SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934

Date of Report: September 24, 1999
(Date of earliest event reported)

Commission File No. 333-62547

Asset Backed Funding Corporation

       Delaware                                         75-2533468
--------------------------------------------------------------------------------
(State of Incorporation)                    (I.R.S. Employer Identification No.)

100 North Tryon Street
Charlotte, North Carolina                                 28255
--------------------------------------------------------------------------------
Address of principal executive offices                  (Zip Code)

(704) 386-2400

Registrant's Telephone Number, including area code

NationsBanc Asset Securities, Inc.

(Former name, former address and former fiscal year,
if changed since last report)

ITEM 5. Other Events

Attached as an exhibit are the Computational Materials (as defined in the no-action letter dated May 21, 1994 issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance Corporation-I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation (the "Kidder Letter")) and Collateral Term Sheets (as defined in the no-action letter dated February 17, 1995 issued by the Securities and Exchange Commission to the Public Securities Association) prepared by Banc of America Securities LLC, which are hereby filed pursuant to such letter.


ITEM 7.       Financial Statements and Exhibits
              ---------------------------------

              (c) Exhibits

Item 601(a)
of Regulation S-K
Exhibit No.                                     Description
-----------                                     -----------
      (99)                                      Computational Materials and
                                                Collateral Term Sheets
                                                prepared by Banc of America
                                                Securities LLC in
                                                connection with United PanAm
                                                Mortgage Loan Asset Backed
                                                Certificates, Series 1999-2


Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

ASSET BACKED FUNDING CORPORATION

September 24, 1999

By:    /s/ Bob Perret
       -------------------------
Name:  Bob Perret
Title: Senior Vice President


INDEX TO EXHIBITS

                                                                  Paper (P) or
Exhibit No.             Description                               Electronic (E)
-----------             -----------                               --------------

   (99)                 Computational Materials and                     E
                        Collateral Term Sheets
                        prepared by Banc of America
                        Securities LLC in connection with
                        United PanAm Mortgage Loan Asset
                        Backed Certificates, Series 1999-2


BANC OF AMERICA SECURITIES LLC

[BANK OF AMERICA LOGO]


RMBS NEW ISSUE TERM SHEET

UNITED PANAM MORTGAGE
$233,144,000
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
CLASSES A-1 AND A-2

ASSET BACKED FUNDING CORPORATION
DEPOSITOR

UNITED PANAM MORTGAGE, A DIVISION OF PAN AMERICAN BANK, FSB SELLER

PAN AMERICAN BANK, FSB
MASTER SERVICER

SEPTEMBER 23, 1999


Banc of America Securities LLC

This Structural Term Sheet, Collateral Term Sheet, or Computational Materials, as appropriate (the "material"), is for your private information and Banc of America Securities LLC (the "Underwriter") is not soliciting any action based upon it. This material is not to be construed as an offer to sell or the solicitation of any offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. This material is based on information that the Underwriter considers reliable, but the Underwriter does not represent that it is accurate or complete and it should not be relied upon as such. By accepting this material the recipient agrees that it will not distribute or provide the material to any other person. The information contained in this material may pertain to securities that ultimately are not sold. The information contained in this material may be based on assumptions regarding market conditions and other matters as reflected herein. The Underwriter makes no representation regarding the reasonableness of such assumptions or the likelihood that any of such assumptions will coincide with actual market conditions or events, and this material should not be relied upon for such purposes. The Underwriter and its affiliates, officers, directors, partners and employees, including persons involved in the preparation or issuance of this material may, from time to time, have long or short positions in, and buy and sell, the securities mentioned therein or derivatives thereof (including options). This material may be filed with the Securities and Exchange Commission (the "SEC") and incorporated by reference into an effective registration statement previously filed with the SEC under Rule 415 of the Securities Act of 1933, including all cases where the material does not pertain to securities that are ultimately offered for sale pursuant to such registration statement. Information contained in this material is current as of the date appearing on this material only. Information in this material regarding any assets backing any securities discussed herein supersedes all prior information regarding such assets. Any information in the material, whether regarding the assets backing any securities discussed herein or otherwise, will be superseded by the information contained in any final prospectus for any securities actually sold to you. This material is furnished solely by the Underwriter and not by the issuer of the securities. The issuer of the securities has not prepared, reviewed or participated in the preparation of this material, is not responsible for the accuracy of this material and has not authorized the dissemination of this material. The Underwriter is acting as underwriter and not acting as agent for the issuer in connection with the proposed transaction.

United PanAm Mortgage Loan Asset-Backed Certificates, Series 1999-2

OFFERED CERTIFICATES

------------------------------------------------------------------------------------------------------------------------------------
                                                                                       PRINCIPAL        PRINCIPAL
                             EXPECTED                       AVERAGE     MODIFIED         WINDOW           WINDOW           FINAL
              CLASS          RATINGS          EXPECTED        LIFE      DURATION     (TO MATURITY)      (TO CALL)      DISTRIBUTION
CLASS      DESCRIPTION     S&P/MOODY'S          SIZE        (YEARS)      (YEARS)       IN MONTHS        IN MONTHS          DATE
------------------------------------------------------------------------------------------------------------------------------------
 A-1         Floater         AAA/Aaa        174,020,000       2.65        2.32            160               74          10/25/2029

------------------------------------------------------------------------------------------------------------------------------------
 A-2         Floater         AAA/Aaa         59,124,000       2.60        2.27            158               74          09/25/2029

------------------------------------------------------------------------------------------------------------------------------------

ADJUSTABLE RATE CLASSES:

1. The Loan Group I supports the Class A-1 Certificates and the Loan Group II supports the Class A-2 Certificates.

2. The Class A-1 and Class A-2 Certificates are payable monthly (Actual/360) starting 11/25/99 and accrue from the Closing Date. The Class A-1 Certificates reset monthly to one month LIBOR plus [ ]%. The Class A-2 Certificates reset monthly to one month LIBOR plus [ ]%.

3. The Class A-1 and Class A-2 Certificates are subject to a Net Funds Cap Rate, as described herein.

4. The Optional Termination is at 10% of the aggregate principal balances of the Mortgage Loans delivered on the closing date plus the original Pre-Funding amount. If the Optional Termination is not exercised by the Master Servicer or the Certificate Insurer, the margin on the Class A-1 and Class A-2 Certificates will double.

5. Adjustable-rate Mortgage Loans pricing speed: 4% CPR in month 1 ramping to 35% CPR in month 18 and thereafter 35% CPR (100% PPC). Fixed-rate Mortgage Loans pricing speed: 5.2% CPR in month 1 ramping to 26% CPR in month 12 and thereafter 26% CPR (130% PPC).

6. The Class A-1 and Class A-2 Certificates are priced to call.

CREDIT ENHANCEMENT:
Credit enhancement for the structure is provided by excess interest, prepayment penalty fees, overcollateralization, cross-collateralization, the FSA Insurance Policy on both the Class A-1 and Class A-2 Certificates and a Mortgage Guaranty Insurance Corporation ("MGIC") primary mortgage insurance policy on certain Mortgage Loans. Excess interest and prepayment penalty fees are used to accelerate the principal payments of the bonds until the Overcollateralization Target Amount is reached for each Loan Group. After the Step Down Date, extra principal is released to the Class X Certificate in a manner designed to keep the Overcollateralization Target Amount at a constant percentage of the related Loan Group's balance. Loan Group I and Loan Group II are cross-collateralized such that no cash will be released to the Class X Certificate until the Overcollateralization Target Amount has been reached for both groups.

STEP DOWN DATE:
For each Loan Group, the later to occur of (x) after the 30th Distribution Date and (y) the first Distribution Date on which (i) the Overcollateralization Target Amount has been met and (ii) the pool balance has been reduced to 50% of the sum of the aggregate of the Principal Balances of the Mortgage Loans as of the Cutoff Date and the original prefunding amount.

OVERCOLLATERALIZATION TARGET AMOUNT
The initial overcollateralization amount is 0%. On or prior to the Step Down Date, the Overcollateralization Target Amount is 4.95% of the sum of the original related Loan Group balance and the related original prefunding amount. After the Step Down Date, the Overcollateralization Target Amount for each Loan Group is the greater of (i) the minimum of (a) 9.90% of the sum of the current related Loan Group balance and the current balance of the related prefunding amount or (b) 4.95% of the sum of the original related Loan Group balance and the related original prefunding amount, and (ii) 0.50% of the sum of (a) the original related Loan Group balance, (b) the related original prefunding amount and (iii) the current balance of the three largest outstanding Mortgage Loans in the related Loan Group.


SUMMARY OF TERMS

SELLER:                 United   PanAm   Mortgage   ("UPAM"),   a  division   of
                        PanAmerican Bank, FSB

MASTER SERVICER:        Pan American  Bank,  FSB will act as Master  Servicer of
                        the Mortgage  Loans.  The Mortgage Loans were originated
                        or  acquired  by  UPAM.  On or  prior  to the  date  the
                        Certificates  are issued,  UPAM will convey its interest
                        in each Mortgage Loan to the Trust.

SUBSERVICER &
SPECIAL SERVICER:       Fairbanks Capital Corp. ("Fairbanks")

TRUSTEE:                Bankers Trust Company of California, N.A.

OFFERING:               Public; subject to a variance of plus or minus 5.0%.

LEAD MANAGER:           BANC OF  AMERICA  SECURITIES  LLC  (Sole  lead  and Book
                        Manager)

CUTOFF DATE:            For any initial mortgage loan,  October 1, 1999. For any
                        additional mortgage loan, the date of its origination.

STATISTICAL
CALCULATION DATE:       September 1, 1999

EXPECTED CLOSING DATE:  October 12, 1999

REGISTRATION:           The Class A Certificates will be available in book-entry
                        form through DTC, Euroclear or Cedelbank.

DISTRIBUTION DATE:      The  25th of each  month  (or next  succeeding  business
                        day), beginning November 25, 1999.

CLASS A-1
INTEREST CALCULATION:   The Class A-1  Certificates are payable monthly starting
                        11/25/99 and accrue from the Closing Date. The Class A-1
                        Certificates  reset  monthly on an  actual/360  basis to
                        One-Month  LIBOR  plus [ ]%. The margin on the Class A-1
                        Certificates will double, if the Optional Termination is
                        not exercised.

