EXHIBIT 99.1
SUBJECT TO REVISION
- -------------------
SERIES TERM SHEET DATED SEPTEMBER 5, 2001
C-BASS
[LOGO]
$313,147,000
(APPROXIMATE)
CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC
Seller
LITTON LOAN SERVICING LP
Servicer
RESIDENTIAL ASSET FUNDING CORPORATION
Depositor
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2001-CB3
DISCLAIMER
----------
Attached is a preliminary Series Term Sheet describing the structure, collateral
pool and certain aspects of C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2001-CB3. The Series Term Sheet has been prepared by the Underwriter
based on collateral information provided by Credit-Based Asset Servicing
Securitization LLC ("C-BASS") for informational purposes only and is subject to
modification or change. The information and assumptions contained therein are
preliminary and will be superseded by a prospectus supplement and by any other
additional information subsequently filed with the Securities and Exchange
Commission or incorporated by reference in the Registration Statement.
Neither First Union Securities, Inc., the Seller nor any of their respective
affiliates make any representation as to the accuracy or completeness of any of
the information set forth in the attached Series Term Sheet. This cover is not
part of the Series Term Sheet.
A Registration Statement (including a base prospectus) relating to the
Certificates has been filed with the Securities and Exchange Commission. The
final Prospectus Supplement relating to the securities will be filed after the
securities have been priced and all of the terms and information are finalized.
This communication is not an offer to sell or the solicitation of an offer to
buy nor shall there be any sale of the securities in any state in which such
offer, solicitation or sale would be unlawful prior to registration or
qualification under the securities laws of any such state. Interested persons
are referred to the Final Prospectus and Prospectus Supplement to which the
securities relate. Any investment decision should be based only upon the
information in the Final Prospectus and Prospectus Supplement as of their
publication dates.
[OBJECT OMITTED]
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
OFFERED CERTIFICATES
TO CALL
- ----------------- --------------- ---------- --------------- ----------- ---------------- ------------------------------------
Expected Ratings
Expected Expected Expected -----------------------------
Approximate Interest Principal WAL Principal
Class Size(1) Type Type (yrs) Window Fitch Moody's S&P
----- ------- ---- ---- ----- ------ ----- ------- ---
Class A-IO $86,000,000 Fixed (2) 0.79(4) - AAA Aaa AAA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class A-1A 281,544,000 Floating Senior 2.37 09/01 - 08/08 AAA Aaa AAA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class M-1 9,946,000 Fixed Mezzanine 4.70 12/04 - 08/08 AA Aa2 AA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class M-2 11,871,000 Fixed Mezzanine 4.65 10/04 - 08/08 A A2 A
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class B-1 9,786,000 Fixed Subordinate 4.61 09/04 - 08/08 BBB Baa2 BBB
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class B-2(3) 5,294,000 Fixed Subordinate 4.11 09/04 - 06/08 BB Ba2 BB
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
TO MATURITY
- ------------------------------------------------------------------------------------------------------------------------------
Expected Ratings
---------------------------
Expected Expected Expected
Approximate Interest Principal WAL Principal
Class Size(1) Type Type (yrs) Window Fitch Moody's S&P
----- ------- ---- ---- ----- ------ ----- ------- ---
Class A-IO $86,000,000 Fixed (2) 0.79(4) - AAA Aaa AAA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class A-1A 281,544,000 Floating Senior 2.61 09/01 - 05/17 AAA Aaa AAA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class M-1 9,946,000 Fixed Mezzanine 5.18 12/04 - 08/13 AA Aa2 AA
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class M-2 11,871,000 Fixed Mezzanine 5.06 10/04 - 09/12 A A2 A
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class B-1 9,786,000 Fixed Subordinate 4.82 09/04 - 02/11 BBB Baa2 BBB
- ----------------- --------------- ---------- --------------- ----------- ---------------- ----------- ----------- ------------
Class B-2(3) 5,294,000 Fixed Subordinate 4.11 09/04 - 06/08 BB Ba2 BB
- ------------------------------------------------------------------------------------------------------------------------------
(1)Approximate size is subject to a permitted variance in the aggregate of plus
or minus 5%.
(2)The Class A-IO Certificates do not have a principal balance and are not
entitled to any principal payments, but will accrue interest at a rate of 2.00%
on a notional balance, initially equal to $86,000,000. The Class A-IO
Certificates are not entitled to interest after the Distribution date in April
2003.
(3)Not Offered.
(4)Duration.
NOTES
- --------------------------------------------------------------------------------
[] After the Optional Termination Date, the margin on the Class A-1A
Certificates will double.
[] The Class A-1A, Class M-1, Class M-2, Class B-1, and Class B-2 Certificates
are subject to a maximum rate equal to the Pool Cap as described herein.
[] The Class M-1, Class M-2, Class B-1, and Class B-2 Certificates are not
expected to receive principal payments until the Distribution Date in
September 2004.
- --------------------------------------------------------------------------------
PRICING SPEED
- --------------------------------------------------------------------------------
Group 1 Mortgage Loans: 22% CPR.
Group 2 Mortgage Loans: 3.5% CPR in the 1st month, and increases by
approximately 3.5% in each month thereafter up to
and including the 10th month, from the 11th month
through the 22nd month a prepayment rate of 35% CPR,
from the 23rd month through the 25th month a
prepayment rate of 50% CPR, from the 26th month
through the 34th month a prepayment rate of 35% CPR,
from the 35th month through the 37th month a
prepayment rate of 50% CPR, and in the 38th month
and each month thereafter, a prepayment rate of 35%
CPR.
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your first union securities, inc. Financial advisor
immediately. This series term sheet supersedes any previous series term sheet
and will be superseded by the information in the prospectus supplement.
2
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
CONTACTS: FIRST UNION SECURITIES, INC.
TRADING / SYNDICATE PHONE E-MAIL ADDRESS
- ------------------- ----- --------------
Chris Choka (704) 383-8267 chris.choka@funb.com
Mark Adamson (704) 383-7727 mark.adamson@funb.com
MORTGAGE FINANCE PHONE E-MAIL ADDRESS
- ---------------- ----- --------------
Robert Perret (704) 374-4868 robert.perret@funb.com
Sean Walker (704) 374-4398 sean.walker@funb.com
Dane Smith (704) 715-8141 dane.smith@funb.com
STRUCTURING PHONE E-MAIL ADDRESS
- ---------------- ----- --------------
Serkan Erikci (704) 715-1263 serkan.erikci@funb.com
Jonathan Song (704) 383-1870 jonathan.song@funb.com
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
3
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
----------------
TITLE OF SECURITIES: C-BASS Mortgage Loan Asset-Backed Certificates,
Series 2001-CB3.
OFFERED CERTIFICATES: Class A-IO and Class A-1A, (together, the "Senior
Certificates"), and the Class M-1, Class M-2, and
Class B-1 Certificates (collectively, the "Offered
Certificates").
SUBORDINATE CERTIFICATES: Class M-1, Class M-2, Class B-1, and Class B-2
Certificates.
SELLER: Credit-Based Asset Servicing and Securitization
LLC ("C-BASS").
SERVICER: Litton Loan Servicing LP, an affiliate of the
Seller.
DEPOSITOR: Residential Asset Funding Corporation
TRUSTEE: JP Morgan Chase
CUSTODIAN: BNY Western Trust Company
RATING AGENCIES: Fitch, Inc. ("Fitch"), Moody's Investors Services,
Inc. ("Moody's") and Standard and Poor's Ratings
Services ("S&P").
UNDERWRITERS: First Union Securities, Inc. (Lead
Underwriter).
Salomon Smith Barney (Co-Underwriter).
CLOSING DATE: On or about September [14], 2001.
DISTRIBUTION DATES: 25th of each month, or if such day is not a
business day, the next succeeding
business day, commencing September 25, 2001.
RECORD Date: For the Offered Certificates (other than the Class
A-1A Certificates) and the Class B-2 Certificates,
the last business day in the month preceding the
applicable Distribution Date. For the Class A-1A
Certificates, the Record Date is the business day
preceding the applicable Distribution Date.
CUT-OFF DATE: August 1, 2001
PAYMENT DELAY: With respect to the Offered Certificates (other
than the Class A-1A Certificates) and the Class
B-2 Certificates, 24 days and with respect to the
A-1A Certificates, 0 days.
DAY COUNT: With respect to the Offered Certificates (other
than the Class A-1A Certificates) and the Class
B-2 Certificates, 30/360 and with respect to the
Class A-1A Certificates, Actual/360.
SERVICING FEE: 0.50% per annum
ADMINISTRATIVE FEE: Servicing Fee, Trustee Fee, and PMI Premium
SPECIAL SERVICING FEE: $150 for all loans that are 90 or more days
delinquent, with the exception of Re-Performing
Loans, payable monthly for eighteen consecutive
months commencing in the first month after the
Cut-off Date in which payments on such mortgage
loans are 90 or more days delinquent, unless such
mortgage loan becomes less than 90 days delinquent
or is liquidated or repurchased. The Special
Servicing Fee will be subordinate to cashflows to
the Offered Certificates and the Class B-2
Certificates.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
4
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
OPTIONAL TERMINATION DATE: Any Distribution Date on or after which the
aggregate principal balance of the mortgage loans
declines to 10% or less of the aggregate principal
balance as of the Cut-off Date ("Cut-off
Balance").
DENOMINATION: $25,000 and multiples of $1 in excess thereof.
SMMEA ELIGIBILITY: The Class A-1A Certificates will NOT be SMMEA
eligible.
ERISA ELIGIBILITY: The Senior Certificates may be ERISA eligible.
TAX STATUS: The Offered Certficates and the Class B-2
Certificates will be treated as REMIC regular
interests for Federal income tax purposes. The
Class A-1A Certificateholders are also entitled to
receive Supplemental Interest.
