- --------------------------------------------------------------------------------
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 (Date of earliest event reported)
January 27, 1998
AMRESCO Residential Securities Corporation
(Exact name of registrant as specified in its charter)
Delaware 333-30759 75-2620414
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
700 North Pearl Street
Suite 2400, LB #342
Dallas, Texas 75201-7424
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (214) 953-7700
No Change
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of AMRESCO Residential Securities
Corporation Mortgage Loan Pass-Through Certificates, Series 1997-4, described in
a Prospectus Supplement dated as of January 1998, certain term sheets and
"Computational Materials" within the meaning of the May 20, 1994 Kidder, Peabody
No-Action Letter and the February 17, 1995 Public Securities Association
No-Action Letter were furnished to certain prospective investors.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Term Sheets of Credit Suisse First Boston relating to the Offered
Certificates.
99.2 Term Sheets of Morgan Stanley Dean Witter relating to the Offered
Certificates.
99.3 Term Sheets of Prudential Securities Inc. relating to the Offered
Certificates.
99.4 Term Sheets of Deutche Morgan Grenfell relating to the Offered
Certificates.
<PAGE>
SIGNATURES
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.
AMRESCO RESIDENTIAL SECURITIES CORPORATION,
as Depositor
By: /s/ Ronald B. Kirkland
------------------------------------------
Name: Ronald B. Kirkland
Title: Vice President and Chief Accounting Officer
Dated: January 27, 1998
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.1 Term Sheets of Credit Suisse First Boston relating to
the Offered Certificates. ______
99.2 Term Sheets of Morgan Stanley Dean Witter relating to
the Offered Certificates. ______
99.3 Term Sheets of Prudential Securities Inc. relating to
the Offered Certificates. ______
99.4 Term Sheets of Deutche Morgan Grenfell relating to the
Offered Certificates. ______
Computational Materials
$1,000,000,000
(Approximate)
AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-1
Home Equity Loan ABS
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
$1,000,000,000 AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1998-1
AMRESCO Residential Securities Corporation
Depositor
Advanta Mortgage Corp. USA
Ameriquest Mortgage Company
Wendover Funding Inc.
Servicers
Transaction Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Average Modified
Class Size Expected Ratings Life Duration Payment Final
Class(1) ($millions) Tranche Type (Moody's/S&P/Fitch) (years)(2) (years) (2) Window(2) Maturity Date
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $156.00 Fixed Sequential Aaa/AAA/AAA 0.95 0.89 21 03/98 - 11/99 [6/18]
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 25.00 Fixed Sequential Aaa/AAA/AAA 2.00 1.84 06 11/99 - 04/00 [3/20]
- ------------------------------------------------------------------------------------------------------------------------------------
A-3 78.50 Fixed Sequential Aaa/AAA/AAA 3.00 2.66 27 04/00 - 06/02 [5/25]
- ------------------------------------------------------------------------------------------------------------------------------------
A-4 22.50 Fixed Sequential Aaa/AAA/AAA 5.00 4.16 18 06/02 - 11/03 [6/26]
- ------------------------------------------------------------------------------------------------------------------------------------
A-5 32.00 Fixed Sequential Aaa/AAA/AAA 9.68 6.70 137 11/03 - 03/15 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
A-6 30.00 Fixed Lockout Aaa/AAA/AAA 6.62 5.19 164 06/01 - 01/15 [8/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1F 22.00 Fixed Mezzanine Aa2/AA/AA 5.82 4.49 127 04/01 - 10/11 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2F 18.00 Fixed Mezzanine A2/A/A 5.73 4.41 112 03/01 - 06/10 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1F 16.00 Fixed Subordinate Baa3/BBB/BBB 5.45 4.23 91 03/01 - 09/08 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
A-7 $486.00 Floater Aaa/AAA/AAA 2.49 2.13 92 03/98 - 10/05 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1A 48.00 Floater Mezzanine Aa2/AA/AA 5.26 4.30 53 06/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2A 36.00 Floater Mezzanine A2/A/A 5.21 4.23 55 04/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1A 30.00 Floater Baa3/BBB-/BBB- 5.19 4.16 56 03/01 - 10/05 [1/28]
Subordinate
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,000.00 -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Classes A-1 through A-6, M-1F, M-2F, and B-1F are backed by a fixed
rate pool; Classes A-7, M-1A, M-2A, and B-1A are backed by an ARM
pool. The Certificates also include a fixed and ARM pool Subordinate
IO strip, as described below under "Subordinate IO".
(2) Classes A-1 through A-6, M-1F, M-2F, and B-2F are shown to maturity
while Classes A-7, M-1A, M-2A, and B-1A are shown to call. See
"Prepayment Speed" below.
Seller: AMRESCO Residential Capital Markets, Inc.
Servicers: Advanta Mortgage, Ameriquest Mortgage, and Wendover Funding
Trustee: Bankers Trust Company
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Transaction Highlights
(continued)
Collateral: Fixed and floating-rate conventional home equity
loans secured by first and second lien
mortgages. See "Collateral Description" for more
detail.
Prepayment Speed:
Fixed-Rate Certificates: All fixed rate classes are priced at a
prepayment speed starting at 5.0% CPR in month
1, increasing by approximately 1.818% per month
to 25% CPR in month 12 (125% of PPC). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.454% CPR
per month to 20% CPR in month 12, and remaining
at 20% CPR thereafter.
Floating-Rate Certificates: Constant 25% CPR.
Expected Pricing Date: Thursday, January 29, 1998
Expected Settlement: Thursday, February 12, 1998 through DTC,
Euroclear or CEDEL.
Distribution Dates: The 25th of each month, beginning March, 1998
Prefunded Amount: Approximately $115 million of fixed rate
collateral and approximately $135 million of
adjustable rate collateral
Subordinate IO: The Certificates will include a Subordinate IO
strip off of the fixed rate and ARM pools which
are not offered hereby. The fixed rate pool
Subordinate IO pays a 15% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-1F
outstanding principal balance and the Class M-2F
outstanding principal balance). The ARM pool
Subordinate IO pays a 7.50% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-2A
outstanding principal balance and the Class B-1A
outstanding principal balance).
The fixed rate pool Subordinate IO initially
reduces the excess spread available to fund o/c
by approximately 150 basis points (resulting in
a fixed pool initial excess spread of
approximately 2.09%), while the ARM pool
Subordinate IO initially reduces the excess
spread by approximately 82.5 basis points
(resulting in an ARM pool initial excess spread
of approximately 2.93%).
Available Funds Cap: All Certificates are subject to an available
funds cap. The cap, for both the fixed rate and
ARM Certificates, is the weighted average coupon
for that group less the approximately 0.50%
Servicing Fee. Shortfalls due to the available
funds cap will be carried forward on the
Adjustable Rate Certificates only.
Option and Auction Call: 10% mandatory auction call (10% of original
certificate balance) followed by a 5% servicer
clean-up call.
Coupon Step Up: After the Clean-up Date, the spread to LIBOR on
the Class A-7 will double, while the spread to
LIBOR on the M-1A, M-2A, and B-1A will increase
by 50% to incent AMRESCO to call the bonds
Tax Status: REMIC
ERISA Eligibility: The Class A-1 -through A-7 certificates are
ERISA eligible; All other Certificate Classes
are NOT ERISA eligible.
SMMEA Eligibility: Only the Class A-7 and M-1A Certificates are
SMMEA eligible.
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Overcollateralization
1. Before the Stepdown Date, overcollateralization builds to 1.75% and 2.40%
of the original loan balance of the fixed-rate and adjustable-rate loan
groups, respectively.
2. On and after the Stepdown Date, overcollateralization is maintained at
3.50% and 4.80% of the outstanding loan balance of the fixed-rate and
adjustable-rate loan groups, respectively (subject to performance
triggers).
3. The overcollateralization amount is subject to a floor of 0.50% of the
original loan balance for both loan groups.
Interest Cashflow Priority
* Interest Collections (net of Servicing) will generally be allocated in the
following priority:
Fixed Rate Cashflows
1. Trustee fee
2. Class A-1-Class A-6 current interest plus unpaid interest shortfalls
3. M-1F current interest
4. M-2F current interest
5. B-1F current interest
6. Pay fixed-rate Subordinate IO ($500,000 each month for the first 24
months)
7. Build fixed-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1F, Class M-2F and Class B-1F.
9. To the adjustable-rate loan group in the order of items 7 and 8, if
necessary
Floating Rate Cashflows
1. Trustee Fee
2. Class A-7 current interest plus unpaid interest shortfalls
3. M-1A current interest
4. M-2A current interest
5. B-1A current interest
6. Pay adjustable-rate Subordinate IO ($412,500 each month for the first
24 months)
7. Build adjustable-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1A, Class M-2A and Class B-1A
9. To the fixed-rate loan group in the order of items 7 and 8, if
necessary
Principal Cashflow Priority
* Collections of Principal before the Stepdown Date, or if a Trigger Event
exists, will be allocated in the following priority:
Fixed Rate Cashflows
1. Pay A-6 according to the following Lockout Percentage:
March 1998 - February 2001 0%
March 2001 - February 2003 45%
March 2003 - February 2004 80%
March 2004 - February 2005 100%
March 2005 and thereafter 300%
2. Pay Classes A-1 through A-6 sequentially
3. Pay Classes M-1F, M-2F and B-1F sequentially
Floating Rate Cashflows
1. Pay Class A-7
2. Pay Classes M-1A, M-2A and B-1A sequentially
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
* Collections of Principal on and after the Stepdown date, (assuming no Trigger
Event is in effect) will be allocated in the following priority:
Fixed Rate Cashflows
PayClass A, Class M-1F, Class M-2F, and Class B-1F pro-rata in accordance
with enhancement targets, equal to 2.0 times the initial enhancement for
each class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 68.5% 31.5%
Class M-1F 11.0 20.5
Class M-2F 9.0 11.5
Class B-1F 8.0 3.5
Overcollateralization 3.5
---
100%
Floating Rate Cashflows
Pay Class A-7, M-1A, M-2A, and B-1A pro-rata in accordance with
enhancement targets equal to 2.0 times the initial enhancement for each
class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 57.2% 42.8%
Class M-1A 16.0 26.8
Class M-2A 12.0 14.8
Class B-1A 10.0 4.8
Overcollateralization 4.8
----
100.0%
* Stepdown Date- the earlier to occur of: (i) the later of: (x) the 37th
Payment Date (March 2001) or (y) when credit enhancement reaches its target
level and (ii) when the Class A Certificates are retired in full.
* Trigger Event - occurs when 60+ day delinquency percentage is greater than
50% of the senior enhancement percentage for the fixed-rate loan group and
40% of the senior enhancement percentage for the adjustable-rate loan group.
* Subordinate Trigger Event - occurs if both:
-----------------------------------------------------------------------
I. Realized losses exceed: Fixed ARMs
-----------------------------------------------------------------------
March 1998 - February 2000 [1.26%] [1.75%]
March 2000 - February 2001 [1.50%] [2.10%]
March 2001 - February 2002 [2.60%] [3.50%]
March 2002 - February 2003 [3.30%] [4.40%]
March 2003 - February 2004 [3.50%] [4.80%]
March 2004 - February 2005 [3.50%] [5.20%]
March 2005 - February 2006 [3.50%] [5.60%]
-----------------------------------------------------------------------
II. 60+ day delinquencies exceed:
-----------------------------------------------------------------------
March 2000 - February 2002 [4.00%] [4.00%]
March 2002 - February 2004 [5.50%] [5.50%]
March 2004 - February 2006 [8.00%] [8.00%]
-----------------------------------------------------------------------
* If a Subordinate Trigger Event occurs, overcollateralization is not released
and the excess cashflow attributable is paid to the related subordinated
classes in reverse order of seniority.