CLASS A-2
INTEREST CALCULATION:   The Class A-2  Certificates are payable monthly starting
                        11/25/99 and accrue from the Closing Date. The Class A-2
                        Certificates  reset  monthly on an  actual/360  basis to
                        One-Month  LIBOR  plus [ ]%. The margin on the Class A-2
                        Certificates will double, if the Optional Termination is
                        not exercised.

OPTIONAL TERMINATION:   The Master  Servicer  may, at its option,  terminate the
                        trust  on  any  distribution  date  when  the  aggregate
                        principal balance of the Mortgage Loans is less than 10%
                        of the sum of the  principal  balances  of the  Mortgage
                        Loans  delivered  on the  Closing  Date plus  amounts on
                        deposit in the prefunding accounts on the Closing Date.

DENOMINATIONS:          $50,000  minimum  and  integral  multiples  of $1,000 in
                        excess thereof.

TAX STATUS:             REMIC Election

ERISA:                  ERISA eligible.  Prospective  investors that are pension
                        plans should  consult  their own counsel with respect to
                        an investment in the Offered Certificates.

SMMEA:                  After  amounts in the related  pre-funding  accounts are
                        reduced  to  zero,   the   Offered   Certificates   WILL
                        constitute as "mortgage related securities" for purposes
                        of SMMEA.

CERTIFICATE INSURER:    Financial  Security  Assurance Inc. ("FSA").  FSA claims
                        paying  ability is rated  "AAA" by Standard & Poor's and
                        "Aaa" by Moody's Investors Service Inc.

CERTIFICATE
INSURANCE POLICY:       The   certificate   guaranty   insurance   policy   (the
                        "Certificate   Insurance   Policy")  will  provide  100%
                        coverage  of  timely  interest  and  ultimate  principal
                        payments due on the certificates.


RATING AGENCIES:        Standard & Poor's and Moody's Investors Service Inc.

INITIAL MORTGAGE LOANS: The Mortgage  Loans in the trust are separated  into two
                        groups based on the original  principal  balances of the
                        Mortgage Loans.  The  information  presented in the term
                        sheet  regarding  the  Mortgage  Pool  is  based  on the
                        Initial Mortgage Loans as of the Statistical Calculation
                        Date.  Both groups  consist  primarily of  conventional,
                        fully-amortizing and balloon, first lien, fixed-rate and
                        adjustable-rate   closed   end,   one-  to   four-family
                        residential mortgage loans.

                        As of the  Statistical  Calculation  Date,  the Mortgage
                        Pool   has   an   Aggregate    Principal    Balance   of
                        $174,858,988.23 representing 1,404 loans.

                        As of the  Statistical  Calculation  Date,  Loan Group I
                        consisted  of a total of 1,272 loans of which 200 are in
                        the  Fixed  Rate  Loan  Subgroup  I and 1,072 are in the
                        Adjustable  Rate Loan Subgroup I. As of the  Statistical
                        Calculation  Date,  the  Loan  Group I has an  Aggregate
                        Principal Balance of $ 130,515,401.90 of which the Fixed
                        Rate Loan Subgroup I has an Aggregate  Principal Balance
                        of $ 15,954,866.56 and the Adjustable Rate Loan Subgroup
                        I has an Aggregate Principal Balance of $114,560,535.34.

                        As of the  Statistical  Calculation  Date, Loan Group II
                        consisted of a total of 132 loans of which 13 are in the
                        Fixed  Rate  Loan   Subgroup  II  and  119  are  in  the
                        Adjustable  Rate Loan Subgroup II. As of the Statistical
                        Calculation  Date,  the Loan  Group II has an  Aggregate
                        Principal  Balance of  $44,343,586.33 of which the Fixed
                        Rate Loan Subgroup II has an Aggregate Principal Balance
                        of $ 4,295,720.84  and the Adjustable Rate Loan Subgroup
                        II has an Aggregate Principal Balance of $40,047,865.49.

                        Between the Statistical  Calculation Date and the Cutoff
                        Date the Seller expects to deposit  additional  Mortgage
                        Loans in each Loan Group.

PREFUNDING AMOUNT:      At closing the Seller will deposit up to the  difference
                        between the aggregate  principal balances of the Initial
                        Mortgage Loans (including the additional  Mortgage Loans
                        referenced  in the  last  paragraph  under  the  heading
                        "Initial  Mortgage Loans") as of the Cutoff Date and the
                        Original Class A Certificate  Balances into two separate
                        prefunding  accounts  to be used to  acquire  additional
                        adjustable-rate  Mortgage  Loans from the Seller  during
                        the prefunding  period.  At closing the Seller will also
                        deposit  funds into the  Capitalized  Interest  Accounts
                        established for each of the Loan Groups.  The prefunding
                        period  terminates on the close of business December 10,
                        1999.

GROUP I NET
FUNDS CAP RATE:         The Class A-1 Certificates  will be subject to a Group I
                        Net Funds Cap Rate equal to the weighted  average of the
                        Mortgage  Interest Rates in Loan Group I as of the first
                        day of the related  Accrual  Period less: (a) the sum of
                        (x) an amount,  expressed as an annual  percentage  rate
                        across the aggregate  principal  balance of the Mortgage
                        Loans in Loan Group I,  equal to the sum of the  Expense
                        Fee and the  Certificate  Insurer  Fee and (y) an amount
                        expressed  as  an  annual  percentage  rate  across  the
                        aggregate  principal  balance of the  Mortgage  Loans in
                        Loan  Group I  insured  by MGIC,  equal to the  Mortgage
                        Insurance  Fee or (b) the sum of the  amount in (a) plus
                        0.50% per annum,  with  respect to each  Accrual  Period
                        after the twelfth  Accrual  Period.  For the purposes of
                        computing  the Group I Net Funds Cap Rate,  calculations
                        will be made on the basis of the  actual  number of days
                        in the related Due Period and a 360-day year.

GROUP II NET
FUNDS CAP RATE:         The Class A-2 Certificates will be subject to a Group II
                        Net Funds Cap Rate equal to the weighted  average of the
                        Mortgage Interest Rates in Loan Group II as of the first
                        day of the related  Accrual  Period less: (a) the sum of
                        (x) an amount,  expressed as an annual  percentage  rate
                        across the aggregate  principal  balance of the Mortgage
                        Loans in Loan Group II,  equal to the sum of the Expense
                        Fee and the  Certificate  Insurer  Fee and (y) an amount
                        expressed  as  an  annual  percentage  rate  across  the
                        aggregate  principal  balance of the  Mortgage  Loans in
                        Loan  Group II insured  by MGIC,  equal to the  Mortgage
                        Insurance  Fee or (b) the sum of the  amount in (a) plus
                        0.50% per annum,  with  respect to each  Accrual  Period
                        after the twelfth  Accrual  Period.  For the purposes of
                        computing the Group II Net Funds Cap Rate,  calculations
                        will be made on the basis of the  actual  number of days
                        in the related Due Period and a 360-day year.

GROUP I INTEREST
CARRYOVER:              With  respect  to the  Class  A-1  Certificates  and any
                        Distribution  Date on  which  the  Pass-Through  Rate is
                        based  upon the Group I Net  Funds Cap Rate,  the sum of
                        (A) the excess of (i) the amount of  interest  the Class
                        A-1 Certificates  would otherwise be entitled to receive
                        on such  Distribution Date had such rate been calculated
                        at the  Pass-Through  Rate without  giving effect to the
                        Group I Net Funds Cap Rate,  up to the Maximum Cap, over
                        (ii)  the  amount  of  interest  payable  on  Class  A-1
                        Certificates  at the Group I Net Funds Cap Rate for such
                        Distribution Date and (B) the Group I Interest Carryover
                        for all previous Distribution Dates not previously paid,
                        together  with  interest  thereon at a rate equal to the
                        related  Pass-Through  Rate,  up to the  Maximum Cap for
                        Class A-1 Certificates for such  Distribution  Date ( it
                        being  understood that such amount is not covered by the
                        Certificate Insurance Policy).

GROUP II INTEREST
CARRYOVER:              With  respect  to the Class  A-2  Certificates  and  any
                        Distribution  Date on  which  the  Pass-Through  Rate is
                        based  upon the Group II Net Funds Cap Rate,  the sum of
                        (A) the excess of (i) the amount of  interest  the Class
                        A-2 Certificates  would otherwise be entitled to receive
                        on such  Distribution Date had such rate been calculated
                        at the  Pass-Through  Rate without  giving effect to the
                        Group II Net Funds Cap Rate, up to the Maximum Cap, over
                        (ii)  the  amount  of  interest  payable  on  Class  A-2
                        Certificates at the Group II Net Funds Cap Rate for such
                        Distribution   Date  and  (B)  the  Group  II   Interest
                        Carryover  for  all  previous   Distribution  Dates  not
                        previously  paid,  together with  interest  thereon at a
                        rate equal to the related  Pass-Through  Rate, up to the
                        Maximum  Cap  for  Class  A-2   Certificates   for  such
                        Distribution  Date (it being understood that such amount
                        is not covered by the Certificate Insurance Policy).

MAXIMUM CAP:            For any Distribution  Date and for each Class of Class A
                        Certificates,  is the  weighted  average of the  maximum
                        mortgage rates on the adjustable-rate Mortgage Loans and
                        the mortgage rates on the  fixed-rate  Mortgage Loans in
                        the related Loan Group.

ADVANCING:              The Master  Servicer is obligated to make cash  advances
                        with respect to  delinquent  payments of  principal  and
                        interest on any Mortgage  Loan (to the extent  described
                        in the prospectus).

PREPAYMENT PENALTIES:   As of the Statistical  Calculation  Date, 1,073 Mortgage
                        Loans  in  Loan  Group  I with  an  Aggregate  Principal
                        Balance of $  110,918,836.75  and 114 Mortgage  Loans in
                        Loan  Group II with an  Aggregate  Principal  Balance of
                        $38,025,086.73 are subject to prepayment penalties.