THE MORTGAGE POOL
-----------------
MORTGAGE POOL: o The collateral information presented in this
Series Term Sheet regarding the Mortgage Pool
is as of the Cut-off Date.
o The Mortgage Pool consists of fixed rate and
adjustable-rate, FHA insured, VA guaranteed,
FHA uninsured, VA non-guaranteed and
conventional closed-end mortgage loans, secured
by 1st, 2nd and 3rd lien, level pay and balloon
mortgages on primarily 1-4 family properties.
o The Mortgage Pool consists of Performing
Mortgage Loans, Sub-Performing Mortgage Loans
and Re-Performing Mortgage Loans. (Please see
"Collateral Overview" for additional
information.)
o THE MORTGAGE POOL HAS BEEN DIVIDED INTO TWO
GROUPS (GROUP 1 AND GROUP 2), SOLELY FOR THE
PURPOSE OF DESCRIBING THE MORTGAGE POOL.
For collateral statistics, please see "Description
of the Collateral."
GROUP 1 MORTGAGE LOANS: Group 1 which is comprised of two sub-groups
(Sub-group 1A and Sub-group 1B), consists of 3,855
fixed rate mortgage loans with an aggregate
principal balance of approximately $171,993,503 as
of the Cut-off Date.
SUB-GROUP 1A consists of 117 fixed-rate FHA, VA,
FHA Uninsured, and VA Non-guaranteed mortgage
loans with an aggregate principal balance of
approximately $6,926,268. Sub-group 1A mortgage
loans represent approximately 4.03% of the Group 1
Mortgage Loans.
SUB-GROUP 1B consists of approximately 3,738
fixed-rate mortgage loans with an aggregate
principal balance of approximately $165,067,234.
Sub-group 1B mortgage loans represent
approximately 95.97% of the Group 1 Mortgage
Loans.
GROUP 2 MORTGAGE LOANS: Group 2 consists of 1,492 adjustable rate mortgage
loans with an aggregate principal balance of
approximately $148,854,362.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
5
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
MONTHLY SERVICER ADVANCES: ACTUARIAL LOANS
---------------
The Servicer is required to advance scheduled
principal and interest (net of the Servicing Fee)
for any delinquent mortgage loan until such loan
becomes an REO, but is not required to make any
advance which the Servicer deems to be
non-recoverable or with respect to reduction in
the monthly payment due to bankruptcy proceedings
or the application of the Soldiers' and Sailors'
Civil Relief Act of 1940, as amended (the "Relief
Act"). Approximately 90.37% of the mortgage loans
are Actuarial Loans.
SIMPLE INTEREST LOANS
---------------------
The Servicer is NOT required to advance scheduled
principal and interest for any Simple Interest
Loans. Approximately 9.63% of the mortgage loans
are Simple Interest Loans.
COMPENSATING INTEREST: For any Distribution Date, an amount equal to the
interest at the mortgage interest rate for such
mortgage loan (the mortgage interest rate) (net of
the related Servicing Fee) on the amount of such
principal prepayment for the number of days
commencing on the date on which the principal
prepayment is applied and ending on the last day
of the prior calendar month, subject to a cap of
50% of the Servicing Fee earned in such month.
SERVICER OBLIGATIONS The Servicer will not cover Prepayment Interest
FOR PREPAYMENT Shortfall on any mortgage loan that is subject to
INTEREST SHORTFALLS: the Soldiers' and Sailors' Civil Relief Act of
1940, as amended.
COLLECTION PERIOd: With respect to any Distribution Date means the
period from the second day of the calendar month
preceding the month in which such Distribution
Date occurs through the first day of the month in
which such Distribution Date occurs.
PREPAYMENT PERIOD: With respect to any Distribution Date means the
calendar month preceding the month in which such
Distribution Date occurs.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
6
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
----------------------
INTEREST ACCRUAL PERIOD: For any Distribution Date and each class of
Offered Certificates (other than the Class A-1A
Certificates) and the Class B-2 Certificates will
be from and including the first day of each month,
commencing August 1, 2001, to and including the
last day of such month. With respect to the
Offered Certificates (other than the Class A-1A
Certificates) and the Class B-2 Certificates, all
calculations of interest will be made on the basis
of a 360-day year assumed to consist of twelve
30-day months. With respect to the Class A-1A
Certificates, the Interest Accrual Period for any
Distribution Date will be the period from the
preceding Distribution Date, or in the case of the
first Distribution Date, from the Closing Date, to
the day prior to the applicable Distribution Date,
and calculations of interest will be made on the
basis of the actual number of days in the Interest
Accrual Period and on a 360-day year.
INTEREST DISTRIBUTIONS: On each Distribution Date, interest will be
remitted in the following order of priority, to
the extent available:
(i) Administrative Fees;
(ii) concurrently, to the Class A-IO and A-1A
Certificates, pro rata, the applicable
Accrued Certificate Interest for such
Distribution Date;
(iii) concurrently, to the Class A-IO and Class
A-1A Certificates, pro rata, the applicable
Interest Carry Forward Amount for the Class
A-IO and Class A-1A Certificates,
respectively;
(iv) to the Class M-1 Certificates, the Accrued
Certificate Interest thereon for such
Distribution Date;
(v) to the Class M-2 Certificates, the Accrued
Certificate Interest thereon for such
Distribution Date;
(vi) to the Class B-1 Certificates, the Accrued
Certificate Interest thereon for such
Distribution Date;
(vii) to the Class B-2 Certificates, the Accrued
Certificate Interest thereon for such
Distribution Date; and
(viii) the amount, if any, remaining after
applications with respect to the priorities
set forth above will be used to pay unpaid
carry forward interest, realized losses and
special servicing fees.
ACCRUED CERTIFICATE INTEREST: For each Class of Offered Certificates and the
Class B-2 Certificates and each Distribution Date
means an amount equal to the interest accrued
during the related Interest Accrual Period on the
Certificate Principal Balance of such class of
Certificates, minus each Class' Interest
Percentage of shortfalls caused by the Relief Act
Shortfalls for such Distribution Date.
PASS-THROUGH Rate: The pass-through rate for the Class M-1,
Class M-2, Class B-1 and Class B-2 Certificates
and each Distribution Date is the lesser of (1)
the fixed rate coupon of such Class and (2) the
Pool Cap for that Distribution Date.
The pass-through rate for the Class A-1A
Certificates and each Distribution Date is the
lesser of (1) the formula rate and (2) the Pool
Cap for that Distribution Date. The formula rate
for the Class A-1A Certificates is as follows:
Prior to the Optional Termination Date: 1-Month
LIBOR plus a margin, which will be set at pricing.
After the Optional Termination Date: 1-Month LIBOR
plus 2x a margin, which will be set at pricing.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
7
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
INTEREST CARRY FORWARD AMOUNT:For any Class of Certificates and any Distribution
Date the sum of (a) the excess, if any, of the
Accrued Certificate Interest and any Interest
Carry Forward Amount for the prior Distribution
Date, over the amount in respect of interest
actually distributed on each class on such prior
Distribution Date and (b) interest on such excess
at the applicable Pass-Through Rate (x) with
respect to the Offered Certificates (other than
the Class A-1A Certificates) and the Class B-2
Certificates on the basis of a 360-day year
consisting of twelve 30-day months and (y) with
respect to the Class A-1A Certificates, on the
basis of the actual number of days elapsed since
the prior Distribution Date.
SUPPLEMENTAL INTEREST: Excess interest is generally payable to the
holders of certain of the non-offered
certificates. This excess interest will only be
available to the extent it is not used for other
required purposes, including to cover interest
shortfalls on the Offered Certificates and the
Class B-2 Certificates, or to fund any
overcollateralization deficit. These amounts will
be available to make payments of "supplemental
interest" to the Class A-1A Certificates in an
amount equal to any reductions in the amount of
interest payable to such holders caused by
application of the Pool Cap.
INTEREST REMITTANCE AMOUNT: As of any Determination Date, the sum, without
duplication, of (i) all interest collected or
advanced with respect to the related Collection
Period on the Mortgage Loans (less Administrative
Fees, certain amounts available for reimbursement
of Advances and Servicing Advances and certain
other reimbursable expenses, (ii) all Compensating
Interest paid by the Servicer on such
Determination Date with respect to the Mortgage
Loans and (iii) the portion of any payment in
connection with any substitution, Purchase Price,
Termination Price, liquidation proceeds (net of
certain expenses) or insurance proceeds relating
to interest with respect to the Mortgage Loans
received during the related Collection Period.
POOL CAP: For any Distribution Date will equal the weighted
average of the Net Mortgage Interest Rates,
weighted on the basis of the Mortgage Loan
balances as of the first day of the related
Collection Period.
NET MORTGAGE INTEREST RATE: For each Mortgage Loan is the applicable Mortgage
Interest Rate less the sum of (i) the Servicing
Fee Rate, (ii) the rate at which the Trustee Fee
accrues, (iii) the rate at which the PMI Premium,
if any, is calculated, and (iv) the Class A-IO
interest for such Distribution Date expressed as a
per annum rate.
STEP-UP COUPON: After the Optional Termination Date, the margin on
the Class A-1A Certificates will double.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
8
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
-----------------------
CLASS A-1A PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date before the Stepdown
Date or if a Trigger Event is in effect, the Class
A-1A Certificates will be entitled to receive the
Principal Distribution Amount for such
Distribution Date, until the Certificate Principal
Balance thereof has been reduced to zero. As of
any Distribution Date on or after the Stepdown
Date and as long as a Trigger Event is not in
effect, the excess of (x) the Certificate
Principal Balance of the Class A-1A Certificates
immediately prior to such Distribution Date over
(y) the lesser of (A) the product of (i)
approximately 75.50% and (ii) the Pool Balance as
of the last day of the related Collection Period
and (B) the Pool Balance as of the last day of the
related Collection Period minus the product of (i)
approximately 0.50% and (ii) the Pool Balance on
the Cut-off Date.
CLASS M-1 PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date on or after the
Stepdown Date and as long as a Trigger Event is
not in effect, the excess of (x) the sum of (i)
Certificate Principal Balance of the Class A-1A
Certificates (after taking into account the
payment of the Class A-1A Principal Distribution
Amount on such Distribution Date) and (ii) the
Certificate Principal Balance of the Class M-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 81.70% and (ii) the
Pool Balance as of the last day of the related
Collection Period and (B) the Pool Balance as of
the last day of the related Collection Period
minus the product of (i) approximately 0.50% and
(ii) the Pool Balance on the Cut-off Date.
