TERM SHEET DATED AUGUST 18, 1999
$325,851,000 (APPROXIMATE)
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MERIT SECURITIES CORPORATION
[DYNEX LOGO]
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COLLATERALIZED BONDS, SERIES 13
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in light of the same
warnings, lack of assurances, and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
descriptions of the securities or underlying assets, the information contained
in the Offering Document).
1
TERM SHEET DATED AUGUST 18, 1999
MERIT SECURITIES CORPORATION
COLLATERALIZED BONDS, SERIES 13
$325,851,000 (APPROXIMATE)
SUBJECT TO REVISION
ISSUER MERIT Securities Corporation ("MERIT")
MASTER SERVICER DYNEX Capital, Inc. ("DYNEX"), an
affiliate of MERIT.Stand-by Master Servicer
STAND BY MASTER SERVICER [TBD]
SERVICER Dynex Financial, Inc., an affiliate of MERIT.
BACKUP SERVICER [TBD]
TRUSTEE Chase Bank of Texas, National Association
UNDERWRITERS Lehman Brothers Inc. and Greenwich
Capital Markets, Inc.
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Amount Ratings (Moody's/Fitch) WAL at 200% MHP Exp. Final Maturity
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TO CALL
A1 $73,500,000 Aaa / AAA 0.94 6/2001
A2 $28,500,000 Aaa / AAA 2.14 2/2002
A3 $50,000,000 Aaa / AAA 3.14 6/2003
A4 $108,681,000 Aaa / AAA 4.80 8/2004
M1 $39,497,000 Aa2 / AA 4.99 8/2004
M2 $25,673,000 A2 / A 4.99 8/2004
TO MATURITY
A4 $108,681,000 Aaa / AAA 8.00 5/2014
M1 $39,497,000 Aa2 / AA 9.02 10/2011
M2 $25,673,000 A2 / A 7.90 6/2009
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(1) The Bonds will be priced assuming a prepayment rate of 200% MHP per
annum to call. Class B1, B2 and B3 Bonds will be privately place or retained by
MERIT.
2
CUT-OFF DATE August 10, 1999 (or the date of
origination, if later)
EXP. PRICING During the week of August 16, 1999
EXP. SETTLEMENT/CLOSING DATE On or about August 30, 1999
LEGAL FINAL The Payment Date in January 2030
PAYMENT DATE The 28th day of each month (or if such
28th day is not a business day, the next
succeeding business day) commencing on
September 28, 1999.
ERISA All Offered Bonds are ERISA eligible.
SMMEA The Class A and Class M1 Bonds will be
SMMEA eligible after the end of the
Funding Period. The Class M2 Bonds will
NOT be SMMEA eligible.
TAX STATUS The Trust Estate will make an election to
be treated as a "real estate mortgage
investment conduit" (a "REMIC") for
federal income tax purposes.
OPTIONAL REDEMPTION Any Payment Date on or after the earlier
of (1) the Payment Date in August 2004,
or (2) the Payment Date on which, after
taking into account payments of principal
to be made on such Payment Date, the
aggregate outstanding principal balance
of the Bonds is less than 35% of the
initial aggregate principal balance of
the Bonds.
CREDIT ENHANCEMENT Class A: 34.00% subordination
(Class M1, M2, B1, B2, B3 and
Initial Collateralization Fund Balance)
plus Excess Spread
Class M1: 24.00% subordination
(Class M2, B1, B2, B3 and Initial
Collateralization Fund Balance) plus
Excess Spread
Class M2: 17.50% subordination
(Class B1, B2, B3 and Initial
Collateralization Fund Balance) plus
Excess Spread
ADDITIONAL COLLATERAL The data set forth in this term sheet
with respect to the Manufactured Housing
Contracts is based solely on the
Contracts identified for inclusion in
the pool as of the Cut-off Date ("Initial
Contracts"). During a limited period
following the Closing Date, the Trust
Estate may purchase additional contracts
("Subsequent Contracts"). It is
expected that the Subsequent Contracts
will have characteristics substantially
similar to the Initial Contracts.