------------------------------------------------------------------------------------------------------------------------------------
                                       LOAN GROUP I                                            LOAN GROUP II
                                    PRINCIPAL BALANCE   % OF LOAN GROUP I                    PRINCIPAL BALANCE  % OF LOAN GROUP II
                                      OUTSTANDING AS    PRINCIPAL BALANCE                      OUTSTANDING AS    PRINCIPAL BALANCE
                       NUMBER               OF          OUTSTANDING AS OF       NUMBER               OF          OUTSTANDING AS OF
PREPAYMENT TERM    OF LOAN GROUP I   THE STATISTICAL     THE STATISTICAL   OF LOAN GROUP II   THE STATISTICAL     THE STATISTICAL
    (YEARS)        MORTGAGE LOANS    CALCULATION DATE   CALCULATION DATE    MORTGAGE LOANS    CALCULATION DATE   CALCULATION DATE
------------------------------------------------------------------------------------------------------------------------------------

       1                   82         $ 10,081,142.55          9.09%               25       $ 8,524,100.37             22.42%

------------------------------------------------------------------------------------------------------------------------------------

       2                  339           41,649,504.12         37.55                38        13,157,953.76             34.60

------------------------------------------------------------------------------------------------------------------------------------

       3                  372           33,632,194.31         30.32                31         9,842,783.79             25.88

------------------------------------------------------------------------------------------------------------------------------------

       5                  280           25,555,995.77         23.04                20         6,500,248.81             17.09

------------------------------------------------------------------------------------------------------------------------------------

     TOTAL              1,073         $110,918,836.75        100.00%               114      $38,025,086.73            100.00%
------------------------------------------------------------------------------------------------------------------------------------

SOURCE FOR CALCULATION
OF ONE-MONTH LIBOR: Telerate page 3750.

EXPENSE FEE: 51 basis points (50 basis points for Servicing Fee and 1 basis point for Trustee Fee).

CONTACT: Banc of America Securities LLC

Mortgage Trading/Syndicate      (704) 386-7744    (704) 335-5904 (Fax)
Chris Hentemann                 (email:  chrishe@ncmi.com)
Alex Cha                        (email:  alex.i.cha@ncmi.com)


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

SUMMARY

                                                                       TOTAL                  MINIMUM               MAXIMUM
-----------------------------------------------------------------------------------------------------------------------------
Statistical Calculation Date Aggregate Principal Balance          $15,954,866.56
Number of Loans                                                              200
Average Original Loan Balance                                         $79,885.19            $17,500.00           $237,600.00
Average Current Loan Balance                                          $79,774.33            $17,500.00           $237,515.09
Weighted Average Original LTV                                             74.96%                23.57%                95.00%
Weighted Average Gross Coupon                                            10.136%                7.000%               14.375%
Weighted Average Remaining Term to Maturity (months)                      304.17                   175                   360
Weighted Average Original Term (months)                                   305.91                   180                   360
Weighted Average FICO Credit Score*                                          586                   457                   797
Weighted Average Debt to Income Ratio                                      37.71                  5.72                 60.39
-----------------------------------------------------------------------------------------------------------------------------

-----------------------------------------------------------------------------------------------------------------------------

                                                                                                  PERCENT OF STATISTICAL
                                                                                                     CALCULATION DATE
                                                          RANGE                                      PRINCIPAL BALANCE
                                                          -----                                      -----------------
         Original Term (in months)                        180                                             30.05%
                                                          360                                             69.95%

         Fully Amortizing Mortgage Loans                                                                  73.65%
         Balloon Mortgage Loans                                                                           26.35%

         Lien Position                                    First                                          100.00%

         Property Type                                    Single Family                                   73.43%
                                                          2-4 Family                                      13.90%
                                                          PUD                                              1.54%
                                                          Condominium                                      5.71%
                                                          Manufactured Housing                             5.42%

         Occupancy Status                                 Primary                                         77.72%
                                                          Investor                                        22.28%

         Geographic Distribution                          California                                      24.13%
                                                          Florida                                         14.47%
                                                          Washington                                       8.07%
                                                          Colorado                                         7.14%
                                                          Illinois                                         5.12%
                                                          Other                                           41.07%

         Largest Zip Code Concentration                   98499                                            1.49%

         Credit Grade                                     A                                               36.28%
                                                          A-                                              22.26%
                                                          B                                               22.50%
                                                          C                                               15.96%
                                                          C-                                               3.00%

         Delinquency                                      30 - 59 days                                     3.00%
-----------------------------------------------------------------------------------------------------------------------------

* Based upon FICO Credit Score available on 99.87% of Fixed Rate Loan Subgroup I.


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

CURRENT MORTGAGE LOAN PRINCIPAL BALANCES

                                                                                   % OF AGGREGATE
                                                        PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                       NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                     OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
  PRINCIPAL BALANCE ($)                 LOANS            CALCULATION DATE         CALCULATION DATE
  ---------------------                 -----            ----------------         ----------------

      0.01  -   50,000.00                  52             $  1,953,658.04                 12.24%
 50,000.01  -  100,000.00                  98                6,990,011.82                 43.81
100,000.01  -  150,000.00                  33                3,860,854.19                 24.20
150,000.01  -  200,000.00                  12                2,010,761.24                 12.60
200,000.01  -  250,000.00                   5                1,139,581.27                  7.14

           TOTAL                          200             $ 15,954,866.56                100.00%

ORIGINAL TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                     PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                    NUMBER           OUTSTANDING AS OF          OUTSTANDING AS OF
                                  OF MORTGAGE         THE STATISTICAL             THE STATISTICAL
ORIGINAL TERM (MONTHS)               LOANS           CALCULATION DATE           CALCULATION DATE
---------------------                -----           ----------------           ----------------

           180                          60             $  4,794,037.40                 30.05%
           360                         140               11,160,829.16                 69.95

          TOTAL                        200             $ 15,954,866.56                100.00%

REMAINING TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                      PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                  OF MORTGAGE          THE STATISTICAL            THE STATISTICAL
REMAINING TERM (MONTHS)              LOANS            CALCULATION DATE           CALCULATION DATE
-----------------------              -----            ----------------           ----------------

        121  -  180                       60             $   4,794,037.40                 30.05%
        301  -  360                      140                11,160,829.16                 69.95

               TOTAL                     200             $  15,954,866.56                100.00%

TYPE OF MORTGAGED PROPERTIES

                                                                                   % OF AGGREGATE
                                                       PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                      NUMBER           OUTSTANDING AS OF          OUTSTANDING AS OF
                                    OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
        PROPERTY TYPE                  LOANS           CALCULATION DATE           CALCULATION DATE
    ---------------------              -----           ----------------           ----------------

Single Family Detached                    152            $  11,716,440.02                73.43%
Condominium                                13                  911,818.56                 5.71
Manufactured Housing                       12                  864,531.13                 5.42
PUD                                         3                  245,145.23                 1.54
2-4 Units Detached                         20                2,216,931.62                13.90

              TOTAL                       200            $  15,954,866.56               100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

OCCUPANCY TYPE

                                                                               % OF AGGREGATE
                                                   PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                    NUMBER         OUTSTANDING AS OF         OUTSTANDING AS OF
                                 OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
STATED OCCUPANCY STATUS             LOANS           CALCULATION DATE          CALCULATION DATE
-----------------------             -----           ----------------          ----------------

Primary                              148          $  12,399,711.69                77.72%
Investor                              52              3,555,154.87                22.28

            TOTAL                    200          $  15,954,866.56               100.00%

PURPOSE OF MORTGAGE LOANS

                                                                               % OF AGGREGATE
                                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
        PURPOSE                     LOANS            CALCULATION DATE        CALCULATION DATE
        -------                     -----            ----------------        ----------------
Purchase                               70            $  4,669,418.34                29.27%
Rate/Term Refinance                    25               2,596,893.78                16.28
Cash Out Refinance                    105               8,688,554.44                54.46

             TOTAL                    200            $ 15,954,866.56               100.00%

DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS

                                                                                    % OF AGGREGATE
                                                          PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                       NUMBER             OUTSTANDING AS OF       OUTSTANDING AS OF
                                    OF MORTGAGE            THE STATISTICAL          THE STATISTICAL
    DOCUMENTATION LEVEL                LOANS              CALCULATION DATE         CALCULATION DATE
    -------------------                -----              ----------------         ----------------
Full Documentation                       142           $  11,048,584.12                69.25%
Stated Income                             47               3,905,995.42                24.48
Flex Documentation                        11               1,000,287.02                 6.27

             TOTAL                       200           $  15,954,866.56               100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

CURRENT MORTGAGE RATES

                                                                                       % OF AGGREGATE
                                                           PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                      NUMBER               OUTSTANDING AS OF         OUTSTANDING AS OF
                                    OF MORTGAGE             THE STATISTICAL            THE STATISTICAL
 CURRENT LOAN RATE (%)                 LOANS                CALCULATION DATE          CALCULATION DATE
 ---------------------                 -----                ----------------          ----------------

 6.501 -  7.000                             1               $     98,337.40                  0.62%
 7.001 -  7.500                             1                    119,000.00                  0.75
 7.501 -  8.000                             7                    858,724.10                  5.38
 8.001 -  8.500                             6                    584,497.10                  3.66
 8.501 -  9.000                            20                  1,926,541.72                 12.07
 9.001 -  9.500                            24                  1,550,972.80                  9.72
 9.501 - 10.000                            40                  3,788,983.29                 23.75
10.001 - 10.500                            18                  1,556,702.30                  9.76
10.501 - 11.000                            24                  1,940,198.21                 12.16
11.001 - 11.500                            17                  1,124,820.84                  7.05
11.501 - 12.000                            16                  1,046,099.28                  6.56
12.000 - 12.500                            12                    662,764.61                  4.15
12.501 - 13.000                             8                    342,521.38                  2.15
13.001 - 13.500                             1                     32,850.00                  0.21
13.501 - 14.000                             4                    286,244.50                  1.79
14.001 - 14.500                             1                     35,609.03                  0.22

              TOTAL                       200                $15,954,866.56                100.00%

ORIGINAL LOAN-TO-VALUE RATIOS

                                                                                       % OF AGGREGATE
                                                            PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                           NUMBER           OUTSTANDING AS OF        OUTSTANDING AS OF
                                        OF MORTGAGE          THE STATISTICAL          THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%)           LOANS             CALCULATION DATE        CALCULATION DATE
--------------------------------           -----             ----------------        ----------------
 20.01 -  25.00                                 1            $     32,567.06                  0.20%
 30.01 -  35.00                                 1                  39,823.25                  0.25
 35.01 -  40.00                                 4                 372,918.80                  2.34
 40.01 -  45.00                                 1                  57,869.29                  0.36
 45.01 -  50.00                                 1                  50,000.00                  0.31
 50.01 -  55.00                                 5                 323,617.26                  2.03
 55.01 -  60.00                                 6                 425,755.75                  2.67
 60.01 -  65.00                                16               1,522,307.28                  9.54
 65.01 -  70.00                                27               1,683,293.10                 10.55
 70.01 -  75.00                                48               3,742,949.46                 23.46
 75.01 -  80.00                                55               4,223,427.80                 26.47
 80.01 -  85.00                                22               1,995,792.63                 12.51
 85.01 -  90.00                                12               1,313,890.67                  8.24
 90.01 -  95.00                                 1                 170,654.21                  1.07