CLASS M-2 PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date on or after the
Stepdown Date and as long as a Trigger Event is
not in effect, the excess of (x) the sum of (i)
the Certificate Principal Balance of the Class
A-1A Certificates (after taking into account the
payment of the Class A-1A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date) and (iii) the
Certificate Principal Balance of the Class M-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 89.10% and (ii) the
Pool Balance as of the last day of the related
Collection Period and (B) the Pool Balance as of
the last day of the related Collection Period
minus the product of (i) approximately 0.50% and
(ii) the Pool Balance on the Cut-off Date.
CLASS B-1 PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date on or after the
Stepdown Date and as long as a Trigger Event is
not in effect, the excess of (x) the sum of (i)
the Certificate Principal Balance of the Class
A-1A Certificates (after taking into account the
payment of the Class A-1A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), and (iv) the
Certificate Principal Balance of the Class B-1
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 95.20% and (ii) the
Pool Balance as of the last day of the related
Collection Period and (B) the Pool Balance as of
the last day of the related Collection Period
minus the product of (i) approximately 0.50% and
(ii) the Pool Balance on the Cut-off Date.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
9
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
CLASS B-2 PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date on or after the
Stepdown Date and as long as a Trigger Event is
not in effect, the excess of (x) the sum of (i)
the Certificate Principal Balance of the Class
A-1A Certificates (after taking into account the
payment of the Class A-1A Principal Distribution
Amount on such Distribution Date), (ii) the
Certificate Principal Balance of the Class M-1
Certificates (after taking into account the
payment of the Class M-1 Principal Distribution
Amount on such Distribution Date), (iii) the
Certificate Principal Balance of the Class M-2
Certificates (after taking into account the
payment of the Class M-2 Principal Distribution
Amount on such Distribution Date), (iv) the
Certificate Principal Balance of the Class B-1
Certificates (after taking into account the
payment of the Class B-1 Principal Distribution
Amount on such Distribution Date), and (v) the
Certificate Principal Balance of the Class B-2
Certificates immediately prior to such
Distribution Date over (y) the lesser of (A) the
product of (i) approximately 98.50% and (ii) the
Pool Balance as of the last day of the related
Collection Period and (B) the Pool Balance as of
the last day of the related Collection Period
minus the product of (i) approximately 0.50% and
(ii) the Pool Balance on the Cut-off Date.
EXTRA PRINCIPAL
DISTRIBUTION AMOUNT: As of any Distribution Date, the lesser of (x)
interest collections net of Administrative Fees
and current interest and any interest carry
forward amount on the senior and subordinated
certificates for such Distribution Date and (y)
the Overcollateralization Deficiency for such
Distribution Date.
PRINCIPAL DISTRIBUTION
AMOUNT: As of any Distribution Date, the sum of (i) the
Principal Remittance Amount (minus the
Overcollateralization Release Amount, if any) and
(ii) the Extra Principal Distribution Amount, if
any.
PRINCIPAL REMITTANCE AMOUNT: With respect to any Distribution Date, to the
extent of funds available therefor as described
herein, the amount equal to the sum (less certain
amounts available for reimbursement of Advances
and Servicing Advances and certain other
reimbursable expenses), without duplication, with
respect to the Mortgage Loans and the immediately
preceding Collection Period: (i) each payment of
principal on a Mortgage Loan due during such
Collection Period and received by the Servicer on
or prior to the related Determination Date,
including any Advances with respect thereto, (ii)
all full and partial principal prepayments
received by the Servicer during the related
Prepayment Period, (iii) the liquidation proceeds
(net of certain expenses) allocable to principal
actually collected by the Servicer during the
related Prepayment Period, (iv) the portion of the
Purchase Price allocable to principal of all
repurchased defective mortgage loans with respect
to such Prepayment Period and (v) any substitution
adjustments received on or prior to the previous
Determination Date and not yet distributed, and
(vi) on the Distribution Date on which the Trust
is to be terminated, that portion of the
termination price in respect of principal.
STEPDOWN DATE: The later to occur of (x) the earlier to occur of
(A) the Distribution Date in September 2004 and
(B) the Distribution Date on which the aggregate
Certificate Principal Balance of the Class A-1A
Certificates is reduced to zero, and (y) the first
Distribution Date on which the Senior Enhancement
Percentage is greater than or equal to the Senior
Specified Enhancement Percentage.
SENIOR ENHANCEMENT
PERCENTAGE: For any Distribution Date is the percentage
obtained by dividing (x) the sum of (i) the
aggregate Certificate Principal Balance of the
Subordinated Certificates and (ii) the
Overcollateralization Amount, in each case before
taking into account the distribution of the
Principal Distribution Amount on such Distribution
Date by (y) the Pool Balance as of the last day of
the related Collection Period.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
10
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
SENIOR SPECIFIED ENHANCEMENT
PERCENTAGE: On any date of determination thereof means
approximately 24.50%.
TRIGGER EVENT: On a Distribution Date if (i) the six-month
rolling average of 60+ Day Delinquent Loans equals
or exceeds 45% of the Senior Enhancement
Percentage; provided, that if the Certificate
Principal Balance of the Senior Certificates has
been reduced to zero, a Trigger Event will have
occurred if the six-month rolling average of 60+
Day Delinquent Loans equals or exceeds 20% or (ii)
the aggregate amount of Realized Losses incurred
since the Cut-off Date through the last day of the
related Collection Period divided by the initial
Pool Balance exceeds the applicable percentages
set forth below with respect to such Distribution
Date.
DISTRIBUTION DATE PERCENTAGE PERCENTAGE
---------------------------- ----------
September 25, 2004 to August 25, 2005 3.00%
September 25, 2005 to August 25, 2006 3.75%
September 25, 2006 to August 25, 2007 4.25%
September 25, 2007 and thereafter 4.75%
60+ DAY DELINQUENT LOAN: Each Mortgage Loan with respect to which any
portion of a Monthly Payment is, as of the last
day of the prior Collection Period, two months or
more past due, each Mortgage Loan in foreclosure,
all REO Property and each Mortgage Loan for which
the mortgagor has filed for bankruptcy after the
Closing Date. Any Mortgage Loan which, on a
3-month rolling average basis, has made its
scheduled principal and interest payments will not
be considered to be a 60+ Day Delinquent Loan,
except for any such Mortgage Loans which exceed
the percentage specified in the immediately
following paragraph.
RE-PERFORMING 60+ DAY
DELINQUENT LOAN: Each Mortgage Loan with respect to which, as of
any date of determination, (x) any portion of a
Monthly Payment is, as of the last day of the
prior Collection Period, two months or more past
due and (y) with respect to which the mortgagor
has made three Monthly Payments within the three
calendar months preceding such date of
determination. To the extent that, as of any date
of determination, more than 25% of the Mortgage
Loans (measured by aggregate principal balance)
are Re-Performing 60+ Day Delinquent Loans, the
Re-Performing 60+ Day Delinquent Loans
constituting such excess shall be deemed to be 60+
Day Delinquent Loans.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
11
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
CREDIT ENHANCEMENT - SENIOR/SUBORDINATE STRUCTURE
-------------------------------------------------
CREDIT ENHANCEMENT: Credit Enhancement will be provided by
subordination, monthly excess cashflow and
overcollateralization.
INITIAL CREDIT SUPPORT* AFTER STEPDOWN DATE*
CLASS PERCENTAGE PERCENTAGE CLASS
----- ---------- ---------- -----
A-1A 12.25% A-1A 24.50%
M-1 9.15% M-1 18.30%
M-2 5.45% M-2 10.90%
B-1 2.40% B-1 4.80%
B-2 0.75% B-2 1.50%
*Approximate.
OVERCOLLATERALIZATION AMOUNT: As of any Distribution Date the excess, if any, of
(x) the balance of the Mortgage Pool as of the
last day of the immediately preceding Collection
Period over (y) the aggregate principal balance of
all classes of Offered Certificates, excluding the
Class A-IO Certificates and including the Class
B-2 Certificates (after taking into account all
distributions of principal on such Distribution
Date).
OVERCOLLATERALIZATION
DEFICIENCY: As of any Distribution Date, the excess, if any,
of (x) the Targeted Overcollateralization Amount
for such Distribution Date over (y) the
Overcollateralization Amount for such Distribution
Date, calculated for this purpose after taking
into account the reduction on such Distribution
Date of the Certificate Principal Balances of all
classes of Offered Certificates, excluding the
Class A-IO Certificates and including the Class
B-2 Certificates, resulting from the distribution
of the Principal Distribution Amount (but not the
Extra Principal Distribution Amount) on such
Distribution Date, but prior to taking into
account any Applied Realized Loss Amounts on such
Distribution Date.
OVERCOLLATERALIZATION
RELEASE AMOUNT: With respect to any Distribution Date on or after
the Stepdown Date on which a Trigger Event is not
in effect, the lesser of (x) the Principal
Remittance Amount for such Distribution Date and
(y) the excess, if any, of (i) the
Overcollateralization Amount for such Distribution
Date, assuming that 100% of the Principal
Remittance Amount is applied as a principal
payment on the Certificates on such Distribution
Date, over (ii) the Targeted Overcollateralization
Amount for such Distribution Date. With respect to
any Distribution Date on which a Trigger Event is
in effect, the Overcollateralization Release
Amount will be zero.
TARGETED
OVERCOLLATERALIZATION
AMOUNT: As of any Distribution Date, (x) prior to the
Stepdown Date, approximately 0.75% of the initial
balance of the Mortgage Loans and (y) on and after
the Stepdown Date, the lesser of (i) approximately
0.75% of the initial balance of the Mortgage Loans
and (ii) the greater of (A) approximately 1.50% of
the balance of the Mortgage Loans as of the last
day of the related Collection Period and (B)
approximately 0.50% of the initial balance of the
Mortgage Loans.