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Collateral Description
Note that the following collateral description is only reflective of $249.1
million of fixed rate loans and $408.3 million of ARM loans.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans ARM Home Equity Loans
---------------------------- ---------------------
Group I Group II
------- --------
<S> <C> <C>
Aggregate Pool Balance: $249.1 million $408.3 million
Number of Loans: 3,476 3,824
Prefunded Amount: $115 million $135 million
Average Outstanding Balance: $71,663.81 ( min: $5,907/ $106,768.38 ( min: $8,478/
max: $828,666) max: $747,576)
Total Original Balance: $249.9 million $409.3 million
Average Original Balance: $71,896.48 $107,024.61
Lien Position: 96.32% firsts; 3.68% non-firsts 100% firsts
Prepayment Penalty: 74.0% have penalties 72.4% have penalties
WA Original Loan to Value 71.5% (17.6% >80%, min: 5.0%/ 76.7% (26.6% >80%, min: 17.7%/
Ratio(1): max: 90.1%) max: 90.3%)
Loan Type: a) 93.87% Fixed Rate a) 69.20% 2/28 6-month LIBOR ARMs
b) 6.13% 5/25 ARMs b) 27.03% 6-month LIBOR ARMs
c) 3.72% 3/27 6-month LIBOR ARMs
d) 0.04% other
Amortization Type: a) 96.54% Fully Amortizing 100% Fully Amortizing
b) 3.46% Balloon
WA Original Term: 329.48 months (16.57% 180-month maturity 358.64 months (0.58% 180-month maturity
82.89% 360-month maturity) 99.16% 360-month maturity)
Remaining WA Maturity: 325.35 months 354.53 months
WA Seasoning: 4.13 months 4.11 months
Latest Scheduled Maturity: Expected January 1, 2028 Expected January 1, 2028
WA Gross Coupon: 10.571% (min: 6.00% / max: 16.50%) 10.199% (current, min: 5.500% / max:
17.130%)
WA Gross Margin: 6.101% for 5/25 ARMs a) 6.266% for 6-month LIBOR ARMs
b) 3.847% for 1-year CMT ARMs
WA Periodic Cap: 1.004% for 5/25 ARMs 1.025%
WA Months to Roll: 56.50 months for 5/25 ARMs 15.99 months
WA Floor: 10.145% for 5/25 ARMs 10.172%
Property Type: 84.72% single family, 8.5% 2-4 family, 87.86% single family, 5.85% 2-4 family,
4.02% condo, 2.75% other 2.29% PUD, 3.18% condo, 0.82% other
Owner Occupancy: a) 88.74% owner occupied a) 92.90% owner occupied
b) 11.26% investor property b) 7.10% investor property
Geographic Distribution (> 5%): CA (20.31%), HI (17.88%), FL (7.49%), TX CA (32.12%), WA (5.65%)
(5.57%)
% Cashout Refinancing: 58.14% 37.70%
</TABLE>
Notes: (1) Defined as the original combined loan-to-value for all loans on the
property given on the collateral file.
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Collateral Tables
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
10,000.00 to 19,999.99 160 2,827,497.39 1.14 11.976 17,671.86 58.43 77.28 71.39 72.70
20,000.00 to 29,999.99 573 14,628,614.15 5.87 11.960 25,529.87 62.95 69.42 63.26 75.62
30,000.00 to 39,999.99 567 20,014,494.06 8.03 11.733 35,298.93 65.81 55.95 70.33 82.85
40,000.00 to 49,999.99 474 21,401,806.65 8.59 11.471 45,151.49 68.49 60.29 71.59 82.21
50,000.00 to 59,999.99 394 21,766,160.18 8.74 11.257 55,244.06 71.69 53.80 69.75 87.67
60,000.00 to 69,999.99 195 12,639,303.30 5.07 11.166 64,816.94 72.96 62.63 60.54 90.23
70,000.00 to 79,999.99 183 13,738,980.11 5.52 10.947 75,076.39 69.98 63.82 63.71 93.29
80,000.00 to 89,999.99 145 12,348,046.58 4.96 10.563 85,158.94 71.49 56.85 68.98 86.24
90,000.00 to 99,999.99 147 14,019,421.30 5.63 10.855 95,370.21 73.49 59.08 55.02 85.85
100,000.00 to 109,999.99 93 9,801,400.23 3.93 10.180 105,391.40 73.96 56.92 64.52 87.30
110,000.00 to 119,999.99 88 10,059,672.88 4.04 10.501 114,314.46 73.00 52.29 62.55 93.12
120,000.00 to 129,999.99 52 6,515,333.50 2.62 10.340 125,294.88 73.95 57.34 65.65 94.11
130,000.00 to 139,999.99 57 7,696,028.60 3.09 9.874 135,018.05 75.60 66.73 57.83 93.04
140,000.00 to 149,999.99 44 6,406,499.29 2.57 10.049 145,602.26 74.73 52.31 51.92 86.64
150,000.00 to 159,999.99 27 4,223,406.16 1.70 10.383 156,422.45 76.07 37.29 66.56 96.36
160,000.00 to 169,999.99 28 4,610,601.37 1.85 9.601 164,664.33 71.77 60.33 64.15 85.52
170,000.00 to 179,999.99 21 3,698,410.77 1.48 9.289 176,114.80 76.23 71.65 85.83 95.14
180,000.00 to 189,999.99 23 4,275,630.46 1.72 9.478 185,896.98 70.95 52.00 56.83 82.43
190,000.00 to 199,999.99 22 4,302,157.18 1.73 9.523 195,552.60 72.77 59.35 54.54 100.00
200,000.00 to 209,999.99 20 4,113,735.16 1.65 9.495 205,686.76 72.73 50.26 69.93 100.00
210,000.00 to 219,999.99 14 3,026,305.38 1.21 9.508 216,164.67 72.45 57.04 57.33 100.00
220,000.00 to 229,999.99 12 2,715,825.64 1.09 8.873 226,318.80 72.69 58.38 83.17 91.62
230,000.00 to 239,999.99 14 3,308,316.61 1.33 9.903 236,308.33 71.94 57.05 49.99 86.08
240,000.00 to 249,999.99 15 3,662,732.76 1.47 10.032 244,182.18 75.00 59.89 59.96 93.32
250,000.00 to 259,999.99 7 1,795,118.31 0.72 8.862 256,445.47 71.68 71.79 56.91 100.00
260,000.00 to 269,999.99 6 1,588,853.53 0.64 10.126 264,808.92 80.05 49.93 83.46 100.00
270,000.00 to 279,999.99 6 1,665,209.96 0.67 9.307 277,534.99 81.65 49.86 83.23 100.00
280,000.00 to 289,999.99 8 2,271,373.50 0.91 8.278 283,921.69 78.30 25.03 74.99 75.28
290,000.00 to 299,999.99 11 3,264,843.56 1.31 8.845 296,803.96 69.53 63.40 45.48 91.06
300,000.00 to 309,999.99 2 614,305.88 0.25 9.053 307,152.94 77.19 100.00 50.39 100.00
310,000.00 to 319,999.99 8 2,526,441.78 1.01 9.926 315,805.22 81.58 50.15 62.38 100.00
320,000.00 to 329,999.99 6 1,953,000.27 0.78 10.103 325,500.04 74.18 66.83 66.65 100.00
330,000.00 to 339,999.99 7 2,341,728.72 0.94 9.335 334,532.67 81.42 57.33 28.67 100.00
340,000.00 to 349,999.99 11 3,808,056.61 1.53 9.435 346,186.96 73.58 63.71 54.50 81.89
350,000.00 to 359,999.99 5 1,772,964.27 0.71 9.614 354,592.85 81.19 59.72 40.28 100.00
360,000.00 to 369,999.99 2 733,694.38 0.29 10.913 366,847.19 69.02 50.32 49.68 100.00
370,000.00 to 379,999.99 3 1,127,372.24 0.45 9.399 375,790.75 69.28 66.81 66.78 100.00
380,000.00 to 389,999.99 2 774,447.91 0.31 9.375 387,223.96 77.50 0.00 49.99 100.00
390,000.00 to 399,999.99 5 1,985,991.38 0.80 8.686 397,198.28 80.36 39.81 19.82 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
400,000.00 to 409,999.99 3 1,216,243.07 0.49 9.665 405,414.36 81.08 33.14 100.00 100.00
410,000.00 to 419,999.99 2 838,145.23 0.34 7.650 419,072.62 72.50 49.98 49.98 100.00
440,000.00 to 449,999.99 2 889,900.43 0.36 9.698 444,950.21 75.05 50.51 0.00 100.00
460,000.00 to 469,999.99 2 924,836.44 0.37 8.473 462,418.22 75.01 100.00 100.00 100.00
470,000.00 to 479,999.99 1 471,658.10 0.19 7.950 471,658.10 86.00 0.00 100.00 100.00
480,000.00 to 489,999.99 1 489,293.85 0.20 9.650 489,293.85 70.00 100.00 0.00 100.00
490,000.00 to 499,999.99 1 498,491.67 0.20 9.490 498,491.67 57.14 100.00 0.00 100.00
510,000.00 to 519,999.99 1 512,473.63 0.21 9.750 512,473.63 80.00 100.00 100.00 100.00
530,000.00 to 539,999.99 1 538,287.60 0.22 9.250 538,287.60 71.05 100.00 100.00 100.00
540,000.00 to 549,999.99 1 542,173.14 0.22 8.750 542,173.14 73.15 0.00 100.00 100.00
620,000.00 to 629,999.99 1 628,664.58 0.25 9.200 628,664.58 70.00 0.00 100.00 100.00
690,000.00 to 699,999.99 1 694,886.32 0.28 9.990 694,886.32 59.32 100.00 0.00 100.00
820,000.00 to 829,999.99 1 828,666.21 0.33 9.130 828,666.21 57.24 0.00 100.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5,906.63
Max: 828,666.21
Average: 71,663.81
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.000 to 6.499 3 539,943.85 0.22 6.415 179,981.28 65.67 44.51 100.00 100.00
6.500 to 6.999 20 3,844,215.58 1.54 6.860 192,210.78 69.32 69.80 72.79 92.91
7.000 to 7.499 16 3,601,092.47 1.45 7.338 225,068.28 72.25 80.43 72.20 100.00
7.500 to 7.999 59 9,574,033.98 3.84 7.860 162,271.76 69.78 66.15 81.49 96.27
8.000 to 8.499 56 7,835,641.10 3.15 8.278 139,922.16 69.77 59.95 68.49 86.16
8.500 to 8.999 173 20,965,504.63 8.42 8.749 121,187.89 72.51 58.27 66.02 95.69
9.000 to 9.499 137 16,066,302.29 6.45 9.231 117,272.28 68.69 60.06 63.85 90.91
9.500 to 9.999 380 38,455,795.85 15.44 9.744 101,199.46 72.20 64.24 61.32 85.56
10.000 to 10.499 238 17,281,650.34 6.94 10.247 72,611.98 73.00 60.01 62.08 84.94
10.500 to 10.999 536 36,432,025.78 14.63 10.723 67,970.20 74.31 57.12 64.35 88.44
11.000 to 11.499 359 21,263,615.74 8.54 11.248 59,230.13 72.42 55.15 56.40 85.61
11.500 to 11.999 517 28,507,113.45 11.44 11.701 55,139.48 74.02 53.42 68.29 87.95
12.000 to 12.499 271 12,652,414.50 5.08 12.186 46,687.88 70.92 48.15 50.96 87.13
12.500 to 12.999 254 12,022,351.12 4.83 12.723 47,332.09 67.35 56.33 60.74 89.53
13.000 to 13.499 154 6,721,228.87 2.70 13.237 43,644.34 65.08 56.49 48.75 90.70
13.500 to 13.999 107 4,495,661.40 1.80 13.740 42,015.53 63.63 63.96 59.64 82.62
14.000 to 14.499 49 2,087,701.01 0.84 14.248 42,606.14 61.15 43.05 55.58 76.36
14.500 to 14.999 75 3,143,497.52 1.26 14.722 41,913.30 66.48 42.43 79.33 91.97
15.000 to 15.499 29 1,580,302.49 0.63 15.202 54,493.19 71.15 41.90 93.14 100.00
15.500 to 15.999 38 1,874,588.44 0.75 15.733 49,331.27 69.75 39.08 94.96 98.61
16.000 to 16.499 3 105,887.93 0.04 16.197 35,295.98 56.44 100.00 64.96 64.96
16.500 to 16.999 2 52,840.57 0.02 16.500 26,420.29 67.65 47.04 100.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6.000
Max:: 16.500
Weighted Average Coupon: 10.571
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,130 229,487,147.35 92.13 10.520 73,318.58 71.95 59.10 63.97 89.09
7 to 12 336 18,761,877.93 7.53 11.183 55,838.92 66.54 45.46 64.00 83.94
13 to 18 3 200,056.65 0.08 12.592 66,685.55 65.28 100.00 33.38 100.00
