Exhibit 99.4
BEAR XXXXXXX BEAR, XXXXXXX & CO. INC.
ATLANTA o BOSTON o CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS o LOS ANGELES o NEW YORK o SAN FRANCISCO 000 Xxxx Xxxxxx
FRANKFORT o GENEVA o HONG KONG New York, N.Y. 10167
LONDON o PARIS o TOKYO (000) 000-0000; (000) 000-0000 fax
XXXXX HOME EQUITY LOAN TRUST 2001-2
TERM SHEET/COMPUTATIONAL MATERIALS - PRICING
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FAX TO: DATE: 09/25/01
COMPANY: # PAGES (incl. cover): 57
FAX NO: PHONE NO:
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FROM: PHONE NO:
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STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Xxxx Xxxxxxx, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Any information herein
regarding the collateral or the securities supersedes any prior information
regarding the collateral or the securities and will be superseded by information
regarding the collateral and/or the securities contained in the Offering
Documents and any subsequent information regarding the collateral or the
securities. Offering Documents contain data that is current as of their
publication dates and after publication may no longer be complete or current and
any subsequent information regarding the collateral or the securities. Contact
your registered representative for Offering Documents, current Information or
additional materials, including other models for performance analysis, which are
likely to produce different results, and any further explanation regarding the
Information.
Any pricing estimates Bear Xxxxxxx has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Xxxxxxx assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
GENERAL INFORMATION: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear Xxxxxxx and/or
individuals employed thereby may have positions in these securities while the
Information is circulating or during such period may engage in transactions with
the issuer or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Xxxxxxx shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Xxxxxxx.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
XXXXX HOME EQUITY LOAN TRUST 2001-2
COMPUTATIONAL MATERIALS: PRELIMINARY TERM SHEET (PAGE 1 OF 16)
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CHARACTERISTICS OF THE NOTES (A), (B), (C), (D), (E), (F), (G), (H), (I), (J),
(K)
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AVG INITIAL LEGAL
APPROXIMATE LIFE PRINCIPAL PRINCIPAL RATINGS FINAL
OFFERED INITIAL NOTE TO CALL LOCKOUT WINDOW (XXXXX'X/ COLLATERAL PAYMENT
SECURITIES BALANCE (C) COUPON (YEARS) (MONTHS) (MONTHS) S&P/FITCH) TYPE LOAN GROUP DATE
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Class IA-1 Notes $64,930,000 Floater(d) 0.72 0 17 Aaa/AAA/AAA HEL Fixed Loan Group I 07/25/09
Class IA-2 Notes $115,000,000 Fixed (f) 3.57 16 94 Aaa/AAA/AAA HEL Fixed Loan Group I 02/25/27
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Class IIA-1 Notes $72,972,000 Floater(e) 0.92 0 21 Aaa/AAA/AAA HLTV Fixed Loan Group II 9/25/10
Class IIA-2 Notes $26,949,000 Fixed 2.02 20 8 Aaa/AAA/AAA HLTV Fixed Loan Group II 5/25/12
Class IIA-3 Notes $50,846,000 Fixed 3.02 27 20 Aaa/AAA/AAA HLTV Fixed Loan Group II 12/25/14
Class IIA-4 Notes $31,104,000 Fixed 5.02 46 29 Aaa/AAA/AAA HLTV Fixed Loan Group II 2/25/16
Class IIA-5 Notes $41,796,000 Fixed (f) 8.61 74 51 Aaa/AAA/AAA HLTV Fixed Loan Group II 2/25/27
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Class IIIA-1 Notes $130,000,000 Floater(g) 3.96 0 125 Aaa/AAA/AAA HELOC Loan Group III 7/25/26
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Class M-1 Notes $53,022,000 Floater(h) 7.08 42 83 Aa2/AA/AA ALL ALL 7/25/26
Class M-2 Notes $43,904,000 Floater(i) 7.08 42 83 A2/A/A ALL ALL 7/25/26
Class B-1 Notes $43,904,000 Floater(j) 7.08 42 83 Baa3/BBB/BBB ALL ALL 7/25/26
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Class A- IO $54,112,000(k) Fixed (k) 2.49 N/A N/A Aaa/AAA/AAA HEL/HLTV Group I & 3/25/04
Fixed Group II
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NOTE:
(a) Prepayment Assumptions: Group I Loans: 4% CPR building to 20% CPR over 12
months; Group II Loans 2% CPR building to 15% CPR over 15 months; and Group
III Loans: 22% CPR less 2% constant draw rate ("CDR"), net 20% CPR.
(b) Transaction priced to 10% clean-up call; after the clean-up call date, the
coupon on the Class IA-2 notes and the Class IIA-5 notes then outstanding
will step up by 50 bps, the margin on the Class IIIA-1 notes then
outstanding will increase by 2x and the margin on the Class M-1 notes,
Class M-2 notes, and Class B-1 notes then outstanding will increase by
1.5x.
(c) The initial note balances shown above are subject to a permitted variance
of plus or minus 5%
(d) On any payment date, equal to the lesser of (i) LIBOR plus 0.22% per annum
and (ii) 10.00% per annum.
(e) On any payment date, equal to the lesser of (i) LIBOR plus _0.22___% per
annum and (ii) 10.00% per annum.
(f) The note rate will increase by 0.50% per annum commencing on the Step-Up
Date. The "STEP-UP DATE" is the first payment date on which the aggregate
outstanding principal balance of the mortgage loans is less than 10% of the
sum of (x) the aggregate principal balance of the mortgage loans as of the
cut-off date and (y) the amount on deposit in the pre-funding account on
the closing date.
(g) On any payment date, equal to the least of (i) LIBOR plus __0.35__% (or,
for any payment on or after the related Step-Up Date, LIBOR plus _0.70___%
(the original margin multiplied by 2)) per annum, (ii) the weighted average
net mortgage interest rate of the mortgage loans in loan group III and
(iii) 12.00% per annum.
(h) On any payment date, equal to the least of (i) LIBOR plus _0.875___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _1.3125___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
(i) On any payment date, equal to the least of (i) LIBOR plus _1.25___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _1.875___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
(j) On any payment date, equal to the least of (i) LIBOR plus _2.00___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _3.00___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
(k) The Class A-IO notes will have a notional balance equal to the lesser of
(i) $54,112,000 (10.00% of the aggregate initial principal balance of the
Group I and the Group II initial mortgage loans and additional mortgage
loans) and (ii) the aggregate outstanding principal balance of the mortgage
loans in loan groups I and II. The Class A-IO notes will not have a
principal balance. Distributions on the Class A-IO notes are calculated at
a 10% coupon on the outstanding notional balance for 30 months with a legal
final of [March 25, 2004]. The modified duration on the Class A-IO notes is
[1.25] years.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
Xxxxx Home Equity Loan Trust 2001-2
COMPUTATIONAL MATERIALS: PRELIMINARY TERM SHEET (PAGE 4 OF 16)
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Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
$674,427,000 (SUBJECT TO A
PERMITTED VARIANCE OF PLUS
OR MINUS 5%)
Title of the offered notes....... Home Equity Loan-Backed Term Notes, Series
2001-2.
Issuer........................... Xxxxx Home Equity Loan Trust 2001-2.
Depositor........................ Bear Xxxxxxx Asset Backed Securities, Inc.
Transferor....................... IHE Funding Corp. II.
Originator and master servicer... Xxxxx Union Bank and Trust Company.
Subservicer...................... Xxxxx Home Equity Corporation.
Owner trustee.................... Wilmington Trust Company.
Indenture trustee................ Xxxxx Fargo Bank Minnesota, National
Association.
Mortgage loans................... Closed-end, fixed-rate home equity loans with
combined loan-to-value ratios generally up to
100%, closed-end, fixed-rate home equity
loans with combined loan-to-value ratios
generally up to 125%, adjustable-rate home
equity lines of credit with combined
loan-to-value ratios generally up to 100% and
adjustable-rate home equity lines of credit
with combined loan-to-value ratios generally
up to 125%, secured, in each case, by first,
second or more junior mortgages or deeds of
trust on one- to four-family residential
properties with the characteristics specified
in the tables attached hereto will be
transferred to the issuer on the closing
date. Additional fixed-rate home equity
loans, adjustable-rate home equity lines of
credit and additional draws on the initial
home equity lines of credit, acquired by the
transferor prior to the closing date will be
sold to the issuer on the closing date. Along
with the initial mortgage loans and the
additional mortgage loans, the issuer will
also purchase from Xxxxx Union Bank and Trust
Company, mortgage loans consisting of
fixed-rate home equity loans and
adjustable-rate home equity lines of credit
prior to March 31, 2002 and additional draws
on previously acquired home equity lines of
credit prior to September 30, 2005.
Statistical calculation date..... The close of business on July 31, 2001.
Cut-off date..................... The close of business on August 31, 2001 for
the initial mortgage loans. In the case of
any additional mortgage loan sold to the
trust on the closing date, the later of
August 31, 2001 and the origination date of
such mortgage loan. For any subsequent
mortgage loan sold to the trust after the
closing date, the applicable sale date of
such mortgage loan to the trust.
Closing date..................... On or about September 28, 2001.
Payment dates.................... Beginning in October 2001 on the 25th day of
each month or, if the 25th day is not a
business day, on the next business day.
Form of offered notes............ Book-entry form, same day funds through DTC,
Clearstream or Euroclear.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
OFFERED NOTES
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INITIAL RATING EXPECTED
NOTE INITIAL NOTE (XXXXX'X/ FINAL PAYMENT LEGAL FINAL
CLASS RATE BALANCE(1) S&P/FITCH) DATE(2) PAYMENT DATE DESIGNATIONS
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IA-1 Variable (3) $64,930,000 Aaa/AAA/AAA 2/25/03 7/25/09 Senior/Variable Rate
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IA-2 %(4) $115,000,000 Aaa/AAA/AAA 11/25/10 2/25/27 Senior/Fixed Rate
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IIA-1 Variable (5) $72,972,000 Aaa/AAA/AAA 6/25/03 9/25/10 Senior/Variable Rate
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IIA-2 % $26,949,000 Aaa/AAA/AAA 1/25/04 5/25/12 Senior/Fixed Rate
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IIA-3 % $50,846,000 Aaa/AAA/AAA 8/25/05 12/25/14 Senior/ Fixed Rate
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IIA-4 % $31,104,000 Aaa/AAA/AAA 12/25/07 2/25/16 Senior/Fixed Rate
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IIA-5 %(4) $41,796,000 Aaa/AAA/AAA 2/25/12 2/25/2027 Senior/ Fixed Rate
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IIIA-1 Variable (6) $130,000,000 Aaa/AAA/AAA 2/25/12 7/25/2026 Senior/Variable Rate
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A-IO 10.000% (7) (8) Aaa/AAA/AAA 3/25/2004 3/25/2004 Senior/Fixed Rate/Interest
Only
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M-1 Variable (9) $53,022,000 Aa2/AA/AA 2/25/12 7/25/2026 Subordinate/Variable
Rate
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M-2 Variable (10) $43,904,000 A2/A/A 2/25/12 7/25/2026 Subordinate/Variable
Rate
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B-1 Variable (11) $43,904,000 Baa3/BBB/BBB 2/25/12 7/25/2026 Subordinate/Variable Rate
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Total
Offered
Notes $674,427,000
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(1) Subject to a permitted variance of plus or minus 5%.
(2) Based on the assumption that the master servicer has exercised its option
to repurchase all of the mortgage loans and the other assumptions described
herein. Due to losses and prepayments on the mortgage loans, the final
payment dates on each class of offered notes may be substantially earlier
or later than such dates.
(3) On any payment date, equal to the lesser of (i) LIBOR plus _0.22___% per
annum and (ii) 10.00% per annum.
(4) The note rate will increase by 0.50% per annum commencing on the Step-Up
Date. The "STEP-UP DATE" is the first payment date on which the aggregate
outstanding principal balance of the mortgage loans is less than 10% of the
sum of (x) the aggregate principal balance of the mortgage loans as of the
cut-off date and (y) the amount on deposit in the pre-funding account on
the closing date.
(5) On any payment date, equal to the lesser of (i) LIBOR plus _0.22___% per
annum and (ii) 10.00% per annum.
(6) On any payment date, equal to the least of (i) LIBOR plus _0.35___% (or,
for any payment on or after the related Step-Up Date, LIBOR plus _0.70___%
(the original margin multiplied by 2)) per annum, (ii) the weighted average
net mortgage interest rate of the mortgage loans in loan group III and
(iii) 12.00% per annum.
(7) The Class A-IO notes will be interest only notes. Interest will accrue on
the notional balance of the Class A-IO notes.
(8) The Class A-IO notes will have a notional balance equal to the lesser of
(i) $54,112,000 (10.00% of the aggregate initial principal balance of the
Group I and the Group II initial mortgage loans and additional mortgage
loans) and (ii) the aggregate outstanding principal balance of the mortgage
loans in loan groups I and II. The Class A-IO notes will not have a
principal balance.
(9) On any payment date, equal to the least of (i) LIBOR plus _0.875___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _1.3125___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
(10) On any payment date, equal to the least of (i) LIBOR plus _1.25___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _1.875___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
(11) On any payment date, equal to the least of (i) LIBOR plus _2.00___% (or,
for any payment on or after the Step-Up Date, LIBOR plus _3.00___% (the
original margin multiplied by 1.5)) per annum, (ii) (a) the weighted
average net mortgage interest rate of all of the mortgage loans, minus (b)
on or prior to the payment date in March 2004, 1.00% plus (c) a rate equal
to the amount, if any, received with respect to such payment date on the
interest rate cap divided by the notional amount of the interest rate cap
and (iii) 13.00% per annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
THE OFFERED NOTES
The Class IA-1 notes, and the Class IA-2 notes are collectively referred to as
the Group I notes. The Class IIA-1 notes, Class IIA-2 notes, Class IIA-3 notes,
Class IIA-4 notes and the Class IIA-5 notes are collectively referred to as the
Group II notes. The Class IIIA-1 notes and the variable funding notes are
collectively referred to as the Group III notes. The Group I notes, the Group II
notes and the Group III notes are collectively referred to as the Class A notes.