PRE-FUNDING FEATURE On the Closing Date, a portion of the
proceeds from the sale of the Bonds (the
"Pre-Funded Amount") will be deposited
with the Trustee in a segregated account
(the "Pre-Funding Account") and used to
purchase Subsequent Contracts during the
Funding Period. The Pre-Funded Amount is
expected to be reduced during the Funding
Period by amounts used to fund additional
purchases of Contracts. Any amounts
remaining in the Pre-Funding Account
following the Funding Period will be
paid to the Class A Bondholders,
sequentially, as a prepayment of
principal.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
3
COLLATERALIZATION FUND On the Closing Date, MERIT will establish
a fund (the "Collateralization Fund")
with the Trustee and deposit therein, as
additional security for the Bonds,
manufactured housing contracts with an
unpaid principal balance as of the Cut-
off Date equal to approximately
$15,104,304 (of which $5,064,893) were
non-performing). For purposes of
calculating the balance on deposit in the
Collateralization Fund, the balance of
the contracts initially deposited is
deemed to be 34.97% of their outstanding
principal balance. The Collateralization
Fund balance for any Payment Date equals
the sum of (i) 34.97% of the unpaid
principal balance of the assets in the
Collateralization Fund other than
Eligible Investments and (ii) the
principal balance of Eligible Investments
held in the Collateralization Fund.
MERIT may substitute Eligible Investments
for the assets initially deposited in the
Collateralization Fund and shall invest
all payments received with respect to
such assets in Eligible Investments.
MERIT will not have any obligation to
make additional deposits into the
Collateralization Fund.
On each Payment Date, the Trustee is
required, based on written information
provided to the Trustee by the Master
Servicer prior to each Payment Date: (a)
to apply interest earnings on the
Collateralization Fund (i) first, to pay
interest on the Bonds if the portion of
Available Funds attributable to interest
is less than Current Interest and any
Interest Carryover Amount on all Classes
of the Bonds and (ii) second, to increase
the Principal Payment Amount to the
extent required by the definition
thereof, (b) to apply any principal
payments received with respect to the
assets on deposit to the
Collateralization Fund to increase the
Principal Payment Amount to the extent
required by the definition thereof, and
(c) to release from the Collateralization
Fund any interest earnings on assets on
deposit in the Collateralization Fund not
required to be applied as set forth in
clause (a) above. Once released from the
Collateralization Fund, such amount will
not be available to make payments on the
Bonds.
PAYMENTS Payments on each Payment Date will be
made from the "Available Funds", which
generally will include payments on the
Manufactured Housing Contracts received
during the related Due Period, and, if
required, deposits in the
Collateralization Fund.
The "Due Period" with respect to any
Payment Date is the period from and
including the 1st day of the month
immediately proceeding such Payment Date
to and including the last day of the
month immediately preceding such Payment
Date.
4
INTEREST PAYMENTS On each Payment Date, the Interest
Payment Amount will be applied in the
following order of priority:
First, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
A1, Class A2, Class A3 and Class
A4 Bonds PRO RATA (based on the
amounts of Current Interest and
any Interest Carryover Amount
then due on the Class A1, Class
A2, Class A3 and Class A4 Bonds,
respectively);
Second, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
M1 Bonds;
Third, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
M2 Bonds;
Fourth, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
B1 Bonds;
Fifth, so long as DYNEX is the
Servicer, to pay the Servicing
Fees with respect to the
Contracts;
Sixth, to be included in the
Principal Payment Amount to the
extent required by the
definition thereof;
Seventh, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
B2 Bonds;
Eighth, to pay Current Interest
and any Interest Carryover
Amount with respect to the Class
B3 Bonds; and
Ninth, any remainder to be
released to MERIT, after which
such funds will no longer serve
as security for the Bonds.
Interest will accrue at the respective
Class Interest Rate for each Class on the
outstanding principal balance for any
Payment Date, from the 1st day of the
immediately preceding month to the last
day of such month.
The "Interest Payment Amount" for any
Payment Date equals the sum of (i) the
portion of Available Funds attributable
to interest on the Contracts and (ii) the
amount withdrawn from a capitalized
interest account and deposited in the
Collateral Proceeds Account and (iii) any
interest earnings on the
Collateralization Fund to the extent
required to pay Current Interest and any
Interest Carryover Amount on the Bonds.