19 to 24 5 444,506.71 0.18 10.089 88,901.34 65.14 86.43 63.11 100.00
25 to 30 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max:: 26
Weighted Average: 4.133
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Months
Remaining to Number of Aggregate Weighted Average Average Percent Percent Percent
Scheduled Mortgage Principal Percent Average Current Original Cashout Full Owner
Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 59 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
60 to 119 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.00
120 to 179 881 41,282,741.39 16.57 11.087 46,858.96 64.67 67.68 68.17 90.46
180 to 239 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
300 to 359 2,572 206,469,966.04 82.89 10.467 80,276.04 72.86 56.21 63.01 88.33
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 51
Max:: 359
Weighted Average: 325.35
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10 yr fxd 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.0
15 yr fxd 748 32,601,894.79 13.09 10.924 43,585.42 64.22 73.05 70.14 88.95
20 yr fxd 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
30 yr fxd 2,435 191,266,315.37 76.78 10.492 78,548.79 72.74 56.45 63.43 88.67
5/25 140 15,277,343.62 6.13 10.145 109,123.88 74.29 53.45 57.88 83.92
Balloon 131 8,613,060.28 3.46 11.721 65,748.55 66.41 47.05 60.67 96.33
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 2,102 144,851,210.18 58.15 10.446 68,911.14 69.43 100.00 60.38 87.67
Purchase 535 36,066,798.73 14.48 11.001 67,414.58 77.91 0.00 68.00 91.32
Refinance 839 68,185,400.00 27.37 10.609 81,269.85 72.58 0.00 69.17 89.66
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 536 28,040,804.81 11.26 10.761 52,314.93 66.48 63.69 61.31 0.00
Owner Occupied 2,940 221,062,604.10 88.74 10.547 75,191.36 72.16 57.45 64.22 100.00
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 264 21,174,874.25 8.50 10.516 80,207.86 68.52 68.86 56.49 64.87
Condo 136 10,025,489.32 4.02 9.916 73,716.83 71.90 43.48 64.73 80.77
Manuf Home 28 1,659,822.54 0.67 10.887 59,279.38 72.84 41.33 65.30 100.00
PUD 57 4,909,270.98 1.97 10.810 86,127.56 75.82 41.12 67.64 94.50
Single Family 2,985 211,041,806.71 84.72 10.599 70,700.77 71.69 58.33 64.50 91.29
Townhouse 5 231,816.58 0.09 11.078 46,363.32 77.30 48.73 80.73 91.44
Unknown 1 60,328.53 0.02 12.875 60,328.53 76.10 0.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,301 159,157,290.36 63.89 10.517 69,168.75 73.60 54.96 100.00 89.20
Limited 93 9,728,830.62 3.91 9.926 104,611.08 68.67 64.33 0.00 94.29
Stated 1,078 79,878,572.17 32.07 10.755 74,098.86 67.77 64.00 0.00 87.25
Unknown 4 338,715.76 0.14 10.912 84,678.94 63.86 0.00 0.00 69.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3,236 239,943,496.97 96.32 10.514 74,148.18 72.00 57.27 63.69 88.47
2 240 9,159,911.94 3.68 12.060 38,166.30 58.92 81.07 69.17 95.92
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Amresco Mortgage Principal Percent Average Current Original Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 487 50,441,765.16 20.25 9.285 103,576.52 72.83 66.09 55.32 84.96
2 1,270 104,975,335.37 42.14 10.136 82,657.74 73.30 57.64 64.61 87.70
3 701 44,479,044.05 17.86 10.871 63,450.85 72.02 53.04 66.06 92.84
4 435 21,198,900.05 8.51 11.499 48,733.10 68.09 61.87 74.66 91.02
5 577 27,545,539.42 11.06 13.378 47,739.24 64.15 51.34 65.32 91.24
Unknown 6 462,824.86 0.19 11.126 77,137.48 71.88 33.92 47.40 90.85
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 54 3,703,001.54 1.49 10.518 68,574.10 66.03 77.65 38.30 68.35
1.5 Year 2 153,294.29 0.06 14.619 76,647.15 75.43 60.65 60.65 100.00
2 Year 21 2,580,257.10 1.04 9.909 122,869.39 73.66 39.11 58.56 92.61
3 Year 115 7,181,633.07 2.88 11.006 62,448.98 69.19 67.20 74.84 97.54
4 Year 1 62,831.47 0.03 14.770 62,831.47 60.00 100.00 0.00 100.00
5 Year 943 87,964,540.50 35.31 9.776 93,281.59 73.00 59.39 66.63 89.77
Undefined Penalty 1,126 82,675,117.98 33.19 10.635 73,423.73 71.71 56.26 62.67 88.54
No Prepayment Penalty 1,214 64,782,732.96 26.01 11.536 53,363.04 69.76 57.46 62.26 87.61
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 18 1,304,566.65 0.52 10.514 72,475.92 69.56 32.58 82.93 61.25
Arizona 59 4,520,050.56 1.81 10.968 76,611.03 73.89 60.02 44.14 96.77
Arkansas 107 4,277,981.36 1.72 11.472 39,981.13 72.02 68.93 81.52 94.15
California 520 50,594,890.45 20.31 10.099 97,297.87 69.53 61.44 62.61 86.30
Colorado 45 4,151,122.16 1.67 9.540 92,247.16 73.57 63.48 74.29 90.66
Connecticut 29 2,107,340.93 0.85 10.821 72,666.93 67.45 71.10 28.94 83.78
Delaware 5 375,953.40 0.15 11.048 75,190.68 69.25 79.69 67.54 100.00
Florida 310 18,650,475.13 7.49 10.991 60,162.82 71.22 56.95 62.42 91.25
Georgia 42 2,400,580.88 0.96 11.125 57,156.69 72.38 62.43 74.14 86.10
Hawaii 238 44,539,007.35 17.88 8.875 187,138.69 73.65 58.64 58.72 92.74
Idaho 30 1,487,783.18 0.60 10.117 49,592.77 67.36 54.63 64.41 93.85
Illinois 118 6,542,575.61 2.63 11.603 55,445.56 70.24 73.95 61.10 84.61
Indiana 110 3,880,681.86 1.56 10.861 35,278.93 70.04 75.29 71.23 87.49
Iowa 14 695,168.51 0.28 12.288 49,654.89 72.34 76.05 45.35 100.00
Kansas 14 860,483.40 0.35 11.103 61,463.10 77.96 43.79 43.13 89.59
Kentucky 16 763,515.98 0.31 11.584 47,719.75 75.92 47.48 47.58 95.42
Louisiana 77 3,367,043.96 1.35 11.999 43,727.84 72.12 55.66 81.41 83.96
Maryland 81 4,644,909.35 1.86 11.775 57,344.56 73.46 46.82 57.71 83.46
Massachusetts 30 3,133,604.58 1.26 10.629 104,453.49 72.66 82.88 82.73 81.63
Michigan 100 4,270,901.60 1.71 12.268 42,709.02 71.89 50.89 70.46 89.37
Minnesota 46 2,833,866.96 1.14 11.512 61,605.80 74.56 57.56 57.56 78.76
Mississippi 60 2,669,740.16 1.07 11.730 44,495.67 74.47 65.06 70.45 93.87
Missouri 92 4,026,564.00 1.62 11.796 43,767.00 76.45 32.83 84.35 88.75
Montana 7 547,451.86 0.22 10.161 78,207.41 71.99 67.51 68.37 100.00
Nebraska 21 1,021,908.20 0.41 11.331 48,662.30 65.65 76.91 42.93 100.00
Nevada 41 2,948,807.70 1.18 10.570 71,922.14 71.30 48.79 70.12 81.34
New Hampshire 2 165,740.15 0.07 10.654 82,870.08 69.29 36.12 36.12 100.00
New Jersey 13 1,487,668.26 0.60 11.058 114,436.02 66.74 37.84 49.13 93.36
New Mexico 14 864,556.17 0.35 10.649 61,754.01 71.50 58.33 64.39 100.00
New York 37 3,673,035.37 1.47 11.473 99,271.23 69.43 38.84 63.02 89.38
North Carolina 77 3,774,489.66 1.52 12.441 49,019.35 69.83 63.92 54.70 87.29
North Dakota 3 126,750.51 0.05 11.171 42,250.17 74.37 100.00 83.12 100.00
Ohio 165 8,851,762.37 3.55 10.974 53,647.04 70.58 73.17 70.08 89.25
Oklahoma 79 3,559,280.45 1.43 11.335 45,054.18 77.48 54.13 86.44 90.55
Oregon 65 5,822,983.41 2.34 10.064 89,584.36 69.13 68.68 72.44 94.92
Pennsylvania 218 10,539,093.97 4.23 11.860 48,344.47 72.62 62.60 68.61 86.31
Rhode Island 6 226,351.52 0.09 11.571 37,725.25 66.04 78.49 41.46 78.49
South Carolina 31 1,286,533.26 0.52 12.326 41,501.07 71.89 57.62 71.98 91.08
South Dakota 1 55,856.03 0.02 10.250 55,856.03 79.00 100.00 100.00 100.00
Tennessee 68 3,877,154.65 1.56 11.348 57,016.98 72.82 54.45 82.03 93.68
Texas 245 13,872,116.99 5.57 11.482 56,620.89 72.89 16.59 59.22 83.03
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Utah 47 3,834,067.17 1.54 10.068 81,575.90 71.61 80.08 73.16 92.42
Virginia 31 1,796,562.04 0.72 11.773 57,953.61 71.37 51.25 42.26 89.04
Washington 63 4,473,649.40 1.80 9.968 71,010.31 63.34 71.23 59.16 95.52
Washington DC 19 1,651,382.15 0.66 11.737 86,914.85 70.11 50.24 30.17 65.36
West Virginia 16 710,872.46 0.29 11.841 44,429.53 72.86 64.39 68.78 97.22
Wisconsin 38 1,435,108.25 0.58 12.607 37,766.01 68.25 60.12 85.07 76.63
Wyoming 8 401,418.89 0.16 10.621 50,177.36 57.62 63.69 90.07 77.41
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
1996 8 644,563.36 0.26 10.866 80,570.42 65.18 90.64 53.88 100.00
1997 3,466 248,249,025.28 99.66 10.570 71,624.07 71.54 58.07 63.97 88.70
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Original Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.00 to 9.99 8 159,930.09 0.06 12.717 19,991.26 7.44 68.42 45.21 67.77
10.00 to 14.99 26 970,954.17 0.39 12.118 37,344.39 12.78 72.46 36.05 84.62
15.00 to 19.99 33 1,110,735.22 0.45 11.689 33,658.64 16.46 77.08 63.22 94.68
20.00 to 24.99 30 1,423,440.99 0.57 11.232 47,448.03 22.03 69.59 70.00 98.10
25.00 to 29.99 31 1,118,916.86 0.45 10.548 36,094.09 27.38 80.15 68.00 93.98
30.00 to 34.99 41 1,796,933.53 0.72 9.974 43,827.65 32.44 80.87 68.48 87.47
35.00 to 39.99 57 2,569,305.56 1.03 10.490 45,075.54 37.10 74.40 45.43 92.70
40.00 to 44.99 64 3,836,007.06 1.54 10.246 59,937.61 42.64 78.25 49.19 83.40
45.00 to 49.99 69 3,687,745.53 1.48 10.382 53,445.59 47.15 68.01 50.35 92.31
50.00 to 54.99 132 9,110,549.18 3.66 9.968 69,019.31 52.41 74.94 49.51 82.92
55.00 to 59.99 156 10,553,202.82 4.24 10.401 67,648.74 57.31 77.42 43.82 87.08
60.00 to 64.99 286 17,551,695.05 7.05 10.770 61,369.56 61.74 69.65 43.88 84.24
65.00 to 69.99 376 22,618,861.13 9.08 10.986 60,156.55 66.44 61.95 51.56 73.63
70.00 to 74.99 567 39,601,496.08 15.90 10.958 69,843.91 71.05 57.22 65.89 82.36
75.00 to 79.99 564 43,598,533.39 17.50 10.359 77,302.36 75.95 56.65 66.85 86.97
80.00 to 84.99 671 54,794,491.73 22.00 10.399 81,660.94 80.47 53.35 63.09 97.15
85.00 to 89.99 213 20,272,743.44 8.14 10.328 95,177.20 85.78 44.84 90.74 98.72
90.00 to 94.99 152 14,327,867.08 5.75 10.707 94,262.28 90.00 38.40 93.76 98.50