SUBORDINATION: If the Overcollateralization Amount is
insufficient to cover losses on any Mortgage
Loans, those losses will be applied in reduction
of the principal balances of the Subordinate
Certificates, in reverse order of seniority.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
12
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
ALLOCATION OF LOSSES: The Trust may realize losses on the mortgage loans
if the proceeds from the liquidation of a mortgage
loan are less than the principal balance and
accrued interest on such mortgage loan, if a
bankruptcy court were to reduce the loan balance
or if the servicer were to reduce the loan balance
in connection with a modification thereof.
Realized losses will be applied first to reduce
the excess interest and overcollateralization
amount (which is represented by a certain class of
non-offered certificates), then to the
Certificates in reverse order of seniority: Class
B-2, Class B-1, Class M-2, Class M-1 and then
Class A-1A. Realized losses which are special
hazard losses (generally losses that result from
natural disasters and other hazards that are not
covered by insurance) will be allocated as
described above, except that if such loss exceeds
a level to be specified in the prospectus
supplement, they will be allocated among all the
outstanding Classes of Certificates on a pro-rata
basis.
COLLATERAL OVERVIEW
-------------------
The Mortgage Pool will consist of two loan groups, Loan Group 1 and Loan Group
2. Loan Group 1 will consist of two Sub-groups (Sub-group 1A and Sub-group 1B).
The mortgage loans in Sub-group 1A are fixed rate, FHA insured, VA guaranteed,
FHA uninsured, VA non-guaranteed and first lien mortgage loans. The mortgage
loans in Sub-group 1B are fixed rate, mostly one- to four-family, first, second
and third lien mortgage loans. The mortgage loans in Loan Group 2 are adjustable
rate, mostly one- to four-family, first lien mortgage loans. Sub-group 1A,
Sub-group 1B and Loan Group 2 consist of Performing Mortgage Loans,
Sub-Performing Mortgage Loans and Re-Performing Mortgage Loans. The Mortgage
Loan Pool has been divided into groups, but solely for the purpose of describing
the Mortgage Pool.
PERFORMING MORTGAGE LOANS
- -------------------------
A "Performing Mortgage Loan" is a mortgage loan pursuant to which no payment due
under the related mortgage note (or any modification thereto) prior to the
Cut-off Date, is 30 or more days Delinquent.
A mortgage loan is "Delinquent," if the scheduled monthly payment of principal
and interest on such mortgage loan which is payable by the related mortgagor
under the related mortgage note (the "Monthly Payment") due on a due date is not
paid by the close of business on the next scheduled due date for such mortgage
loan. Thus, a mortgage loan for which the mortgagor failed to make the monthly
payment on July 1, 2001 will be reported as Delinquent as of the close of
business on August 2, 2001 if the payment is not made by the close of business
on August 1, 2001.
SUB-PERFORMING MORTGAGE LOAN
- ----------------------------
A "Sub-Performing Mortgage Loan" is a mortgage loan (that might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) pursuant to which a
payment due prior to the Cut-off Date under the terms of the related mortgage
note (or any modification thereto), is at least 30 but not more than 89 days
delinquent. Certain Sub-Performing Mortgage Loans have been modified in writing
and are also characterized as follows:
(i) "Forbearance Plan Mortgage Loan" is a mortgage loan in
which the related mortgagor must make monthly payments
("Modified Scheduled Payments") in an amount at least
equal to the sum of (i) the amount of the monthly
scheduled payment of principal and interest determined in
accordance with such mortgage loan's original amortization
schedule ("Regular Scheduled Payments") plus (ii) an
additional amount to be applied to pay down the total
amount of scheduled monthly payments due thereon on or
before the Cut-off Date but not received prior to the
Cut-off Date plus the aggregate amount of tax and
insurance advances made with respect to such mortgage loan
to the extent remaining outstanding as of the Cut-off
Date.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
13
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
(ii) "Bankruptcy Plan Mortgage Loan" is a mortgage loan in
which the related mortgagor defaulted and, after
default, became the subject of a case under either
Chapter 7 or 13 of the United States Bankruptcy Code,
and, as of the Cut-off Date, had a confirmed bankruptcy
plan. Each such bankruptcy plan generally requires the
related mortgagor to make Modified Scheduled Payments
in an amount at least equal to (i) the Regular
Scheduled Payment plus (ii) an additional amount
sufficient to pay down overdue amounts resulting from
the period of default, generally over a period of three
to five years from the commencement of such bankruptcy
plan; provided that, certain Chapter 7 loans were not
reaffirmed by the related bankruptcy court. Such
mortgage loans are non-recourse to the borrower, but in
order to prevent foreclosure, the borrower must
continue to make Regular Scheduled Payments thereon.
RE-PERFORMING MORTGAGE LOAN
- ---------------------------
A "Re-Performing Mortgage Loan" is a mortgage loan (that might be a Forbearance
Plan Mortgage Loan or a Bankruptcy Plan Mortgage Loan) which had defaulted in
the past and which is currently at least 90 days delinquent with respect to
certain Regular Scheduled Payments but which satisfies one of the following
criteria (the "Re-Performance Test"):
(i) the mortgagor has made at least three aggregate Regular
Scheduled Payments in the three calendar months
preceding the Cut-off Date (regardless of either the
timing of receipt of such payments or the payment
history of such loans prior to May 1, 2001), or
(ii) the mortgagor has made at least four aggregate regular
scheduled payments in the four calendar months
preceding the Cut-off Date (regardless of either the
timing of receipt of such payments or the payment
history of such loans prior to April 1, 2001), or
(iii) the mortgagor has made at least five aggregate regular
scheduled payments in the five calendar months
preceding the Cut-off Date (regardless of either the
timing of receipt of such payments or the payment
history of such loans prior to March 1, 2001).
ARREARAGE
- ---------
With respect to certain Delinquent mortgage loans, the total amount of Scheduled
Monthly Payments due thereon on or before the Cut-off Date but not received
prior to the Cut-off Date, together with any outstanding servicing advances on
such mortgage loans, is referred to as the "Arrearage." The Servicer has
previously made advances in respect of the Arrearages. Any Arrearage will not be
included as part of the Trust Fund and, accordingly, payments with respect to
Arrearage will not be payable to the Certificateholders as and when received.
However, the Servicer shall be required to make servicing advances on Delinquent
mortgage loans and make advances of delinquent payments of principal and
interest on Delinquent mortgage loans (other than Simple Interest Mortgage Loans
or REO properties), each to the extent such advances are deemed recoverable,
until such mortgage loans become current or an REO property.
FHA MORTGAGE LOANS
- ------------------
The FHA Mortgage Loans will be insured by the Federal Housing Administration
("FHA") of the United States Department of Housing and Urban Development ("HUD")
as authorized under the National Housing Act of 1934, as amended (the "National
Housing Act"), and the United States Housing Act of 1937, as amended (the
"United States Housing Act"). No FHA Mortgage Loan may have an interest rate or
original principal amount exceeding the applicable FHA limits at the time of
origination of such FHA Mortgage Loan.
VA MORTGAGE LOANS
- -----------------
The VA Mortgage Loans will be partially guaranteed by The United States
Department of Veterans Affairs (the "VA") under the Servicemen's Readjustment
Act of 1944, as amended. The Servicemen's Readjustment Act of 1944, as amended,
permits a veteran (or in certain instances the spouse of a veteran) to obtain a
mortgage loan guarantee by the VA covering mortgage financing of the purchase of
a one- to four-family dwelling unit at interest rates permitted by the VA. The
program has a current mortgage loan limit of $203,000, requires no down payment
from the purchaser and permits the guarantee of mortgage loans of generally up
to 30 years' duration. However, no VA Mortgage Loan will have an original
principal amount greater than five times the amount of the related guarantee.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
14
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- -------------------------------------------------------------------------------
FHA UNINSURED MORTGAGE LOANS
- ----------------------------
The FHA Uninsured Mortgage Loans were originated using FHA documents, but for
various reasons, are not covered by FHA insurance. The Seller acquired the FHA
Uninsured Mortgage Loans without FHA insurance in effect.
VA NON-GUARANTEED MORTGAGE LOANS
- --------------------------------
The VA Non-guaranteed Mortgage Loans were originated using VA documents, but for
various reasons, are not covered by a VA guarantee. The Seller acquired the VA
Non-guaranteed Mortgage Loans without a VA guarantee in effect.