                TOTAL                         200            $ 15,954,866.56                100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

STATE DISTRIBUTION OF MORTGAGED PROPERTIES

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                        NUMBER           OUTSTANDING AS OF        OUTSTANDING AS OF
                                      OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
       LOCATION                          LOANS           CALCULATION DATE          CALCULATION DATE
 ---------------------                   -----           ----------------          ----------------

California                                   38            $  3,850,424.69                 24.13%
Florida                                      34               2,309,015.58                  14.47
Washington                                   11               1,287,287.41                   8.07
Colorado                                     11               1,139,329.52                   7.14
Illinois                                      9                 816,168.96                   5.12
Indiana                                      10                 671,698.30                   4.21
Utah                                          9                 640,465.91                   4.01
Ohio                                         10                 633,659.35                   3.97
Michigan                                      8                 565,631.59                   3.55
Oregon                                        7                 495,114.93                   3.10
Nevada                                        4                 463,935.10                   2.91
Massachusetts                                 2                 396,700.58                   2.49
Arizona                                       5                 343,545.38                   2.15
Tennessee                                     8                 320,512.40                   2.01
New Mexico                                    3                 318,073.66                   1.99
New York                                      3                 273,550.03                   1.71
Texas                                         6                 259,739.09                   1.63
Maryland                                      2                 158,277.27                   0.99
Georgia                                       2                 152,181.78                   0.95
North Carolina                                2                 138,928.61                   0.87
Delaware                                      3                 127,276.79                   0.80
South Carolina                                2                 117,560.20                   0.74
Pennsylvania                                  3                 113,615.94                   0.71
New Jersey                                    1                  92,180.23                   0.58
Missouri                                      2                  76,096.77                   0.48
Maine                                         1                  62,965.71                   0.39
Mississippi                                   1                  50,000.00                   0.31
Arkansas                                      1                  32,850.00                   0.21
Nebraska                                      1                  24,127.70                   0.15
Iowa                                          1                  23,953.08                   0.15

              TOTAL                         200            $ 15,954,866.56                 100.00%

FICO CREDIT SCORES FOR MORTGAGE LOANS

                                                                                     % OF AGGREGATE
                                                          PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                          NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
          RANGE OF                      OF MORTGAGE        THE STATISTICAL           THE STATISTICAL
        FICO SCORES                        LOANS           CALCULATION DATE         CALCULATION DATE
        -----------                        -----           ----------------         ----------------

Greater than 650                             33              $  2,489,944.27                15.61%
596 to 650                                   44                 3,920,447.51                24.57
550 to 595                                   56                 4,853,044.67                30.42
Less than 550                                67                 4,691,430.11                29.40

              TOTAL                         200              $ 15,954,866.56               100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I

SUMMARY

                                                                              TOTAL              MINIMUM               MAXIMUM
-------------------------------------------------------------------------------------------------------------------------------
Statistical Calculation Date Aggregate Principal Balance           $114,560,535.34
Number of Loans                                                              1,072
Average Original Loan Balance                                          $106,924.51            $15,000.00           $440,000.00
Average Current Loan Balance                                           $106,866.17            $14,996.93           $440,000.00
Weighted Average Original LTV                                               78.11%                25.88%                96.43%
Weighted Average Gross Coupon                                              10.041%                7.250%               13.990%
Weighted Average Remaining Term to Maturity (months)                        359.21                   331                   360
Weighted Average Original Term (months)                                     360.00                   360                   360
Weighted Average Gross Margin                                               6.415%                4.625%                8.500%
Weighted Average Gross Lifetime Cap                                        16.994%               12.750%               20.990%
Weighted Average Periodic Cap                                               1.000%                1.000%                1.000%
Weighted Average FICO Credit Score*                                            584                   447                   782
Weighted Average Debt to Income Ratio                                       41.05%                 4.06%                60.40%
-------------------------------------------------------------------------------------------------------------------------------

-------------------------------------------------------------------------------------------------------------------------------
                                                                                                 PERCENT OF STATISTICAL
                                                                                                    CALCULATION DATE
                                                            RANGE                                    PRINCIPAL BALANCE
                                                            -----                                    -----------------

         Fully Amortizing Loans                                                                            100.00%
         Product Type                                       6 Month LIBOR                                    3.30%
                                                            2/28 LIBOR                                      83.92%
                                                            3/27 LIBOR                                      12.78%

         Lien Position                                      First                                          100.00%

         Property Type                                      Single Family                                   72.17%
                                                            PUD                                              6.93%
                                                            Condominium                                      7.13%
                                                            2-4 Family                                      10.47%
                                                            Manufactured Housing                             3.30%

         Occupancy Status                                   Primary                                         87.00%
                                                            Investor                                        12.84%
                                                            Second Home                                      0.16%

         Geographic Distribution                            California                                      31.32%
                                                            Illinois                                        13.65%
                                                            Colorado                                         7.17%
                                                            Florida                                          6.55%
                                                            Ohio                                             6.01%
                                                            Other                                           35.30%

         Largest Zip Code Concentration                     95148                                            0.77%

         Credit Grade                                       A                                               24.73%
                                                            A-                                              34.83%
                                                            B                                               20.99%
                                                            C                                               15.90%
                                                            C-                                               3.55%

         Delinquency                                        30 - 59 days                                     1.37%
-------------------------------------------------------------------------------------------------------------------------------

* Based upon the FICO Credit Score available on 98.69% of Adjustable Rate Loan Subgroup I.


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

CURRENT MORTGAGE LOAN PRINCIPAL BALANCES

                                                                                      % OF AGGREGATE
                                                          PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                         NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                       OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
    PRINCIPAL BALANCE ($)                 LOANS            CALCULATION DATE         CALCULATION DATE
    ---------------------                 -----            ----------------         ----------------


      0.01  -   50,000.00                   157             $  6,001,617.89                5.24%
 50,000.01  -  100,000.00                   425               31,602,597.65                27.59
100,000.01  -  150,000.00                   253               30,902,839.33                26.98
150,000.01  -  200,000.00                   145               25,276,379.92                22.06
200,000.01  -  250,000.00                    84               18,377,792.81                16.04
250,000.01  -  300,000.00                     5                1,325,807.74                 1.16
300,000.01  -  350,000.00                     2                  633,500.00                 0.55
400,000.01  -  450,000.00                     1                  440,000.00                 0.38

             TOTAL                        1,072            $ 114,560,535.34              100.00%

ORIGINAL TERMS TO MATURITY

                                                                                 % OF AGGREGATE
                                                    PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                   NUMBER           OUTSTANDING AS OF          OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL             THE STATISTICAL
ORIGINAL TERM (MONTHS)              LOANS           CALCULATION DATE            CALCULATION DATE
---------------------               -----           ----------------            ----------------

          360                       1,072             $ 114,560,535.34               100.00%
         TOTAL                      1,072             $ 114,560,535.34               100.00%

REMAINING TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                      PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                  OF MORTGAGE          THE STATISTICAL            THE STATISTICAL
REMAINING TERM (MONTHS)              LOANS            CALCULATION DATE           CALCULATION DATE
-----------------------              -----            ----------------           ----------------

          301 - 360                    1,072            $  114,560,535.34             100.00%
            TOTAL                      1,072            $  114,560,535.34             100.00%

TYPE OF MORTGAGED PROPERTIES

                                                                                  % OF AGGREGATE
                                                     PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                     NUMBER          OUTSTANDING AS OF          OUTSTANDING AS OF
                                   OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
       PROPERTY TYPE                  LOANS           CALCULATION DATE          CALCULATION DATE
   ---------------------              -----           ----------------          ----------------

Single Family Detached                   799             $ 82,679,812.68                  72.17%
Condominium                               74                8,171,040.19                   7.13
Manufactured Housing                      41                3,775,911.98                   3.30
PUD                                       61                7,933,761.78                   6.93
2-4 Units Detached                        97               12,000,008.71                  10.47

              TOTAL                    1,072            $ 114,560,535.34                 100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I

OCCUPANCY TYPE

                                                                                % OF AGGREGATE
                                                    PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER         OUTSTANDING AS OF         OUTSTANDING AS OF
                                  OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
 STATED OCCUPANCY STATUS             LOANS           CALCULATION DATE          CALCULATION DATE
 -----------------------             -----           ----------------          ----------------

Primary                                  905           $  99,663,993.89                87.00%
Investor                                 166              14,714,703.16                12.84
Second Home                                1                 181,838.29                 0.16

              TOTAL                    1,072           $ 114,560,535.34               100.00%

PURPOSE OF MORTGAGE LOANS

                                                                               % OF AGGREGATE
                                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
        PURPOSE                     LOANS            CALCULATION DATE        CALCULATION DATE
  ---------------------             -----            ----------------        ----------------

Purchase                                 440           $  44,393,475.09                38.75%
Rate/Term Refinance                      145              16,632,684.82                14.52
Cash Out Refinance                       487              53,534,375.43                46.73

              TOTAL                    1,072           $ 114,560,535.34               100.00%

DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS

                                                                              % OF AGGREGATE
                                                    PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF       OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
    DOCUMENTATION LEVEL             LOANS           CALCULATION DATE         CALCULATION DATE
    -------------------             -----           ----------------         ----------------

Full Documentation                       823           $  87,610,912.92                76.48%
Stated Income                            218              23,462,656.48                20.48
Flex Documentation                        31               3,486,965.94                 3.04

             TOTAL                     1,072           $ 114,560,535.34               100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I

CURRENT MORTGAGE RATES

                                                                                  % OF AGGREGATE
                                                      PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                   OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
CURRENT LOAN RATE (%)                 LOANS            CALCULATION DATE          CALCULATION DATE
---------------------                 -----            ----------------         ----------------