The "Current Interest" for any Payment
Date with respect to each Class of Bonds
equals the sum of (i) the interest
accrued at the applicable Class Interest
Rate on the outstanding principal balance
of such Class, (ii) the excess, if any,
of (A) interest accrued at the applicable
Class Interest Rate with respect to prior
Payment Dates over (B) the amount
actually paid to such Class with respect
to interest on prior Payment Dates and
(iii) interest on (ii) above at the
applicable Class Interest Rate for such
Accrual Period less (iv) the Interest
Carryover Amount for such Class.
The "Interest Carryover Amount" for any
Payment Date with respect to each Class
of Bonds equals the sum of (i) the
product of (x) the outstanding principal
balance of such Class and (y) one-twelfth
of the excess of (A) the Class Interest
Rate for such Class over (B) the weighted
Average (by principal balance) of the Net
Rates on the Contracts and (ii) any such
product remaining unpaid with respect to
prior Payment Dates, together with
interest thereon at the applicable Class
Interest Rate.
5
INTEREST PAYMENTS (CONT'D) The "Class Interest Rate" for any Payment
Date after the first optional redemption
date will be increased by the following
amounts per annum: Class A1, Class A2,
Class A3 and Class A4 Bonds, 0.50%; Class
M1 Bonds, 0.75%; Class M2 Bonds and Class
B1 Bonds, 1.00%.
6
PRINCIPAL PAYMENTS On each Payment Date prior to September,
2004, the Principal Payment Amount will
be allocated sequentially to the Class
A1, Class A2, Class A3, Class A4, Class
M1, Class M2, Class B1.
On each Payment Date occurring in or
after September 2004, the Principal
Payment Amount will be applied as
follows:
First, to pay the Senior
Principal Payment Amount to the
Class A1, Class A2, Class A3 and
Class A4 Bonds until paid in
full, sequentially in that
order, PROVIDED, HOWEVER, that,
on any Payment Date on which the
aggregate principal balance of
the Class A1, Class A2, Class A3
and Class A4 Bonds is equal to
or greater than the aggregate
unpaid principal balance of the
Contracts, the Senior Principal
Payment Amount will be paid PRO
RATA to the Class A1, Class A2,
Class A3 and Class A4 Bonds
(based on the current principal
balances);
Second, to pay the Class M1
Principal Payment Amount to the
Class M1 Bonds until paid in
full,
Third, to pay the Class M2
Principal Payment Amount to the
Class M2 Bonds until paid in
full;
Fourth, to pay the Class B1
Principal Payment Amount to the
Class B1 Bonds until paid in
full;
Fifth, the Overcollateralization
Principal Payment Amount, to be
applied as follows:
(a) to pay principal of the
Class B1 Bonds until
paid in full;
(b) to pay principal of the
Class M2 Bonds until
paid in full,
(c) to pay principal of the
Class M1 Bonds until
paid in full; and
(d) to pay principal of the
Class A1, Class A2,
Class A3 and Class A4
Bonds, sequentially, in
that order, in each
case until paid in
full.
Sixth, to pay principal of the
Class B2 Bonds until paid in
full; and
Seventh to pay principal of the
Class B3 Bonds until paid in
full.
"Principal Payment Amount" for any
Payment Date equals the sum of (i) the
portion of Available Funds attributable
to principal received with respect to the
Manufactured Housing Contracts, (ii) on
the Payment Date following the end of the
Funding Period the remaining Pre-Funding
Amount, (iii) an amount equal to any
Losses incurred with respect to the
Contracts to the extent any of the
following amounts are available, to be
drawn in the following order: (A) cash
and cash equivalents in the
Collateralization Fund attributable to
principal ("Reserve Principal"), (B) the
balance of the Interest Payment Amount
remaining in step Sixth above under
Interest Payments ("Excess Interest") and
(C) any interest earnings on the assets
in the Collateralization Fund ("Reserve
Interest") and (iv) the amount necessary
to be paid as principal on the Bonds in
order to ensure that the Subordination
Balance will be at least equal to the
Target Subordination Balance after
payment of current Losses pursuant to
clause (iii) above, to the extent any
Excess Interest or Reserve Interest
remains, to be drawn first from Excess
Interest and second from Reserve
Interest.
7
PRINCIPAL PAYMENTS (CONT'D) "Senior Principal Payment Amount" is the
product of the Principal Payment Amount
and the Senior Percentage.