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
15
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 1 (FIXED RATE) - 3,855 LOANS
- ------------------------------------------------------------------------------------------------------------------------------------
Aggregate Current Principal Balance: $171,993,502.79 % FHA Uninsured Mortgage Loans: 0.63%
Range of Current Principal Balances: $833.40 - $528,105.86 % VA Non-Guaranteed Mortgage Loans: 0.07%
Average Current Principal Balance: $44,615.69 % Subprime Mortgage Loans: 87.42%
Range of Original Principal Balances: $1,350.00 - $530,000.00 % Performing Mortgage Loans: 87.81%
Average Original Principal Balance: $46,563.41 % Sub-Performing Mortgage Loans: 8.04%
Range of Gross Mortgage Interest Rates: 5.000% - 18.750% % Sub-Performing in Forbearance: 0.03%
WA Gross Mortgage Interest Rate: 10.776% % Sub-Performing in Bankruptcy: 1.31%
WA Net Mortgage Interest Rate: 10.022% % Re-Performing Mortgage Loans: 4.15%
WA CLTV Ratio: 83.11% % Re-Performing in Forbearance: 0.99%
WA Remaining Term to Stated Maturity: 252 Months % Re-Performing in Bankruptcy: 2.74%
WA Original Term to Maturity: 282 Months % Delinquent Mortgage Loans: 8.04%
% Second and Third Lien Mortgage Loans: 18.61% % 30 to 59 Days Delinquent: 8.04%
% Balloon Mortgage Loans: 14.54% % 60 to 89 Days Delinquent: 0.00%
% Simple Interest Mortgage Loans: 17.76% Geographic Concentration (In Excess of 5.00%)
% of Mortgage Loans with Prepayment Penalties: 40.85% California 14.59%
% of Mortgage Loans with Primary Mortgage Insurance: 27.20% Texas 6.90%
% Owner-Financed Mortgage Loans: 2.23% Florida 6.37%
% FHA Mortgage Loans: 2.67% Maximum Zip Code Concentration (70124): 0.31%
% VA Mortgage Loans: 0.65%
- ------------------------------------------------------------------------------------------------------------------------------------
LOAN GROUP 1A (FIXED RATE - FHA/VA/FHA UNINSURED/VA NON-GUARANTEED) - 117 LOANS
- ------------------------------------------------------------------------------------------------------------------------------------
Aggregate Current Principal Balance: $6,926,268.40 % Subprime Mortgage Loans: 0.00%
Range of Current Principal Balances: $4,590.29 - $206,793.08 % Performing Mortgage Loans: 50.78%
Average Current Principal Balance: $59,198.88 % Sub-Performing Mortgage Loans: 3.98%
Range of Original Principal Balances: $13,550.00 - $213,642.28 % Sub-Performing in Forbearance: 0.00%
Average Original Principal Balance: $65,587.19 % Sub-Performing in Bankruptcy: 0.00%
Range of Gross Mortgage Interest Rates: 5.950% - 12.000% % Re-Performing Mortgage Loans: 45.24%
WA Gross Mortgage Interest Rate: 8.703% % Re-Performing in Forbearance: 10.36%
WA Net Mortgage Interest Rate: 8.203% % Re-Performing in Bankruptcy: 26.40%
WA CLTV Ratio: 100.26% % Delinquent Mortgage Loans: 3.98%
WA Remaining Term to Stated Maturity: 273 Months % 30 to 59 Days Delinquent: 3.98%
WA Original Term to Maturity: 358 Months % 60 to 89 Days Delinquent: 0.00%
% Second or Third Lien Mortgage Loans: 0.00% Geographic Concentration (In Excess of 5.00%):
% Balloon Mortgage Loans: 0.00% California 12.90%
% Simple Interest Mortgage Loans: 0.00% Florida 10.01%
% of Mortgage Loans with Prepayment Penalties: 0.00% Texas 8.61%
% of Mortgage Loans with Primary Mortgage Insurance: 0.00% Arkansas 8.27%
% Owner-Financed Mortgage Loans: 0.00% Georgia 7.07%
% FHA Mortgage Loans: 66.41% Tennessee 6.39%
% VA Mortgage Loans: 16.22% Maryland 6.23%
% FHA Uninsured Mortgage Loans: 15.58% Missouri 5.45%
% VA Non-Guaranteed Mortgage Loans: 1.79% Maximum Zip Code Concentration (08857): 2.99%
- ------------------------------------------------------------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
16
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
LOAN GROUP 1B (FIXED RATE - NON FHA/VA) - 3,738 LOANS
- ------------------------------------------------------------------------------------------------------------------------------------
Aggregate Current Principal Balance: $165,067,234.39 % FHA Uninsured Mortgage Loans: 0.00%
Range of Current Principal Balances: $833.40 - $528,105.86 % VA Non-Guaranteed Mortgage Loans: 0.00%
Average Current Principal Balance: $44,159.24 % Subprime Mortgage Loans: 91.09%
Range of Original Principal Balances: $1,350.00 - $530,000.00 % Performing Mortgage Loans: 89.37%
Average Original Principal Balance: $45,967.96 % Sub-Performing Mortgage Loans: 8.21%
Range of Gross Mortgage Interest Rates: 5.000% - 18.750% % Sub-Performing in Forbearance: 0.03%
WA Gross Mortgage Interest Rate: 10.863% % Sub-Performing in Bankruptcy: 1.37%
WA Net Mortgage Interest Rate: 10.099% % Re-Performing Mortgage Loans: 2.42%
WA CLTV Ratio: 82.39% % Re-Performing in Forbearance: 0.59%
WA Remaining Term to Stated Maturity: 251 Months % Re-Performing in Bankruptcy: 1.75%
WA Original Term to Maturity: 279 Months % Delinquent Mortgage Loans: 8.21%
% Second or Third Lien Mortgage Loans: 19.39% % 30 to 59 Days Delinquent: 8.21%
% Balloon Mortgage Loans: 15.15% % 60 to 89 Days Delinquent: 0.00%
% Simple Interest Mortgage Loans: 18.51% Geographic Concentration (In Excess of 5.00%)
% of Mortgage Loans with Prepayment Penalties: 42.56% California 14.66%
% of Mortgage Loans with Primary Mortgage Insurance: 28.34% Texas 6.83%
% Owner-Financed Mortgage Loans: 2.32% Florida 6.21%
% FHA Mortgage Loans: 0.00% Maximum Zip Code Concentration (70124) 0.32%
% VA Mortgage Loans: 0.00%
- ------------------------------------------------------------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
17
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
LOAN GROUP 1
------------
CURRENT PRINCIPAL BALANCE
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT PRINCIPAL BALANCE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
0.01 - 50,000.00 2,687 $67,667,070.03 39.34%
50,000.01 - 100,000.00 852 58,787,764.92 34.18
100,000.01 - 150,000.00 236 28,005,805.38 16.28
150,000.01 - 200,000.00 51 8,665,677.28 5.04
200,000.01 - 250,000.00 10 2,185,518.55 1.27
250,000.01 - 300,000.00 6 1,660,159.35 0.97
300,000.01 - 350,000.00 6 1,868,919.76 1.09
350,000.01 - 400,000.00 2 776,048.49 0.45
400,000.01 - 450,000.00 2 862,982.79 0.50
450,000.01 - 500,000.00 1 481,558.24 0.28
500,000.01 - 550,000.00 2 1,031,998.00 0.60
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
18
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
CURRENT GROSS MORTGAGE INTEREST RATE
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
CURRENT GROSS OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE INTEREST RATE (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
4.501 - 5.000 2 $298,956.06 0.17%
5.501 - 6.000 5 298,656.84 0.17
6.001 - 6.500 7 456,729.77 0.27
6.501 - 7.000 41 3,376,743.66 1.96
7.001 - 7.500 72 5,076,049.32 2.95
7.501 - 8.000 142 10,097,387.45 5.87
8.001 - 8.500 135 10,200,992.04 5.93
8.501 - 9.000 139 9,539,273.63 5.55
9.001 - 9.500 124 8,833,580.79 5.14
9.501 - 10.000 258 14,405,639.72 8.38
10.001 - 10.500 232 13,207,235.53 7.68
10.501 - 11.000 386 21,355,001.57 12.42
11.001 - 11.500 346 14,475,459.11 8.42
11.501 - 12.000 476 18,918,726.87 11.00
12.001 - 12.500 289 11,033,681.66 6.42
12.501 - 13.000 309 10,055,715.58 5.85
13.001 - 13.500 141 3,462,237.15 2.01
13.501 - 14.000 322 7,260,520.30 4.22
14.001 - 14.500 107 2,719,556.47 1.58
14.501 - 15.000 154 3,466,318.63 2.02
15.001 - 15.500 75 1,768,036.26 1.03
15.501 - 16.000 84 1,489,454.59 0.87
16.001 - 16.500 5 129,524.73 0.08
16.501 - 17.000 2 34,413.46 0.02
17.501 - 18.000 1 13,696.08 0.01
18.501 - 19.000 1 19,915.52 0.01
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
19
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- -------------------------------------------------------------------------------
ORIGINAL CLTV RATIO
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL CLTV RATIO (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
.001 - 10.000 2 $5,084.70 0.00%
10.001 - 20.000 20 296,337.79 0.17
20.001 - 30.000 49 924,173.02 0.54
30.001 - 40.000 69 1,699,949.76 0.99
40.001 - 50.000 106 3,106,477.56 1.81
50.001 - 60.000 153 6,199,421.88 3.60
60.001 - 70.000 366 17,914,032.66 10.42
70.001 - 80.000 725 36,876,616.21 21.44
80.001 - 90.000 1,081 58,522,337.70 34.03
90.001 - 100.000 928 34,299,310.63 19.94
100.001 - 110.000 328 10,653,073.31 6.19
110.001 - 120.000 21 1,126,150.48 0.65
120.001 - 130.000 6 353,227.83 0.21
130.001 - 140.000 1 17,309.26 0.01
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
REMAINING TERM TO MATURITY
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
REMAINING TERM TO MATURITY (MONTHS) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
1 - 60 104 $984,590.01 0.57%
61 - 120 438 9,297,382.54 5.41
121 - 180 1,102 44,492,174.16 25.87
181 - 240 704 22,367,878.45 13.01
241 - 300 602 29,377,784.64 17.08
301 - 360 902 65,014,766.53 37.80
421 - 480 3 458,926.46 0.27
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
20
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
PROPERTY TYPE
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Single Family Residence 3,322 $144,897,618.61 84.25%
Manufactured Housing 203 8,335,333.42 4.85
PUD 92 5,644,377.13 3.28