 7.001 -  7.500                            6              $   817,024.26                   0.71%
 7.501 -  8.000                           26                3,711,472.69                   3.24
 8.001 -  8.500                           50                6,987,634.66                   6.10
 8.501 -  9.000                          121               15,214,603.71                  13.28
 9.001 -  9.500                          121               14,789,392.73                  12.91
 9.501 - 10.000                          175               20,069,707.94                  17.52
10.001 - 10.500                          144               14,964,331.78                  13.06
10.501 - 11.000                          154               15,613,284.54                  13.63
11.001 - 11.500                          116                9,997,848.35                   8.73
11.501 - 12.000                           95                8,207,354.97                   7.16
12.000 - 12.500                           40                2,752,564.52                   2.40
12.501 - 13.000                           15                  851,384.42                   0.74
13.001 - 13.500                            7                  459,245.70                   0.40
13.501 - 14.000                            2                  124,685.07                   0.11

             TOTAL                     1,072            $ 114,560,535.34                 100.00%

ORIGINAL LOAN-TO-VALUE RATIOS

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                           NUMBER        OUTSTANDING AS OF        OUTSTANDING AS OF
                                        OF MORTGAGE       THE STATISTICAL          THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%)           LOANS          CALCULATION DATE        CALCULATION DATE
--------------------------------           -----          ----------------        ----------------

 25.01 -  30.00                                4             $  141,983.30                   0.12%
 30.01 -  35.00                                4                239,000.00                   0.21
 35.01 -  40.00                                1                 79,800.00                   0.07
 40.01 -  45.00                                3                121,332.27                   0.11
 45.01 -  50.00                                8                408,126.39                   0.36
 50.01 -  55.00                               13              1,276,920.96                   1.11
 55.01 -  60.00                               19              1,420,987.20                   1.24
 60.01 -  65.00                               55              5,171,104.08                   4.51
 65.01 -  70.00                              112             11,458,786.79                  10.00
 70.01 -  75.00                              171             18,020,327.10                  15.73
 75.01 -  80.00                              434             46,534,687.67                  40.62
 80.01 -  85.00                              161             18,503,665.70                  16.15
 85.01 -  90.00                               85             10,937,904.71                   9.55
 90.01 -  95.00                                1                111,011.28                   0.10
 95.01 - 100.00                                1                134,897.89                   0.12

                 TOTAL                     1,072           $114,560,535.34                 100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I

 STATE DISTRIBUTION OF MORTGAGED PROPERTIES
                                                              % OF AGGREGATE
                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                   NUMBER           OUTSTANDING AS OF        OUTSTANDING AS OF
                   MORTGAGE         THE STATISTICAL           THE STATISTICAL
 LOCATION          LOANS           CALCULATION DATE          CALCULATION DATE
 --------          -----           ----------------          ----------------

California            245             $ 35,874,873.94                   31.32%
Illinois              157               15,643,030.14                   13.65
Colorado               77                8,212,155.31                    7.17
Florida                93                7,506,590.84                    6.55
Ohio                   93                6,889,098.87                    6.01
Utah                   58                6,374,262.09                    5.56
Washington             48                6,152,339.72                    5.37
Michigan               59                4,232,378.89                    3.69
Oregon                 24                2,642,490.51                    2.31
New Mexico             27                2,520,682.30                    2.20
Arizona                24                2,308,126.02                    2.01
Nevada                 17                1,685,661.14                    1.47
New Jersey             12                1,655,617.31                    1.45
Georgia                18                1,538,200.22                    1.34
Indiana                19                1,441,730.26                    1.26
Tennessee              17                1,289,943.45                    1.13
Massachusetts           7                1,042,436.82                    0.91
Wisconsin               9                  789,535.35                    0.69
Maryland                6                  675,497.48                    0.59
Pennsylvania           12                  629,171.79                    0.55
West Virginia           6                  561,377.66                    0.49
Connecticut             4                  522,853.35                    0.46
Virginia                5                  511,781.41                    0.45
New York                3                  447,050.00                    0.39
Oklahoma                4                  339,240.41                    0.30
Kentucky                4                  337,370.79                    0.29
Nebraska                2                  316,800.00                    0.28
Idaho                   3                  268,800.00                    0.23
Alaska                  1                  255,507.74                    0.22
Minnesota               2                  253,250.00                    0.22
New Hampshire           2                  242,188.92                    0.21
Maine                   2                  237,477.78                    0.21
Kansas                  1                  212,500.00                    0.19
Texas                   2                  185,406.31                    0.16
District of Columbia    1                  176,209.56                    0.15
Vermont                 1                  170,184.14                    0.15
Missouri                2                   79,900.00                    0.07
North Carolina          1                   73,125.00                    0.06
Delaware                1                   72,000.00                    0.06
South Carolina          1                   66,689.82                    0.06
Montana                 1                   65,000.00                    0.06
Arkansas                1                   62,000.00                    0.05

             TOTAL  1,072            $ 114,560,535.34                  100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

MAXIMUM LOAN RATE

                                                                                   % OF AGGREGATE
                                                        PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                        NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                     OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
MAXIMUM LOAN RATE (%)                   LOANS           CALCULATION DATE          CALCULATION DATE
---------------------                   -----           -----------------         ----------------

12.501 - 13.000                             1            $      142,730.84               0.12%
13.501 - 14.000                             5                   642,178.17               0.56
14.001 - 14.500                             8                 1,225,348.03               1.07
14.501 - 15.000                            27                 3,927,449.29               3.43
15.001 - 15.500                            54                 7,426,270.83               6.48
15.501 - 16.000                           118                14,816,581.17              12.93
16.001 - 16.500                           118                14,338,251.73              12.52
16.501 - 17.000                           174                19,856,564.08              17.33
17.001 - 17.500                           143                14,863,689.16              12.97
17.501 - 18.000                           152                15,428,392.18              13.47
18.001 - 18.500                           115                 9,879,145.18               8.62
18.501 - 19.000                            93                 7,826,054.97               6.83
19.000 - 19.500                            41                 2,952,314.52               2.58
19.501 - 20.000                            15                   851,384.42               0.74
20.001 - 20.500                             6                   259,495.70               0.23
20.501 - 21.000                             2                   124,685.07               0.11

              TOTAL                     1,072             $ 114,560,535.34             100.00%

GROSS MARGINS

                                                                                  % OF AGGREGATE
                                                        PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                      NUMBER            OUTSTANDING AS OF       OUTSTANDING AS OF
                                    OF MORTGAGE          THE STATISTICAL          THE STATISTICAL
GROSS MARGINS (%)                      LOANS            CALCULATION DATE         CALCULATION DATE
-----------------                      -----            ----------------         ----------------

4.501 -  5.000                            21             $   2,433,490.21                2.12%
5.001 -  5.500                           128                14,138,330.38               12.34
5.501 -  6.000                           192                21,329,633.51               18.62
6.001 -  6.500                           216                24,549,682.23               21.43
6.501 -  7.000                           272                30,233,314.61               26.39
7.001 -  7.500                           189                17,641,699.87               15.40
7.501 -  8.000                            49                 3,856,757.60                3.37
8.001 -  8.500                             5                   377,626.93                0.33

            TOTAL                      1,072              $114,560,535.34              100.00%

FICO CREDIT SCORES FOR MORTGAGE LOANS

                                                                                  % OF AGGREGATE
                                                       PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                       NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
       RANGE OF                      OF MORTGAGE        THE STATISTICAL           THE STATISTICAL
     FICO SCORES                        LOANS           CALCULATION DATE         CALCULATION DATE
     -----------                        -----           ----------------         ----------------

Greater than 650                          129             $  15,005,849.24               13.10%
596 to 650                                261                28,932,512.07               25.26
550 to 595                                330                35,441,685.98               30.94
Less than 550                             352                35,180,488.05               30.71

              TOTAL                     1,072             $ 114,560,535.34              100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP I

NEXT ADJUSTMENT DATES
                                                              % OF AGGREGATE
                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                       NUMBER      OUTSTANDING AS OF        OUTSTANDING AS OF
NEXT ADJUSTMENT      OF MORTGAGE    THE STATISTICAL           THE STATISTICAL
  CHANGE DATE           LOANS       CALCULATION DATE         CALCULATION DATE
  -----------           -----       ----------------         ----------------

    09/01/99               5        $   771,929.93               0.67%
    10/01/99               5            793,156.08               0.69
    11/01/99               7            940,932.05               0.82
    12/01/99               1             94,137.05               0.08
    01/01/00               4            471,740.19               0.41
    02/01/00               1            144,500.00               0.13
    03/01/00               3            636,550.00               0.56
    07/01/00               1             45,115.59               0.04
    08/01/00               2            311,813.04               0.27
    09/01/00               5            563,937.56               0.49
    10/01/00               2            352,249.76               0.31
    12/01/00               2            270,052.21               0.24
    01/01/01               1            110,825.98               0.10
    02/01/01               1             94,269.68               0.08
    03/01/01               2            304,967.41               0.27
    04/01/01              42          4,425,287.36               3.86
    05/01/01              63          6,204,920.72               5.42
    06/01/01              58          6,128,825.76               5.35
    07/01/01             166         16,246,817.66              14.18
    08/01/01             286         30,374,913.62              26.51
    09/01/01             274         30,632,469.00              26.74
    02/01/02               1            178,060.50               0.16
    04/01/02               3            205,889.78               0.18
    05/01/02               7            518,244.93               0.45
    06/01/02               5            584,824.71               0.51
    07/01/02              18          1,702,303.91               1.49
    08/01/02              39          4,136,075.86               3.61
    09/01/02              68          7,315,725.00               6.39

     TOTAL             1,072       $114,560,535.34             100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP I

SUMMARY

                                                                           TOTAL               MINIMUM               MAXIMUM
-----------------------------------------------------------------------------------------------------------------------------
Statistical Calculation Date Aggregate Principal Balance           $4,295,720.84
Number of Loans                                                               13
Average Original Loan Balance                                        $330,730.77           $242,250.00           $520,000.00
Average Current Loan Balance                                         $330,440.06           $242,127.66           $520,000.00
Weighted Average Original LTV                                             69.43%                51.61%                85.00%
Weighted Average Gross Coupon                                             8.992%                8.250%               10.990%
Weighted Average Remaining Term to Maturity (months)                      290.14                   178                   360
Weighted Average Original Term (months)                                   291.39                   180                   360
Weighted Average FICO Credit Score*                                          598                   544                   688
Weighted Average Debt to Income Ratio                                      41.56                 13.00                 58.90
-----------------------------------------------------------------------------------------------------------------------------

-----------------------------------------------------------------------------------------------------------------------------
                                                                                                PERCENT OF STATISTICAL
                                                                                                   CALCULATION DATE
                                                          RANGE                                   PRINCIPAL BALANCE
                                                          -----                                   -----------------


         Original Term (in months)                        180                                             38.12%
                                                          360                                             61.88%

         Fully Amortizing Mortgage Loans                                                                  61.88%
         Balloon Mortgage Loans                                                                           38.12%

         Lien Position                                    First                                          100.00%

         Property Type                                    Single Family                                   93.84%
                                                          PUD                                              6.16%

         Occupancy Status                                 Primary                                         86.61%
                                                          Investor                                        13.39%

         Geographic Distribution                          California                                      84.46%
                                                          Connecticut                                      9.31%
                                                          Washington                                       6.24%

         Largest Zip Code Concentration                   94941                                           12.11%

         Credit Grade                                     A                                               29.73%
                                                          A-                                              70.27%

-----------------------------------------------------------------------------------------------------------------------------

* Based upon FICO Credit Score available on 100.00% of Fixed Rate Loan Subgroup II.