"Senior Percentage" for any Payment Date
equals the fraction, expressed as a
percentage, the numerator of which is the
Senior Principal Balance and the
denominator of which is the sum of (i)
the Senior Principal Balance, (ii) if the
Class M1 Principal Payment Test is
satisfied, the Class M1 principal
balance, otherwise zero, (iii) if the
Class M2 Principal Payment Test is
satisfied, the Class M2 principal
balance, otherwise zero, (iv) if the
Class B1 Principal Payment Test is
satisfied, the Class B1 principal
balance, otherwise zero, and (v) if the
Overcollateralization Test is satisfied,
the Overcollateralization Amount,
otherwise zero.
8
"Senior Principal Balance" equals the sum
of Class A1, A2, A3 and A4 principal
balances.
"Class M1 Principal Payment Amount"
equals the product of the Principal
Payment Amount and the Class M1
Percentage.
"Class M1 Percentage" for any Payment
Date equals (a) zero, if the Senior
Principal Balance has not yet been
reduced to zero after application of
principal on the current Payment Date and
the Class M1 Principal Payment Test is
not satisfied or (b) otherwise, the
fraction, expressed as a percentage, the
numerator of which is the Class M1
Principal Balance and the denominator of
which is the sum of: (i) the Senior
Principal Balance, (ii) the Class M1
Principal Balance, (iii) if the Class M2
Principal Payment Test is satisfied, the
Class M2 Principal Balance, otherwise
zero, (iv) if the Class B1 Principal
Payment Test is satisfied, the Class B1
Principal Balance, otherwise zero, and
(v) if the Overcollateralization Test is
satisfied, the Overcollateralization
Amount, otherwise zero.
"Class M1 Principal Payment Test" for any
Payment Date will be satisfied if each of
the following tests is satisfied: (i) a
Trigger Event is not in effect and (ii)
the sum of the Class M1 Principal
Balance, the Class M2 Principal Balance,
the Class B1 Principal Balance, the
Overcollateralization Amount and the
Collateralization Fund Balance divided by
the sum of the Contract Balance and the
Collateralization Fund Balance as of the
immediately preceding Payment Date is
equal to or greater than 59.50%.
"Class M2 Principal Payment Amount"
equals the product of the Principal
Payment Amount and the Class M2
Percentage.
"Class M2 Percentage" for any Payment
Date equals (a) zero, if the Senior
Principal Balance and the Class M1
Principal Balance have not yet been
reduced to zero after application of
principal on the current Payment Date and
the Class M2 Principal Payment Test is
not satisfied or (b) otherwise, the
fraction, expressed as a percentage, the
numerator of which is the Class M2
Principal Balance and the denominator of
which is the sum of: (i) the Senior
Principal Balance, (ii) the Class M1
Principal Balance, (iii) the Class M2
Principal Balance, (iv) if the Class B1
Principal Payment Test is satisfied, the
Class B1 Principal Balance, otherwise
zero, and (v) if the
Overcollateralization Test is satisfied,
the Overcollateralization Amount,
otherwise zero.
"Class M2 Principal Payment Test" for
any Payment Date will be satisfied if
each of the following tests is satisfied:
(i) a Trigger Event is not in effect,
(ii) the sum of the Class M2 Principal
Balance, the Class B1 Principal Balance,
the Overcollateralization Amount and the
Collateralization Fund Balance divided by
the sum of the Contract Balance and the
Collateralization Fund Balance as of the
immediately preceding Payment Date is
equal to or greater than 42.00% and (iv)
the Class M1 Principal Payment Test is
satisfied.
9
PRINCIPAL PAYMENTS (CONT'D) "Class B1 Principal Payment Amount"
equals the product of the Principal
Payment Amount and the Class B1
Percentage.
"Class B1 Percentage" for any Payment
Date equals (a) zero, if the Senior
Principal Balance, the Class M1 Principal
Balance and the Class M2 Principal
Balance have not yet been reduced to zero
after application of principal on the
current Payment Date and the Class B1
Principal Payment Test is not satisfied
or (b) otherwise, the fraction, expressed
as a percentage, the numerator of which
is the Class B1 Principal Balance as of
such Payment Date, and the denominator of
which is the sum of (i) the Senior
Principal Balance, (ii) the Class M1
Principal Balance, (iii) the Class M2
Principal Balance, (iv) the Class B1
Principal Balance and (v) if the
Overcollateralization Test is satisfied,
the Overcollateralization Amount,
otherwise zero.