The Class M-1 notes, the Class M-2 notes and the Class B-1 notes are
collectively referred to as the subordinate notes. The Class A notes (other than
the variable funding notes), the Class A-IO notes and the subordinate notes are
collectively referred to as the offered notes.
THE VARIABLE FUNDING NOTES
In addition to the offered notes, the trust will also issue Home Equity
Loan-Backed Variable Funding Notes, Series 2001-2. The variable funding notes
will not be offered by this prospectus supplement. The variable funding notes
will have a variable funding balance of $0 on the closing date. Any information
concerning the variable funding notes included in this prospectus supplement is
only included to provide you with a better understanding of the offered notes.
During the managed amortization period, if amounts on deposit in the funding
account and principal collections on the mortgage loans in loan group III are
insufficient to fund all of the additional balances on the home equity lines of
credit arising during the related collection period, the variable funding
balance will be increased by the shortfall.
THE CERTIFICATES
The trust will also issue Home Equity Loan-Backed Certificates, Series 2001-2,
which will not be offered by this prospectus supplement. Any information
concerning the certificates included in this prospectus supplement is only
included to provide you with a better understanding of the offered notes. The
certificates will be subordinated to the offered notes and the variable funding
notes. The certificates will be issued pursuant to the trust agreement and will
represent the beneficial ownership interests in the trust.
THE TRUST
The depositor will establish Xxxxx Home Equity Loan Trust 2001-2, a Delaware
business trust. The trust will be established pursuant to a trust agreement,
dated as of August 31, 2001, between the depositor and the owner trustee. The
trust will issue the notes pursuant to an indenture dated as of August 31, 2001,
between the issuer and the indenture trustee. The assets of the trust will
include:
o the unpaid principal balance of the mortgage loans as of the close of
business on the initial cut-off date;
o the unpaid principal balance as of the related cut-off date of
mortgage loans added to the property of the trust after the closing
date; and
o any additions to the home equity lines of credit as a result of draws
or new advances of money made pursuant to the applicable loan
agreement after the cut-off date or related subsequent cut-off date.
The unpaid principal balance of a home equity line of credit on any day will be
equal to:
o its cut-off date balance,
o PLUS any additional balances relating to that home equity line of
credit sold to the issuer before that day,
o MINUS all collections credited against the principal balance of that
home equity line of credit in accordance with the related loan
agreement since the cut-off date or related subsequent cut-off date.
The principal balance of a liquidated home equity line of credit or a closed-end
home equity loan after the final recovery of related liquidation proceeds will
be zero.
In addition to the mortgage loans conveyed to the trust on the closing date, the
property of the trust will include cash on deposit in the pre-funding account
and the capitalized interest account and collections on the mortgage loans.
Payments of interest and principal on the notes will be made only from payments
received in connection with the mortgage loans
MORTGAGE LOAN GROUPS
The mortgage loans assigned and transferred to the issuer and pledged to the
indenture trustee as of the closing date will be divided into three loan groups.
Loan group I will include initial mortgage loans which consist solely of
fixed-rate, closed-end home equity loans with combined loan-to-value ratios
generally up to 100%, secured by first, second or more junior mortgages or deeds
of trust on residential properties.
Loan group II will include initial mortgage loans which consist solely of
fixed-rate, closed-end home equity loans with combined loan-to-value ratios
generally over 100% and generally up to 125%, secured by second or more junior
mortgages or deeds of trust on residential properties.
Loan group III will include initial mortgage loans which consist of (i)
adjustable-rate home equity lines of credit with combined loan-to-value ratios
generally up to 100% and (ii) adjustable-rate home equity lines of credit with
combined loan-to-value ratios generally over 100% and generally up to 125%,
secured in both cases by first, second or more junior mortgages or deeds of
trust on residential properties.
PRE-FUNDING ACCOUNT
On the closing date, an amount equal to the excess of the aggregate initial
principal balance of the offered notes plus the initial overcollateralization
amount over the aggregate principal balance of the initial mortgage loans and
the additional mortgage loans acquired by the trust on the closing date will be
deposited from the proceeds of the sale of the offered notes into a pre-funding
account. Approximately $[135.2] million will be allocated to purchasing
subsequent home equity loans for loan group I, approximately $[150.8] million
will be allocated to purchasing subsequent home equity loans for loan group II
and approximately $[39.1] million will be allocated to purchasing subsequent
home equity lines of credit for loan group III.
The transferor will be obligated to sell mortgage loans to the trust after the
closing date and the trust will be obligated, subject to the provisions of the
sale and servicing agreement, to purchase such subsequent mortgage loans from
funds on deposit in the pre-funding account during the period from the closing
date until the earliest of (i) the date on which the amount on deposit in the
pre-funding account is less than $100,000, (ii) March 31, 2002 and (iii) the
occurrence, if any, of a servicer default under the sale and servicing agreement
or an amortization event.
Amounts on deposit in the pre-funding account will be invested in permitted
investments specified in the indenture. Any amount remaining in the pre-funding
account at the end of the pre-funding period that was allocated to purchase
subsequent mortgage loans for loan groups I or II will be treated as principal
collections for the related loan group. Any amount remaining in the pre-funding
account at the end of the pre-funding period described above that was allocated
to purchase subsequent home equity lines of credit for loan group III will
generally be used to purchase additional balances through the end of the managed
amortization period, and thereafter will be treated as principal collections for
loan group III.
CAPITALIZED INTEREST ACCOUNT
On the closing date, the transferor will make a cash deposit from the proceeds
of the sale of the offered notes into a capitalized interest account held by the
indenture trustee, unless a letter of credit evidencing the availability of such
amount is delivered to the indenture trustee on the closing date. Any letter of
credit must be in form and substance, and from a provider, acceptable to the
rating agencies. Amounts on deposit in the capitalized interest account will be
withdrawn, or drawings under such letter of credit will be made, on each payment
date during the pre-funding period to fund portions of the interest payments on
the notes to the extent set forth in the indenture and the sale and servicing
agreement. To the extent not needed to fund portions of the interest payments on
the notes on the current or any future payment date, amounts on deposit in the
capitalized interest account may be withdrawn by the transferor, or such letter
of credit may be reduced, on any payment date during the pre-funding period.
FUNDING ACCOUNT
An account designated the "funding account" will be set up with the indenture
trustee on the closing date. On each payment date during the period beginning at
the end of the pre-funding period described above and terminating at the end of
the managed amortization period, the indenture trustee, first from any amounts
transferred from the pre-funding account to the funding account and second from
principal collections on the mortgage loans, will apply such amounts to buy
additional balances for loan group III, to the extent they are available.
The managed amortization period will only be in effect for the Group III notes
and will be the period beginning on the closing date and ending on the earlier
of (1) September 30, 2005 and (2) the occurrence of an amortization event. To
the extent that any amounts deposited in the funding account have not been
applied to buy additional balances at the end of the managed amortization
period, the amount left in the funding account will be paid treated as principal
collections for loan group III.
INTEREST PAYMENTS
Interest payments on each class of the offered notes will be made monthly on
each payment date, beginning in October 2001, at the respective note rates
described above. The Class A-IO notes, which will be interest only notes, will
only receive interest payments up to and including the payment date in March
2004. Interest on the Class A notes that are offered notes (other than the Class
IA-1 notes, Class IIA-1 notes and Class IIIA-1 notes) and the Class A-IO notes
for each payment date will accrue during the calendar month preceding the month
in which such payment date occurs, on the basis of a 30-day month and a 360-day
year. Interest on the Class IA-1 notes, Class IIA-1 notes, Class IIIA-1 notes
and the subordinate notes for each payment date will accrue from the preceding
payment date (or, in the case of the first payment date) from the closing date
through the day before that payment date, on the basis of the actual number of
days in that interest period and a 360-day year. Interest on the Class A notes
and the Class A-IO notes is paid senior in priority to interest on the
subordinate notes.
All interest payments on the notes for any payment date will be allocated to the
notes based on their respective interest accruals. Interest will accrue on the
Class A-IO notes on the notional balance thereof. The initial notional balance
of the Class A-IO notes will be $54,112,000 and will not be subject to reduction
unless the aggregate principal balance of all of the home equity loans in loan
groups I and II is reduced below $54,112,000 on or before March 1, 2004. The
interest rate on the variable funding notes for any payment date will equal the
note rate on the Class IIIA-1 notes for the related interest period.
PRINCIPAL PAYMENTS
Payments made to the holders of the Class A notes on each payment date with
respect to the Principal Collection Distribution Amount, the Liquidation Loss
Amount and the Overcollateralization Increase Amount will be distributed
concurrently to (a) the Group I notes in the aggregate, (b) the Group II notes
in the aggregate and (c) the Group III notes in the aggregate, in each case in
proportion to the percentage of the Net Principal Collections derived from the
related loan group (with respect to which any related notes are outstanding) for
that payment date, until the principal balances of the Group I notes in the
aggregate, the Group II notes in the aggregate and the Group III notes in the
aggregate have been reduce to zero.
During the managed amortization period, Principal Collections on the mortgage
loans in loan group III may be used to fund additional balances created during
the related collection period, which balances will be allocated to loan group
III. This will reduce the Net Principal Collections for loan group III and the
Principal Collection Distribution Amount.
After either the Group I notes in the aggregate, the Group II notes in the
aggregate or the Group III notes in the aggregate are reduced to zero, the
Principal Collection Distribution Amount, Liquidation Loss Amount and the
Overcollateralization Increase Amount will be distributed to the remaining class
or classes of the Class A notes, as described in the next paragraph, to the
extent necessary to pay principal due on those classes.
Payments of principal that are allocated to the Group I notes and the Group II
notes will be paid sequentially within the respective group of notes, which
means that principal will not be paid on any class of notes unless the principal
balance of each class of notes within such group with a lower numerical
designation has been reduced to zero. Payments of principal that are allocated
to the Group III notes will be paid to the Class IIIA-1 notes and the variable
funding notes pro rata based on the outstanding principal balance or variable
funding balance, as applicable, thereof until paid in full.
Because principal payments on the Class A notes in respect of Liquidation Loss
Amounts and Overcollateralization Increase Amounts will be allocated between the
Group I notes, the Group II notes and the Group III notes in proportion to the
Net Principal Collections for the related loan group, and not in proportion to
the amount of Liquidation Loss Amounts on mortgage loans in the related loan
group or the Overcollateralization Amount derived from that loan group, excess
interest collections from one loan group may be applied on any payment date to
make principal payments to the notes corresponding to another loan group.
For at least thirty-six months after the closing date, no principal payments
will be distributed to the Class M-1 notes, the Class M-2 notes and the Class
B-1 notes, unless the principal balances of all of the Class A notes have been
reduced to zero. In addition, if on any payment date the loss or delinquency
tests are not satisfied, amounts otherwise payable to the Class M-1 notes, the
Class M-2 notes or the Class B-1 notes with respect to principal will be paid to
the Class A notes, and the Class M-1 notes, the Class M-2 notes and the Class
B-1 notes will receive no distributions of principal on that payment date. No
principal will be paid to the Class A-IO notes, which are interest only notes.
On the related legal final payment date, principal will be due and payable on
the notes in an amount equal to the related principal balance (or the variable
funding balance in the case of the variable funding notes) remaining outstanding
on that payment date.
The release of overcollateralization after the step-down date is subject to the
following loss and delinquency tests:
o satisfaction of a cumulative liquidation loss amount test such that
the fraction, (expressed as a percentage) of cumulative liquidation
loss amounts as of the respective payment date divided by the
principal balance of the initial mortgage loans and the additional
mortgage loans is less than or equal to the percentage set forth below
for the related collection period specified below:
COLLECTION CUMULATIVE LIQUIDATION
PERIOD LOSS AMOUNT PERCENTAGE
36 - 48 9.5%
49 - 60 11.25%
61 - 84 11.75%
85+ 12.25%; and
o satisfaction of a delinquency test such that the three-month rolling
average of the principal balance of the mortgage loans that are 60
days or more delinquent in the payment of principal and interest is
less than 17.75% of the Senior Enhancement Percentage.