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.00
Max:: 90.10
Weighted Average: 71.52
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
ARM Collateral Tables
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 8,478.00 0.00 8.625 8,478.00 80.00 0.00 100.00 100.00
10,000.00 to 19,999.99 32 583,483.81 0.14 11.892 18,233.87 63.48 68.18 59.12 62.50
20,000.00 to 29,999.99 200 5,155,266.52 1.26 11.430 25,776.33 66.20 57.56 67.76 79.04
30,000.00 to 39,999.99 323 11,409,357.71 2.79 11.456 35,323.09 70.33 43.14 74.57 84.11
40,000.00 to 49,999.99 322 14,601,311.74 3.58 11.215 45,345.69 71.81 46.73 73.42 87.36
50,000.00 to 59,999.99 347 19,232,486.32 4.71 11.046 55,425.03 72.98 43.49 71.07 92.76
60,000.00 to 69,999.99 317 20,774,396.99 5.09 10.623 65,534.38 74.15 40.35 68.92 90.17
70,000.00 to 79,999.99 296 22,214,433.49 5.44 10.633 75,048.76 75.44 41.69 69.82 93.28
80,000.00 to 89,999.99 259 21,996,374.83 5.39 10.483 84,928.09 75.42 40.36 66.49 92.14
90,000.00 to 99,999.99 232 22,161,977.75 5.43 10.301 95,525.77 75.62 38.76 67.18 91.41
100,000.00 to 109,999.99 202 21,146,275.25 5.18 10.311 104,684.53 77.08 38.16 67.72 92.54
110,000.00 to 119,999.99 178 20,491,304.29 5.02 10.073 115,119.69 77.44 38.81 66.82 91.04
120,000.00 to 129,999.99 125 15,668,309.54 3.84 10.192 125,346.48 79.01 35.28 67.14 93.64
130,000.00 to 139,999.99 120 16,155,798.60 3.96 10.145 134,631.65 79.77 30.16 69.11 94.94
140,000.00 to 149,999.99 97 14,160,759.82 3.47 9.942 145,987.21 77.88 45.27 67.99 95.81
150,000.00 to 159,999.99 92 14,286,075.40 3.50 10.106 155,283.43 78.74 22.85 66.25 92.38
160,000.00 to 169,999.99 60 9,911,198.43 2.43 10.039 165,186.64 79.83 41.87 65.04 89.93
170,000.00 to 179,999.99 65 11,377,162.52 2.79 9.956 175,033.27 79.29 35.51 58.57 93.90
180,000.00 to 189,999.99 59 10,944,622.79 2.68 9.640 185,502.08 78.80 26.98 64.45 98.29
190,000.00 to 199,999.99 67 13,104,432.03 3.21 9.995 195,588.54 79.92 22.33 55.27 94.01
200,000.00 to 209,999.99 46 9,514,763.10 2.33 9.944 206,842.68 76.41 45.65 58.53 93.52
210,000.00 to 219,999.99 38 8,149,124.77 2.00 9.789 214,450.65 78.46 49.88 55.38 100.00
220,000.00 to 229,999.99 43 9,644,023.44 2.36 9.761 224,279.61 79.09 27.87 62.73 88.43
230,000.00 to 239,999.99 27 6,361,618.74 1.56 9.597 235,615.51 78.50 18.48 51.86 85.40
240,000.00 to 249,999.99 32 7,862,632.08 1.93 10.322 245,707.25 76.41 34.52 53.01 100.00
250,000.00 to 259,999.99 27 6,862,902.71 1.68 9.774 254,181.58 78.85 29.62 62.78 88.98
260,000.00 to 269,999.99 25 6,622,498.56 1.62 9.880 264,899.94 81.51 31.83 79.96 91.96
270,000.00 to 279,999.99 25 6,881,659.86 1.69 9.447 275,266.39 79.27 44.11 75.92 100.00
280,000.00 to 289,999.99 12 3,431,734.19 0.84 9.503 285,977.85 79.82 24.95 83.33 100.00
290,000.00 to 299,999.99 18 5,322,723.01 1.30 9.265 295,706.83 78.34 61.11 33.28 100.00
300,000.00 to 309,999.99 13 3,963,510.70 0.97 9.889 304,885.44 79.99 38.46 53.83 100.00
310,000.00 to 319,999.99 22 6,925,319.31 1.70 9.874 314,787.24 79.56 36.59 40.86 100.00
320,000.00 to 329,999.99 7 2,285,905.53 0.56 9.406 326,557.93 84.57 42.84 56.96 100.00
330,000.00 to 339,999.99 10 3,338,209.65 0.82 9.979 333,820.97 82.80 29.95 70.07 100.00
340,000.00 to 349,999.99 13 4,507,194.85 1.10 9.847 346,707.30 73.53 30.71 46.13 92.34
350,000.00 to 359,999.99 10 3,559,846.95 0.87 9.246 355,984.70 75.06 19.97 69.83 90.01
360,000.00 to 369,999.99 5 1,835,891.68 0.45 9.306 367,178.34 71.71 40.09 59.89 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
370,000.00 to 379,999.99 7 2,628,845.63 0.64 10.368 375,549.38 82.10 0.00 85.56 100.00
380,000.00 to 389,999.99 5 1,923,680.45 0.47 9.612 384,736.09 76.68 39.96 40.03 100.00
390,000.00 to 399,999.99 6 2,379,227.96 0.58 9.732 396,537.99 74.14 50.04 67.10 66.47
400,000.00 to 409,999.99 2 817,784.48 0.20 9.525 408,892.24 67.50 100.00 49.97 100.00
410,000.00 to 419,999.99 1 419,500.30 0.10 10.550 419,500.30 76.36 100.00 0.00 100.00
420,000.00 to 429,999.99 3 1,281,136.65 0.31 9.968 427,045.55 84.33 66.75 100.00 100.00
430,000.00 to 439,999.99 3 1,308,684.32 0.32 9.387 436,228.11 67.77 33.54 100.00 66.92
440,000.00 to 449,999.99 5 2,241,590.00 0.55 9.571 448,318.00 67.05 0.00 0.00 100.00
450,000.00 to 459,999.99 3 1,360,585.46 0.33 8.874 453,528.49 79.22 33.54 66.46 100.00
460,000.00 to 469,999.99 3 1,404,181.43 0.34 9.847 468,060.48 71.40 66.60 33.40 100.00
470,000.00 to 479,999.99 4 1,895,678.09 0.46 9.503 473,919.52 77.51 50.31 24.83 100.00
480,000.00 to 489,999.99 2 972,075.30 0.24 9.120 486,037.65 74.55 49.98 49.98 100.00
490,000.00 to 499,999.99 5 2,488,396.45 0.61 9.375 497,679.29 73.44 40.03 39.87 100.00
510,000.00 to 519,999.99 2 1,035,879.93 0.25 9.738 517,939.96 69.99 50.14 50.14 100.00
540,000.00 to 549,999.99 1 545,817.91 0.13 8.500 545,817.91 75.00 100.00 100.00 100.00
550,000.00 to 559,999.99 1 550,767.29 0.13 10.250 550,767.29 80.00 0.00 100.00 100.00
590,000.00 to 599,999.99 2 1,189,591.31 0.29 8.369 594,795.66 77.52 0.00 100.00 100.00
630,000.00 to 639,999.99 1 638,221.94 0.16 8.990 638,221.94 79.50 100.00 0.00 100.00
740,000.00 to 749,999.99 1 747,575.64 0.18 8.250 747,575.64 75.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 8,478.00
Max:: 747,575.64
Average: 106,768.38
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.500 to 5.999 2 221,671.18 0.05 5.572 110,835.59 66.27 100.00 57.33 100.00
6.000 to 6.499 2 390,401.31 0.10 6.250 195,200.66 73.60 100.00 100.00 100.00
6.500 to 6.999 33 4,873,750.10 1.19 6.871 147,689.40 69.96 42.30 72.03 100.00
7.000 to 7.499 17 2,671,380.83 0.65 7.274 157,140.05 70.34 45.52 34.04 98.39
7.500 to 7.999 80 12,120,643.76 2.97 7.805 151,508.05 75.46 43.18 81.87 91.57
8.000 to 8.499 99 14,434,877.59 3.54 8.230 145,806.84 74.67 29.55 74.67 82.00
8.500 to 8.999 302 45,131,757.38 11.05 8.760 149,442.91 76.66 43.24 66.42 89.82
9.000 to 9.499 281 36,750,501.03 9.00 9.225 130,784.70 76.77 37.02 58.16 89.92
9.500 to 9.999 679 83,782,028.97 20.52 9.742 123,390.32 78.49 36.34 61.53 94.71
10.000 to 10.499 457 48,834,833.58 11.96 10.227 106,859.59 77.50 32.70 57.81 94.89
10.500 to 10.999 670 68,653,690.44 16.82 10.713 102,468.19 78.64 37.32 65.32 94.47
11.000 to 11.499 351 28,791,798.81 7.05 11.166 82,027.92 78.37 43.99 63.97 92.57
11.500 to 11.999 266 21,630,621.16 5.30 11.682 81,318.12 77.45 40.82 66.41 90.94
12.000 to 12.499 142 10,731,873.20 2.63 12.200 75,576.57 70.64 34.84 62.50 94.80
12.500 to 12.999 120 7,535,053.06 1.85 12.726 62,792.11 68.84 35.44 67.70 91.30
13.000 to 13.499 68 4,181,743.95 1.02 13.220 61,496.23 68.28 26.86 67.11 90.16
13.500 to 13.999 84 5,529,642.92 1.35 13.721 65,829.08 68.62 44.39 77.06 93.25
14.000 to 14.499 59 4,628,353.46 1.13 14.240 78,446.67 68.85 28.67 85.37 95.91
14.500 to 14.999 58 3,784,279.20 0.93 14.659 65,246.19 69.81 36.95 88.45 100.00
15.000 to 15.499 45 3,045,178.69 0.75 15.125 67,670.64 69.98 36.44 97.43 100.00
15.500 to 15.999 5 360,384.54 0.09 15.735 72,076.91 70.18 16.01 100.00 100.00
16.000 to 16.499 2 101,447.45 0.02 16.074 50,723.73 69.99 0.00 100.00 100.00
16.500 to 16.999 1 44,191.76 0.01 16.880 44,191.76 71.29 0.00 100.00 100.00
17.000 to 17.499 1 52,181.13 0.01 17.130 52,181.13 73.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.500
Max: 17.130
Weighted Average: 10.199
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,668 389,356,851.99 95.36 10.214 76.81 38.34 65.00 93.29
106,149.63
7 to 12 142 17,391,847.40 4.26 9.792 74.92 23.55 59.56 84.94
122,477.80
13 to 18 9 1,092,084.20 0.27 11.141 67.01 36.52 35.23 89.03
121,342.69
19 to 24 4 0.09 10.161 73.54 38.64 70.17 70.17
385,937.96 96,484.49
25 to 30 1 55,563.95 0.01 13.750 65.00 0.00 0.00 100.00
55,563.95
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max: 27
Weighted Average: 4.11
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Months Remaining to Mortgage Principal Percent Average Current Average Cashout Full Owner
Scheduled Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
120 to 179 47 2,348,178.57 0.58 10.570 49,961.25 67.20 50.92 66.58 88.84
180 to 239 19 1,093,542.33 0.27 10.362 57,554.86 69.61 24.64 84.85 88.53
300 to 359 3,758 404,840,564.60 99.16 10.196 107,727.66 76.77 37.66 64.62 92.94
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 171
Max: 359
Weighted Average: 354.53
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Yr CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
2_28 2,717 282,525,527.95 69.20 10.463 103,984.37 77.05 36.14 65.36 94.56
3_27 135 15,204,619.02 3.72 10.037 112,626.81 76.20 46.69 65.20 88.99
6 Mo. 970 110,369,485.40 27.03 9.547 113,782.97 75.88 40.41 62.88 89.18
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 1,552 153,915,956.76 37.70 10.155 99,172.65 74.24 100.00 59.60 90.74
Purchase 1,275 139,669,423.99 34.21 10.121 109,544.65 80.31 0.00 69.04 94.27
Refinance 996 114,641,340.80 28.08 10.350 115,101.75 75.61 0.00 66.24 94.15
Unknown 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 355 28,972,252.29 7.10 9.947 81,611.98 71.34 49.22 63.21 0.00
Owner-Occupied 3,469 379,310,033.21 92.90 10.218 109,342.76 77.11 36.82 64.80 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 243 23,882,568.85 5.85 10.438 98,282.18 73.75 45.74 58.12 70.06
Condo 154 12,981,059.44 3.18 9.906 84,292.59 74.92 28.01 69.32 86.61
Manuf Home 35 2,400,515.34 0.59 10.206 68,586.15 73.53 57.65 73.55 94.24
PUD 70 9,360,518.91 2.29 10.524 133,721.70 79.43 34.49 65.72 98.39