"Class B1 Principal Payment Test" for any
Payment Date will be satisfied if each of
the following tests is satisfied: (i) a
Trigger Event is not in effect, (ii) the
sum of the Class B1 Principal Balance,
the Overcollateralization Amount and the
Collateralization Fund Balance divided by
the sum of the Contract Balance and the
Collateralization Fund Balance as of the
immediately preceding Payment Date is
equal to or greater than 30.625% and (iv)
the Class M2 Principal Payment Test is
satisfied.
"Contract Balance" for any Payment Date
equals the sum of (i) the aggregate
Unpaid Principal Balance of the Contracts
and (ii) the Pre-Funded Amount.
"Overcollateralization Amount" for any
Payment Date equals the excess of (a) the
Contract Balance over (b) the sum of the
Class A1, A2, A3, A4, M1, M2 and B1
principal balances.
"Overcollateralization Principal Payment
Amount" equals the product of (A) the
Principal Payment Amount and (B) the
Overcollateralization Percentage for any
Payment Date. The "Overcollateralization
Percentage" for any Payment Date equals
(a) zero, if the Class A1, A2, A3, A4,
M1, M2 and B1 principal balances have not
been reduced to zero after application of
principal on the applicable Payment Date
and the Overcollateralization Test is not
satisfied, or (b) otherwise, the
fraction, expressed as a percentage, the
numerator of which is the
Overcollateralization Amount as of such
Payment Date and the denominator of which
is the sum of the aggregate Bond
principal balances and the
Overcollateralization Amount.
"Overcollateralization Test" for any
Payment Date will be satisfied if each of
the following tests is satisfied: (i) the
Payment Date occurs during or after
September 2004, (ii) a Trigger Event is
not in effect, (iii) the sum of the
Overcollateralization Amount and the
Collateralization Fund Balance divided by
the sum of the Contract Balance and the
Collateralization Fund Balance as of the
immediately preceding Payment Date is
equal to or greater than 21.875%, (iv)
the Overcollateralization Amount is not
less than 2.00% of the Initial Contract
Balance, and (v) the Class B1 Principal
Payment Test is satisfied.
"Subordination Balance" is the sum of (A)
the Overcollateralization Amount and (B)
the Collateralization Fund Balance.
"Target Subordination Balance" for any
Payment Date prior to the Payment Date
occurring in September 2004, 12.50% of
the sum of (A) the Initial Contract
Balance and (B) the Initial
Collateralization Fund Balance. For any
Payment Date on or after the Payment Date
occurring in September 2004, the lesser
of (i) 12.50% of the sum of (A) the
Initial Contract Balance and (B) the
Initial Collateralization Fund Balance
and (ii) 21.875% of the sum of (A) the
Contract Balance and (B) the
Collateralization Fund Balance.
10
PRINCIPAL PAYMENTS (CONT'D) "Trigger Event" for any Payment Date
during or after September 2004 exists if
(i) the Cumulative Losses Test is not
satisfied, (ii) the Current Losses Test
is not satisfied, (iii) the Thirty-Day
Delinquency Ratio exceeds 7.00% or (iv)
the Sixty-Day Delinquency Ratio exceeds
5.00%. "Cumulative Losses Test" for any
Payment Date will be satisfied (i) if
such Payment Date is before September 1,
2004, the Cumulative Losses as of such
Payment Date are less than or equal to
7.00% of the Initial Contract Balance;
(ii) if such Payment Date occurs between
September 1, 2004, and August 31, 2005,
the Cumulative Losses as of such Payment
Date are less than or equal to 8.00% of
the Initial Contract Balance; and (iii)
if such Payment Date occurs on or after
September 1, 2005, the Cumulative Losses
as of such Payment Date are less than or
equal to 9.00% of the Initial Contract
Balance.
"Current Losses Test" for any Payment
Date will be satisfied if the aggregate
Losses with respect to such Payment Date
and the two preceding Payment Dates are
less than or equal to 2.75% of the
arithmetic average of the Contract
Balance for the third preceding Payment
Date and the current Payment Date.