2 Family 65 4,101,038.45 2.38
Condo 71 2,780,141.36 1.62
2-4 Family 49 2,445,018.74 1.42
4 Family 10 978,963.13 0.57
Townhouse 17 866,158.11 0.50
Multi-Family 7 827,250.44 0.48
3 Family 10 653,400.50 0.38
Mixed Use 1 72,098.97 0.04
Other 8 392,103.93 0.23
- ------------------------------------------- -------------- --------------------- ----------------------------
Total 3,855 $171,993,502.79 100.00%
============== ===================== ============================
OCCUPANCY STATUS
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Primary 3,603 $158,826,722.45 92.34%
Investment 227 11,571,935.12 6.73
Secondary 25 1,594,845.22 0.93
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
LOAN PURPOSE
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- ------------ --------------------- ----------------------------
Refinance - Cashout 1,171 $56,132,732.13 32.64%
Refinance - Rate Term 845 55,047,787.37 32.01
Purchase 682 37,524,952.09 21.82
Construction 1,157 23,288,031.20 13.54
- ------------------------------------------- ------------ --------------------- ----------------------------
Total 3,855 $171,993,502.79 100.00%
============ ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
21
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
DOCUMENTATION TYPE
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
DOCUMENTATION TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Full 3,277 $137,560,411.94 79.98%
No Documentation 216 10,118,018.12 5.88
Alternate 149 8,637,723.75 5.02
Stated Documentation 77 5,313,114.85 3.09
Streamlined 56 4,872,384.95 2.83
Limited 66 4,516,196.89 2.63
Missing 14 975,652.29 0.57
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
DELINQUENCY STATUS
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
DELINQUENCY STATUS LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Performing 3,370 $151,030,905.20 87.81%
30 Days Past Due 382 13,827,831.48 8.04
Re-Performing 103 7,134,766.11 4.15
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
22
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
ORIGINATOR
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINATOR LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
First Union 3,064 $118,845,966.48 69.10%
Amresco 202 15,207,635.93 8.84
South Plains 231 10,662,827.13 6.20
First Greensboro 62 5,003,502.04 2.91
Regins Mortgage 82 4,463,488.22 2.60
Ocwen 24 1,915,586.96 1.11
Mellon Bank 30 1,847,101.64 1.07
Long Beach 16 1,435,425.14 0.83
Dime 13 1,297,709.44 0.75
Mortgage Express 17 1,224,547.88 0.71
First Horizon 5 1,190,477.36 0.69
Nations Bank 18 1,141,641.63 0.66
Unknown 8 899,303.47 0.52
Goodrich & Pennington 6 760,187.11 0.44
Homelender 5 656,188.33 0.38
Source One 9 639,806.27 0.37
Lehman 4 624,650.53 0.36
Laguna Capitol 9 549,249.86 0.32
General Electric 4 408,227.26 0.24
First Plus 9 297,753.77 0.17
Walsh 3 280,698.86 0.16
Equicredit 3 264,931.32 0.15
Decision One 2 219,381.64 0.13
Life Bank 5 212,519.12 0.12
New Century 2 193,317.59 0.11
Accredited 1 191,350.74 0.11
Crown Bank 1 186,807.01 0.11
Aames 1 183,061.94 0.11
Merrill Lynch 2 179,375.75 0.10
Prudential 2 172,170.51 0.10
Matrix Bank 3 143,328.04 0.08
Associates 2 125,075.05 0.07
IMC 2 124,756.42 0.07
RBMG 1 77,980.72 0.05
Household Bank 1 66,467.11 0.04
OnCall 1 64,910.80 0.04
Conti 1 64,657.05 0.04
Bank United 1 60,468.59 0.04
FT Mortgage 1 47,703.12 0.03
Aegis 1 31,780.24 0.02
Impac 1 31,484.72 0.02
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
TThis page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
23
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
AGGREGATE % OF AGGREGATE GROUP 1
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
GEOGRAPHIC DISTRIBUTION LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
California 496 $25,087,341.02 14.59%
Texas 318 11,865,547.29 6.90
Florida 230 10,949,420.76 6.37
Pennsylvania 182 7,517,812.30 4.37
Michigan 151 6,946,061.09 4.04
North Carolina 142 6,298,148.87 3.66
Ohio 153 6,178,557.59 3.59
Georgia 142 6,142,450.90 3.57
New York 131 6,120,140.58 3.56
Illinois 150 6,050,163.84 3.52
Virginia 103 5,618,732.11 3.27
Tennessee 102 4,757,197.56 2.77
South Carolina 95 4,504,064.04 2.62
Washington 86 4,440,322.11 2.58
Indiana 111 4,409,538.50 2.56
Maryland 81 4,240,113.00 2.47
Missouri 119 4,161,898.45 2.42
Arizona 88 3,661,755.59 2.13
Louisiana 77 3,621,611.71 2.11
New Jersey 61 3,240,078.44 1.88
Mississippi 71 2,817,578.05 1.64
Oregon 43 2,634,740.72 1.53
Arkansas 57 2,556,839.26 1.49
Colorado 53 2,512,348.25 1.46
Oklahoma 78 2,344,291.98 1.36
Wisconsin 45 2,084,978.73 1.21
Kentucky 50 2,018,124.87 1.17
Massachusetts 29 1,935,997.66 1.13
Utah 23 1,933,095.29 1.12
Nevada 51 1,932,291.66 1.12
Minnesota 41 1,744,057.19 1.01
Kansas 47 1,669,247.01 0.97
New Mexico 30 1,320,598.50 0.77
Alabama 30 1,230,590.44 0.72
Iowa 37 1,123,821.85 0.65
West Virginia 28 1,114,987.99 0.65
Maine 18 876,304.64 0.51
Idaho 18 764,578.58 0.44
Connecticut 18 668,284.89 0.39
District of Columbia 9 608,721.42 0.35
Nebraska 16 402,329.13 0.23
Rhode Island 4 345,864.59 0.20
Delaware 9 313,339.10 0.18
Alaska 3 215,877.05 0.13
Montana 5 211,281.47 0.12
New Hampshire 6 194,172.90 0.11
South Dakota 6 185,626.30 0.11
Vermont 6 172,598.03 0.10
Hawaii 2 149,144.47 0.09
Wyoming 3 70,342.57 0.04
North Dakota 1 30,492.45 0.02
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 3,855 $171,993,502.79 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
24
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
LOAN GROUP 2 (ADJUSTABLE RATE) - 1,492 LOANS
- -----------------------------------------------------------------------------------------------------------------------
Aggregate Current Principal Balance: $148,854,361.87 Geographic Concentration (In Excess of 5.00%):
Range of Current Principal Balances: $4,268.04 - $507,985.55 California 26.30%
Average Current Principal Balance: $99,768.34 Florida 6.72%
Range of Original Principal Balances: $10,000.00 - $520,000.00 Illinois 5.43%
Average Original Principal Balance: $101,844.93 Maximum Zip Code Concentration (85255): 0.67%
Range of Gross Mortgage Interest Rates: 6.000% - 15.600% Index:
WA Gross Mortgage Interest Rate: 10.542% 6M LIBOR: 86.11%
WA Net Mortgage Interest Rate: 9.622% 1 Year Treasury: 11.22%
WA CLTV Ratio: 77.55% Other: 2.66%
WA Remaining Term to Stated Maturity: 332 Months Gross Mortgage Interest Rate
By Index
WA Original Term to Maturity: 359 Months 6M LIBOR: 10.88%
% Second or Third Lien Mortgage Loans: 0.00% 1Year Treasury: 8.49%
% Balloon Mortgage Loans: 0.13% Other: 8.32%
% Simple Interest Mortgage Loans: 0.23% Gross Margin By Index 6M LIBOR: 6.44%
% of Mortgage Loans with Prepayment Penalties: 59.94% 1 Year Treasury: 3.09%
% of Mortgage Loans with Primary Mortgage Insurance: 49.68% Other: 3.15%
% Owner-Financed Mortgage Loans: 0.13% Range of Gross Margins: 0.000% - 10.189%
% FHA Mortgage Loans: 0.25% WA Gross Margin: 5.981%
% VA Mortgage Loans: 0.00% Range of Maximum Mortgage
% FHA Uninsured Mortgage Loans: 0.34% Interest Rates: 9.950% - 21.600%
WA Maximum Mortgage Interest Rate: 16.104%
% VA Non-Guaranteed Mortgage Loans: 0.00% Range of Minimum Mortgage
% Subprime Mortgage Loans: 95.65% Interest Rates: 1.000% - 15.600%
WA Minimum Mortgage Interest Rate: 8.730%
% Performing Mortgage Loans: 93.03% Range of Initial Rate
% Sub-Performing Mortgage Loans: 5.14% Adjustment Caps: 1.000% - 7.550%
WA Initial Rate Adjustment Cap: 2.107%
% Sub-Performing in Forbearance: 0.21% Range of Periodic Rate
% Sub-Performing in Bankruptcy: 0.95% Adjustment Caps: 1.000% - 7.500%
WA Periodic Rate Adjustment Cap: 1.243%
% Re-Performing Mortgage Loans: 1.82% Range of Months to Next
% Re-Performing in Forbearance: 0.47% Rate Adjustment: 1 - 76
WA Months to Next Rate Adjustment: 18
% Re-Performing in Bankruptcy: 1.02% WA Rate Adjustment Frequency: 7 Months
% Delinquent Mortgage Loans: 5.14%
% 30 to 59 Days Delinquent: 5.14%
% 60 to 89 Days Delinquent: 0.00%
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
25
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
LOAN GROUP 2
------------
CURRENT PRINCIPAL BALANCE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
CURRENT PRINCIPAL BALANCE ($) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
0.01 - 50,000.00 394 $14,385,918.99 9.66%
50,000.01 - 100,000.00 602 43,057,253.87 28.93
100,000.01 - 150,000.00 253 30,393,872.76 20.42
150,000.01 - 200,000.00 98 16,829,246.52 11.31
200,000.01 - 250,000.00 44 9,821,429.46 6.60
250,000.01 - 300,000.00 44 12,185,124.81 8.19
300,000.01 - 350,000.00 18 5,812,726.99 3.90
350,000.01 - 400,000.00 19 7,196,983.37 4.83
400,000.01 - 450,000.00 7 2,978,897.82 2.00
450,000.01 - 500,000.00 12 5,684,921.73 3.82
500,000.01 - 550,000.00 1 507,985.55 0.34
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
CURRENT GROSS MORTGAGE INTEREST RATE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
CURRENT GROSS OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
MORTGAGE INTEREST RATE (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
5.501 - 6.000 1 $386,884.60 0.26%
6.501 - 7.000 3 764,228.78 0.51
7.001 - 7.500 15 2,335,678.05 1.57
7.501 - 8.000 23 4,251,984.23 2.86
8.001 - 8.500 36 6,914,613.50 4.65
