Amortizing Resi Coll Tr $133.6MM Mtg P-Ts 2001-BC4 Rtd By Fitch.

Business Editors

NEW YORK--(BUSINESS WIRE)--July 5, 2001

Amortizing Residential Collateral Trust (ARC) $104.3 million pass-through certificates, series 2001-BC4 classes A2 and A-IO certificates are rated `AAA' by Fitch. The $14.1 million class M-1 certificates are rated `AA', the $9.4 million class M-2 certificates are rated `A', and the $5.9 million class B certificates are rated `BBB'.

The `AAA' rating on the senior certificates reflects the 6.50% total credit enhancement provided by the 3.00% class M-1, the 2.00% class M-2, the 1.25% class B-1 certificates and the 0.25% target overcollateralization (OC). OC will begin to grow to a target of 0.25% after a period of nine months from the closing date. All certificates have the benefit of monthly excess cash flow to absorb losses that are incurred after the insurance claims are covered. Fitch believes the amount of credit enhancement, in the form of subordination, mortgage insurance, OC, and excess cashflow will be sufficient to protect the certificateholders. The ratings also reflect the quality of the loans, the soundness of the legal and financial structures, and the capabilities of Option One Mortgage Corporation (Option One) which will initially act as the sole servicer of the mortgage loans. The Murrayhill Co. will monitor the deal and make recommendations to the servicer regarding certain delinquent and defaulted mortgage loans.

The mortgage pool consists of 3,585 fixed and adjustable- rate, fully amortizing and balloon, first lien conventional residential mortgage loans having an original term of no more than 30 years. The fixed rate mortgage loans make up 7.50% of the pool, and the adjustable rate mortgage loans account for the remaining 92.50% of the pool. The weighted average original loan-to-value (OLTV) is approximately 79.89%. Approximately 43.40% of the loans have an OLTV greater than 80%. Approximately 97.44% of the loans with OLTV's in excess of 60% are covered by primary mortgage insurance that was acquired by Lehman Capital for the benefit of the trust. The PMI insurer is a wholly owned subsidiary of MGIC Investment Corporation who is rated `AA+' by Fitch. Approximately 92.62% of the mortgagors represented that they would occupy the homes as their primary residence. The weighted average coupon (WAC) is 10.63% and the average balance is $156,334. The three states that represent the largest portion of home equity loans are California (38.92%), Illinois (8.73%) and Hawaii (6.90%).

Interest and principal payments will be distributed on the 25th day of each month commencing in July 2001. Interest will be paid to the class A certificates, followed by interest to the classes M-1, M-2, and B-1 certificates. Unless paid down to zero, principal will be paid exclusively to the class A certificates until the step-down date has been reached. After the step-down date, and provided that a trigger event has not occurred, principal payments may also be distributed to the subordinate certificates as long as the amount of principal allocated to any subordinate class does not cause that class to fall below a certain percentage.

The loans were originated or acquired in accordance with BNC's underwriting criteria for sub-prime quality mortgage loans. Sub-prime mortgage loans are generally made to borrowers who do not qualify for financing under conventional underwriting criteria due to prior credit difficulties and/or the inability to satisfy conventional documentation standards, and/or conventional debt-to-income ratios. In analyzing the collateral pool, Fitch adjusted its frequency of foreclosure and loss assumptions to account for these attributes. For federal income tax purposes, multiple real estate mortgage investment conduit (REMIC) elections will be made with respect to the trust estate.