D 52 2.065 2,992,668.40
TOTAL: 2,224 100.000 144,953,789.59