PRIORITY OF PAYMENTS ON THE NOTES
Payments of principal and interest on the mortgage loans will be collected each
month. After retaining its master servicing fee and amounts that reimburse the
master servicer or the subservicer for reimbursable expenses, the master
servicer will forward all collections on the mortgage loans to the indenture
trustee and on each payment date, these amounts and any interest rate cap
payments, after the indenture trustee reimburses itself for any reimbursable
expenses, will be allocated as follows:
o FIRST, to pay any prepayment penalties collected on the mortgage loans
to the holders of the certificates;
o SECOND, for any payment date up to and including the March 2004
payment date, an amount not to exceed $[165,000] to the interest rate
cap counterparty;
o THIRD, to pay accrued and unpaid interest due on the principal
balances of the notes at the respective note rates as follows:
o (i) first, to the Class A notes and the Class A-IO notes, on a
pro rata basis in accordance with the amount of accrued interest
due thereon;
o (ii) second, to the Class M-1 notes;
o (iii) third, to the Class M-2 notes; and
o (iv) fourth, to the Class B-1 notes;
o FOURTH, to pay as principal on the notes (other than the Class A-IO
notes), in an amount equal to the Principal Collection Distribution
Amount for that payment date as follows:
o (i) first, to the Class A notes, in the order described above
under "Principal Payments," the amount necessary to reduce the
aggregate principal balance of the Class A notes to the Class A
Optimal Principal Balance;
o (ii) second, to the Class M-1 notes, the amount necessary to
reduce the principal balance of the Class M-1 notes to the Class
M-1 Optimal Principal Balance;
o (iii) third, to the Class M-2 notes, the amount necessary to
reduce the principal balance of the Class M-2 notes to the Class
M-2 Optimal Principal Balance; and
o (iv) fourth, to the Class B-1 notes, the amount necessary to
reduce the principal balance of the Class B-1 notes to the Class
B Optimal Principal Balance;
o FIFTH, to pay to the Class A notes, in the order described above under
"Principal Payments," until the aggregate principal balance of the
Class A notes has been reduced to the Class A Optimal Principal
Balance, an amount equal to any Liquidation Loss Amounts incurred on
the mortgage loans during the related collection period, and any
Liquidation Loss Amounts allocated to the Class A notes on any
previous payment date and not previously paid, plus interest on any
previously unpaid amount;
o SIXTH, to pay to the Class M-1 notes, until the principal balance of
the Class M-1 notes has been reduced to the Class M-1 Optimal
Principal Balance, an amount equal to any Liquidation Loss Amounts
incurred on the mortgage loans during the related collection period
and not paid to the holders of the Class A notes under clause FIFTH
above, and any Liquidation Loss Amounts allocated to the Class M- I
notes on any previous payment date and not previously paid, plus
interest on any previously unpaid amount;
o SEVENTH, to pay to the Class M-2 notes, until the principal balance of
the Class M-2 notes has been reduced to the Class M-2 Optimal
Principal Balance, an amount equal to any Liquidation Loss Amounts
incurred on the mortgage loans during the related collection period
and not paid to the holders of the Class A notes under clause FIFTH
above or the Class M-1 notes under clause SIXTH above, and any
Liquidation Loss Amounts allocated to the Class M-2 notes on any
previous payment date and not previously paid, plus interest on any
previously unpaid amount;
o EIGHTH, to pay to the Class B-1 notes, until the principal balance of
the Class B-1 notes has been reduced to the Class B-1 Optimal
Principal Balance, an amount equal to any Liquidation Loss Amounts
incurred on the mortgage loans during the related collection period
and not paid to the holders of the Class A notes under clause FIFTH
above, the Class M- 1 notes under clause SIXTH above or the Class M-2
notes under clause seventh above, and any Liquidation Loss Amounts
allocated to the Class B-1 notes on any previous payment date and not
previously paid, plus interest on any previously unpaid amount;
o NINTH, to pay to the Class A notes, in the order described above under
"-Principal Payments," the Overcollateralization Increase Amount, if
any, to reduce the aggregate principal balance of the Class A notes to
the Class A Optimal Principal Balance;
o TENTH, to pay to the Class M-1 notes, the Overcollateralization
Increase Amount, if any, to the extent not previously distributed to
the Class A notes pursuant to clause NINTH above, to reduce the
principal balance of the Class M-1 notes to the Class M- I Optimal
Principal Balance;
o ELEVENTH, to pay to the Class M-2 notes, the Overcollateralization
Increase Amount, if any, to the extent not previously distributed to
the Class A notes pursuant to clause NINTH above or the Class M-1
notes pursuant to clause TENTH above, to reduce the principal balance
of the Class M-2 notes to the Class M-2 Optimal Principal Balance;
o TWELFTH, to pay to the Class B-1 notes, the Overcollateralization
Increase Amount, if any, to the extent not previously distributed to
the Class A notes pursuant to clause NINTH above, the Class M-1 notes
pursuant to clause TENTH above or the Class M-2 notes pursuant to
clause ELEVENTH above, to reduce the principal balance of the Class
B-1 notes to the Class B-1 Optimal Principal Balance;
o THIRTEENTH, to pay the indenture trustee any unpaid expenses and other
reimbursable amounts owed to the indenture trustee;
o FOURTEENTH, to pay the holders of the Class IIIA-1 notes and the
variable funding notes, PRO RATA, any unpaid interest carry-forward
amounts (amounts that would have been paid on these notes if not for
the application of the applicable interest rate caps), together with
interest thereon;
o FIFTEENTH, to pay the holders of the Class M-1 notes any unpaid
interest carry-forward amounts (amounts that would have been paid on
these notes if not for the application of the Class M-1 note interest
rate cap), together with interest thereon;
o SIXTEENTH, to pay the holders of the Class M-2 notes any unpaid
interest carry-forward amounts (amounts that would have been paid on
these notes if not for the application of the Class M-2 note interest
rate cap), together with interest thereon;
o SEVENTEENTH, to pay the holders of the Class B-1 notes any unpaid
interest carry-forward amounts (amounts that would have been paid on
these notes if not for the application of the Class B-1 note interest
rate cap), together with interest thereon; and
o EIGHTEENTH, any remaining amounts to the holders of the certificates.
CREDIT ENHANCEMENT
The credit enhancement provided for the benefit of the offered notes consists
of:
SUBORDINATION. To the extent no overcollateralization exists with respect to
losses on the mortgage loans during the related collection period in excess of
amounts available to be paid on that payment date pursuant to clauses FIFTH
through EIGHTH above under "Priority of Payments on the Notes" will be allocated
in full to the first class of notes listed below with a principal balance
greater than zero:
o Class B-1 notes;
o Class M-2 notes; and
o Class M-1 notes.
When this occurs, the principal balance of the class of notes to which the loss
is allocated is reduced, without a corresponding payment of principal.
If none of the Class M-1 notes, Class M-2 notes or Class B-1 notes remain
outstanding, losses will be allocated among the Class A notes, in proportion to
their remaining principal balances.
EXCESS SPREAD. The weighted average mortgage loan rate is generally expected to
be higher than the sum of (a) the master servicing fee of 1.00%, (b) for any
payment date up to and including the March 2004 payment date, the fee of the
interest rate cap counterparty not expected to exceed [0.25]% and (c) the
weighted average note rate. On each payment date, excess spread generated during
the related collection period will be available to cover losses and build
overcollateralization.
OVERCOLLATERALIZATION. On the closing date, there will be overcollateralization
equal to $1,012,976 (or 0.15% of the aggregate principal balance of the offered
notes). In addition, excess interest that is not needed to cover losses will be
used to make additional principal payments on the notes, until the aggregate
principal balance of the mortgage loans exceeds the aggregate principal balance
of the offered notes (other than the Class A-IO notes) and the variable funding
balance of the variable funding notes by a specified amount. This excess will
represent overcollateralization, which will absorb losses on the mortgage loans,
to the extent of the overcollateralization, if they are not covered by excess
interest. If the level of overcollateralization falls below what is required,
the excess interest described above will be paid to the notes as principal,
until the required level of overcollateralization is reached.
INTEREST RATE CAP AGREEMENT. On the closing date, the trust will enter into an
interest rate cap with Bear Xxxxxxx Financial Products, Inc., (Aaa/AAA) as the
interest rate cap counterparty. The interest rate cap counterparty, an affiliate
of one of the underwriters, will be required to make payments to the trust on
any payment date for which LIBOR is greater than a specified rate. The required
payment will be in an amount equal to the product of (1) LIBOR minus a specified
rate and (2) the notional amount of the interest rate cap which will be equal to
the lesser of (a) the then outstanding principal balance of the subordinate
notes and (b) the initial principal balance of the subordinate notes reduced by
any payments that would be paid to them under the specified pricing speed and
assuming that there are no losses on the mortgage loans.
LEGAL INVESTMENT
Since the note rates on the subordinate notes are based on LIBOR and under
certain prepayment and loss scenarios, payments on the subordinate notes would
be supported in whole or in part by fixed rate mortgage loans, the interest rate
cap will be acquired by the trust to make it more likely that the subordinate
notes will be paid the applicable note rates based on LIBOR.
OPTIONAL REDEMPTION
The master servicer may, at its option repurchase all but not less than all of
the mortgage loans on any payment date on which the aggregate outstanding
principal balance of the mortgage loans (after applying payments received in the
related collection period), is less than 10% of the sum of (x) the aggregate
principal balance of the mortgage loans as of the related cut-off date and (y)
the amount on deposit in the pre-funding account on the closing date. The
purchase price must equal an amount equal to the sum of all accrued and unpaid
interest (including interest carry-forward amounts on the Group III notes and
the subordinate notes) and the outstanding principal balance of the notes.
An exercise of the optional redemption will cause the aggregate outstanding note
balance of the notes to be paid in full sooner than it otherwise would have been
paid.
RATINGS
When issued, the offered notes will receive the ratings indicated in the chart
above. A security rating is not a recommendation to buy, sell or hold a security
and is subject to change or withdrawal at any time by the assigning rating
agency. The ratings also do not address the rate of principal prepayments on the
mortgage loans or the likelihood of the payment of any interest carry-forward
amounts. The rate of prepayments, if different than originally anticipated,
could adversely affect the yield realized by holders of the offered notes.
The offered notes will not be "mortgage related securities" for purposes of the
Secondary Mortgage Market Enhancement Act of 1984. You should consult your legal
advisors in determining whether and to what extent the offered notes constitute
legal investments for you.
ERISA CONSIDERATIONS
Subject to important considerations, the depositor expects that the offered
notes may be purchased by persons investing assets of employee benefit plans or
individual retirement accounts. Plans should consult with their legal advisors
before investing in the offered notes.
TAX STATUS
For federal income tax purposes, the offered notes will be treated as debt. The
trust itself will not be subject to tax.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
"Class A Optimal Principal Balance" means, with respect to any payment date
prior to the Step-down Date or after the Step-down Date if the loss or
delinquency tests have not been satisfied, zero; and with respect to any other
payment date, an amount equal to the Pool Balance as of the preceding
Determination Date minus the sum of (a) approximately [41.70]% of the Pool
Balance as of the preceding Determination Date and (b) the Overcollateralization
Target Amount for such payment date.
"Class B Optimal Principal Balance" means, with respect to any payment date
prior to the Step-down Date, zero; and with respect to any other payment date,
the Pool Balance as of the preceding Determination Date minus the sum of (a) the
aggregate of the principal balances of the Class A notes, the Class M-1 notes
and the Class M-2 notes (after taking into account any payments made on such
payment date in reduction of such principal balances) and (b) the
Overcollateralization Target Amount for such payment date; PROVIDED, HOWEVER,
that the Class B Optimal Principal Balance will not be reduced below the Class B
Optimal Principal Balance on the prior payment date unless the loss and
delinquency tests are satisfied.
"Class M-1 Optimal Principal Balance" means, with respect to any payment date
prior to the Step-down Date, zero; and with respect to any other payment date,
the Pool Balance as of the preceding Determination Date minus the sum of (a) the
aggregate principal balance of the Class A notes (after taking into account
payments made on such payment date in reduction of such principal balance ), (b)
approximately [26.00]% of the Pool Balance as of the preceding Determination
Date, and (c) the Overcollateralization Target Amount for such payment date;
PROVIDED, HOWEVER, that the Class M-l Optimal Principal Balance will not be
reduced below the Class M-1 Optimal Principal Balance on the prior payment date
unless the loss and delinquency tests are satisfied.
"Class M-2 Optimal Principal Balance" means, with respect to any payment date
prior to the Step-down Date, zero; and with respect to any other payment date,
the Pool Balance as of the preceding Determination Date minus the sum of (a) the
aggregate principal balances of the Class A notes and the Class M-1 notes (after
taking into account payments made on such payment date in reduction of such
principal balances), (b) approximately [13.00]% of the Pool Balance as of the
preceding Determination Date, and (c) the Overcollateralization Target Amount
for such payment date; PROVIDED, HOWEVER, that the Class M-2 Optimal Principal
Balance will not be reduced below the Class M-2 Optimal Principal Balance on the
prior payment date unless the loss and delinquency tests are satisfied.
"Liquidation Loss Amount" means, with respect to any payment date and any
liquidated mortgage loan, the unrecovered principal balance of the liquidated
mortgage loan at the end of the related collection period in which the mortgage
loan became a liquidated mortgage loan, after giving effect to the net
liquidation proceeds for that mortgage loan.
"Net Principal Collections" means, with respect to any payment date,
o for loan group I, the Principal Collections for Loan Group I;
o for loan group II, the Principal Collections for Loan Group II;
o for loan group III, (1) during the managed amortization period, the
difference (but not less than zero) of Principal Collections for Loan
Group III minus Principal Collections for Loan Group III used by the
trust to acquire additional balances during the related collection
period and (2) after the managed amortization period, the Principal
Collections for Loan Group III.
"Overcollateralization Amount" means, with respect to any payment date, the
amount, if any, by which the outstanding principal balance of the mortgage loans
as of the close of business on the last day of the related collection period,
after applying payments received in that collection period, plus amounts on
deposit in the pre-funding account and the funding account, exceeds the
principal balance of the notes on that payment date, after taking into account
the payment of the Principal Collection Distribution Amount and the Liquidation
Loss Amounts for such payment date.
"Overcollateralization Increase Amount" means, with respect to any payment date,
the amount necessary to increase the Overcollateralization Amount to the
Overcollateralization Target Amount.
"Overcollateralization Release Amount" means, with respect to any date of
determination, the excess, if any, of the Overcollateralization Amount over the
Overcollateralization Target Amount.
"Overcollateralization Target Amount" means, as to any payment date prior to the
Step-down Date, an amount equal to 4.50% of the initial Pool Balance. On or
after the Step-down Date, the Overcollateralization Target Amount will be equal
to the lesser of (a) the Overcollateralization Target Amount as of the initial
payment date and (b) 9.00% of the current Pool Balance (after applying payments
received in the related collection period), but not lower than approximately
$[3,377,200], which is 0.50% of the initial Pool Balance. However, any scheduled
reduction to the Overcollateralization Target Amount described in the preceding
sentence shall not be made as of any payment date unless the loss and
delinquency tests are satisfied. In addition, the Overcollateralization Target
Amount may be reduced with the prior written consent of the rating agencies.
"Pool Balance" means, with respect to any date, the aggregate of the sum of the
principal balances of all mortgage loans conveyed to the trust as of that date
and amounts, if any, on deposit in the Funding Account and the Pre-Funding
Account.
"Principal Collections" means, with respect to any payment date, an amount equal
to the sum of:
o the amount collected during the related collection period, including
net liquidation proceeds, repurchase proceeds and proceeds of an
optional purchase, allocated to principal of the mortgage loans
pursuant to the terms of the related mortgage notes;
o amounts remaining in the pre-funding account at the end of the
pre-funding period and not transferred to the funding account; and
o amounts remaining in the funding account at the end of the managed
amortization period.
"Principal Collection Distribution Amount" means, with respect to any payment
date, the total Principal Collections for that payment date minus (1) any
Overcollateralization Release Amount for such payment date and (2) during the
managed amortization period, Principal Collections for Loan Group III used by
the trust to acquire additional balances during the related collection period.