Single Family 3,314 358,716,720.00 87.86 10.186 108,242.82 76.92 37.53 64.90 94.48
Townhouse 8 940,902.96 0.23 9.651 117,612.87 73.06 11.67 51.54 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,588 264,103,043.39 64.69 10.247 102,049.09 78.73 34.74 100.00 93.07
Limited 98 14,443,850.40 3.54 10.117 147,386.23 76.85 40.02 0.00 91.57
Stated 1,134 129,270,492.49 31.66 10.114 113,995.14 72.54 43.63 0.00 92.79
Unknown 4 464,899.22 0.11 8.907 116,224.81 71.79 0.00 0.00 75.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 367 45,300,578.28 11.10 9.845 123,434.82 81.57 37.43 63.28 93.52
2 1,419 186,172,592.38 45.60 9.538 131,199.85 79.03 35.83 60.93 91.06
3 777 79,774,598.12 19.54 10.198 102,670.01 75.99 38.39 66.02 95.46
4 411 30,524,356.24 7.48 10.941 74,268.51 74.93 36.75 74.32 91.49
5 847 66,062,542.87 16.18 11.972 77,995.92 68.43 43.00 70.37 95.38
Unknown 3 447,617.61 0.11 8.697 149,205.87 80.41 0.00 34.13 74.14
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.5 Year 1 72,192.07 0.02 10.480 72,192.07 85.00 0.00 100.00 100.00
1 Year 71 11,747,359.86 2.88 9.300 165,455.77 77.04 14.98 62.69 89.99
2 Year 426 60,264,626.95 14.76 10.017 141,466.26 78.18 32.42 65.52 95.41
3 Year 182 21,363,586.01 5.23 10.134 117,382.34 77.76 33.69 61.60 95.60
3.5 Year 3 252,188.25 0.06 11.788 84,062.75 70.00 44.37 55.63 100.00
5 Year 695 61,266,549.64 15.01 10.389 88,153.31 76.31 40.37 73.22 94.16
Undefined Penalty 1,197 140,795,556.18 34.48 9.914 117,623.69 77.39 39.04 63.76 91.79
No Prepayment Penalty 1,249 112,520,226.54 27.56 10.650 90,088.25 75.02 40.53 61.54 92.04
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 9 1,203,990.48 0.29 10.021 133,776.72 79.62 39.53 63.66 100.00
Arizona 139 14,099,887.12 3.45 10.144 101,438.04 79.94 49.03 59.38 95.24
Arkansas 17 1,660,771.14 0.41 10.301 97,692.42 73.95 32.39 81.25 100.00
California 787 131,131,525.95 32.12 9.566 166,622.02 78.13 31.64 65.32 90.34
Colorado 128 15,951,842.99 3.91 9.634 124,623.77 78.42 36.11 73.43 94.49
Connecticut 36 3,559,952.45 0.87 10.520 98,887.57 71.62 37.62 58.51 89.88
Delaware 4 178,674.87 0.04 9.956 44,668.72 63.79 71.61 71.61 89.24
Florida 197 16,934,775.56 4.15 10.893 85,963.33 75.72 27.72 63.56 97.87
Georgia 57 5,682,170.85 1.39 10.752 99,687.21 79.27 44.70 72.07 95.74
Hawaii 84 16,939,229.29 4.15 9.850 201,657.49 72.03 44.53 50.49 95.66
Idaho 31 2,504,062.39 0.61 10.101 80,776.21 78.07 41.98 71.63 100.00
Illinois 202 17,519,138.67 4.29 10.983 86,728.41 73.83 43.81 65.89 94.93
Indiana 73 4,143,892.02 1.01 10.636 56,765.64 77.25 67.76 85.96 95.88
Iowa 24 1,181,210.41 0.29 11.148 49,217.10 78.15 45.11 85.10 89.86
Kansas 28 2,181,464.65 0.53 10.804 77,909.45 77.40 40.39 64.91 97.47
Kentucky 17 1,196,089.19 0.29 10.019 70,358.19 77.22 26.14 76.69 100.00
Louisiana 40 2,731,972.26 0.67 10.811 68,299.31 76.00 60.23 70.05 95.30
Maine 6 615,025.00 0.15 10.501 102,504.17 74.42 87.02 48.25 100.00
Maryland 31 2,893,652.17 0.71 10.881 93,343.62 72.00 60.97 57.56 89.46
Massachusetts 45 5,055,879.94 1.24 10.207 112,352.89 72.34 40.75 58.38 87.84
Michigan 82 6,865,081.79 1.68 10.897 83,720.51 75.54 52.71 55.67 92.22
Minnesota 194 15,395,267.48 3.77 10.779 79,357.05 76.56 36.55 65.37 91.52
Mississippi 16 1,507,356.61 0.37 10.494 94,209.79 79.85 72.40 96.19 96.19
Missouri 131 8,429,824.29 2.06 11.033 64,349.80 78.74 35.08 80.02 97.26
Montana 5 347,507.77 0.09 10.163 69,501.55 72.47 40.50 52.67 87.83
Nebraska 7 350,500.90 0.09 11.183 50,071.56 75.05 26.66 63.34 100.00
Nevada 43 5,288,838.50 1.30 9.771 122,996.24 79.14 32.54 68.09 91.46
New Hampshire 16 1,226,568.55 0.30 10.602 76,660.53 71.79 53.69 58.73 96.22
New Jersey 56 6,684,498.17 1.64 10.141 119,366.04 75.57 37.91 51.49 98.35
New Mexico 19 1,799,411.99 0.44 10.475 94,705.89 79.18 37.31 53.83 100.00
New York 43 5,819,770.44 1.43 10.858 135,343.50 73.63 30.01 75.47 99.31
North Carolina 88 7,596,085.44 1.86 11.624 86,319.15 72.64 37.33 62.68 94.72
North Dakota 6 221,354.62 0.05 12.136 36,892.44 68.83 68.95 45.35 100.00
Ohio 134 8,360,133.18 2.05 10.511 62,389.05 74.99 50.01 81.16 93.86
Oklahoma 32 1,712,945.42 0.42 10.782 53,529.54 76.58 54.56 75.92 95.97
Oregon 157 17,610,249.56 4.31 10.281 112,167.19 76.87 50.96 60.16 93.08
Pennsylvania 150 9,627,610.19 2.36 11.197 64,184.07 74.38 41.57 68.30 96.19
Rhode Island 27 1,764,598.80 0.43 11.160 65,355.51 71.22 50.38 47.20 81.03
South Carolina 17 967,734.29 0.24 11.664 56,925.55 72.36 56.10 62.05 96.12
South Dakota 3 163,353.94 0.04 11.249 54,451.31 73.37 60.71 66.26 100.00
Tennessee 46 3,151,157.88 0.77 10.557 68,503.43 80.26 28.09 81.64 91.63
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Texas 114 8,665,519.65 2.12 10.696 76,013.33 75.54 10.10 56.95 87.27
Utah 96 11,878,406.01 2.91 9.990 123,733.40 76.79 36.83 58.11 94.21
Vermont 5 440,998.15 0.11 10.401 88,199.63 76.20 24.72 75.28 75.28
Virginia 32 2,887,155.05 0.71 10.643 90,223.60 79.40 49.00 57.13 95.60
Washington 198 23,072,824.76 5.65 9.876 116,529.42 76.98 37.25 59.01 91.75
Washington DC 5 498,122.67 0.12 11.107 99,624.53 74.57 14.99 83.49 82.45
West Virginia 20 1,400,439.31 0.34 10.630 70,021.97 79.25 34.69 82.01 100.00
Wisconsin 126 7,011,967.71 1.72 11.689 55,650.54 74.79 42.06 67.20 89.84
Wyoming 1 171,794.98 0.04 10.520 171,794.98 80.00 0.00 0.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
1996 13 1,478,022.16 0.36 10.885 113,694.01 68.71 37.07 44.36 84.10
1997 3,810 406,748,699.39 99.62 10.196 106,758.19 76.73 37.71 64.77 92.93
- ----------------------------------------------------------------------------------- ------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
to Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15.00 to 19.99 1 30,953.22 0.01 10.800 30,953.22 17.71 100.00 0.00 100.00
20.00 to 24.99 5 182,604.21 0.04 11.182 36,520.84 22.93 67.21 67.21 100.00
25.00 to 29.99 8 309,112.67 0.08 10.502 38,639.08 27.22 74.48 17.61 83.83
30.00 to 34.99 12 709,117.10 0.17 9.577 59,093.09 32.03 64.75 50.43 97.06
35.00 to 39.99 13 648,525.17 0.16 10.185 49,886.55 37.45 85.08 65.19 93.67
40.00 to 44.99 16 983,852.18 0.24 10.140 61,490.76 41.47 85.53 41.46 90.61
45.00 to 49.99 32 2,467,571.29 0.60 9.903 77,111.60 47.43 64.24 42.17 96.60
50.00 to 54.99 74 5,936,279.23 1.45 10.054 80,219.99 52.71 57.22 39.63 81.83
55.00 to 59.99 105 8,426,279.47 2.06 10.112 80,250.28 57.33 58.29 38.59 83.78
60.00 to 64.99 221 17,873,891.84 4.38 10.445 80,877.34 61.91 53.45 39.71 87.28
65.00 to 69.99 321 29,636,459.71 7.26 10.526 92,325.42 66.47 51.89 43.49 87.93
70.00 to 74.99 580 52,068,907.54 12.75 11.198 89,773.98 71.03 41.62 65.61 89.16
75.00 to 79.99 747 79,813,770.23 19.55 9.944 106,845.74 75.78 39.44 55.19 89.89
80.00 to 84.99 968 118,914,118.35 29.13 9.814 122,845.16 80.43 32.91 62.26 95.25
85.00 to 89.99 393 47,487,683.99 11.63 10.141 120,833.80 85.65 33.85 91.08 98.83
90.00 to 94.99 328 42,793,159.30 10.84 10.321 130,466.95 90.00 19.84 94.88 98.91
- --------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 17.71
Max: 90.34
Weighted
Average: 76.70
<TABLE>
<CAPTION>
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Index Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Libor - 6 Month 3,822 408,099,632.37 99.96 10.200 106,776.46 76.70 37.68 64.68 92.90
1 Year CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
- --------------------------------------------------------------------------------------------------------------------
Total: 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Range of Margins Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.000 to 2.499 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
3.500 to 3.999 10 1,092,863.74 0.27 8.385 109,286.37 74.18 38.73 84.38 89.62
4.000 to 4.499 26 3,558,481.33 0.87 9.374 136,864.67 75.56 37.89 70.28 93.40
4.500 to 4.999 106 13,864,244.46 3.40 9.100 130,794.76 75.95 33.67 80.60 93.14
5.000 to 5.499 269 31,863,371.20 7.80 9.286 118,451.19 77.58 30.78 74.96 91.19
5.500 to 5.999 683 84,424,657.32 20.68 9.598 123,608.58 78.18 38.16 71.60 95.99
6.000 to 6.499 932 101,651,627.45 24.90 9.951 109,068.27 77.45 38.97 64.38 93.96
6.500 to 6.999 983 99,556,732.36 24.38 10.446 101,278.47 76.00 41.64 53.77 92.84
7.000 to 7.499 441 43,462,484.97 10.65 11.049 98,554.39 77.56 35.35 64.65 89.55
7.500 to 7.999 272 21,617,539.69 5.29 12.310 79,476.25 71.09 31.56 65.81 86.92
8.000 to 8.499 69 4,592,571.57 1.12 12.451 66,559.01 69.36 32.55 56.22 85.63
8.500 to 8.999 19 1,483,161.32 0.36 13.530 78,061.12 68.77 15.01 64.18 96.89
9.000 to 9.499 12 801,590.97 0.20 13.511 66,799.25 63.87 20.16 26.39 83.19
9.500 to 9.999 1 185,869.94 0.05 13.500 185,869.94 60.00 100.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2.250
Max: 9.550
Weighted Average: 6.265
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Maximum Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.500 to 7.999 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
12.000 to 12.499 3 777,422.63 0.19 7.412 259,140.88 79.24 41.70 97.62 100.00
12.500 to 12.999 16 2,403,058.80 0.59 6.900 150,191.18 73.20 46.36 84.04 100.00
13.000 to 13.449 17 2,093,621.53 0.51 7.199 123,154.21 68.89 62.82 53.36 97.94
13.500 to 13.999 60 9,094,645.36 2.23 7.550 151,577.42 72.82 31.88 68.98 88.76
14.000 to 14.499 79 12,500,538.01 3.06 8.148 158,234.66 76.23 31.34 81.69 83.87
14.500 to 14.999 125 18,198,958.94 4.46 8.639 145,591.67 75.09 35.76 65.46 88.08