LOSSES ON LIQUIDATED CONTRACTS If net liquidation proceeds from
liquidated Contracts in the respective
collection period are less than the
scheduled principal balance of such
liquidated Contracts plus accrued and
unpaid interest thereon, the losses will
be first absorbed by cash and cash
equivalents in the Collateralization
Fund attributable to principal, second,
by the Excess Spread, third, by any
interest earnings on assets on deposit
in the Collateralization Fund, fourth
by the Class B3 Bonds, Class B2 Bonds,
the Class B1 Bonds, Class M2 Bonds,
Class M1 Bonds, in that order, and fifth
by the Class A1, Class A2, Class A3 and
Class A4 Bonds pro rata based on their
outstanding principal balance.
11
CONTRACT CHARACTERISTICS
The Manufactured Housing Contracts consist of both Level Payment
Contracts and Adjustable Rate Contracts. The obligations of the obligor under
each Manufactured Housing Contract are secured by the related manufactured home
and in some instances the related real estate.
The information presented below relates to the Initial Contracts, which
will represent approximately 78% of the Contract Pool. Although the
characteristics of the final pool of Contracts will differ from the
characteristics of the Initial Contracts shown below, DYNEX does not expect that
the characteristics of the Subsequent Contracts sold to the Trust will vary
materially from the information concerning the Initial Contracts herein.
THE INITIAL MANUFACTURED HOUSING CONTRACT POOL
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Number of Contracts: 6,813
Wgt. Avg. Contract Rate: 8.88%
Range of Rates: 5.75% - 14.25%
Wgt. Avg. Orig. Maturity: 326
Wgt. Avg. Rem. Maturity: 318
Avg. Rem. Princ. Balance: 44,617
Wgt. Avg. LTV: 87.3%
New/Used: 91.1% / 8.9%
Park/Private: 25.3% / 58.9%
Single/Double: 24.8% / 75.2%
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YEARS OF ORIGINATION OF INITIAL CONTRACTS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Year of Origination Contracts Balance Outstanding Balance
- --------------------- ----------- ----------------------- -------------------------
1996 12 $451,106.66 0.15%
1997 2,314 87,607,825.32 28.82%
1998 40 3,580,440.80 1.18%
1999 4,447 212,336,183.62 69.85%
----- -------------- ------
Total(1) 6,813 $303,975,556.40 100.00%
(1) Percentages may not add to 100% due to rounding.
DISTRIBUTION OF ORIGINAL INITIAL CONTRACT AMOUNTS
% of Contracts by
Original Contract Number of Aggregate Principal Outstanding Principal
Amount (in Dollars) Contracts Balance Outstanding Balance
- ------------------- ------------- ---------------------- -------------------------
1 - 50,000 4,463 $148,870,086.59 48.97%
50,001 - 100,000 2,253 143,946,590.71 47.35%
100,001 - 150,000 94 10,677,044.32 3.51%
150,001 - 200,000 3 481,834.78 0.16%
----- ---------- -----
Total(1) 6,813 $303,975,556.40 100.00%
(1) Percentages may not add to 100% due to rounding.
GEOGRAPHIC DISTRIBUTION OF INITIAL CONTRACT OBLIGORS
Aggregate Principal % of Contracts by
Number of Balance Outstanding Principal
State Contracts Outstanding Balance
- ----------------- -------------- -------------------- -----------------------
TX 1,400 $57,296,308.67 18.85%
NC 742 38,483,485.14 12.66%
GA 669 29,131,048.11 9.58%
SC 542 25,036,352.54 8.24%
MI 486 20,182,848.21 6.64%
KY 387 15,211,316.33 5.00%
Other States* 2,587 118,634,197.40 39.02%
----- -------------- ------
Total(1) 6,813 $303,975,556.40 100.00%
* No one State in this category constitutes more than 5% of the Outstanding
Principal Balance.
(1) Percentages may not add to 100% due to rounding.