"Senior Enhancement Percentage" means, with respect to any payment date, the
percentage obtained by dividing:
o the excess of (a) the Pool Balance as of the first day of the related
collection period over (b) the aggregate principal balance of the
Class A notes immediately prior to such payment date, by
o the Pool Balance as of the first day of the related collection period.
"Step-down Date" means the first payment date occurring after the payment date
in September 2004 as to which the aggregate principal balance of the Class A
notes (after applying payments received in the related collection period) will
be able to be reduced on such payment date (such determination to be made by the
master servicer prior to the indenture trustee making actual distributions on
such payment date) to an amount equal to the excess, if any, of (a) the Pool
Balance as of such payment date (after applying payments received in the related
collection period) over (b) the greater of (i) approximately 9.00% of the Pool
Balance as of the end of the related collection period, and (ii) 4.50% of the
initial Pool Balance, provided that the loss and delinquency tests have been
satisfied.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
Xxxxx Home Equity Loan Trust 2001-2
COMPUTATIONAL MATERIALS: COLLATERAL TABLES (PAGE 6 OF 33)
-------------------------------------------------------------------------------
COLLATERAL SUMMARY
INITIAL AGGREGATE MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) -
HEL'S, HEL 125'S, HELOC'S AND HELOC 125'S
-------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS: 8,508
TOTAL OUTSTANDING LOAN BALANCE: $355,771,166.60
AVERAGE LOAN PRINCIPAL BALANCE: $41,816.08
WA COUPON: 13.172%
(6.650% to 21.400%)
INDEX (EXCLUDING HEL'S & HEL 125'S): Prime
WA NEXT RATE CHANGE DATE (EXCLUDING HEL'S & HEL 125'S): 1 month
RATE RESET FREQUENCY (EXCLUDING HEL'S AND HEL 125'S): Monthly
WA REMAINING TERM TO MATURITY (MONTHS): 217
(52 to 300)
WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 225
(60 to 300)
WA CLTV: 106.07%
WA DEBT-TO-INCOME: 41.89%
LIEN POSITION: First Lien: 1.27%
Second Lien: 96.45%
Third Lien: 2.28%
PROPERTY TYPE: Single-Family Dwelling: 85.96%
Planned Unit 8.48%
Development:
Condominium: 4.59%
Leasehold: 0.74%
Multi-Family: 0.22%
OCCUPANCY STATUS: Owner Occupied: 99.75%
Non-Owner Occupied: 0.25%
GEOGRAPHIC DISTRIBUTION: California: 25.43%
(STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 6.23%
FOR LESS THAN 5.00% OF THE MORTGAGE Virginia: 5.53%
LOAN PRINCIPAL BALANCE)
CREDIT QUALITY: Excellent: 74.82%
(PER XXXXX'X GUIDELINES) Superior: 15.93%
Good: 7.67%
Non-Prime: 1.01%
Fair: 0.57%
PREPAYMENT PENALTY: No Prepayment Penalty: 19.79%
6 Months: 0.01%
12 Months: 0.02%
24 Months: 0.57%
36 Months: 33.62%
42 Months: 0.02%
48 Months: 0.24%
60 Months: 45.73%
ORIGINATION CHANNEL: Direct Mail: 44.02%
Correspondent: 23.50%
Broker: 23.33%
Acquisition: 9.14%
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
COLLATERAL SUMMARY
INITIAL GROUP I MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) -
XXX'S
--------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS: 2,118
TOTAL OUTSTANDING LOAN BALANCE: $93,751,272.20
AVERAGE LOAN PRINCIPAL BALANCE: $44,264.06
WA COUPON: 11.431%
(7.400% to 20.280%)
WA REMAINING TERM TO MATURITY (MONTHS): 213
(52 to 300)
WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 217
(60 to 300)
WA CLTV: 91.21%
WA DEBT-TO-INCOME: 40.92%
LIEN POSITION: First Lien: 1.90%
Second Lien: 96.85%
Third Lien: 1.25%
PROPERTY TYPE: Single-Family Dwelling: 85.12%
Planned Unit Development: 9.99%
Condominium: 4.09%
Multi-Family: 0.41%
Leasehold: 0.39%
OCCUPANCY STATUS: Owner Occupied: 99.62%
Non-Owner Occupied: 0.38%
GEOGRAPHIC DISTRIBUTION: California: 40.36%
(STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 5.57%
FOR LESS THAN 5.00% OF THE MORTGAGE Virginia: 5.55%
LOAN PRINCIPAL BALANCE) New Jersey: 5.29%
CREDIT QUALITY: Excellent: 74.72%
(PER XXXXX'X GUIDELINES) Superior: 16.79%
Good: 7.85%
Fair: 0.51%
Non-Prime: 0.13%
PREPAYMENT PENALTY: No Prepayment Penalty: 13.43%
12 Months: 0.08%
24 Months: 1.34%
36 Months: 31.46%
48 Months: 0.34%
60 Months: 53.35%
ORIGINATION CHANNEL: Direct Mail: 55.97%
Correspondent: 22.66%
Broker: 21.37%
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
COLLATERAL SUMMARY
INITIAL GROUP II MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) -
HEL 125'S
------------------------------------------------------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS: 3,907
TOTAL OUTSTANDING LOAN BALANCE: $163,877,369.68
AVERAGE LOAN PRINCIPAL BALANCE: $41,944.55
WA COUPON: 15.048%
(8.990% to 21.400%)
WA REMAINING TERM TO MATURITY (MONTHS): 230
(60 to 300)
WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 231
(61 to 300)
WA CLTV: 118.11%
WA DEBT-TO-INCOME: 41.79%
LIEN POSITION: Second Lien: 98.67%
Third Lien: 1.33%
PROPERTY TYPE: Single-Family Dwelling: 84.22%
Planned Unit Development: 9.51%
Condominium: 5.43%
Leasehold: 0.79%
Multi-Family: 0.05%
OCCUPANCY STATUS: Owner Occupied: 99.95%
Non-Owner Occupied: 0.05%
GEOGRAPHIC DISTRIBUTION: California: 18.63%
(STATES NOT LISTED INDIVIDUALLY ACCOUNT Florida: 7.68%
FOR LESS THAN 5.00% OF THE MORTGAGE Maryland: 7.13%
LOAN PRINCIPAL BALANCE) Virginia: 6.56%
CREDIT QUALITY: Excellent: 76.23%
(PER XXXXX'X GUIDELINES) Superior: 15.98%
Good: 7.71%
Fair: 0.08%
PREPAYMENT PENALTY: No Prepayment Penalty: 12.13%
6 Months: 0.02%
24 Months: 0.16%
36 Months: 44.67%
42 Months: 0.05%
48 Months: 0.19%
60 Months: 42.77%
ORIGINATION CHANNEL: Correspondent: 38.06%
Direct Mail: 34.67%
Broker: 27.26%
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
COLLATERAL SUMMARY
INITIAL GROUP III MORTGAGE LOANS (AS OF THE STATISTICAL CALCULATION DATE) -
HELOC'S AND HELOC 125'S
------------------------------------------------------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS: 2,483
TOTAL OUTSTANDING LOAN BALANCE: $98,142,524.72
AVERAGE LOAN PRINCIPAL BALANCE: $39,525.79
WA COUPON: 11.703%
(6.650% to 18.900%)
INDEX: Prime
WA MARGIN: 4.71%
WA LIFETME CAP: 20.11%
WA LIFETME FLOOR: 10.45%
WA NEXT RATE CHANGE DATE: 1 month
RATE RESET FREQUENCY: Monthly
WA REMAINING TERM TO MATURITY (MONTHS): 199
(57 to 240)
WA ORIGINAL TERM TO STATED MATURITY (MONTHS): 221
(180 to 300)
WA CLTV: 100.16%
WA DEBT-TO-INCOME: 42.98%
LIEN POSITION: First Lien: 2.80%
Second Lien: 92.35%
Third Lien: 4.85%
PROPERTY TYPE: Single-Family Dwelling: 89.66%
Planned Unit Development: 5.33%
Condominium: 3.68%
Leasehold: 1.01%
Multi-Family: 0.32%
OCCUPANCY STATUS: Owner Occupied: 99.53%
Non-Owner Occupied: 0.47%
GEOGRAPHIC DISTRIBUTION: California: 22.53%
(STATES NOT LISTED INDIVIDUALLY ACCOUNT Illinois: 7.60%
FOR LESS THAN 5.00% OF THE MORTGAGE New York: 6.22%
LOAN PRINCIPAL BALANCE) Michigan: 5.51%
Ohio: 5.21%
Washington: 5.07%
CREDIT QUALITY: Excellent: 72.54%
(PER XXXXX'X GUIDELINES) Superior: 15.05%
Good: 7.42%
Non-Prime: 3.54%
Fair: 1.44%
PREPAYMENT PENALTY: No Prepayment Penalty: 38.65%
24 Months: 0.49%
36 Months: 17.23%
48 Months: 0.22%
60 Months: 43.40%
ORIGINATION CHANNEL: Direct Mail: 48.22%
Acquisitions: 33.15%
Broker: 18.63%
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
LIEN POSITION OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
LIEN POSITION LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
-------------------------------------------------------------------------------------------------------------
First Lien 92 $4,529,884.04 1.27%
Second Lien 8,203 343,127,227.88 96.45
Third Lien 213 8,114,054.68 2.28
-------------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-------------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
MORTGAGE INTEREST RATES(%) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
6.000 to 6.999 10 $575,928.61 0.16%
7.000 to 7.999 136 8,155,977.29 2.29
8.000 to 8.999 296 14,295,150.70 4.02
9.000 to 9.999 605 29,611,278.95 8.32
10.000 to 10.999 820 38,371,142.38 10.79
11.000 to 11.999 1,100 46,413,693.82 13.05
12.000 to 12.999 1,077 43,013,714.01 12.09
13.000 to 13.999 1,152 48,892,392.89 13.74
14.000 to 14.999 989 40,978,744.92 11.52
15.000 to 15.999 752 28,271,832.04 7.95
16.000 to 16.999 575 22,213,510.08 6.24
17.000 to 17.999 444 16,542,078.39 4.65
18.000 to 18.999 284 9,692,689.87 2.72
19.000 to 19.999 203 6,910,054.73 1.94
20.000 + 65 1,832,977.92 0.52
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Aggregate Mortgage
Loans as of the Statistical Calculation Date is approximately 13.172% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
CREDIT LIMIT UTILIZATION RATES OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
CREDIT LIMIT AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
UTILIZATION RATES(%) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0.001 to 5.000 13 $11,710.55 *
5.001 to 10.000 9 40,573.11 0.01%
10.001 to 15.000 7 49,398.51 0.01
15.001 to 20.000 5 38,535.86 0.01
20.001 to 25.000 5 31,096.14 0.01
25.001 to 30.000 11 233,217.31 0.07
30.001 to 35.000 11 221,903.05 0.06
35.001 to 40.000 14 194,167.05 0.05
40.001 to 45.000 16 450,714.40 0.13
45.001 to 50.000 20 388,846.31 0.11
50.001 to 55.000 16 365,226.04 0.10
55.001 to 60.000 39 939,703.04 0.26
60.001 to 65.000 89 1,988,049.56 0.56
65.001 to 70.000 116 2,709,527.38 0.76
70.001 to 75.000 53 1,404,013.61 0.39
75.001 to 80.000 37 1,013,073.04 0.28
80.001 to 85.000 55 1,683,828.95 0.47
85.001 to 90.000 88 2,683,551.82 0.75
90.001 to 95.000 203 6,704,239.08 1.88
95.001 to 100.000 7,691 334,013,530.26 93.88
100.001 + 10 606,261.53 0.17
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average credit limit utilization rate of the initial Aggregate
Mortgage Loans as of the Statistical Calculation Date is approximately
98.44%.
*Greater than 0.000% but less than 0.005%.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
COMBINED AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
LOANS-TO-VALUE RATIOS(%) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0.001 to 40.000 31 $1,182,974.17 0.33%
40.001 to 50.000 23 893,127.00 0.25
50.001 to 60.000 56 3,619,852.27 1.02
60.001 to 70.000 127 6,247,578.93 1.76
70.001 to 80.000 352 14,601,026.71 4.10
80.001 to 90.000 820 34,649,055.26 9.74
90.001 to 100.000 2,204 91,250,885.59 25.65
100.001 to 110.000 838 30,860,783.63 8.67
110.001 to 120.000 1,805 73,446,834.54 20.64
120.001 to 130.000 2,252 99,019,048.50 27.83
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial
Aggregate Mortgage Loans as of the Statistical Calculation Date are
approximately 8.86% and 125.00%, respectively, and the weighted average
combined loan-to-value ratio as of the Statistical Calculation Date of the
initial Aggregate Mortgages Loans is approximately 106.07%. The "combined
loan-to-value ratio" of an initial Aggregate Mortgage Loan as of the
Statistical Calculation Date is the ratio, expressed as a percentage, equal
to the sum of any outstanding first and other mortgage balance, if any, as of
the date of origination of the related initial Aggregate Mortgage Loan plus
the principal balance of such initial Aggregate Mortgage Loan as of the
Statistical Calculation Date divided by the appraised value of the mortgaged
property at origination.
PRINCIPAL BALANCES OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
PRINCIPAL BALANCES LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
$0.01 to $25,000.00 2,103 $42,176,140.47 11.85%
$25,000.01 to $50,000.00 4,407 162,735,908.66 45.74
$50,000.01 to $75,000.00 1,386 85,215,058.12 23.95
$75,000.01 to $100,000.00 430 38,062,149.31 10.70
$100,000.01 to $125,000.00 86 9,762,296.23 2.74
$125,000.01 to $150,000.00 42 5,839,929.73 1.64
$150,000.01 to $175,000.00 16 2,600,355.04 0.73
$175,000.01 to $200,000.00 17 3,231,080.32 0.91
$200,000.01 to $300,000.00 16 4,049,248.72 1.14
$300,000.01 to $400,000.00 2 765,000.00 0.22
$400,000.01 to $500,000.00 3 1,334,000.00 0.37
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Aggregate Mortgage Loans
as of the Statistical Calculation Date is approximately $41,816.08.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
MORTGAGED PROPERTIES SECURING INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
PROPERTY TYPE LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Single-Family Dwelling 7,380 $305,812,696.83 85.96%
Planned Unit Development 600 30,179,495.22 8.48
Condominium 427 16,347,046.82 4.59
Leasehold 80 2,647,919.49 0.74
Multi-Family 21 784,008.24 0.22
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
ORIGINAL TERM TO MATURITY AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
(MONTHS) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 1 $17,966.98 0.01%
61 to 120 446 12,270,537.77 3.45
121 to 180 4,076 156,301,851.42 43.93
181 to 240 2,162 97,234,510.00 27.33
241 to 300 1,823 89,946,300.43 25.28
------------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Aggregate
Mortgage Loans as of the Statistical Calculation Date is approximately 225
months.