15.000 to 15.499 194 27,890,631.69 6.83 8.847 143,766.14 76.06 45.49 59.32 91.27
15.500 to 15.999 303 40,061,287.63 9.81 9.204 132,215.47 77.27 37.43 61.46 91.98
16.000 to 16.499 415 49,876,841.92 12.22 9.638 120,185.16 78.00 39.79 60.26 91.90
16.500 to 16.999 579 66,771,601.41 16.35 9.992 115,322.28 78.10 35.94 64.30 95.56
17.000 to 17.499 490 50,606,895.43 12.40 10.499 103,279.38 78.24 33.67 62.29 95.10
17.500 to 17.999 491 48,023,273.13 11.76 10.845 97,807.07 78.68 39.92 61.21 94.11
18.000 to 18.499 276 22,948,915.66 5.62 11.300 83,148.25 78.54 45.29 69.91 92.15
18.500 to 18.999 210 16,379,132.19 4.01 11.740 77,995.87 75.29 39.30 66.19 88.10
19.000 to 19.499 137 9,928,264.65 2.43 12.263 72,469.09 69.99 35.40 63.57 96.60
19.500 to 19.999 100 6,979,372.97 1.71 12.441 69,793.73 70.45 32.39 62.03 89.58
20.000 to 20.499 69 4,672,394.32 1.14 12.946 67,715.86 68.24 24.97 66.09 91.20
20.500 to 20.999 74 4,993,287.03 1.22 13.749 67,476.85 68.43 45.69 77.86 94.79
21.000 to 21.499 56 4,249,790.67 1.04 14.263 75,889.12 69.73 31.22 89.54 95.55
21.500 to 21.999 58 3,810,209.37 0.93 14.428 65,693.27 70.93 37.38 90.66 100.00
22.000 to 22.499 45 3,100,798.31 0.76 14.991 68,906.63 70.41 35.79 97.47 100.00
22.500 to 22.999 6 453,607.01 0.11 14.505 75,601.17 72.20 12.72 79.45 100.00
23.000 to 23.499 3 109,925.45 0.03 15.499 36,641.82 70.76 0.00 100.00 100.00
23.500 to 23.999 2 128,500.16 0.03 11.628 64,250.08 67.16 0.00 34.39 34.39
24.000 to 24.499 2 225,754.99 0.06 10.495 112,877.50 74.54 0.00 23.11 100.00
24.500 to 24.999 1 54,947.41 0.01 12.875 54,947.41 67.00 0.00 100.00 100.00
25.000 to 25.499 1 287,038.20 0.07 9.000 287,038.20 80.00 0.00 0.00 100.00
25.500 to 25.999 4 549,069.13 0.13 9.498 137,267.28 80.39 0.00 100.00 100.00
27.000 to 27.499 1 112,253.57 0.03 10.125 112,253.57 75.00 0.00 0.00 100.00
27.500 to 27.999 2 253,096.99 0.06 10.375 126,548.50 80.00 0.00 63.11 100.00
28.500 to 28.999 1 314,396.30 0.08 10.750 314,396.30 75.00 0.00 100.00 100.00
32.500 to 32.999 1 70,621.13 0.02 12.990 70,621.13 65.00 0.00 0.00 100.00
33.500 to 33.999 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
35.000 to 35.499 1 179,480.38 0.04 9.700 179,480.38 90.00 0.00 100.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.625
Max: 35.100
Weighted Average: 16.925
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Periodic Caps Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.0 3,679 389,908,571.71 95.50 10.218 105,982.22 76.71 38.24 65.07 92.76
1.5 140 17,595,631.83 4.31 9.798 125,683.08 76.61 23.87 56.95 95.84
2.0 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
3.0 3 595,428.83 0.15 10.200 198,476.28 74.33 79.57 37.96 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1.000
Max: 3.000
Weighted Average: 1.025
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Next Rate Mortgage Principal Percent Average Current Original Cashout Full Owner
Change Date Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998-02 87 10,904,049.00 2.67 8.651 125,333.90 76.55 31.62 64.41 75.98
1998-03 304 40,789,605.64 9.99 9.348 134,176.33 77.00 42.12 57.53 90.87
1998-04 71 8,631,394.42 2.11 9.468 121,568.94 73.20 40.29 55.24 93.57
1998-05 169 16,594,776.59 4.06 9.796 98,193.94 74.32 32.54 63.40 88.68
1998-06 177 17,026,428.55 4.17 9.881 96,194.51 74.97 49.81 74.05 91.96
1998-07 119 12,438,475.10 3.05 10.044 104,525.00 76.44 44.16 65.53 86.96
1998-08 45 4,332,973.37 1.06 10.192 96,288.30 76.37 33.06 69.74 93.26
1998-09 1 110,901.55 0.03 10.280 110,901.55 75.00 100.00 0.00 100.00
1998-10 2 116,292.49 0.03 10.793 58,146.25 55.76 0.00 0.00 100.00
1998-11 5 583,097.52 0.14 11.021 116,619.50 60.90 50.62 50.62 100.00
1998-12 1 96,860.80 0.02 9.990 96,860.80 75.00 0.00 100.00 100.00
1999-01 2 289,720.80 0.07 10.897 144,860.40 74.26 0.00 14.49 100.00
1999-02 4 215,674.84 0.05 12.462 53,918.71 63.29 60.25 0.00 100.00
1999-03 6 632,671.37 0.15 10.356 105,445.23 64.21 41.40 47.13 94.38
1999-04 9 974,541.74 0.24 9.990 108,282.42 73.17 21.55 33.83 100.00
1999-05 18 1,458,680.11 0.36 9.965 81,037.78 67.38 11.77 27.72 91.62
1999-06 33 3,975,668.20 0.97 9.808 120,474.79 76.97 27.33 47.41 85.45
1999-07 40 5,135,863.20 1.26 9.956 128,396.58 79.21 12.82 73.03 97.96
1999-08 178 21,803,038.83 5.34 10.058 122,488.98 76.77 27.29 60.12 92.94
1999-09 882 96,382,310.92 23.61 10.245 109,277.00 77.66 34.63 61.99 94.75
1999-10 396 44,721,839.46 10.95 10.640 112,933.94 76.30 35.22 70.10 95.10
1999-11 158 17,526,445.50 4.29 10.231 110,926.87 78.86 32.11 68.67 97.76
1999-12 378 34,534,148.35 8.46 10.785 91,360.18 76.86 41.04 69.96 93.66
2000-01 390 35,184,878.75 8.62 10.782 90,217.64 76.69 44.99 69.97 93.84
2000-02 213 18,566,132.57 4.55 10.962 87,164.94 77.11 44.56 67.01 95.39
2000-03 2 547,176.91 0.13 8.479 273,588.46 61.03 20.88 100.00 20.88
2000-04 1 28,124.16 0.01 12.490 28,124.16 60.00 0.00 0.00 100.00
2000-05 1 428,420.20 0.10 10.250 428,420.20 83.00 100.00 100.00 100.00
2000-06 1 31,394.93 0.01 12.250 31,394.93 70.00 0.00 0.00 100.00
2000-07 3 481,802.17 0.12 9.043 160,600.72 71.05 0.00 45.70 100.00
2000-08 4 580,541.34 0.14 10.869 145,135.33 80.57 70.05 29.95 100.00
2000-09 26 3,312,761.87 0.81 9.998 127,413.92 80.58 68.16 60.94 78.72
2000-10 15 1,519,555.59 0.37 10.248 101,303.71 72.61 50.90 64.17 97.61
2000-11 37 4,471,983.82 1.10 9.798 120,864.43 76.61 35.05 63.03 97.11
2000-12 20 1,953,019.87 0.48 10.106 97,650.99 77.04 42.95 66.41 92.72
2001-01 16 1,351,089.33 0.33 10.724 84,443.08 72.99 25.22 92.54 93.90
2001-02 10 549,945.64 0.13 10.646 54,994.56 71.99 67.59 45.95 73.44
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
Class A-1
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 11.44 2.04 1.45 1.14 0.95 0.82 0.65
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Payment Window 237 52 35 27 21 18 14
Window
Class A-2
Average Life 20.76 4.82 3.27 2.48 2.00 1.67 1.27
First Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Last Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Payment Window 24 12 9 6 6 4 3
Window
Class A-3
Average Life 24.78 8.45 5.38 3.89 3.00 2.36 1.75
First Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Last Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Payment Window 68 93 62 37 27 15 11
Window
Class A-4
Average Life 27.82 14.53 10.27 6.90 5.00 3.81 2.34
First Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Last Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Payment Window 14 43 40 38 18 19 5
Window
Class A-5
Average Life 29.06 21.58 16.43 12.72 9.68 7.18 2.78
First Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Last Pay 10/27 9/26 9/23 2/19 3/15 5/12 2/01
Payment Window 17 147 165 148 137 119 7
Window
Class A-6
Average Life 13.80 8.15 7.36 6.89 6.62 6.52 6.26
First Pay 3/01 3/01 3/01 3/01 6/01 9/01 2/01
Last Pay 8/27 6/26 5/23 11/18 1/15 3/12 6/08
Payment Window 318 304 267 213 164 127 89
Window
Class M-1F
Average Life 26.23 12.96 9.39 7.19 5.82 5.03 4.54
First Pay 8/19 4/04 5/02 4/01 4/01 6/01 11/01
Last Pay 8/27 7/24 8/19 12/14 10/11 6/09 4/06
Payment Window 97 244 208 165 127 97 54
Window
Class M-2F
Average Life 26.22 12.87 9.28 7.10 5.73 4.89 4.13
First Pay 8/19 4/04 5/02 4/01 3/01 4/01 6/01
Last Pay 7/27 3/23 9/17 4/13 6/10 4/08 6/05
Payment Window 96 228 185 145 112 85 49
Window
Class B-1F
Average Life 26.16 12.39 8.87 6.78 5.45 4.63 3.79
First Pay 8/19 4/04 5/02 4/01 3/01 3/01 3/01
Last Pay 5/27 9/20 12/14 4/11 9/08 10/06 5/04
Payment Window 94 198 152 121 91 68 39
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
Class A-7
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 20.07 4.64 3.48 2.72 2.15 1.67 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/27 3/24 10/19 9/15 8/12 3/10 2/01
Payment Window 356 313 260 211 174 145 36
Window
Class M-1A
Average Life 27.12 9.70 7.28 5.87 5.21 5.12 6.14
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 9/27 8/21 10/16 1/13 5/10 4/08 5/08
Payment Window 68 233 188 140 105 76 72
Window
Class M-2A
Average Life 27.12 9.62 7.20 5.76 4.94 4.51 4.36
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 8/27 10/19 1/15 7/11 1/09 4/07 11/05
Payment Window 67 211 167 124 93 70 52
Window
Class B-1A
Average Life 27.09 9.30 6.95 5.53 4.68 4.17 3.86
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 6/27 2/17 8/12 8/09 6/07 11/05 9/04
Payment Window 65 179 138 102 76 56 42
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Floating Rate Average Life Sensitivities
(To Call)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7
Average Life 20.04 4.30 3.20 2.49 1.96 1.52 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 2/01
Payment Window 344 158 118 92 75 62 36
Class M-1A
Average Life 27.02 8.79 6.54 5.26 4.71 4.70 4.45
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 53 33 16 2
Class M-2A
Average Life 27.02 8.79 6.54 5.21 4.50 4.14 4.06
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 55 37 22 12
Class B-1A
Average Life 27.02 8.79 6.54 5.19 4.41 3.94 3.68
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 56 39 25 16
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-1
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 93 72 62 51 40 29 8
2/00 91 47 26 7 0 0 0
2/01 88 24 0 0 0 0 0
2/02 85 5 0 0 0 0 0
2/03 82 0 0 0 0 0 0
2/04 79 0 0 0 0 0 0
2/05 75 0 0 0 0 0 0
2/06 72 0 0 0 0 0 0
2/07 68 0 0 0 0 0 0
2/08 64 0 0 0 0 0 0
2/09 59 0 0 0 0 0 0
2/10 54 0 0 0 0 0 0