8.501 - 9.000 82 11,692,321.37 7.85
9.001 - 9.500 94 11,675,115.38 7.84
9.501 - 10.000 208 21,695,698.11 14.58
10.001 - 10.500 186 18,246,755.69 12.26
10.501 - 11.000 211 19,218,079.64 12.91
11.001 - 11.500 130 11,534,331.77 7.75
11.501 - 12.000 154 12,560,372.91 8.44
12.001 - 12.500 120 10,361,590.57 6.96
12.501 - 13.000 114 9,404,013.90 6.32
13.001 - 13.500 66 4,378,145.95 2.94
13.501 - 14.000 26 1,678,197.99 1.13
14.001 - 14.500 16 1,289,916.96 0.87
14.501 - 15.000 6 380,710.87 0.26
15.501 - 16.000 1 85,721.60 0.06
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
26
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
ORIGINAL CLTV RATIO
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINAL CLTV RATIO (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
0.001 - 10.000 2 $61,305.34 0.04%
10.001 - 20.000 3 140,660.13 0.09
20.001 - 30.000 9 392,766.12 0.26
30.001 - 40.000 26 1,663,361.93 1.12
40.001 - 50.000 37 1,878,801.25 1.26
50.001 - 60.000 81 6,803,559.94 4.57
60.001 - 70.000 266 23,645,418.43 15.88
70.001 - 80.000 604 64,755,726.68 43.50
80.001 - 90.000 385 42,152,209.73 28.32
90.001 - 100.000 76 7,202,847.20 4.84
100.001 - 110.000 3 157,705.12 0.11
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
REMAINING TERM TO MATURITY
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
REMAINING TERM TO MATURITY (MONTHS) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
1 - 60 1 $12,703.54 0.01%
61 - 120 11 409,547.22 0.28
121 - 180 16 759,638.27 0.51
181 - 240 8 933,523.24 0.63
241 - 300 154 15,769,494.95 10.59
301 - 360 1,302 130,969,454.65 87.98
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
27
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
PROPERTY TYPE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
PROPERTY TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Single Family Residence 1,233 $120,363,611.43 80.86%
PUD 67 9,889,130.38 6.64
Condo 62 6,947,254.20 4.67
2 Family 45 4,621,096.31 3.10
Manufactured Housing 37 2,074,308.54 1.39
3 Family 13 1,919,836.25 1.29
2-4 Family 16 1,341,063.09 0.90
4 Family 13 1,333,235.37 0.90
Townhouse 5 281,589.02 0.19
Multi-Family 1 83,237.28 0.06
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
OCCUPANCY STATUS
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
OCCUPANCY STATUS LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Primary 1,326 $137,137,620.57 92.13%
Investment 154 10,406,235.60 6.99
Secondary 12 1,310,505.70 0.88
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
LOAN PURPOSE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
LOAN PURPOSE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- ------------ --------------------- ----------------------------
Refinance - Cahsout 577 $59,678,180.44 40.09%
Refinance - Rate Term 538 45,555,982.56 30.60
Purchase 377 43,620,198.87 29.30
- ------------------------------------------- ------------ --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============ ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
28
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
DOCUMENTATION TYPE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
DOCUMENTATION TYPE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Full 1,098 $99,159,840.05 66.62%
Stated Documentation 233 32,766,227.51 22.01
Limited 76 8,022,142.05 5.39
Streamlined 41 3,895,697.11 2.62
Alternate 33 3,838,612.83 2.58
No Documentation 4 718,531.65 0.48
Missing 7 453,310.67 0.30
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
DELINQUENCY STATUS
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
DELINQUENCY STATUS LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Performing 1,375 $138,484,764.39 93.03%
30 Days Past Due 86 7,654,332.88 5.14
Re-Performing 31 2,715,264.60 1.82
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
29
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
ORIGINATOR
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
ORIGINATOR LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
Aames 328 $37,135,581.72 24.95%
First Union 485 34,589,265.21 23.24
New Century 192 17,888,401.79 12.02
Amresco 145 11,276,872.82 7.58
Matrix Bank 73 11,135,756.15 7.48
RFC 61 7,380,175.08 4.96
First Horizon 22 5,482,707.72 3.68
Long Beach 34 4,884,017.04 3.28
Country Wide 18 4,392,451.97 2.95
Homelender 27 4,232,228.84 2.84
Lehman 16 2,117,723.39 1.42
Laguna Capitol 21 1,974,564.65 1.33
Mortgage Express 21 1,587,978.32 1.07
Ocwen 8 901,013.50 0.61
Goodrich & Pennington 10 695,774.93 0.47
Nations Bank 4 443,838.02 0.30
Regins Mortgage 3 430,543.00 0.29
Household Bank 3 425,653.75 0.29
Mellon Bank 4 381,153.88 0.26
First Greensboro 2 238,845.05 0.16
Impac 3 195,739.35 0.13
South Plains 1 189,364.57 0.13
Life Bank 2 181,182.24 0.12
Conti 1 172,808.42 0.12
Dime 2 158,092.33 0.11
Associates 1 84,347.30 0.06
Equivantage 1 74,398.88 0.05
Merrill Lynch 1 72,994.79 0.05
Walsh 2 70,472.17 0.05
IMC 1 60,414.99 0.04
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
30
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
GEOGRAPHIC DISTRIBUTION LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------
California 270 $39,152,509.35 26.30%
Florida 97 10,000,738.55 6.72
Illinois 102 8,081,656.07 5.43
Ohio 96 7,329,678.59 4.92
Michigan 83 6,217,102.76 4.18
Georgia 52 5,705,168.71 3.83
Arizona 46 5,555,803.66 3.73
Washington 41 4,857,111.16 3.26
Colorado 30 4,790,461.47 3.22
Texas 62 4,751,756.17 3.19
New York 42 4,538,729.78 3.05
Minnesota 39 3,781,477.49 2.54
Missouri 59 3,716,201.44 2.50
Pennsylvania 56 3,540,660.79 2.38
Connecticut 17 3,079,581.55 2.07
Indiana 38 2,485,534.82 1.67
New Jersey 22 2,448,446.92 1.64
Nevada 27 2,158,510.48 1.45
Utah 22 2,149,078.20 1.44
North Carolina 30 2,104,350.50 1.41
Maryland 12 1,998,570.32 1.34
Hawaii 10 1,990,568.82 1.34
Massachusetts 14 1,949,389.81 1.31
Virginia 16 1,879,959.01 1.26
Tennessee 25 1,493,061.58 1.00
Oregon 14 1,404,239.99 0.94
South Carolina 16 1,376,332.45 0.92
Oklahoma 18 1,191,473.64 0.80
Kansas 14 1,082,226.63 0.73
Wisconsin 10 741,232.44 0.50
Iowa 12 686,318.98 0.46
Idaho 8 614,690.73 0.41
Kentucky 11 608,219.11 0.41
Nebraska 10 607,720.66 0.41
Mississippi 10 579,363.96 0.39
Arkansas 8 528,478.00 0.36
District of Columbia 2 487,058.81 0.33
Louisiana 8 384,123.74 0.26
New Hampshire 7 381,277.68 0.26
New Mexico 5 372,905.60 0.25
Vermont 5 340,591.47 0.23
West Virginia 7 328,286.24 0.22
Montana 4 302,898.03 0.20
Delaware 3 293,062.19 0.20
South Dakota 4 233,359.13 0.16
Rhode Island 2 208,941.99 0.14
Maine 4 172,017.59 0.12
North Dakota 1 131,581.91 0.09
Alabama 1 41,852.90 0.03
- ------------------------------------------- -------------- --------------------- ----------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ======================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
31
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
GROSS MARGIN
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
GROSS MARGIN (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
0 1 $189,364.57 0.13%
0.501 - 1.000 2 139,114.63 0.09
1.001 - 1.500 10 921,847.94 0.62
1.501 - 2.000 1 295,141.13 0.20
2.001 - 2.500 16 3,539,891.98 2.38
2.501 - 3.000 40 8,998,447.36 6.05
3.001 - 3.500 19 4,036,637.01 2.71
3.501 - 4.000 36 5,455,300.07 3.66
4.001 - 4.500 21 1,802,953.62 1.21
4.501 - 5.000 52 5,392,848.33 3.62
5.001 - 5.500 64 6,682,542.64 4.49
5.501 - 6.000 213 19,367,853.11 13.01
6.001 - 6.500 412 35,043,856.54 23.54
6.501 - 7.000 281 30,634,218.47 20.58
7.001 - 7.500 114 10,366,295.17 6.96
7.501 - 8.000 150 11,146,996.63 7.49
8.001 - 8.500 29 2,587,282.23 1.74
8.501 - 9.000 19 1,587,379.88 1.07
9.001 - 9.500 4 224,851.49 0.15
9.501 - 10.000 6 319,147.99 0.21
10.001 - 10.500 2 122,391.08 0.08
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
MAXIMUM INTEREST RATE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
MAXIMUM INTEREST RATE (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
7.501 - 10.000 1 $130,998.68 0.09%
10.001 - 12.500 32 6,404,789.10 4.30
12.501 - 15.000 161 25,596,349.51 17.20
15.001 - 17.500 957 91,185,281.62 61.26
17.501 - 20.000 323 24,181,696.39 16.25
20.001 - 22.500 18 1,355,246.57 0.91
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
32
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
MINIMUM INTEREST RATE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
MINIMUM INTEREST RATE (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
0.501 - 1.000 1 $55,715.85 0.04%
1.001 - 1.500 1 35,272.24 0.02
1.501 - 2.000 3 533,370.54 0.36
2.001 - 2.500 15 3,321,085.51 2.23
2.501 - 3.000 36 8,171,306.12 5.49
3.001 - 3.500 18 4,153,320.70 2.79
3.501 - 4.000 17 3,438,530.39 2.31
4.001 - 4.500 1 117,173.95 0.08
4.501 - 5.000 6 583,227.38 0.39
5.001 - 5.500 10 991,905.07 0.67
5.501 - 6.000 23 1,747,696.38 1.17
6.001 - 6.500 142 9,593,719.68 6.45
6.501 - 7.000 73 5,187,150.36 3.48
7.001 - 7.500 26 2,838,120.28 1.91
7.501 - 8.000 51 4,531,839.83 3.04
8.001 - 8.500 50 4,214,854.34 2.83
8.501 - 9.000 111 12,783,488.79 8.59
9.001 - 9.500 131 13,481,755.63 9.06
9.501 - 10.000 236 23,379,164.67 15.71
10.001 - 10.500 114 12,333,841.78 8.29
10.500 - 11.000 129 14,357,585.74 9.65
11.000 - 11.500 68 5,807,641.16 3.90
11.500 - 12.000 69 5,525,282.81 3.71