REMAINING TERM TO MATURITY OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
REMAINING TERM TO MATURITY AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
(MONTHS) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 113 $2,253,314.72 0.63%
61 to 120 624 18,710,756.50 5.26
121 to 180 3,930 152,721,009.70 42.93
181 to 240 2,032 92,810,046.74 26.09
241 to 300 1,809 89,276,038.94 25.09
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Aggregate
Mortgage Loans as of the Statistical Calculation Date is approximately 217
months.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
YEAR OF ORIGINATION OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
YEAR OF ORIGINATION LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
2001 7,014 $309,336,420.43 86.95%
2000 169 5,945,497.41 1.67
1999 62 2,256,389.46 0.63
1998 300 10,154,549.96 2.85
1997 253 8,438,527.71 2.37
1996 347 7,942,276.74 2.23
1995 232 7,347,058.47 2.07
1994 62 1,786,786.06 0.50
1993 27 890,735.30 0.25
1992 24 945,915.36 0.27
1991 7 262,671.51 0.07
1990 8 297,425.10 0.08
1989 2 114,275.73 0.03
1988 1 52,637.36 0.01
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Aggregate Mortgage
Loan as of the Statistical Calculation Date is November 1988 and the latest
month and year of origination of any initial Aggregate Mortgage loan as of
the Statistical Calculation Date is July 2001.
OCCUPANCY TYPE OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
OCCUPANCY TYPE LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Owner Occupied 8,484 $354,879,029.29 99.75%
Non-Owner Occupied 24 892,137.31 0.25
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
CREDIT QUALITY OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
CREDIT QUALITY LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Excellent 6,026 $266,178,383.45 74.82%
Superior 1,498 56,691,654.61 15.93
Good 801 27,277,788.08 7.67
Fair 58 2,034,091.19 0.57
Non-Prime 125 3,589,249.27 1.01
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
Credit Grades run from Excellent to Superior to Good to Fair to Non-Prime in
descending order.
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING
INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
STATE LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
California 1,745 $90,485,074.34 25.43%
Florida 628 22,178,179.02 6.23
Virginia 476 19,663,004.30 5.53
Maryland 403 17,518,061.51 4.92
Illinois 427 17,349,016.25 4.88
Ohio 417 14,997,765.40 4.22
Washington 340 14,770,055.92 4.15
New Jersey 317 14,346,561.26 4.03
Michigan 375 13,626,747.93 3.83
Arizona 367 13,601,102.04 3.82
Pennsylvania 327 13,189,127.84 3.71
Georgia 351 12,610,171.37 3.54
Colorado 240 11,232,206.21 3.16
Oregon 208 8,559,125.76 2.41
Nevada 221 7,659,720.24 2.15
Missouri 209 7,588,336.02 2.13
Other (<2%) 1,457 56,396,911.19 15.85
----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
----------------------------------------------------------------------------------------------------------
No more than approximately 0.32% of the initial Aggregate Mortgage Loans as
of the Statistical Calculation Date are secured by mortgaged properties
located in any one zip code.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
DEBT-TO-INCOME RATIOS OF INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
DEBT-TO-INCOME RATIOS(%) LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
5.001 to 10.000 1 $31,302.72 0.01%
10.001 to 15.000 11 478,846.53 0.13
15.001 to 20.000 64 2,721,761.18 0.77
20.001 to 25.000 233 8,882,603.07 2.50
25.001 to 30.000 582 21,869,234.23 6.15
30.001 to 35.000 1,072 42,307,413.25 11.89
35.001 to 40.000 1,489 60,379,579.14 16.97
40.001 to 45.000 1,750 70,590,765.62 19.84
45.001 to 50.000 2,172 92,481,877.03 25.99
50.001 to 55.000 1,134 56,027,783.83 15.75
---------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
---------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Aggregate Mortgage
Loans as of the Statistical Calculation Date is approximately 41.89%.
PREPAYMENT PENALTY FOR INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
MONTHS APPLICABLE LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 1,992 $70,396,636.43 19.79%
6 1 37,721.33 0.01
12 2 70,444.55 0.02
24 36 2,013,576.02 0.57
36 2,661 119,610,375.40 33.62
42 3 86,174.11 0.02
48 16 845,840.51 0.24
60 3,797 162,710,398.25 45.73
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL AGGREGATE MORTGAGE LOANS
ORIGINATION CHANNEL FOR INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
ORIGINATION CHANNEL LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Direct Mail 3,793 $156,622,413.36 44.02%
Correspondent 2,009 83,619,367.49 23.50
Broker 1,695 82,994,608.10 23.33
Acquisition 1,011 32,534,777.65 9.14
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100.00%
-----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL AGGREGATE MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
AGGREGATE MORTGAGE OF INITIAL AGGREGATE BALANCE OF INITIAL
DELINQUENCY LOANS MORTGAGE LOANS AGGREGATE MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 7,871 $331,749,862.51 93.25%
1-29 637 24,021,304.09 6.75
-----------------------------------------------------------------------------------------------------------
Total 8,508 $355,771,166.60 100%
-----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
LIEN POSITION OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
LIEN POSITION LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
First Lien 32 $1,781,840.31 1.90%
Second Lien 2,054 90,797,824.82 96.85
Third Lien 32 1,171,607.07 1.25
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
MORTGAGE INTEREST RATES(%) LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
7.000 to 7.999 80 $4,391,171.48 4.68%
8.000 to 8.999 157 7,223,423.49 7.70
9.000 to 9.999 268 13,679,827.15 14.59
10.000 to 10.999 308 14,736,051.80 15.72
11.000 to 11.999 401 18,924,662.33 20.19
12.000 to 12.999 343 15,303,134.67 16.32
13.000 to 13.999 316 12,701,300.85 13.55
14.000 to 14.999 147 4,513,185.84 4.81
15.000 to 15.999 74 1,723,404.64 1.84
16.000 to 16.999 16 327,219.95 0.35
17.000 to 17.999 3 117,884.68 0.13
19.000 to 19.999 4 85,509.50 0.09
20.000 + 1 24,495.82 0.03
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group I Mortgage
Loans as of the Statistical Calculation Date is approximately 11.431% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
PRINCIPAL BALANCES OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
PRINCIPAL BALANCES LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
$0.01 to $25,000.00 557 $11,240,092.72 11.99%
$25,000.01 to $50,000.00 1,007 36,562,804.96 39.00
$50,000.01 to $75,000.00 336 20,707,852.77 22.09
$75,000.01 to $100,000.00 131 11,522,680.49 12.29
$100,000.01 to $125,000.00 30 3,357,461.43 3.58
$125,000.01 to $150,000.00 25 3,456,766.35 3.69
$150,000.01 to $175,000.00 10 1,647,799.91 1.76
$175,000.01 to $200,000.00 11 2,072,564.85 2.21
$200,000.01 to $300,000.00 9 2,263,248.72 2.41
$400,000.01 to $500,000.00 2 920,000.00 0.98
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group I Mortgage Loans as
of the Statistical Calculation Date is approximately $44,264.06.
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
COMBINED LOAN-TO-VALUE GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
RATIOS(%) LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0.001 to 40.000 13 $471,642.48 0.50%
40.001 to 50.000 8 302,502.76 0.32
50.001 to 60.000 32 1,695,919.16 1.81
60.001 to 70.000 60 3,131,347.03 3.34
70.001 to 80.000 171 7,163,427.99 7.64
80.001 to 90.000 442 20,133,783.82 21.48
90.001 to 100.000 1,390 60,735,460.40 64.78
100.001 to 100.002 2 117,188.56 0.12
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group I
Mortgage Loans as of the Statistical Calculation Date are approximately
13.84% and 100.002%, respectively, and the weighted average combined
loan-to-value ratio as of the Statistical Calculation Date of the initial
Group I Mortgages Loans is approximately 91.21%. The "combined loan-to-value
ratio" of an initial Group I Mortgage Loan as of the Statistical Calculation
Date is the ratio, expressed as a percentage, equal to the sum of any
outstanding first and other mortgage balance, if any, as of the date of
origination of the related initial Group I Mortgage Loan plus the principal
balance of such initial Group I Mortgage Loan as of the Statistical
Calculation Date divided by the appraised value of the mortgaged property at
origination.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
MORTGAGED PROPERTIES SECURING INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
PROPERTY TYPE LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Single-Family Dwelling 1,842 $79,798,312.78 85.12%
Condominium 98 3,835,574.19 4.09
Planned Unit Development 156 9,365,510.79 9.99
Multi-Family 9 382,002.25 0.41
Leasehold 13 369,872.19 0.39
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
ORIGINAL TERM TO MATURITY LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 1 $17,966.98 0.02%
61 to 120 278 6,510,245.65 6.94
121 to 180 1,165 49,630,290.19 52.94
181 to 240 205 11,151,184.95 11.89
241 to 300 469 26,441,584.43 28.20
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group I
Mortgage Loans as of the Statistical Calculation Date is approximately 217
months.
REMAINING TERM TO MATURITY OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
REMAINING TERM TO MATURITY LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 107 $2,068,938.75 2.21%
61 to 120 172 4,459,273.88 4.76
121 to 180 1,165 49,630,290.19 52.94
181 to 240 205 11,151,184.95 11.89
241 to 300 469 26,441,584.43 28.20
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group I
Mortgage Loans as of the Statistical Calculation Date is approximately 213
months.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
YEAR OF ORIGINATION OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
YEAR OF ORIGINATION LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
2001 1,899 $88,759,133.06 94.68%
2000 36 1,536,996.34 1.64
1996 178 3,377,847.00 3.60
1995 5 77,295.80 0.08
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group I Mortgage
Loan as of the Statistical Calculation Date is October 1995 and the latest
month and year of origination of any initial Group I Mortgage Loan as of the
Statistical Calculation Date is July 2001.
OCCUPANCY TYPE OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
OCCUPANCY TYPE LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Owner Occupied 2,107 $93,398,477.60 99.62%
Non-Owner Occupied 11 352,794.60 0.38
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
CREDIT QUALITY LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Excellent 1,511 $70,050,730.36 74.72%
Superior 388 15,736,426.91 16.79
Good 205 7,363,932.13 7.85
Fair 10 482,714.36 0.51
Non-Prime 4 117,468.44 0.13
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
Credit grades run from Excellent to Superior to Good to Fair to Non-Prime in
descending order.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING
INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
STATE LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
California 677 $37,839,665.83 40.36%
Florida 161 5,217,768.76 5.57
Virginia 116 5,203,944.74 5.55
New Jersey 101 4,955,335.00 5.29
Illinois 93 3,502,310.60 3.74
Georgia 102 3,443,674.10 3.67
Michigan 98 3,261,821.65 3.48
Maryland 85 3,131,231.93 3.34
Colorado 62 3,034,705.63 3.24
Pennsylvania 77 2,985,942.60 3.18
Washington 57 2,373,819.38 2.53
Oregon 51 2,132,765.58 2.27
Arizona 58 1,905,393.98 2.03
Other (<2%) 380 14,762,892.42 15.75
----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
----------------------------------------------------------------------------------------------------------
No more than approximately 0.73% of the initial Group I Mortgage Loans as of
the Statistical Calculation Date are secured by mortgaged properties located
in any one zip code.
DEBT-TO-INCOME RATIOS OF INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
DEBT-TO-INCOME GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
RATIOS(%) LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
10.001 to 15.000 2 $69,692.19 0.07%
15.001 to 20.000 24 840,615.40 0.90
20.001 to 25.000 85 3,210,497.00 3.42
25.001 to 30.000 184 7,060,881.27 7.53
30.001 to 35.000 298 13,065,203.22 13.94
35.001 to 40.000 408 17,032,820.91 18.17
40.001 to 45.000 424 17,802,769.49 18.99
45.001 to 50.000 455 21,071,157.57 22.48
50.001 to 55.000 238 13,597,635.15 14.50
----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
----------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group 1 Mortgage
Loans as of the Statistical Calculation Date is approximately 40.92%.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP I MORTGAGE LOANS
PREPAYMENT PENALTY FOR INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
MONTHS APPLICABLE LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 351 $12,590,094.25 13.43%
12 2 70,444.55 0.08
24 20 1,257,961.06 1.34
36 604 29,495,449.18 31.46
48 6 321,202.15 0.34
60 1,135 50,016,121.01 53.35
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
ORIGINATION CHANNEL LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Direct Mail 1,295 $52,473,240.83 55.97%
Correspondent 473 21,243,157.59 22.66
Broker 350 20,034,873.78 21.37
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100.00%
-----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP I MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP I MORTGAGE OF INITIAL GROUP I BALANCE OF INITIAL
DELINQUENCY LOANS MORTGAGE LOANS GROUP I MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 1,995 $89,126,086.54 95.07%
1-29 123 4,625,185.66 4.93
-----------------------------------------------------------------------------------------------------------
Total 2,118 $93,751,272.20 100%
-----------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
LIEN POSITION OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
LIEN POSITION LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Second Lien 3,849 $161,699,470.90 98.67%
Third Lien 58 2,177,898.78 1.33
-------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
-------------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
LIEN POSITION LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
8.000 to 8.999 2 $156,398.98 0.10%
9.000 to 9.999 36 2,099,965.91 1.28
10.000 to 10.999 96 5,604,235.99 3.42
11.000 to 11.999 165 8,257,094.60 5.04
12.000 to 12.999 339 15,681,099.31 9.57
13.000 to 13.999 614 28,566,330.95 17.43
14.000 to 14.999 666 29,270,640.75 17.86
15.000 to 15.999 560 22,167,416.67 13.53
16.000 to 16.999 475 18,597,884.88 11.35
17.000 to 17.999 413 15,354,880.98 9.37
18.000 to 18.999 278 9,488,393.33 5.79
19.000 to 19.999 199 6,824,545.23 4.16
20.000 + 64 1,808,482.10 1.10
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group II Mortgage
Loans as of the Statistical Calculation Date is approximately 15.048% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
COMBINED LOAN-TO-VALUE GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
RATIO(%) LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
100.001 to 110.000 618 $23,481,415.33 14.33%
110.001 to 120.000 1,480 60,500,433.71 36.92
120.001 to 130.000 1,809 79,895,520.64 48.75
-------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
-------------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group II
Mortgage Loans as of the Statistical Calculation Date are approximately
100.02% and 125.00%, respectively, and the weighted average combined
loan-to-value ratio as of the Statistical Calculation Date of the initial
Group II Mortgage Loans is approximately 118.11%. The "combined loan-to-value
ratio" of an initial Group II Mortgage Loan as of the Statistical Calculation
Date is the ratio, expressed as a percentage, equal to the sum of any
outstanding first and other mortgage balance, if any, as of the date of
origination of the related initial Group II Mortgage Loan plus the principal
balance of such initial Group II Mortgage Loan as of the Statistical
Calculation Date divided by the appraised value of the mortgaged property at
origination.