2/11 48 0 0 0 0 0 0
2/12 41 0 0 0 0 0 0
2/13 28 0 0 0 0 0 0
2/14 23 0 0 0 0 0 0
2/15 18 0 0 0 0 0 0
2/16 12 0 0 0 0 0 0
2/17 5 0 0 0 0 0 0
2/18 0 0 0 0 0 0 0
2/19 0 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 11.4 2.0 1.4 1.1 0.9 0.8 0.7
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 11.4 2.0 1.4 1.1 0.9 0.8 0.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-2
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 28 0 0
2/01 100 100 79 0 0 0 0
2/02 100 100 0 0 0 0 0
2/03 100 23 0 0 0 0 0
2/04 100 0 0 0 0 0 0
2/05 100 0 0 0 0 0 0
2/06 100 0 0 0 0 0 0
2/07 100 0 0 0 0 0 0
2/08 100 0 0 0 0 0 0
2/09 100 0 0 0 0 0 0
2/10 100 0 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 86 0 0 0 0 0 0
2/19 34 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.8 4.8 3.3 2.5 2.0 1.7 1.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.8 4.8 3.3 2.5 2.0 1.7 1.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-3
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 74 11
2/01 100 100 100 76 32 0 0
2/02 100 100 79 39 8 0 0
2/03 100 100 50 13 0 0 0
2/04 100 79 30 0 0 0 0
2/05 100 61 13 0 0 0 0
2/06 100 51 6 0 0 0 0
2/07 100 40 0 0 0 0 0
2/08 100 29 0 0 0 0 0
2/09 100 18 0 0 0 0 0
2/10 100 8 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 95 0 0 0 0 0 0
2/21 81 0 0 0 0 0 0
2/22 65 0 0 0 0 0 0
2/23 47 0 0 0 0 0 0
2/24 27 0 0 0 0 0 0
2/25 4 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 24.8 8.5 5.4 3.9 3.0 2.4 1.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 24.8 8.5 5.4 3.9 3.0 2.4 1.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-4
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 78 0
2/02 100 100 100 100 100 34 0
2/03 100 100 100 100 41 0 0
2/04 100 100 100 79 0 0 0
2/05 100 100 100 32 0 0 0
2/06 100 100 100 16 0 0 0
2/07 100 100 87 0 0 0 0
2/08 100 100 55 0 0 0 0
2/09 100 100 25 0 0 0 0
2/10 100 100 0 0 0 0 0
2/11 100 95 0 0 0 0 0
2/12 100 64 0 0 0 0 0
2/13 100 30 0 0 0 0 0
2/14 100 8 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 100 0 0 0 0 0 0
2/23 100 0 0 0 0 0 0
2/24 100 0 0 0 0 0 0
2/25 100 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.8 14.5 10.3 6.9 5.0 3.8 2.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.8 14.5 10.3 6.9 5.0 3.8 2.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-5
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 0
2/02 100 100 100 100 100 100 0
2/03 100 100 100 100 100 72 0
2/04 100 100 100 100 92 46 0
2/05 100 100 100 100 68 31 0
2/06 100 100 100 100 64 31 0
2/07 100 100 100 94 53 28 0
2/08 100 100 100 77 41 21 0
2/09 100 100 100 62 31 15 0
2/10 100 100 98 48 23 9 0
2/11 100 100 81 38 17 4 0
2/12 100 100 66 29 11 0 0
2/13 100 100 52 21 6 0 0
2/14 100 100 43 17 3 0 0
2/15 100 92 35 12 0 0 0
2/16 100 80 29 8 0 0 0
2/17 100 69 23 5 0 0 0
2/18 100 58 19 2 0 0 0
2/19 100 49 15 0 0 0 0
2/20 100 41 11 0 0 0 0
2/21 100 34 7 0 0 0 0
2/22 100 27 4 0 0 0 0
2/23 100 21 1 0 0 0 0
2/24 100 16 0 0 0 0 0
2/25 100 9 0 0 0 0 0
2/26 100 3 0 0 0 0 0
2/27 50 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 29.1 21.6 16.4 12.7 9.7 7.2 2.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 28.5 17.2 12.7 9.6 7.3 5.7 2.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-6
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 99
2/02 99 93 90 89 90 93 99
2/03 99 87 82 80 79 79 74
2/04 97 76 71 66 62 59 44
2/05 95 67 60 52 46 40 26
2/06 89 46 34 25 18 17 15
2/07 82 31 20 12 7 5 6
2/08 75 21 11 5 3 2 1
2/09 67 14 6 3 1 0 0
2/10 60 9 3 1 0 0 0
2/11 52 6 2 1 0 0 0
2/12 44 4 1 0 0 0 0
2/13 31 2 0 0 0 0 0
2/14 28 1 0 0 0 0 0
2/15 24 1 0 0 0 0 0
2/16 20 1 0 0 0 0 0
2/17 17 0 0 0 0 0 0
2/18 13 0 0 0 0 0 0
2/19 10 0 0 0 0 0 0
2/20 8 0 0 0 0 0 0
2/21 6 0 0 0 0 0 0
2/22 4 0 0 0 0 0 0
2/23 3 0 0 0 0 0 0
2/24 1 0 0 0 0 0 0
2/25 1 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 13.8 8.1 7.4 6.9 6.6 6.5 6.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 13.8 8.1 7.3 6.8 6.4 5.8 4.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 63
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 6
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 8 0
2/08 100 61 35 19 10 5 0
2/09 100 53 29 15 7 1 0
2/10 100 46 24 12 5 0 0
2/11 100 40 19 9 2 0 0
2/12 100 35 16 7 0 0 0
2/13 100 29 12 5 0 0 0
2/14 100 25 10 2 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 7 0 0 0 0
2/17 100 16 5 0 0 0 0
2/18 100 14 4 0 0 0 0
2/19 100 12 1 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 8 0 0 0 0 0
2/22 78 6 0 0 0 0 0
2/23 67 5 0 0 0 0 0
2/24 55 1 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 13.0 9.4 7.2 5.8 5.0 4.5
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.6 4.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-2F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 28
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 2
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 6 0
2/08 100 61 35 19 10 1 0
2/09 100 53 29 15 6 0 0
2/10 100 46 24 12 1 0 0
2/11 100 40 19 9 0 0 0
2/12 100 35 16 4 0 0 0
2/13 100 29 12 0 0 0 0
2/14 100 25 10 0 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 4 0 0 0 0
2/17 100 16 1 0 0 0 0
2/18 100 14 0 0 0 0 0
2/19 100 12 0 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 7 0 0 0 0 0
2/22 78 3 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.9 9.3 7.1 5.7 4.9 4.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.5 3.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche -B-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 27
2/03 100 100 87 65 47 34 11
2/04 100 100 72 51 35 21 1
2/05 100 89 61 40 25 11 0
2/06 100 79 50 31 15 3 0
2/07 100 69 42 23 8 0 0
2/08 100 61 35 15 2 0 0
2/09 100 53 29 9 0 0 0
2/10 100 46 21 4 0 0 0
2/11 100 40 15 0 0 0 0
2/12 100 35 10 0 0 0 0
2/13 100 29 5 0 0 0 0
2/14 100 23 2 0 0 0 0
2/15 100 19 0 0 0 0 0
2/16 100 14 0 0 0 0 0
2/17 100 11 0 0 0 0 0
2/18 100 7 0 0 0 0 0
2/19 100 4 0 0 0 0 0
2/20 96 1 0 0 0 0 0
2/21 87 0 0 0 0 0 0
2/22 78 0 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 4 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.4 8.9 6.8 5.5 4.6 3.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.2 4.5 3.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche A-7
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 96 78 72 66 60 54 48
2/00 96 62 52 42 33 25 18
2/01 95 48 36 25 15 7 0
2/02 94 37 28 22 15 7 0
2/03 94 30 23 16 12 7 0
2/04 93 26 18 12 8 0 0
2/05 92 22 14 9 0 0 0
2/06 91 18 11 0 0 0 0
2/07 89 15 9 0 0 0 0
2/08 88 13 0 0 0 0 0
2/09 86 11 0 0 0 0 0
2/10 85 9 0 0 0 0 0
2/11 83 8 0 0 0 0 0
2/12 80 0 0 0 0 0 0
2/13 78 0 0 0 0 0 0
2/14 75 0 0 0 0 0 0
2/15 72 0 0 0 0 0 0
2/16 68 0 0 0 0 0 0
2/17 64 0 0 0 0 0 0
2/18 60 0 0 0 0 0 0
2/19 54 0 0 0 0 0 0
2/20 49 0 0 0 0 0 0
2/21 42 0 0 0 0 0 0
2/22 35 0 0 0 0 0 0
2/23 30 0 0 0 0 0 0
2/24 25 0 0 0 0 0 0
2/25 19 0 0 0 0 0 0
2/26 12 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.0 4.3 3.2 2.5 2.0 1.5 1.2
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.1 4.6 3.5 2.7 2.2 1.7 1.2
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 60 89 100
2/03 100 86 64 46 33 33 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.3 4.7 4.7 4.5
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.7 7.3 5.9 5.2 5.1 6.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-2A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 47
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.5 4.1 4.1
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.6 7.2 5.8 4.9 4.5 4.4
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
Amresco 1998-1 Credit Suisse First Boston Computational Materials
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche B-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 25
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.4 3.9 3.7
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.3 7.0 5.5 4.7 4.2 3.9
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
<PAGE>
AMRESCO 1998-1 Credit Suisse First Boston Computational Materials
Available Funds Cap Schedule for Adjustable Rate Certificates
Assumes constant LIBOR (1M LIBOR = 5.6055%, 6M LIBOR = 5.625%)
- ----------------------------------------
Available Funds
Cap
- ----------------------------------------
1 3/25/98 9.69
2 4/25/98 9.69
3 5/25/98 9.69
4 6/25/98 9.97
5 7/25/98 9.97
6 8/25/98 9.97
7 9/25/98 9.97
8 10/25/98 9.97
9 11/25/98 9.97
10 12/25/98 10.25
11 1/25/99 10.25
12 2/25/99 10.25
13 3/25/99 10.25
14 4/25/99 10.25
15 5/25/99 10.25
16 6/25/99 10.29
17 7/25/99 10.29
18 8/25/99 10.46
19 9/25/99 10.46
20 10/25/99 10.46
21 11/25/99 10.46
22 12/25/99 11.31
23 1/25/00 11.31
24 2/25/00 11.31
25 3/25/00 11.31
26 4/25/00 11.31
27 5/25/00 11.31
28 6/25/00 11.31
29 7/25/00 11.32
30 8/25/00 11.32
31 9/25/00 11.32
32 10/25/00 11.32
33 11/25/00 11.32
34 12/25/00 11.38
35 1/25/01 11.38
36 2/25/01 11.38
37 3/25/01 11.38
38 4/25/01 11.38
39 5/25/01 11.38
40 6/25/01 11.38
- ------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
Credit First
Suisse Boston
Computational Materials
$1,000,000,000
(Approximate)
AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-1
Home Equity Loan ABS
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
$1,000,000,000 AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1998-1
AMRESCO Residential Securities Corporation
Depositor
Advanta Mortgage Corp. USA
Ameriquest Mortgage Company
Wendover Funding Inc.