12.000 - 12.500 54 4,066,302.11 2.73
12.500 - 13.000 57 4,128,039.29 2.77
13.000 - 13.500 22 1,404,232.94 0.94
13.500 - 14.000 16 1,117,277.67 0.75
14.000 - 14.500 8 692,840.07 0.47
14.500 - 15.000 3 176,898.99 0.12
15.500 - 16.000 1 85,721.60 0.06
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
33
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
INITIAL RATE ADJUSTMENT CAP
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
INITIAL RATE ADJUSTMENT CAP (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
1.000 460 $36,710,797.56 24.66%
1.500 385 35,193,363.25 23.64
2.000 118 17,671,992.93 11.87
3.000 507 54,313,040.41 36.49
5.000 15 4,351,442.31 2.92
5.500 1 145,720.39 0.10
6.250 1 49,591.23 0.03
6.500 2 81,402.20 0.05
7.000 1 63,034.83 0.04
7.500 1 171,817.10 0.12
7.550 1 102,159.66 0.07
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
PERIODIC RATE ADJUSTMENT CAP
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
PERIODIC RATE ADJUSTMENT CAP (%) LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
1.000 1,025 $98,319,502.75 66.05%
1.500 378 33,381,106.22 22.43
2.000 72 15,588,937.55 10.47
3.000 16 1,392,998.25 0.94
7.500 1 171,817.10 0.12
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
34
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE
AGGREGATE % OF AGGREGATE GROUP 2
NUMBER PRINCIPAL BALANCE PRINCIPAL BALANCE
OF MORTGAGE OUTSTANDING AS OF OUTSTANDING AS OF
NEXT RATE ADJUSTMENT DATE LOANS THE CUT-OFF DATE THE CUT-OFF DATE
- ------------------------------------------- -------------- --------------------- ----------------------------
September 2001 34 $4,652,572.87 3.13%
October 2001 64 6,665,866.21 4.48
November 2001 109 9,724,098.24 6.53
December 2001 172 14,839,939.89 9.97
January 2002 84 7,892,567.10 5.30
February 2002 56 5,674,010.70 3.81
March 2002 14 2,517,213.90 1.69
April 2002 9 1,706,384.10 1.15
May 2002 12 1,374,211.72 0.92
June 2002 10 1,504,738.56 1.01
July 2002 13 1,005,084.37 0.68
August 2002 15 1,111,717.81 0.75
September 2002 21 1,844,252.27 1.24
October 2002 58 4,833,198.83 3.25
November 2002 53 3,643,010.59 2.45
December 2002 45 4,110,265.52 2.76
January 2003 45 3,234,638.05 2.17
February 2003 22 3,444,272.32 2.31
March 2003 40 5,919,051.27 3.98
April 2003 36 4,403,870.31 2.96
May 2003 40 6,306,037.71 4.24
June 2003 38 4,746,809.99 3.19
July 2003 27 2,304,049.54 1.55
August 2003 29 2,368,940.39 1.59
September 2003 19 1,554,237.88 1.04
October 2003 15 956,059.42 0.64
November 2003 26 1,885,096.98 1.27
December 2003 33 1,962,426.00 1.32
January 2004 49 4,340,640.75 2.92
February 2004 33 2,868,584.64 1.93
March 2004 62 5,045,144.49 3.39
April 2004 82 7,763,809.90 5.22
May 2004 52 4,337,496.59 2.91
June 2004 33 3,010,450.25 2.02
July 2004 7 616,808.06 0.41
August 2004 3 141,211.58 0.09
December 2004 1 298,446.89 0.20
February 2005 1 87,979.62 0.06
April 2005 2 616,648.63 0.41
July 2005 1 417,738.21 0.28
October 2005 1 330,263.22 0.22
November 2005 5 1,166,996.94 0.78
December 2005 3 820,414.81 0.55
January 2006 3 781,556.25 0.53
February 2006 2 479,078.49 0.32
April 2006 2 604,420.20 0.41
June 2006 1 430,539.53 0.29
October 2 700,797.54 0.47
2007
November 2007 5 975,389.93 0.66
December 2007 3 835,322.81 0.56
- ------------------------------------------- -------------- --------------------- ----------------------------
TOTAL 1,492 $148,854,361.87 100.00%
============== ===================== ============================
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
35
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
BOND SUMMARY (TO CALL)
---------------------------------------------------------------------------------------------------
CLASS A-IO 0% 75% 100% 125% 150%
---------------------------------------------------------------------------------------------------
WAL (yrs.) 1.61 1.61 1.61 1.61 1.61
Modified Duration 0.79 0.79 0.79 0.79 0.79
First Principal Payment N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
Date
Last Principal Payment N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
Date
Principal Window (mths.) N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
---------------------------------------------------------------------------------------------------
CLASS A-1A 0% 75% 100% 125% 150%
---------------------------------------------------------------------------------------------------
WAL (yrs.) 15.98 3.25 2.37 1.77 1.32
Modified Duration 11.02 2.86 2.14 1.63 1.24
First Principal Payment 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
Date
Last Principal Payment 2/25/28 12/25/10 8/25/08 2/25/07 1/25/06
Date
Principal Window (mths.) 318 112 84 66 53
---------------------------------------------------------------------------------------------------
CLASS M-1 0% 75% 100% 125% 150%
---------------------------------------------------------------------------------------------------
WAL (yrs.) 23.06 6.00 4.70 4.18 4.21
Modified Duration 11.34 4.67 3.85 3.52 3.55
First Principal Payment 3/25/19 9/25/04 12/25/04 3/25/05 7/25/05
Date
Last Principal Payment 2/25/28 12/25/10 8/25/08 2/25/07 1/25/06
Date
Principal Window (mths.) 108 76 45 24 7
---------------------------------------------------------------------------------------------------
CLASS M-2 0% 75% 100% 125% 150%
---------------------------------------------------------------------------------------------------
WAL (yrs.) 23.06 6.00 4.65 4.02 3.82
Modified Duration 10.95 4.61 3.77 3.36 3.23
First Principal Payment Date 3/25/19 9/25/04 10/25/04 12/25/04 2/25/05
Last Principal Payment Date 2/25/28 12/25/10 8/25/08 2/25/07 1/25/06
Principal Window (mths.) 108 76 47 27 12
---------------------------------------------------------------------------------------------------
CLASS B-1 0% 75% 100% 125% 150%
---------------------------------------------------------------------------------------------------
WAL (yrs.) 23.06 6.00 4.61 3.91 3.57
Modified Duration 10.53 4.54 3.70 3.24 3.01
First Principal Payment Date 3/25/19 9/25/04 9/25/04 10/25/04 11/25/04
Last Principal Payment Date 2/25/28 12/25/10 8/25/08 2/25/07 1/25/06
Principal Window (mths.) 108 76 48 29 15
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
36
C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2001-CB3
$313,147,000 (APPROXIMATE)
- --------------------------------------------------------------------------------
BOND SUMMARY (TO MATURITY)
----------------------------------------------------------------------------------------------------
CLASS A- IO 0% 75% 100% 125% 150%
----------------------------------------------------------------------------------------------------
WAL (yrs.) 1.61 1.61 1.61 1.61 1.61
Modified Duration 0.79 0.79 0.79 0.79 0.79
First Principal Payment Date N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
Last Principal Payment Date N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
Principal Window (mths.) N/A - N/A N/A - N/A N/A - N/A N/A - N/A N/A - N/A
----------------------------------------------------------------------------------------------------
CLASS A-1A 0% 75% 100% 125% 150%
----------------------------------------------------------------------------------------------------
WAL (yrs.) 16.08 3.54 2.61 1.97 1.49
Modified Duration 11.05 3.04 2.30 1.78 1.37
First Principal Payment Date 9/25/01 9/25/01 9/25/01 9/25/01 9/25/01
Last Principal Payment Date 9/25/30 6/25/21 5/25/17 11/25/14 7/25/12
Principal Window (mths.) 349 238 189 159 131
----------------------------------------------------------------------------------------------------
CLASS M-1 0% 75% 100% 125% 150%
----------------------------------------------------------------------------------------------------
WAL (yrs.) 23.27 6.56 5.18 4.57 4.54
Modified Duration 11.37 4.93 4.12 3.76 3.77
First Principal Payment Date 3/25/19 9/25/04 12/25/04 3/25/05 7/25/05
Last Principal Payment Date 12/25/29 7/25/16 8/25/13 3/25/11 6/25/09
Principal Window (mths.) 130 143 105 73 48
----------------------------------------------------------------------------------------------------
CLASS M-2 0% 75% 100% 125% 150%
----------------------------------------------------------------------------------------------------
WAL (yrs.) 23.25 6.50 5.06 4.35 4.09
Modified Duration 10.98 4.84 4.00 3.56 3.41
First Principal Payment Date 3/25/19 9/25/04 10/25/04 12/25/04 2/25/05
Last Principal Payment Date 9/25/29 5/25/15 9/25/12 6/25/10 10/25/08
Principal Window (mths.) 127 129 96 67 45
----------------------------------------------------------------------------------------------------
CLASS B-1 0% 75% 100% 125% 150%
----------------------------------------------------------------------------------------------------
WAL (yrs.) 23.17 6.26 4.82 4.07 3.71
Modified Duration 10.55 4.66 3.81 3.34 3.10
First Principal Payment Date 3/25/19 9/25/04 9/25/04 10/25/04 11/25/04
Last Principal Payment Date 4/25/29 1/25/14 2/25/11 2/25/09 9/25/07
Principal Window (mths.) 122 113 78 53 35
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer please contact your First Union Securities, Inc. Financial Advisor
immediately. This Series Term Sheet supersedes any previous Series Term Sheet
and will be superseded by the information in the Prospectus Supplement.
37