PRINCIPAL BALANCES OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
PRINCIPAL BALANCES LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
$0.01 to $25,000.00 736 $16,027,675.15 9.78%
$25,000.01 to $50,000.00 2,272 84,973,716.41 51.85
$50,000.01 to $75,000.00 673 41,467,571.82 25.30
$75,000.01 to $100,000.00 191 17,028,347.08 10.39
$100,000.01 to $125,000.00 30 3,484,488.01 2.13
$125,000.01 to $150,000.00 3 436,716.08 0.27
$150,000.01 to $175,000.00 1 158,855.13 0.10
$200,000.01 to $300,000.00 1 300,000.00 0.18
-------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
-------------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group II Mortgage Loans
as of the Statistical Calculation Date is approximately $41,944.55.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
MORTGAGED PROPERTIES SECURING INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
PROPERTY TYPE LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Single-Family Dwelling 3,283 $138,019,398.45 84.22%
Planned Unit Development 344 15,581,212.03 9.51
Condominium 237 8,902,804.03 5.43
Leasehold 40 1,289,253.88 0.79
Multi-Family 3 84,701.29 0.05
------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
------------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
ORIGINAL TERM TO MATURITY GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
(MONTHS) LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
61 to 120 168 $5,760,292.12 3.52%
121 to 180 1,911 74,601,121.77 45.52
181 to 240 485 20,475,577.98 12.49
241 to 300 1,343 63,040,377.81 38.47
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group II
Mortgage Loans as of the Statistical Calculation Date is approximately 231
months.
REMAINING TERM TO MATURITY OF GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
REMAINING TERM TO MATURITY GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL
(MONTHS) LOANS MORTGAGE LOANS GROUP II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 1 $20,384.81 0.01%
61 to 120 167 5,739,907.31 3.50
121 to 180 1,913 74,732,180.02 45.60
181 to 240 486 20,550,443.03 12.54
241 to 300 1,340 62,834,454.51 38.34
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group II
Mortgage Loans as of the Statistical Calculation Date is approximately 230
months.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
YEAR OF ORIGINATION OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
YEAR OF ORIGINATION LOANS MORTGAGE LOANS II MORTGAGE LOANS
-------------------------------------------------------------------------------------------------------------
2001 3,775 $159,499,668.61 97.33%
2000 132 4,377,701.07 2.67
-------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
-------------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group II Mortgage Loan
as of the Statistical Calculation Date is June 2000 and the latest month and
year of origination of any initial Group II Mortgage Loan as of the Statistical
Calculation Date is July 2001.
OCCUPANCY TYPE OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
OCCUPANCY TYPE LOANS MORTGAGE LOANS II MORTGAGE LOANS
------------------------------------------------------------------------------------------------------------
Owner Occupied 3,905 $163,800,535.30 99.95%
Non-Owner Occupied 2 76,834.38 0.05
------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
------------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
CREDIT QUALITY LOANS MORTGAGE LOANS II MORTGAGE LOANS
------------------------------------------------------------------------------------------------------------
Excellent 2,786 $124,930,276.58 76.23%
Superior 731 26,180,045.13 15.98
Good 385 12,632,880.52 7.71
Fair 5 134,167.45 0.08
------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
------------------------------------------------------------------------------------------------------------
Credit grades run from Excellent to Superior to Good to Fair in descending
order.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING
INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
STATE LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------
California 648 $30,537,746.50 18.63%
Florida 340 12,584,446.87 7.68
Maryland 260 11,680,801.93 7.13
Virginia 258 10,754,094.70 6.56
Ohio 216 8,082,629.74 4.93
Arizona 204 7,901,549.22 4.82
Pennsylvania 186 7,899,423.01 4.82
Washington 163 7,421,977.27 4.53
Illinois 140 6,385,970.17 3.90
Georgia 144 5,673,149.76 3.46
Nevada 143 5,282,888.39 3.22
Colorado 107 5,167,273.28 3.15
Michigan 116 4,954,739.45 3.02
New jersey 95 4,888,240.04 2.98
Oregon 106 4,451,548.43 2.72
Missouri 97 3,762,972.72 2.30
Other (<2%) 684 26,447,918.20 16.14
--------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
---------------------------------------------------------------------------------------------------
No more than approximately 0.26% of the initial Group II Mortgage Loans as of
the Statistical Calculation Date are secured by mortgaged properties located
in any one zip code.
DEBT-TO-INCOME RATIOS OF INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
DEBT-TO-INCOME RATIOS(%) LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
10.001 to 15.000 4 $140,251.21 0.09%
15.001 to 20.000 16 873,768.78 0.53
20.001 to 25.000 61 2,329,817.38 1.42
25.001 to 30.000 227 8,323,061.47 5.08
30.001 to 35.000 492 19,564,243.96 11.94
35.001 to 40.000 767 31,642,778.69 19.31
40.001 to 45.000 875 35,473,203.05 21.65
45.001 to 50.000 1,167 49,668,333.45 30.31
50.001 to 55.000 298 15,861,911.69 9.68
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
-------------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group II Mortgage
Loans as of the Statistical Calculation Date is approximately 41.79%.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP II MORTGAGE LOANS
PREPAYMENT PENALTY FOR INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
MONTHS APPLICABLE LOANS MORTGAGE LOANS II MORTGAGE LOANS
---------------------------------------------------------------------------------------------------------------
No Prepayment Penalty 490 $19,877,931.79 12.13%
6 1 37,721.33 0.02
24 6 269,938.75 0.16
36 1,706 73,204,270.42 44.67
42 3 86,174.11 0.05
48 6 304,718.62 0.19
60 1,695 70,096,614.66 42.77
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
ORIGINATION CHANNEL LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
Broker 972 $44,677,288.27 27.26%
Direct Mail 1,399 56,823,871.51 34.67
Correspondent 1,536 62,376,209.90 38.06
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP II MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
DELINQUENCY LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 3,610 $152,223,438.04 92.89%
1-29 297 11,653,931.64 7.11
--------------------------------------------------------------------------------------------------------------
Total 3,907 $163,877,369.68 100.00%
--------------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
LIEN POSITION OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
LIEN POSITION LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
First Lien 60 $2,748,043.73 2.80%
Second Lien 2,300 90,629,932.16 92.35
Third Lien 123 4,764,548.83 4.85
--------------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
--------------------------------------------------------------------------------------------------------------
MORTGAGE INTEREST RATES OF GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
MORTGAGE INTEREST RATES (%) LOANS MORTGAGE LOANS II MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
6.000 to 6.999 10 $575,928.61 0.59%
7.000 to 7.999 56 3,764,805.81 3.84
8.000 to 8.999 137 6,915,328.23 7.05
9.000 to 9.999 301 13,831,485.89 14.09
10.000 to 10.999 416 18,030,854.59 18.37
11.000 to 11.999 534 19,231,936.89 19.60
12.000 to 12.999 395 12,029,480.03 12.26
13.000 to 13.999 222 7,624,761.09 7.77
14.000 to 14.999 176 7,194,918.33 7.33
15.000 to 15.999 118 4,381,010.73 4.46
16.000 to 16.999 84 3,288,405.25 3.35
17.000 to 17.999 28 1,069,312.73 1.09
18.000 to 18.999 6 204,296.54 0.21
--------------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
--------------------------------------------------------------------------------------------------------------
The weighted average mortgage interest rate of the initial Group III Mortgage
Loans as of the Statistical Calculation Date is approximately 11.703% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
GROSS MARGIN OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP II MORTGAGE OF INITIAL GROUP II BALANCE OF INITIAL GROUP
GROSS MARGIN (%) LOANS MORTGAGE LOANS II MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
Less than 0.000 10 $575,928.61 0.59%
0.000 to 0.999 52 3,328,943.28 3.39
1.000 to 1.999 161 7,862,954.04 8.01
2.000 to 2.999 303 14,680,721.96 14.96
3.000 to 3.999 416 17,285,847.55 17.61
4.000 to 4.999 541 19,514,295.10 19.88
5.000 to 5.999 382 11,298,229.75 11.51
6.000 to 6.999 202 7,248,512.04 7.39
7.000 to 7.999 168 6,920,038.15 7.05
8.000 to 8.999 116 4,335,437.37 4.42
9.000 to 9.999 90 3,474,207.60 3.54
10.000 to 10.999 36 1,385,212.73 1.41
11.000 to 11.999 6 232,196.54 0.24
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average gross margin of the initial Group III Mortgage Loans as
of the Statistical Calculation Date is approximately 4.71% per annum.
LIFETIME RATE CAPS OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
LIFETIME RATE CAPS (%) LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
15.000 to 15.999 47 $3,087,129.87 3.15%
16.000 to 16.999 93 5,545,515.43 5.65
17.000 to 17.999 120 6,430,779.57 6.55
18.000 to 18.999 189 9,481,346.60 9.66
19.000 to 19.999 1,198 40,616,764.17 41.39
20.000 to 20.999 176 7,455,161.23 7.60
21.000 to 21.999 168 6,530,080.12 6.65
22.000 to 22.999 177 6,982,661.52 7.11
23.000 to 23.999 146 5,588,966.92 5.69
24.000 to 24.999 169 6,424,119.29 6.55
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average lifetime rate cap of the initial Group III Mortgage
Loans as of the Statistical Calculation Date is approximately 20.11% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
LIFETIME RATE FLOORS OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
LIFETIME RATE FLOORS (%) LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
5.000 to 5.999 46 $3,051,430.06 3.11%
6.000 to 6.999 96 5,628,840.79 5.74
7.000 to 7.999 160 8,129,951.32 8.28
8.000 to 8.999 243 11,469,965.44 11.69
9.000 to 9.999 331 13,489,464.34 13.74
10.000 to 10.999 397 15,515,004.43 15.81
11.000 to 11.999 493 16,934,888.07 17.26
12.000 to 12.999 373 11,169,379.16 11.38
13.000 to 13.999 176 6,389,481.82 6.51
14.000 to 14.999 104 3,897,355.36 3.97
15.000 to 15.999 46 1,849,824.99 1.88
16.000 to 16.999 13 463,634.90 0.47
17.000 to 17.999 3 86,304.04 0.09
18.000 to 18.999 2 67,000.00 0.07
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average lifetime rate floor of the initial Group III Mortgage
Loans as of the Statistical Calculation Date is approximately 10.45% per
annum.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
CREDIT LIMIT UTILIZATION RATES OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
CREDIT LIMIT GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
UTILIZATION RATES (%) LOANS MORTGAGE LOANS III MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------------
0.001 to 5.000 13 $11,710.55 0.01%
5.001 to 10.000 7 38,081.48 0.04
10.001 to 15.000 7 49,398.51 0.05
15.001 to 20.000 5 38,535.86 0.04
20.001 to 25.000 4 25,501.14 0.03
25.001 to 30.000 11 233,217.31 0.24
30.001 to 35.000 10 208,977.74 0.21
35.001 to 40.000 12 178,563.74 0.18
40.001 to 45.000 11 384,748.71 0.39
45.001 to 50.000 19 373,643.52 0.38
50.001 to 55.000 14 341,329.22 0.35
55.001 to 60.000 22 650,015.06 0.66
60.001 to 65.000 31 816,748.43 0.83
65.001 to 70.000 38 1,142,077.00 1.16
70.001 to 75.000 30 970,277.62 0.99
75.001 to 80.000 35 967,572.73 0.99
80.001 to 85.000 53 1,632,192.08 1.66
85.001 to 90.000 87 2,664,456.12 2.71
90.001 to 95.000 195 6,484,190.08 6.61
95.001 to 100.000 1,869 80,325,026.29 81.85
100.001 + 10 606,261.53 0.62
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average credit limit utilization rate of the initial Group III
Mortgage Loans as of the Statistical Calculation Date is approximately
96.24%.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
COMBINED LOAN-TO-VALUE RATIOS OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
COMBINED LOAN-TO-VALUE GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
RATIOS (%) LOANS MORTGAGE LOANS III MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------------
0.001 to 40.000 18 $711,331.69 0.72%
40.001 to 50.000 15 590,624.24 0.60
50.001 to 60.000 24 1,923,933.11 1.96
60.001 to 70.000 67 3,116,231.90 3.18
70.001 to 80.000 181 7,437,598.72 7.58
80.001 to 90.000 378 14,515,271.44 14.79
90.001 to 100.000 814 30,515,425.19 31.09
100.001 to 110.000 218 7,262,179.74 7.40
110.001 to 120.000 325 12,946,400.83 13.19
120.001 to 125.000 443 19,123,527.86 19.49
--------------------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
---------------------------------------------------------------------------------------------------------------------
The minimum and maximum combined loan-to-value ratios of the initial Group
III Mortgage Loans as of the Statistical Calculation Date are approximately
8.86% and 125.00%, respectively, and the weighted average combined
loan-to-value ratio as of the Statistical Calculation Date of the initial
Group III Mortgages is approximately 100.16%. The "combined loan-to-value
ratio" of an initial Group III Mortgage Loan as of the Statistical
Calculation Date is the ratio, expressed as a percentage, equal to the sum of
any outstanding first and other mortgage balance, if any, as of the date of
origination of the related initial Group III Mortgage Loan plus the principal
balance of such initial Group III Mortgage Loan as of the Statistical
Calculation Date divided by the appraised value of the mortgaged property at
origination.