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II

CURRENT MORTGAGE LOAN PRINCIPAL BALANCES

                                                                                      % OF AGGREGATE
                                                          PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                         NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                       OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
    PRINCIPAL BALANCE ($)                 LOANS            CALCULATION DATE         CALCULATION DATE
    ---------------------                 -----            ----------------         ----------------

200,000.01  -  250,000.00                     1               $  242,127.66                 5.64%
250,000.01  -  300,000.00                     5                1,295,710.99                30.16
300,000.01  -  350,000.00                     2                  635,818.58                14.80
350,000.01  -  400,000.00                     3                1,166,341.64                27.15
400,000.01  -  450,000.00                     1                  435,721.97                10.14
500,000.01  -  550,000.00                     1                  520,000.00                12.11

              TOTAL                          13              $ 4,295,720.84               100.00%

ORIGINAL TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                    PRINCIPAL BALANCE           PRINCIPAL BALANCE
                                   NUMBER           OUTSTANDING AS OF           OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL             THE STATISTICAL
ORIGINAL TERM (MONTHS)              LOANS           CALCULATION DATE            CALCULATION DATE
----------------------              -----           ----------------            ----------------

          180                            6             $  1,637,486.18                 38.12%
          360                            7                2,658,234.66                 61.88

         TOTAL                          13             $  4,295,720.84                100.00%

REMAINING TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                      PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                  OF MORTGAGE          THE STATISTICAL            THE STATISTICAL
REMAINING TERM (MONTHS)              LOANS            CALCULATION DATE           CALCULATION DATE
-----------------------              -----            ----------------           ----------------

          121 - 180                        6              $  1,637,486.18                 38.12%
          301 - 360                        7                 2,658,234.66                 61.88

            TOTAL                         13              $  4,295,720.84                100.00%

TYPE OF MORTGAGED PROPERTIES

                                                                                   % OF AGGREGATE
                                                      PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                      NUMBER          OUTSTANDING AS OF          OUTSTANDING AS OF
                                    OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
        PROPERTY TYPE                  LOANS           CALCULATION DATE          CALCULATION DATE
    ---------------------              -----           ----------------          ----------------

Single Family Detached                     12             $  4,031,043.07                  93.84%
PUD                                         1                  264,677.77                   6.16

              TOTAL                        13             $  4,295,720.84                 100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II

OCCUPANCY TYPE

                                                                                % OF AGGREGATE
                                                    PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER         OUTSTANDING AS OF         OUTSTANDING AS OF
                                  OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
 STATED OCCUPANCY STATUS             LOANS           CALCULATION DATE          CALCULATION DATE
 -----------------------             -----           ----------------          ----------------

Primary                              11            $  3,720,520.48                86.61%
Investor                              2                 575,200.36                13.39

              TOTAL                  13            $  4,295,720.84               100.00%

PURPOSE OF MORTGAGE LOANS

                                                                               % OF AGGREGATE
                                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
        PURPOSE                     LOANS            CALCULATION DATE        CALCULATION DATE
        -------                     -----            ----------------        ----------------

Purchase                              3             $   958,207.89                22.31%
Rate/Term Refinance                   1                 399,032.22                 9.29
Cash Out Refinance                    9               2,938,480.73                68.40

              TOTAL                  13             $ 4,295,720.84               100.00%

DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS

                                                                              % OF AGGREGATE
                                                    PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF       OUTSTANDING AS OF
                                 OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
    DOCUMENTATION LEVEL             LOANS           CALCULATION DATE         CALCULATION DATE
    -------------------             -----           ----------------         ----------------

Full Documentation                  11              $  3,628,784.40                84.47%
Stated Income                        2                   666,936.44                15.53

             TOTAL                  13              $  4,295,720.84               100.00%

CURRENT MORTGAGE RATES

                                                                                  % OF AGGREGATE
                                                      PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                     NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                   OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
CURRENT LOAN RATE (%)                 LOANS            CALCULATION DATE          CALCULATION DATE
---------------------                 -----            ----------------          ----------------

 8.001 -  8.500                        5               $  1,719,386.66              40.03%
 8.501 -  9.000                        3                  1,092,026.90              25.42
 9.001 -  9.500                        3                    817,370.84              19.03
 9.501 - 10.000                        1                    399,032.22               9.29
10.501 - 11.000                        1                    267,904.22               6.24

             TOTAL                    13               $  4,295,720.84             100.00%


DESCRIPTION OF THE COLLATERAL
FIXED RATE LOAN SUBGROUP II

ORIGINAL LOAN-TO-VALUE RATIOS

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                           NUMBER        OUTSTANDING AS OF        OUTSTANDING AS OF
                                        OF MORTGAGE       THE STATISTICAL          THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%)           LOANS          CALCULATION DATE        CALCULATION DATE
--------------------------------           -----          ----------------        ----------------
 50.01 -  55.00                               2            $   651,435.17                 15.16%
 60.01 -  65.00                               2                919,032.22                 21.39
 65.01 -  70.00                               3                956,104.08                 22.26
 70.01 -  75.00                               1                316,322.56                  7.36
 75.01 -  80.00                               4              1,210,699.15                 28.18
 80.01 -  85.00                               1                242,127.66                  5.64
                 TOTAL                       13            $ 4,295,720.84                100.00%

STATE DISTRIBUTION OF MORTGAGED PROPERTIES

                                                                                 % OF AGGREGATE
                                                        PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                         NUMBER         OUTSTANDING AS OF       OUTSTANDING AS OF
                                       OF MORTGAGE       THE STATISTICAL          THE STATISTICAL
        LOCATION                          LOANS         CALCULATION DATE         CALCULATION DATE
        --------                          -----         ----------------         ----------------
California                                  11           $  3,628,058.95                84.46%
Connecticut                                  1                399,757.67                 9.31
Washington                                   1                267,904.22                 6.24
               TOTAL                        13           $  4,295,720.84               100.00%

FICO CREDIT SCORES FOR MORTGAGE LOANS

                                                                                     % OF AGGREGATE
                                                          PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                          NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
          RANGE OF                      OF MORTGAGE        THE STATISTICAL           THE STATISTICAL
        FICO SCORES                        LOANS           CALCULATION DATE         CALCULATION DATE
        -----------                        -----           ----------------         ----------------
Greater than 650                              3           $    823,127.99                19.16%
596 to 650                                    2                650,709.72                15.15
550 to 595                                    7              2,553,978.91                59.45
Less than 550                                 1                267,904.22                 6.24
               TOTAL                         13           $  4,295,720.84               100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

SUMMARY
                                                                                  TOTAL              MINIMUM               MAXIMUM
    -------------------------------------------------------------------------------------------------------------------------------
    Statistical Calculation Date Aggregate Principal Balance            $40,047,865.49
    Number of Loans                                                                119
    Average Original Loan Balance                                          $336,822.14           $242,250.00           $690,000.00
    Average Current Loan Balance                                           $336,536.68           $242,094.40           $690,000.00
    Weighted Average Original LTV                                               76.80%                52.29%                90.00%
    Weighted Average Gross Coupon                                               9.514%                6.750%               12.700%
    Weighted Average Remaining Term to Maturity (months)                        358.68                   346                   360
    Weighted Average Original Term (months)                                     360.00                   360                   360
    Weighted Average Gross Margin                                               6.211%                4.625%                7.875%
    Weighted Average Gross Lifetime Cap                                        16.364%               12.750%               19.700%
    Weighted Average Periodic Cap                                               1.000%                1.000%                1.000%
    Weighted Average FICO Credit Score*                                            586                   468                   740
    Weighted Average Debt to Income Ratio                                       42.54%                17.61%                59.00%
    -------------------------------------------------------------------------------------------------------------------------------

-------------------------------------------------------------------------------------------------------------------------------
                                                                                                 PERCENT OF STATISTICAL
                                                                                                    CALCULATION DATE
                                                            RANGE                                    PRINCIPAL BALANCE
                                                            -----                                    -----------------
         Fully Amortizing Loans                                                                            100.00%

         Product Type                                       6 Month LIBOR                                    9.11%
                                                            2/28 LIBOR                                      72.11%
                                                            3/27 LIBOR                                      18.78%

         Lien Position                                      First                                          100.00%

         Property Type                                      Single Family                                   78.05%
                                                            PUD                                             14.62%
                                                            Condominium                                      6.51%
                                                            2-4 Family                                       0.81%

         Occupancy Status                                   Primary                                         95.14%
                                                            Investor                                         4.86%

         Geographic Distribution                            California                                      60.71%
                                                            Illinois                                         9.08%
                                                            Colorado                                         6.05%
                                                            Washington                                       4.84%
                                                            Michigan                                         2.68%
                                                            Other                                           16.64%

         Largest Zip Code Concentration                     95037                                            2.28%

         Credit Grade                                       A                                               36.44%
                                                            A-                                              34.23%
                                                            B                                               15.85%
                                                            C                                               12.84%
                                                            C-                                               0.64%

-------------------------------------------------------------------------------------------------------------------------------

* Based upon the FICO Credit Score available on 100.00% of Adjustable Rate Loan Subgroup II.