12
DISTRIBUTION OF ORIGINAL LOAN-TO-VALUE RATIOS OF INITIAL CONTRACTS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Loan-To-Value Contracts Balance Outstanding Balance
- --------------------- ----------- ----------------------- -----------------------
Less than 50.001 100 $2,394,193.02 0.79%
50.001 - 55.000 47 1,348,686.68 0.44%
55.001 - 60.000 59 2,087,417.56 0.69%
60.001 - 65.000 77 2,928,879.08 0.96%
65.001 - 70.000 119 5,632,169.09 1.85%
70.001 - 75.000 187 9,220,325.48 3.03%
75.001 - 80.000 567 27,120,170.14 8.92%
80.001 - 85.000 936 44,454,166.33 14.62%
85.001 - 90.000 2,376 107,262,851.05 35.29%
90.001 - 95.000 2,185 95,182,421.25 31.31%
95.001 - 100.000 160 6,344,276.72 2.09%
----- ------------ -----
Total(1) 6,813 $303,975,556.40 100.00%
(1) Percentages may not add to 100% due to rounding.
REMAINING MONTHS TO MATURITY OF INITIAL CONTRACTS
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Months Remaining Contracts Balance Outstanding Balance
1 - 24 1 4,079.70 *
25 - 48 4 25,643.89 0.01%
49 - 72 42 568,799.00 0.19%
73 - 96 89 1,618,414.57 0.53%
97 - 120 160 3,641,965.28 1.20%
121 - 144 60 1,545,305.37 0.51%
145 - 168 299 7,816,112.46 2.57%
169 - 192 326 10,147,465.64 3.34%
193 - 216 256 8,254,274.93 2.72%
217 - 240 705 24,963,530.29 8.21%
241 - 264 10 405,114.06 0.13%
265 - 288 300 10,646,184.65 3.50%
289 - 312 296 10,370,368.48 3.41%
313 - 336 470 23,209,802.69 7.64%
337 - 360 3,795 200,758,495.39 66.04%
----- -------------- ------
Total(1) 6,813 $303,975,556.40 100.00%
* Indicates an amount greater than 0.000% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
INITIAL CONTRACT RATES
% of Contracts by
Number of Aggregate Principal Outstanding Principal
Contract Rates Contracts Balance Outstanding Balance
- -------------------- ------------ ---------------------- -------------------------
Less Than 6.000 36 $3,064,086.37 1.01%
6.000 - 6.999 471 31,192,162.10 10.26%
7.000 - 7.999 1,226 66,191,017.83 21.78%
8.000 - 8.999 1,465 70,649,950.68 23.24%
9.000 - 9.999 1,665 66,785,601.75 21.97%
10.000 - 10.999 1,079 39,298,864.73 12.93%
11.000 - 11.999 607 19,591,005.78 6.44%
12.000 - 12.999 213 5,953,683.29 1.96%
13.000 - 13.999 50 1,241,529.50 0.41%
14.000 - 14.999 1 7,654.37 *
- -------- -
Total(1) 6,813 $303,975,556.40 100.00%
* Indicates an amount greater than 0.000% but less than 0.005%.
(1) Percentages may not add to 100% due to rounding.
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PREPAYMENT SENSITIVITIES
75% MHP 150% MHP 200% MHP 250% MHP 300% MHP
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
--------------- ----------------- ---------------- ----------------- -----------------
To Call
A1 2.00 07/03 1.18 11/01 0.94 06/01 0.78 02/01 0.66 11/00
A2 4.59 08/04 2.71 10/02 2.14 02/02 1.78 09/01 1.52 05/01
A3 4.99 08/04 4.02 07/04 3.14 06/03 2.59 10/02 2.20 04/02
A4 4.99 08/04 4.99 08/04 4.80 08/04 4.40 08/04 3.79 01/04
M1 4.99 08/04 4.99 08/04 4.99 08/04 4.99 08/04 4.41 01/04
M2 4.99 08/04 4.99 08/04 4.99 08/04 4.99 08/04 4.41 01/04
TO MATURITY
A4 15.73 05/22 10.70 07/17 8.00 05/14 5.88 12/11 4.36 01/10
M1 15.87 08/19 10.54 12/13 9.02 10/11 8.29 07/10 7.76 07/09
M2 14.38 12/16 9.18 03/11 7.90 06/09 7.36 07/08 6.98 12/07
The Bonds will be priced assuming a prepayment rate of 200% MHP per annum to
call.
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