PRINCIPAL BALANCES OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
PRINCIPAL BALANCES LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
$0.01 to $25,000.00 810 $14,908,372.60 15.19%
$25,000.01 to $50,000.00 1,128 41,199,387.29 41.98
$50,000.01 to $75,000.00 377 23,039,633.53 23.48
$75,000.01 to $100,000.00 108 9,511,121.74 9.69
$100,000.01 to $125,000.00 26 2,920,346.79 2.98
$125,000.01 to $150,000.00 14 1,946,447.30 1.98
$150,000.01 to $175,000.00 5 793,700.00 0.81
$175,000.01 to $200,000.00 6 1,158,515.47 1.18
$200,000.01 to $300,000.00 6 1,486,000.00 1.51
$300,000.01 to $400,000.00 2 765,000.00 0.78
$400,000.01 to $500,000.00 1 414,000.00 0.42
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The average unpaid principal balance of the initial Group III Mortgage Loans
as of the Statistical Calculation Date is approximately $39,525.79.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
MORTGAGED PROPERTIES SECURING INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
PROPERTY TYPE LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
Single-Family Dwelling 2,255 $87,994,985.60 89.66%
Planned Unit Development 100 5,232,772.40 5.33
Condominium 92 3,608,668.60 3.68
Leasehold 27 988,793.42 1.01
Multi-Family 9 317,304.70 0.32
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
ORIGINAL TERM TO MATURITY OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
ORIGINAL TERM TO MATURITY GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
(MONTHS) LOANS MORTGAGE LOANS III MORTGAGE LOANS
------------------------------------------------------------------------------------------------------------
121 to 180 1,000 $32,070,439.46 32.68%
181 to 240 1,472 65,607,747.07 66.85
241 to 300 11 464,338.19 0.47
------------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
------------------------------------------------------------------------------------------------------------
The weighted average original term to maturity of the initial Group III
Mortgage Loans as of the Statistical Calculation Date is approximately 221
months.
REMAINING TERM TO MATURITY OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
REMAINING TERM TO MATURITY GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL
(MONTHS) LOANS MORTGAGE LOANS GROUP III MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
0 to 60 5 $163,991.16 0.17%
61 to 120 285 8,511,575.31 8.67
121 to 180 852 28,358,539.49 28.90
181 to 240 1,341 61,108,418.76 62.26
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average remaining term to maturity of the initial Group III
Mortgage Loans as of the Statistical Calculation Date is approximately 199
months.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
YEAR OF ORIGINATION OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
YEAR OF ORIGINATION LOANS MORTGAGE LOANS III MORTGAGE LOANS
-------------------------------------------------------------------------------------------------------------
2001 1,340 $61,077,618.76 62.23%
2000 1 30,800.00 0.03
1999 62 2,256,389.46 2.30
1998 300 10,154,549.96 10.35
1997 253 8,438,527.71 8.60
1996 169 4,564,429.74 4.65
1995 227 7,269,762.67 7.41
1994 62 1,786,786.06 1.82
1993 27 890,735.30 0.91
1992 24 945,915.36 0.96
1991 7 262,671.51 0.27
1990 8 297,425.10 0.30
1989 2 114,275.73 0.12
1988 1 52,637.36 0.05
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The earliest month and year of origination of any initial Group III Mortgage
Loan as of the Statistical Calculation Date is November 1988 and the latest
month and year of origination of any initial Group III Mortgage Loan as of
the Statistical Calculation Date is July 2001.
OCCUPANCY TYPE OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
OCCUPANCY TYPE LOANS MORTGAGE LOANS III MORTGAGE LOANS
------------------------------------------------------------------------------------------------------------
Owner Occupied 2,472 $97,680,016.39 99.53%
Non-Owner Occupied 11 462,508.33 0.47
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
CREDIT QUALITY OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
CREDIT QUALITY LOANS MORTGAGE LOANS III MORTGAGE LOANS
------------------------------------------------------------------------------------------------------------
Excellent 1,729 $71,197,376.51 72.54%
Superior 379 14,775,182.57 15.05
Good 211 7,280,975.43 7.42
Fair 43 1,417,209.38 1.44
Non-Prime 121 3,471,780.83 3.54
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
Credit Grades run from Excellent to Superior to Good to Fair to Non-Prime in
descending order.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
INITIAL GROUP III MORTGAGE LOANS
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES SECURING
INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL
STATE LOANS MORTGAGE LOANS GROUP III MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
California 420 $22,107,662.01 22.53%
Illinois 194 7,460,735.48 7.60
New York 159 6,103,306.78 6.22
Michigan 161 5,410,186.83 5.51
Ohio 153 5,110,616.34 5.21
Washington 120 4,974,259.27 5.07
New Jersey 121 4,502,986.22 4.59
Florida 127 4,375,963.39 4.46
Arizona 105 3,794,158.84 3.87
Virginia 102 3,704,964.86 3.78
Georgia 105 3,493,347.51 3.56
Colorado 71 3,030,227.30 3.09
Maryland 58 2,706,027.65 2.76
Missouri 72 2,359,888.23 2.40
Pennsylvania 64 2,303,762.23 2.35
Indiana 60 2,139,017.59 2.18
Connecticut 37 2,026,717.42 2.07
Oregon 51 1,974,811.75 2.01
Others (<2%) 303 10,563,885.02 10.76
----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
----------------------------------------------------------------------------------------------------------
No more than approximately 0.59% of the initial Group III Mortgage Loans as
of the Statistical Calculation Date are secured by mortgaged properties
located in any one zip code.
DEBT-TO-INCOME RATIOS OF INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL
DEBT-TO-INCOME RATIOS(%) LOANS MORTGAGE LOANS GROUP III MORTGAGE LOANS
--------------------------------------------------------------------------------------------------------------
5.001 to 10.000 1 $31,302.72 0.03%
10.001 to 15.000 5 268,903.13 0.27
15.001 to 20.000 24 1,007,377.00 1.03
20.001 to 25.000 87 3,342,288.69 3.41
25.001 to 30.000 171 6,485,291.49 6.61
30.001 to 35.000 282 9,677,966.07 9.86
35.001 to 40.000 314 11,703,979.54 11.93
40.001 to 45.000 451 17,314,793.08 17.64
45.001 to 50.000 550 21,742,386.01 22.15
50.001 to 55.000 598 26,568,236.99 27.07
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
The weighted average debt-to-income ratio of the initial Group III Mortgage
Loans as of the Statistical Calculation Date is approximately 42.98%.
INITIAL GROUP III MORTGAGE LOANS
PREPAYMENT PENALTY FOR INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
MONTHS APPLICABLE LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
No Prepayment Penalty 1,151 $37,928,610.39 38.65%
24 10 485,676.21 0.49
36 351 16,910,655.80 17.23
48 4 219,919.74 0.22
60 967 42,597,662.58 43.40
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
ORIGINATION CHANNEL FOR INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIAL GROUP
ORIGINATION CHANNEL LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------
Direct Mail 1,099 $47,325,301.02 48.22%
Acquisitions 1,011 32,534,777.65 33.15
Broker 373 18,282,446.05 18.63
-----------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------
DELINQUENCY STATUS FOR INITIAL GROUP III MORTGAGE LOANS
UNPAID PERCENTAGE OF STATISTICAL
NUMBER OF INITIAL PRINCIPAL BALANCE CALCULATION DATE PRINCIPAL
GROUP III MORTGAGE OF INITIAL GROUP III BALANCE OF INITIALGROUP
DELINQUENCY LOANS MORTGAGE LOANS III MORTGAGE LOANS
-----------------------------------------------------------------------------------------------------------------
0 2,266 $90,400,337.93 92.11%
1-29 217 7,742,186.79 7.89
-----------------------------------------------------------------------------------------------------------------
Total 2,483 $98,142,524.72 100.00%
-----------------------------------------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
Xxxxx Home Equity Loan Trust 2001-2
COMPUTATIONAL MATERIALS: SENSITIVITY TABLES AND NET FUND CAP (PAGE 7 OF 7)
SENSITIVITY TABLES*
----------------------------------------------------------------------------------------------------------------
CLASS IA-1 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 0.72 2.67 1.07 0.85 0.64 0.57
Modified Duration (years) 0.70 2.48 1.04 0.83 0.62 0.56
Principal Lockout (months) 0 0 0 0 0 0
First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 17 75 27 21 14 13
Illustrative Yield @ Par 2.91% 2.92% 2.91% 2.91% 2.91% 2.91%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IA-2 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 3.57 10.93 5.64 4.39 2.98 2.48
Modified Duration (years) 3.09 7.95 4.61 3.71 2.63 2.23
Principal Lockout (months) 16 74 26 20 13 12
First Principal Payment 2/25/03 12/25/07 12/25/03 6/25/03 11/25/02 10/25/02
Principal Window (months) 94 104 124 109 82 69
Illustrative Yield @ Par 5.39% 5.47% 5.43% 5.41% 5.37% 5.35%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-1 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 0.92 4.04 1.38 1.09 0.81 0.73
Modified Duration (years) 0.89 3.68 1.33 1.05 0.78 0.71
Principal Lockout (months) 0 0 0 0 0 0
First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 21 96 33 25 18 16
Illustrative Yield @ Par 2.91% 2.92% 2.92% 2.91% 2.91% 2.91%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-2 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 2.02 8.97 3.34 2.5 1.71 1.50
Modified Duration (years) 1.89 7.28 3.04 2.32 1.62 1.42
Principal Lockout (months) 20 95 32 24 17 15
First Principal Payment 6/25/03 9/25/09 6/25/04 10/25/03 3/25/03 1/25/03
Principal Window (months) 8 23 15 11 7 6
Illustrative Yield @ Par 4.24% 4.35% 4.29% 4.26% 4.21% 4.19%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
----------------------------------------------------------------------------------------------------------------
CLASS IIA-3 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 3.02 11.33 5.06 3.77 2.52 2.16
Modified Duration (years) 2.74 8.52 4.38 3.37 2.32 2.01
Principal Lockout (months) 27 117 46 34 23 20
First Principal Payment 1/25/04 7/25/11 8/25/05 8/25/04 9/25/03 6/25/03
Principal Window (months) 20 35 29 24 17 12
Illustrative Yield @ Par 4.78% 4.86% 4.83% 4.80% 4.76% 4.74%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-4 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 5.02 13.30 7.83 6.14 4.24 3.44
Modified Duration (years) 4.25 9.10 6.15 5.04 3.67 3.04
Principal Lockout (months) 46 151 74 57 39 31
First Principal Payment 8/25/05 5/25/14 12/25/07 7/25/06 1/25/05 5/25/04
Principal Window (months) 29 16 40 35 25 25
Illustrative Yield @ Par 5.66% 5.71% 5.69% 5.67% 5.64% 5.62%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-5 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 8.61 15.59 12.15 10.25 7.32 6.34
Modified Duration (years) 6.37 9.50 8.13 7.23 5.63 5.03
Principal Lockout (months) 74 166 113 91 63 55
First Principal Payment 12/25/07 8/25/15 3/25/11 5/25/09 1/25/07 5/25/06
Principal Window (months) 51 59 67 61 41 33
Illustrative Yield @ Par 6.54% 6.56% 6.56% 6.55% 6.53% 6.52%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIIA-1 (TO CALL)
----------------------------------------------------------------------------------------------------------------
Gross CPR 22.00% 2.00% 12.00% 17.00% 27.00% 32.00%
Draw Rate 2.00% 2.00% 2.00% 2.00% 2.00% 2.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 3.96 16.90 7.16 5.22 3.11 2.48
Modified Duration (years) 3.50 12.86 5.95 4.48 2.80 2.27
Principal Lockout (months) 0 48 0 0 0 0
First Principal Payment 10/25/01 10/25/05 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 125 214 184 152 104 88
Illustrative Yield @ Par 3.05% 3.05% 3.05% 3.05% 3.05% 3.05%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
----------------------------------------------------------------------------------------------------------------
CLASS M-1 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.08 18.13 11.30 8.84 5.83 5.08
Modified Duration (years) 6.08 13.09 9.04 7.36 5.12 4.54
Principal Lockout (months) 42 172 74 54 36 40
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 2/25/05
Principal Window (months) 83 90 110 98 68 48