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

CURRENT MORTGAGE LOAN PRINCIPAL BALANCES

                                                                                      % OF AGGREGATE
                                                          PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                         NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                       OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
    PRINCIPAL BALANCE ($)                 LOANS            CALCULATION DATE         CALCULATION DATE
    ---------------------                 -----            ----------------         ----------------
200,000.01  -  250,000.00                   10              $ 2,455,169.70                 6.13%
250,000.01  -  300,000.00                   44               12,018,953.12                30.01
300,000.01  -  350,000.00                   27                8,839,495.70                22.07
350,000.01  -  400,000.00                   22                8,367,070.16                20.89
400,000.01  -  450,000.00                    5                2,122,000.00                 5.30
450,000.01  -  500,000.00                    4                1,958,710.83                 4.89
500,000.01  -  550,000.00                    1                  502,500.00                 1.25
550,000.01  -  600,000.00                    2                1,169,712.56                 2.92
600,000.01  -  650,000.00                    2                1,249,253.42                 3.12
650,000.01  -  700,000.00                    2                1,365,000.00                 3.41
              TOTAL                        119             $ 40,047,865.49               100.00%

ORIGINAL TERMS TO MATURITY

                                                                                  % OF AGGREGATE
                                                     PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                    NUMBER           OUTSTANDING AS OF          OUTSTANDING AS OF
                                  OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
ORIGINAL TERM (MONTHS)               LOANS           CALCULATION DATE           CALCULATION DATE
----------------------               -----           ----------------           ----------------
           360                         119            $  40,047,865.49                 100.00%
          TOTAL                        119            $  40,047,865.49                 100.00%

REMAINING TERMS TO MATURITY

                                                                                    % OF AGGREGATE
                                                        PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                       NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                    OF MORTGAGE          THE STATISTICAL            THE STATISTICAL
REMAINING TERM (MONTHS)                LOANS            CALCULATION DATE           CALCULATION DATE
-----------------------                -----            ----------------           ----------------
           301 - 360                     119             $  40,047,865.49                 100.00%
             TOTAL                       119             $  40,047,865.49                 100.00%

TYPE OF MORTGAGED PROPERTIES

                                                                                      % OF AGGREGATE
                                                         PRINCIPAL BALANCE          PRINCIPAL BALANCE
                                        NUMBER           OUTSTANDING AS OF          OUTSTANDING AS OF
                                      OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
        PROPERTY TYPE                    LOANS            CALCULATION DATE          CALCULATION DATE
        -------------                    -----            ----------------          ----------------
Single Family Detached                     93             $ 31,257,696.10                   78.05%
Condominium                                 9                2,608,349.58                    6.51
PUD                                        16                5,855,819.81                   14.62
2-4 Units Detached                          1                  326,000.00                    0.81
              TOTAL                       119             $ 40,047,865.49                  100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

OCCUPANCY TYPE

                                                                                    % OF AGGREGATE
                                                        PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                         NUMBER         OUTSTANDING AS OF         OUTSTANDING AS OF
                                      OF MORTGAGE        THE STATISTICAL            THE STATISTICAL
 STATED OCCUPANCY STATUS                 LOANS           CALCULATION DATE          CALCULATION DATE
 -----------------------                 -----           ----------------          ----------------
Primary                                   112             $  38,100,982.79                95.14%
Investor                                    7                 1,946,882.70                  4.86
              TOTAL                       119             $  40,047,865.49               100.00%

PURPOSE OF MORTGAGE LOANS

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                         NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                      OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
        PURPOSE                          LOANS            CALCULATION DATE        CALCULATION DATE
        -------                          -----            ----------------        ----------------
Purchase                                  29               $  9,965,780.45                24.88%
Rate/Term Refinance                       25                  7,985,460.48                19.94
Cash Out Refinance                        65                 22,096,624.56                55.18
              TOTAL                      119               $ 40,047,865.49               100.00%

DOCUMENTATION PROGRAMS FOR MORTGAGE LOANS

                                                                                  % OF AGGREGATE
                                                        PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                        NUMBER          OUTSTANDING AS OF       OUTSTANDING AS OF
                                     OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
    DOCUMENTATION LEVEL                 LOANS           CALCULATION DATE         CALCULATION DATE
    -------------------                 -----           ----------------         ----------------
Full Documentation                        75           $  24,044,772.00                   60.04%
Stated Income                             36              13,437,916.02                   33.55
Flex Documentation                         8               2,565,177.47                    6.41
             TOTAL                       119           $  40,047,865.49                  100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

CURRENT MORTGAGE RATES

                                                                                    % OF AGGREGATE
                                                        PRINCIPAL BALANCE         PRINCIPAL BALANCE
                                       NUMBER           OUTSTANDING AS OF         OUTSTANDING AS OF
                                     OF MORTGAGE         THE STATISTICAL            THE STATISTICAL
CURRENT LOAN RATE (%)                   LOANS            CALCULATION DATE          CALCULATION DATE
---------------------                   -----            ----------------          ----------------
 6.501 -  7.000                            2              $   800,000.00                    2.00%
 7.001 -  7.500                            4                1,560,419.03                    3.90
 7.501 -  8.000                            4                1,232,166.75                    3.08
 8.001 -  8.500                            8                2,492,815.39                    6.22
 8.501 -  9.000                           23                7,909,964.01                   19.75
 9.001 -  9.500                           20                6,696,300.64                   16.72
 9.501 - 10.000                           24                8,668,340.67                   21.64
10.001 - 10.500                           11                3,282,222.90                    8.20
10.501 - 11.000                           12                3,889,969.81                    9.71
11.001 - 11.500                            7                2,318,277.51                    5.79
11.501 - 12.000                            2                  654,924.98                    1.64
12.000 - 12.500                            1                  266,281.39                    0.66
12.501 - 13.000                            1                  276,182.41                    0.69

             TOTAL                       119             $ 40,047,865.49                 100.00%

ORIGINAL LOAN-TO-VALUE RATIOS

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                           NUMBER        OUTSTANDING AS OF        OUTSTANDING AS OF
                                        OF MORTGAGE       THE STATISTICAL          THE STATISTICAL
ORIGINAL LOAN-TO-VALUE RATIO (%)           LOANS          CALCULATION DATE        CALCULATION DATE
--------------------------------           -----          ----------------        ----------------
 50.01 -  55.00                              1            $   400,000.00                   1.00%
 55.01 -  60.00                              3              1,187,758.96                    2.97
 60.01 -  65.00                             10              3,890,357.23                    9.71
 65.01 -  70.00                              8              2,514,727.15                    6.28
 70.01 -  75.00                             26              9,714,277.01                   24.26
 75.01 -  80.00                             41             13,837,506.83                   34.55
 80.01 -  85.00                             17              4,671,888.14                   11.67
 85.01 -  90.00                             13              3,831,350.17                    9.57

               TOTAL                       119           $ 40,047,865.49                 100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

STATE DISTRIBUTION OF MORTGAGED PROPERTIES

                                                                                     % OF AGGREGATE
                                                          PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                         NUMBER           OUTSTANDING AS OF        OUTSTANDING AS OF
                                       OF MORTGAGE         THE STATISTICAL           THE STATISTICAL
        LOCATION                          LOANS           CALCULATION DATE          CALCULATION DATE
        --------                          -----           ----------------          ----------------
California                                  73             $  24,311,586.15                 60.71%
Illinois                                    10                 3,634,450.15                  9.08
Colorado                                     6                 2,421,802.20                  6.05
Washington                                   6                 1,936,670.14                  4.84
Michigan                                     4                 1,074,915.85                  2.68
Utah                                         2                   983,274.66                  2.46
Arizona                                      2                   782,500.00                  1.95
Maryland                                     2                   614,352.45                  1.53
Nevada                                       1                   570,000.00                  1.42
New Jersey                                   2                   546,125.76                  1.36
New Mexico                                   2                   538,550.00                  1.34
New York                                     2                   517,939.50                  1.29
Kansas                                       1                   412,000.00                  1.03
Connecticut                                  1                   324,000.00                  0.81
Pennsylvania                                 1                   323,441.48                  0.81
Tennessee                                    1                   292,000.00                  0.73
Georgia                                      1                   265,500.00                  0.66
Ohio                                         1                   255,500.00                  0.64
Florida                                      1                   243,257.15                  0.61

              TOTAL                        119             $  40,047,865.49                100.00%

MAXIMUM LOAN RATE

                                                                                     % OF AGGREGATE
                                                          PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                          NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
                                       OF MORTGAGE         THE STATISTICAL          THE STATISTICAL
   MAXIMUM LOAN RATE (%)                  LOANS            CALCULATION DATE        CALCULATION DATE
   ---------------------                  -----            ----------------        ----------------
12.501 - 13.000                               1              $   400,000.00                  1.00%
14.001 - 14.500                               6                2,172,954.97                  5.43
14.501 - 15.000                               7                2,348,109.74                  5.86
15.001 - 15.500                               9                2,761,135.81                  6.89
15.501 - 16.000                              23                7,758,070.70                 19.37
16.001 - 16.500                              17                5,815,444.28                 14.52
16.501 - 17.000                              22                7,948,536.16                 19.85
17.001 - 17.500                              11                3,282,222.90                  8.20
17.501 - 18.000                              10                3,265,564.94                  8.15
18.001 - 18.500                               8                2,584,558.90                  6.45
18.501 - 19.000                               2                  654,924.98                  1.64
19.501 - 20.000                               1                  276,182.41                  0.69

                TOTAL                       119             $ 40,047,865.49                100.00%


DESCRIPTION OF THE COLLATERAL
ADJUSTABLE RATE LOAN SUBGROUP II

GROSS MARGINS

                                                                                   % OF AGGREGATE
                                                         PRINCIPAL BALANCE       PRINCIPAL BALANCE
                                       NUMBER            OUTSTANDING AS OF       OUTSTANDING AS OF
                                     OF MORTGAGE          THE STATISTICAL          THE STATISTICAL
 GROSS MARGINS (%)                      LOANS            CALCULATION DATE         CALCULATION DATE
 -----------------                      -----            ----------------         ----------------
4.501 -  5.000                              5              $  1,711,676.18                 4.27%
5.001 -  5.500                             21                 7,333,490.05                18.31
5.501 -  6.000                             24                 9,341,292.27                23.33
6.001 -  6.500                             25                 8,349,528.99                20.85
6.501 -  7.000                             26                 7,860,293.61                19.63
7.001 -  7.500                             13                 3,963,101.98                 9.90
7.501 -  8.000                              5                 1,488,482.41                 3.72