Illustrative Yield @ Par 3.59% 3.59% 3.59% 3.59% 3.59% 3.59%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS M-2 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.08 18.13 11.30 8.84 5.83 5.01
Modified Duration (years) 5.98 12.67 8.84 7.22 5.05 4.43
Principal Lockout (months) 42 172 74 54 36 38
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 12/25/04
Principal Window (months) 83 90 110 98 68 50
Illustrative Yield @ Par 3.98% 3.98% 3.98% 3.98% 3.98% 3.98%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS B-1 (TO CALL)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.08 18.13 11.30 8.84 5.83 4.98
Modified Duration (years) 5.80 11.89 8.45 6.96 4.92 4.30
Principal Lockout (months) 42 172 74 54 36 36
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 10/25/04
Principal Window (months) 83 90 110 98 68 52
Illustrative Yield @ Par 4.75% 4.75% 4.75% 4.75% 4.75% 4.75%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS A-IO (TO CALL)
----------------------------------------------------------------------------------------------------------------
Flat CPR 25% 30% 35% 40% 45% 50%
----------------------------------------------------------------------------------------------------------------
Modified Duration (years) 1.22 1.22 1.22 1.22 1.22 1.22
Illustrative Yield @ Par 5.25% 5.25% 5.25% 5.25% 5.25% 5.25%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
----------------------------------------------------------------------------------------------------------------
CLASS IA-1 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 0.72 2.67 1.07 0.85 0.64 0.57
Modified Duration (years) 0.70 2.48 1.04 0.83 0.62 0.56
Principal Lockout (months) 0 0 0 0 0 0
First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 17 75 27 21 14 13
Illustrative Yield @ Par 2.91% 2.92% 2.91% 2.91% 2.91% 2.91%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IA-2 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 20.00% 0.00% 10.00% 15.00% 25.00% 30.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 3.57 10.93 5.64 4.39 2.98 2.48
Modified Duration (years) 3.09 7.95 4.61 3.71 2.63 2.23
Principal Lockout (months) 16 74 26 20 13 12
First Principal Payment 2/25/03 12/25/07 12/25/03 6/25/03 11/25/02 10/25/02
Principal Window (months) 94 104 124 109 82 69
Illustrative Yield @ Par 5.39% 5.47% 5.43% 5.41% 5.37% 5.35%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-1 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 0.92 4.04 1.38 1.09 0.81 0.73
Modified Duration (years) 0.89 3.68 1.33 1.05 0.78 0.71
Principal Lockout (months) 0 0 0 0 0 0
First Principal Payment 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 21 96 33 25 18 16
Illustrative Yield @ Par 2.91% 2.92% 2.92% 2.91% 2.91% 2.91%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-2 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 2.02 8.97 3.34 2.50 1.71 1.50
Modified Duration (years) 1.89 7.28 3.04 2.32 1.62 1.42
Principal Lockout (months) 20 95 32 24 17 15
First Principal Payment 6/25/03 9/25/09 6/25/04 10/25/03 3/25/03 1/25/03
Principal Window (months) 8 23 15 11 7 6
Illustrative Yield @ Par 4.24% 4.35% 4.29% 4.26% 4.21% 4.19%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
----------------------------------------------------------------------------------------------------------------
CLASS IIA-3 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 3.02 11.33 5.06 3.77 2.52 2.16
Modified Duration (years) 2.74 8.52 4.38 3.37 2.32 2.01
Principal Lockout (months) 27 117 46 34 23 20
First Principal Payment 1/25/04 7/25/11 8/25/05 8/25/04 9/25/03 6/25/03
Principal Window (months) 20 35 29 24 17 12
Illustrative Yield @ Par 4.78% 4.86% 4.83% 4.80% 4.76% 4.74%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-4 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 5.02 13.30 7.83 6.14 4.24 3.44
Modified Duration (years) 4.25 9.10 6.15 5.04 3.67 3.04
Principal Lockout (months) 46 151 74 57 39 31
First Principal Payment 8/25/05 5/25/14 12/25/07 7/25/06 1/25/05 5/25/04
Principal Window (months) 29 16 40 35 25 25
Illustrative Yield @ Par 5.66% 5.71% 5.69% 5.67% 5.64% 5.62%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIA-5 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 100% 0% 50% 75% 125% 150%
Ramp to 15.00% 0.00% 7.50% 11.25% 18.75% 22.50%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 8.78 15.59 12.15 10.30 7.58 6.70
Modified Duration (years) 6.45 9.50 8.13 7.25 5.77 5.24
Principal Lockout (months) 74 166 113 91 63 55
First Principal Payment 12/25/07 8/25/15 3/25/11 5/25/09 1/25/07 5/25/06
Principal Window (months) 72 59 67 72 68 63
Illustrative Yield @ Par 6.55% 6.56% 6.56% 6.55% 6.55% 6.55%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS IIIA-1 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
Gross CPR 22.00% 2.00% 12.00% 17.00% 27.00% 32.00%
Draw Rate 2.00% 2.00% 2.00% 2.00% 2.00% 2.00%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 4.65 17.22 7.83 5.93 3.74 3.02
Modified Duration (years) 3.96 13.03 6.34 4.94 3.25 2.67
Principal Lockout (months) 0 48 0 0 0 0
First Principal Payment 10/25/01 10/25/05 10/25/01 10/25/01 10/25/01 10/25/01
Principal Window (months) 237 249 287 269 207 184
Illustrative Yield @ Par 3.09% 3.06% 3.07% 3.08% 3.10% 3.10%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
----------------------------------------------------------------------------------------------------------------
CLASS M-1 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.70 18.45 11.94 9.49 6.41 5.60
Modified Duration (years) 6.48 13.23 9.39 7.74 5.51 4.91
Principal Lockout (months) 42 172 74 54 36 40
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 2/25/05
Principal Window (months) 171 124 202 192 153 125
Illustrative Yield @ Par 3.62% 3.60% 3.61% 3.61% 3.62% 3.63%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS M-2 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.68 18.45 11.91 9.45 6.37 5.50
Modified Duration (years) 6.35 12.80 9.15 7.57 5.41 4.77
Principal Lockout (months) 42 172 74 54 36 38
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 12/25/04
Principal Window (months) 157 122 192 177 139 116
Illustrative Yield @ Par 4.01% 3.99% 4.00% 4.01% 4.02% 4.02%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS B-1 (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
% of Prepayment Assumptions 100% 0% 50% 75% 125% 150%
----------------------------------------------------------------------------------------------------------------
Average Life (years) 7.57 18.42 11.78 9.35 6.28 5.37
Modified Duration (years) 6.09 11.99 8.68 7.23 5.2 4.56
Principal Lockout (months) 42 172 74 54 36 36
First Principal Payment 4/25/05 2/25/16 12/25/07 4/25/06 10/25/04 10/25/04
Principal Window (months) 146 119 174 157 125 104
Illustrative Yield @ Par 4.80% 4.76% 4.78% 4.79% 4.81% 4.81%
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------------------------------------------------------------------
CLASS A-IO (TO MATURITY)
----------------------------------------------------------------------------------------------------------------
Flat CPR 25% 30% 35% 40% 45% 50%
----------------------------------------------------------------------------------------------------------------
Modified Duration (years) 1.22 1.22 1.22 1.22 1.22 1.22
Illustrative Yield @ Par 5.25% 5.25% 5.25% 5.25% 5.25% 5.25%
----------------------------------------------------------------------------------------------------------------
* Based on September 28, 2001 Settlement Date.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
XXXXX HOME EQUITY LOAN TRUST 2001-2
COMPUTATION MATERIALS: SENSITIVITY TABLES AND NET FUND CAP
Payment
Period Date Group I AAA's Group II AAA's Group III AAA's Subordinates
1 10/25/01 9.25 12.88 10.23 11.08
2 11/25/01 9.24 12.87 9.99 11.03
3 12/25/01 9.23 12.86 9.98 11.03
4 1/25/02 9.22 12.85 9.98 11.02
5 2/25/02 9.21 12.84 9.98 11.02
6 3/25/02 9.20 12.83 9.98 11.01
7 4/25/02 9.18 12.82 9.98 11.01
8 5/25/02 9.17 12.81 9.98 11.00
9 6/25/02 9.15 12.79 9.97 10.99
10 7/25/02 9.14 12.78 9.97 10.98
11 8/25/02 9.12 12.76 9.97 10.97
12 9/25/02 9.10 12.74 9.96 10.96
13 10/25/02 9.08 12.72 9.96 10.94
14 11/25/02 9.05 12.70 9.96 10.93
15 12/25/02 9.03 12.68 9.95 10.91
16 1/25/03 9.01 12.65 9.95 10.89
17 2/25/03 8.99 12.63 9.94 10.88
18 3/25/03 8.96 12.61 9.94 10.86
19 4/25/03 8.94 12.59 9.94 10.84
20 5/25/03 8.92 12.56 9.93 10.82
21 6/25/03 8.89 12.54 9.93 10.80
22 7/25/03 8.87 12.51 9.92 10.78
23 8/25/03 8.84 12.49 9.92 10.76
24 9/25/03 8.82 12.47 9.91 10.74
25 10/25/03 8.79 12.44 9.91 10.72
26 11/25/03 8.77 12.41 9.91 10.70
27 12/25/03 8.74 12.39 9.90 10.68
28 1/25/04 8.72 12.36 9.90 10.66
29 2/25/04 8.69 12.33 9.89 10.64
30 3/25/04 8.66 12.31 9.89 10.61
31 4/25/04 10.40 14.05 10.19 12.23
32 5/25/04 10.40 14.05 10.19 12.23
33 6/25/04 10.40 14.05 10.19 12.24
34 7/25/04 10.40 14.05 10.19 12.24
35 8/25/04 10.40 14.05 10.19 12.25
36 9/25/04 10.40 14.05 10.19 12.25
37 10/25/04 10.40 14.05 10.19 12.26
38 11/25/04 10.40 14.05 10.19 12.26
39 12/25/04 10.40 14.05 10.19 12.27
40 1/25/05 10.40 14.06 10.19 12.27
41 2/25/05 10.40 14.06 10.19 12.28
42 3/25/05 10.40 14.06 10.19 12.28
43 4/25/05 10.40 14.06 10.19 12.29
44 5/25/05 10.40 14.06 10.19 12.29
45 6/25/05 10.40 14.06 10.19 12.30
46 7/25/05 10.40 14.06 10.19 12.30
47 8/25/05 10.40 14.06 10.19 12.31
48 9/25/05 10.40 14.06 10.19 12.31
49 10/25/05 10.40 14.06 10.19 12.32
50 11/25/05 10.40 14.06 10.19 12.32
51 12/25/05 10.40 14.06 10.19 12.33
52 1/25/06 10.40 14.06 10.19 12.33
53 2/25/06 10.40 14.07 10.19 12.34
54 3/25/06 10.40 14.07 10.19 12.35
55 4/25/06 10.40 14.07 10.19 12.35
56 5/25/06 10.40 14.07 10.19 12.36
57 6/25/06 10.40 14.07 10.19 12.36
58 7/25/06 10.40 14.07 10.19 12.37
59 8/25/06 10.40 14.07 10.19 12.37
60 9/25/06 10.40 14.07 10.19 12.38
61 10/25/06 10.39 14.07 10.19 12.38
62 11/25/06 10.39 14.07 10.19 12.39
63 12/25/06 10.39 14.07 10.19 12.39
64 1/25/07 10.39 14.08 10.19 12.40
65 2/25/07 10.39 14.08 10.19 12.40
66 3/25/07 10.39 14.08 10.19 12.41
67 4/25/07 10.39 14.08 10.19 12.41
68 5/25/07 10.39 14.08 10.19 12.42
69 6/25/07 10.39 14.08 10.19 12.42
70 7/25/07 10.39 14.08 10.19 12.43
71 8/25/07 10.39 14.08 10.19 12.43
72 9/25/07 10.39 14.08 10.19 12.44
73 10/25/07 10.39 14.08 10.19 12.44
74 11/25/07 10.39 14.09 10.19 12.45
75 12/25/07 10.39 14.09 10.19 12.45
76 1/25/08 10.39 14.09 10.19 12.46
77 2/25/08 10.39 14.09 10.19 12.47
78 3/25/08 10.39 14.09 10.19 12.47
79 4/25/08 10.39 14.09 10.19 12.48
80 5/25/08 10.38 14.09 10.19 12.48
81 6/25/08 10.38 14.09 10.19 12.49
82 7/25/08 10.38 14.10 10.19 12.49
83 8/25/08 10.38 14.10 10.19 12.50
84 9/25/08 10.38 14.10 10.19 12.50
85 10/25/08 10.38 14.10 10.19 12.51
86 11/25/08 10.38 14.10 10.19 12.51
87 12/25/08 10.38 14.10 10.19 12.52
88 1/25/09 10.38 14.10 10.19 12.52
89 2/25/09 10.38 14.11 10.19 12.53
90 3/25/09 10.38 14.11 10.19 12.53
91 4/25/09 10.38 14.11 10.19 12.54
92 5/25/09 10.38 14.11 10.19 12.54
93 6/25/09 10.38 14.11 10.19 12.55
94 7/25/09 10.39 14.11 10.19 12.55
95 8/25/09 10.39 14.12 10.19 12.56
96 9/25/09 10.39 14.12 10.19 12.56
97 10/25/09 10.39 14.12 10.19 12.57
98 11/25/09 10.39 14.12 10.19 12.57
99 12/25/09 10.39 14.12 10.19 12.58
100 1/25/10 10.39 14.13 10.19 12.58
101 2/25/10 10.40 14.13 10.19 12.59
102 3/25/10 10.40 14.13 10.19 12.59
103 4/25/10 10.40 14.13 10.19 12.60
104 5/25/10 10.40 14.13 10.19 12.60
105 6/25/10 10.40 14.14 10.19 12.61
106 7/25/10 10.40 14.14 10.19 12.61
107 8/25/10 10.40 14.14 10.19 12.62
108 9/25/10 10.41 14.14 10.19 12.62
109 10/25/10 10.41 14.14 10.19 12.63
110 11/25/10 10.41 14.15 10.19 12.63
111 12/25/10 10.41 14.15 10.19 12.63
112 1/25/11 10.41 14.15 10.19 12.64
113 2/25/11 10.41 14.15 10.19 12.64
114 3/25/11 10.42 14.16 10.19 12.65
115 4/25/11 10.42 14.16 10.19 12.65
116 5/25/11 10.42 14.16 10.19 12.66
117 6/25/11 10.42 14.17 10.19 12.66
118 7/25/11 10.42 14.17 10.19 12.67
119 8/25/11 10.43 14.17 10.19 12.67
120 9/25/11 10.43 14.17 10.19 12.68
121 10/25/11 10.43 14.18 10.19 12.68
122 11/25/11 10.43 14.18 10.19 12.69
123 12/25/11 10.43 14.18 10.19 12.69
124 1/25/12 10.44 14.19 10.19 12.70
* PAYMENTS RECEIVED FROM CAP PROVIDER ARE ALLOCATED TO SUBORDINATED NOTES FOR
CAP SCHEDULE, AND ARE ALSO AVAILABLE TO SENIOR SECURITIES SUBJECT TO HARD
CAPS.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Xxxxxxx & Co. Inc.