             TOTAL                        119              $ 40,047,865.49               100.00%

FICO CREDIT SCORES FOR MORTGAGE LOANS

                                                                                    % OF AGGREGATE
                                                         PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                         NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
         RANGE OF                      OF MORTGAGE        THE STATISTICAL           THE STATISTICAL
       FICO SCORES                        LOANS           CALCULATION DATE         CALCULATION DATE
       -----------                        -----           ----------------         ----------------
Greater than 650                             22             $  7,962,432.79                  19.88%
596 to 650                                   20                7,294,992.26                  18.22
550 to 595                                   34               11,033,999.22                  27.55
Less than 550                                43               13,756,441.22                  34.35

               TOTAL                        119             $ 40,047,865.49                 100.00%

NEXT ADJUSTMENT DATES

                                                                               % OF AGGREGATE
                                                    PRINCIPAL BALANCE        PRINCIPAL BALANCE
                                    NUMBER          OUTSTANDING AS OF        OUTSTANDING AS OF
NEXT ADJUSTMENT                   OF MORTGAGE        THE STATISTICAL           THE STATISTICAL
  CHANGE DATE                        LOANS           CALCULATION DATE         CALCULATION DATE
  -----------                        -----           ----------------         ----------------
    09/01/99                            1               $   362,808.96                 0.91%
    10/01/99                            2                   641,606.11                 1.60
    11/01/99                            4                 1,349,691.19                 3.37
    12/01/99                            2                   514,915.98                 1.29
    02/01/00                            2                   777,809.31                 1.94
    11/01/00                            1                   367,480.57                 0.92
    03/01/01                            1                   323,441.48                 0.81
    04/01/01                            3                   972,983.26                 2.43
    05/01/01                            8                 2,472,810.84                 6.17
    06/01/01                           11                 3,736,817.91                 9.33
    07/01/01                           20                 6,399,551.64                15.98
    08/01/01                           20                 7,019,800.00                17.53
    09/01/01                           24                 7,830,100.00                19.55
    05/01/02                            2                   694,629.21                 1.73
    06/01/02                            1                   370,669.03                 0.93
    07/01/02                            1                   348,000.00                 0.87
    08/01/02                            7                 3,119,250.00                 7.79
    09/01/02                            9                 2,745,500.00                 6.86

      TOTAL                           119              $ 40,047,865.49               100.00%


                                            BOND SUMMARY (TO MATURITY)

A-1 (TO MATURITY)
-----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC                                0%            65%           100%          130%          150%          175%          200%
ARM;   PPC                              0%            50%           75%           100%          125%          150%          175%
-----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000                        5.907         5.921         5.925          5.926         5.928         5.927         5.927
Average Life (yrs.)                    20.93         5.29           3.68          2.84          2.33          1.97          1.71
Modified Duration (yrs.)               11.10         4.04           3.02          2.43          2.05          1.77          1.55
First Principal Payment Date         11/25/99      11/25/99       11/25/99      11/25/99      11/25/99      11/25/99      11/25/99
Last Principal Payment Date          10/25/29       9/25/24       7/25/17        2/25/13       5/25/10       5/25/08      11/25/06
Payment Windows (mos.)                  360           299           213            160           127           103           85


A-2 (TO MATURITY)
-----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC                                0%            65%           100%          130%          150%          175%          200%
ARM;   PPC                              0%            50%           75%           100%          125%          150%          175%
-----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000                        6.011         6.028         6.033          6.034         6.036         6.035         6.034
Average Life (yrs.)                    20.79         5.22           3.62          2.78          2.27          1.92          1.66
Modified Duration (yrs.)               10.95         3.98           2.97          2.38          2.00          1.72          1.51
First Principal Payment Date         11/25/99      11/25/99       11/25/99      11/25/99      11/25/99      11/25/99      11/25/99
Last Principal Payment Date           9/25/29       6/25/24       5/25/17       12/25/12       3/25/10       3/25/08       9/25/06
Payment Windows (mos.)                  359           296           211            158           125           101           83

                                              BOND SUMMARY (TO CALL)

A-1 (TO CALL)
-----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC                                0%            65%           100%          130%          150%          175%          200%
ARM;   PPC                              0%            50%           75%           100%          125%          150%          175%
-----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000                        5.907         5.907         5.908          5.908         5.909         5.909         5.911
Average Life (yrs.)                    20.89         4.94           3.42          2.65          2.18          1.86          1.62
Modified Duration (yrs.)               11.09         3.89           2.88          2.32          1.95          1.68          1.48
First Principal Payment Date         11/25/99      11/25/99       11/25/99      11/25/99      11/25/99      11/25/99      11/25/99
Last Principal Payment Date          11/25/28       3/25/12       1/25/08       12/25/05       8/25/04      10/25/03       2/25/03
Payment Windows (mos.)                  349           149            99            74            58            48            40


A-2 (TO CALL)
-----------------------------------------------------------------------------------------------------------------------------------
FIX; PPC                                0%            65%           100%          130%          150%          175%          200%
ARM;   PPC                              0%            50%           75%           100%          125%          150%          175%
-----------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000                        6.011         6.011         6.012          6.012         6.013         6.013         6.015
Average Life (yrs.)                    20.75         4.88           3.37          2.60          2.13          1.81          1.58
Modified Duration (yrs.)               10.94         3.84           2.84          2.27          1.90          1.64          1.44
First Principal Payment Date         11/25/99      11/25/99       11/25/99      11/25/99      11/25/99      11/25/99      11/25/99
Last Principal Payment Date          11/25/28       3/25/12       1/25/08       12/25/05       8/25/04      10/25/03       2/25/03
Payment Windows (mos.)                  349           149            99            74            58            48            40


GROUP I NET FUNDS CAP RATE

PERIOD    SCENARIO I   SCENARIO II          PERIOD    SCENARIO I    SCENARIO II
------    ----------   -----------          ------    ----------    -----------
     1          6.30          6.30              38         10.82          13.00
     2          9.24          9.24              39         10.47          12.59
     3          8.94          8.94              40         10.47          12.58
     4          8.97          8.97              41         11.58          13.93
     5          9.59          9.59              42         10.46          12.75
     6          8.97          8.97              43         10.81          13.84
     7          9.27          9.27              44         10.46          13.39
     8          8.97          8.97              45         10.80          13.83
     9          9.27          9.27              46         10.45          13.38
    10          9.00          9.00              47         10.45          13.37
    11          9.00          9.00              48         10.80          13.98
    12          9.30          9.30              49         10.44          14.18
    13          8.53          8.52              50         10.79          14.64
    14          8.81          8.80              51         10.44          14.16
    15          8.54          8.53              52         10.44          14.16
    16          8.58          8.57              53         11.16          15.13
    17          9.50          9.49              54         10.43          14.14
    18          8.58          8.57              55         10.78          14.72
    19          8.87          8.86              56         10.43          14.24
    20          8.58          8.57              57         10.77          14.71
    21          8.87          8.86              58         10.42          14.23
    22          8.59          8.61              59         10.42          14.22
    23          8.59          8.61              60         10.77          14.69
    24          9.31          9.43              61         10.42          14.31
    25         10.25         10.78              62         10.76          14.78
    26         10.59         11.14              63         10.41          14.30
    27         10.25         10.79              64         10.41          14.29
    28         10.24         10.81              65         11.52          15.81
    29         11.34         11.97              66         10.40          14.28
    30         10.24         10.98              67         10.75          14.74
    31         10.59         11.92              68         10.40          14.26
    32         10.24         11.53              69         10.74          14.73
    33         10.58         11.92              70         10.39          14.24
    34         10.24         11.55              71         10.39          14.24
    35         10.24         11.55              72         10.73          14.70
    36         10.58         12.10              73         10.38          14.22
    37         10.47         12.59              74         10.73          14.68

* SCENARIO I is achieved assuming 6 month LIBOR stays constant at 5.94125 %; run at the pricing speed to call.

** SCENARIO II is achieved assuming 6 month LIBOR instantaneously increases to a level beyond the highest maximum obtainable rate on the underlying adjustable rate mortgage loans; run at the pricing speed to call.


GROUP II NET FUNDS CAP RATE

PERIOD    SCENARIO I   SCENARIO II          PERIOD    SCENARIO I    SCENARIO II
------    ----------   -----------          ------    ----------    -----------
     1          5.92          5.92              38         10.59          12.42
     2          8.69          8.69              39         10.25          12.02
     3          8.41          8.40              40         10.25          12.02
     4          8.47          8.47              41         11.34          13.30
     5          9.07          9.07              42         10.24          12.65
     6          8.48          8.48              43         10.58          13.24
     7          8.77          8.76              44         10.23          12.80
     8          8.48          8.48              45         10.57          13.23
     9          8.77          8.76              46         10.23          12.79
    10          8.55          8.54              47         10.23          12.79
    11          8.56          8.55              48         10.56          13.86
    12          8.84          8.84              49         10.22          13.58
    13          8.07          8.06              50         10.56          14.02
    14          8.34          8.33              51         10.22          13.56
    15          8.07          8.06              52         10.21          13.56
    16          8.15          8.14              53         10.91          14.49
    17          9.03          9.02              54         10.21          13.55
    18          8.16          8.15              55         10.54          14.16
    19          8.43          8.42              56         10.20          13.70
    20          8.16          8.15              57         10.54          14.15
    21          8.43          8.42              58         10.20          13.69
    22          8.16          8.22              59         10.19          13.68
    23          8.16          8.23              60         10.53          14.13
    24         10.14         10.50              61         10.19          13.83
    25          9.82         10.16              62         10.52          14.28
    26         10.14         10.50              63         10.18          13.82
    27          9.81         10.16              64         10.18          13.81
    28          9.81         10.22              65         11.26          15.28
    29         10.86         11.33              66         10.17          13.80
    30          9.81         10.87              67         10.51          14.25
    31         10.14         11.23              68         10.16          13.78
    32          9.81         10.87              69         10.50          14.23
    33         10.13         11.23              70         10.16          13.77
    34          9.80         10.89              71         10.15          13.76
    35          9.80         10.89              72         10.49          14.21
    36         10.12         11.91              73         10.15          13.75
    37         10.25         12.02              74         10.48          14.20

* SCENARIO I is achieved assuming 6 month LIBOR stays constant at 5.94125 %; run at the pricing speed to call.

** SCENARIO II is achieved assuming 6 month LIBOR instantaneously increases to a level beyond the highest maximum obtainable rate on the underlying adjustable rate mortgage loans; run at the pricing speed to call.