Servicers
Transaction Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Average Modified
Class Size Expected Ratings Life Duration Payment Final
Class(1) ($millions) Tranche Type (Moody's/S&P/Fitch) (years)(2) (years) (2) Window(2) Maturity Date
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $156.00 Fixed Sequential Aaa/AAA/AAA 0.95 0.89 21 03/98 - 11/99 [6/18]
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 25.00 Fixed Sequential Aaa/AAA/AAA 2.00 1.84 06 11/99 - 04/00 [3/20]
- ------------------------------------------------------------------------------------------------------------------------------------
A-3 78.50 Fixed Sequential Aaa/AAA/AAA 3.00 2.66 27 04/00 - 06/02 [5/25]
- ------------------------------------------------------------------------------------------------------------------------------------
A-4 22.50 Fixed Sequential Aaa/AAA/AAA 5.00 4.16 18 06/02 - 11/03 [6/26]
- ------------------------------------------------------------------------------------------------------------------------------------
A-5 32.00 Fixed Sequential Aaa/AAA/AAA 9.68 6.70 137 11/03 - 03/15 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
A-6 30.00 Fixed Lockout Aaa/AAA/AAA 6.62 5.19 164 06/01 - 01/15 [8/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1F 22.00 Fixed Mezzanine Aa2/AA/AA 5.82 4.49 127 04/01 - 10/11 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2F 18.00 Fixed Mezzanine A2/A/A 5.73 4.41 112 03/01 - 06/10 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1F 16.00 Fixed Subordinate Baa3/BBB/BBB 5.45 4.23 91 03/01 - 09/08 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
A-7 $486.00 Floater Aaa/AAA/AAA 2.49 2.13 92 03/98 - 10/05 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1A 48.00 Floater Mezzanine Aa2/AA/AA 5.26 4.30 53 06/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2A 36.00 Floater Mezzanine A2/A/A 5.21 4.23 55 04/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1A 30.00 Floater Baa3/BBB-/BBB- 5.19 4.16 56 03/01 - 10/05 [1/28]
Subordinate
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,000.00 -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Classes A-1 through A-6, M-1F, M-2F, and B-1F are backed by a fixed
rate pool; Classes A-7, M-1A, M-2A, and B-1A are backed by an ARM
pool. The Certificates also include a fixed and ARM pool Subordinate
IO strip, as described below under "Subordinate IO".
(2) Classes A-1 through A-6, M-1F, M-2F, and B-2F are shown to maturity
while Classes A-7, M-1A, M-2A, and B-1A are shown to call. See
"Prepayment Speed" below.
Seller: AMRESCO Residential Capital Markets, Inc.
Servicers: Advanta Mortgage, Ameriquest Mortgage, and Wendover Funding
Trustee: Bankers Trust Company
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Transaction Highlights
(continued)
Collateral: Fixed and floating-rate conventional home equity
loans secured by first and second lien
mortgages. See "Collateral Description" for more
detail.
Prepayment Speed:
Fixed-Rate Certificates: All fixed rate classes are priced at a
prepayment speed starting at 5.0% CPR in month
1, increasing by approximately 1.818% per month
to 25% CPR in month 12 (125% of PPC). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.454% CPR
per month to 20% CPR in month 12, and remaining
at 20% CPR thereafter.
Floating-Rate Certificates: Constant 25% CPR.
Expected Pricing Date: Thursday, January 29, 1998
Expected Settlement: Thursday, February 12, 1998 through DTC,
Euroclear or CEDEL.
Distribution Dates: The 25th of each month, beginning March, 1998
Prefunded Amount: Approximately $115 million of fixed rate
collateral and approximately $135 million of
adjustable rate collateral
Subordinate IO: The Certificates will include a Subordinate IO
strip off of the fixed rate and ARM pools which
are not offered hereby. The fixed rate pool
Subordinate IO pays a 15% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-1F
outstanding principal balance and the Class M-2F
outstanding principal balance). The ARM pool
Subordinate IO pays a 7.50% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-2A
outstanding principal balance and the Class B-1A
outstanding principal balance).
The fixed rate pool Subordinate IO initially
reduces the excess spread available to fund o/c
by approximately 150 basis points (resulting in
a fixed pool initial excess spread of
approximately 2.09%), while the ARM pool
Subordinate IO initially reduces the excess
spread by approximately 82.5 basis points
(resulting in an ARM pool initial excess spread
of approximately 2.93%).
Available Funds Cap: All Certificates are subject to an available
funds cap. The cap, for both the fixed rate and
ARM Certificates, is the weighted average coupon
for that group less the approximately 0.50%
Servicing Fee. Shortfalls due to the available
funds cap will be carried forward on the
Adjustable Rate Certificates only.
Option and Auction Call: 10% mandatory auction call (10% of original
certificate balance) followed by a 5% servicer
clean-up call.
Coupon Step Up: After the Clean-up Date, the spread to LIBOR on
the Class A-7 will double, while the spread to
LIBOR on the M-1A, M-2A, and B-1A will increase
by 50% to incent AMRESCO to call the bonds
Tax Status: REMIC
ERISA Eligibility: The Class A-1 -through A-7 certificates are
ERISA eligible; All other Certificate Classes
are NOT ERISA eligible.
SMMEA Eligibility: Only the Class A-7 and M-1A Certificates are
SMMEA eligible.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Overcollateralization
1. Before the Stepdown Date, overcollateralization builds to 1.75% and 2.40%
of the original loan balance of the fixed-rate and adjustable-rate loan
groups, respectively.
2. On and after the Stepdown Date, overcollateralization is maintained at
3.50% and 4.80% of the outstanding loan balance of the fixed-rate and
adjustable-rate loan groups, respectively (subject to performance
triggers).
3. The overcollateralization amount is subject to a floor of 0.50% of the
original loan balance for both loan groups.
Interest Cashflow Priority
* Interest Collections (net of Servicing) will generally be allocated in the
following priority:
Fixed Rate Cashflows
1. Trustee fee
2. Class A-1-Class A-6 current interest plus unpaid interest shortfalls
3. M-1F current interest
4. M-2F current interest
5. B-1F current interest
6. Pay fixed-rate Subordinate IO ($500,000 each month for the first 24
months)
7. Build fixed-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1F, Class M-2F and Class B-1F.
9. To the adjustable-rate loan group in the order of items 7 and 8, if
necessary
Floating Rate Cashflows
1. Trustee Fee
2. Class A-7 current interest plus unpaid interest shortfalls
3. M-1A current interest
4. M-2A current interest
5. B-1A current interest
6. Pay adjustable-rate Subordinate IO ($412,500 each month for the first
24 months)
7. Build adjustable-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1A, Class M-2A and Class B-1A
9. To the fixed-rate loan group in the order of items 7 and 8, if
necessary
Principal Cashflow Priority
* Collections of Principal before the Stepdown Date, or if a Trigger Event
exists, will be allocated in the following priority:
Fixed Rate Cashflows
1. Pay A-6 according to the following Lockout Percentage:
March 1998 - February 2001 0%
March 2001 - February 2003 45%
March 2003 - February 2004 80%
March 2004 - February 2005 100%
March 2005 and thereafter 300%
2. Pay Classes A-1 through A-6 sequentially
3. Pay Classes M-1F, M-2F and B-1F sequentially
Floating Rate Cashflows
1. Pay Class A-7
2. Pay Classes M-1A, M-2A and B-1A sequentially
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
* Collections of Principal on and after the Stepdown date, (assuming no Trigger
Event is in effect) will be allocated in the following priority:
Fixed Rate Cashflows
PayClass A, Class M-1F, Class M-2F, and Class B-1F pro-rata in accordance
with enhancement targets, equal to 2.0 times the initial enhancement for
each class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 68.5% 31.5%
Class M-1F 11.0 20.5
Class M-2F 9.0 11.5
Class B-1F 8.0 3.5
Overcollateralization 3.5
---
100%
Floating Rate Cashflows
Pay Class A-7, M-1A, M-2A, and B-1A pro-rata in accordance with
enhancement targets equal to 2.0 times the initial enhancement for each
class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 57.2% 42.8%
Class M-1A 16.0 26.8
Class M-2A 12.0 14.8
Class B-1A 10.0 4.8
Overcollateralization 4.8
----
100.0%
* Stepdown Date- the earlier to occur of: (i) the later of: (x) the 37th
Payment Date (March 2001) or (y) when credit enhancement reaches its target
level and (ii) when the Class A Certificates are retired in full.
* Trigger Event - occurs when 60+ day delinquency percentage is greater than
50% of the senior enhancement percentage for the fixed-rate loan group and
40% of the senior enhancement percentage for the adjustable-rate loan group.
* Subordinate Trigger Event - occurs if both:
-----------------------------------------------------------------------
I. Realized losses exceed: Fixed ARMs
-----------------------------------------------------------------------
March 1998 - February 2000 [1.26%] [1.75%]
March 2000 - February 2001 [1.50%] [2.10%]
March 2001 - February 2002 [2.60%] [3.50%]
March 2002 - February 2003 [3.30%] [4.40%]
March 2003 - February 2004 [3.50%] [4.80%]
March 2004 - February 2005 [3.50%] [5.20%]
March 2005 - February 2006 [3.50%] [5.60%]
-----------------------------------------------------------------------
II. 60+ day delinquencies exceed:
-----------------------------------------------------------------------
March 2000 - February 2002 [4.00%] [4.00%]
March 2002 - February 2004 [5.50%] [5.50%]
March 2004 - February 2006 [8.00%] [8.00%]
-----------------------------------------------------------------------
* If a Subordinate Trigger Event occurs, overcollateralization is not released
and the excess cashflow attributable is paid to the related subordinated
classes in reverse order of seniority.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Collateral Description
Note that the following collateral description is only reflective of $249.1
million of fixed rate loans and $408.3 million of ARM loans.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans ARM Home Equity Loans
---------------------------- ---------------------
Group I Group II
------- --------
<S> <C> <C>
Aggregate Pool Balance: $249.1 million $408.3 million
Number of Loans: 3,476 3,824
Prefunded Amount: $115 million $135 million
Average Outstanding Balance: $71,663.81 ( min: $5,907/ $106,768.38 ( min: $8,478/
max: $828,666) max: $747,576)
Total Original Balance: $249.9 million $409.3 million
Average Original Balance: $71,896.48 $107,024.61
Lien Position: 96.32% firsts; 3.68% non-firsts 100% firsts
Prepayment Penalty: 74.0% have penalties 72.4% have penalties
WA Original Loan to Value 71.5% (17.6% >80%, min: 5.0%/ 76.7% (26.6% >80%, min: 17.7%/
Ratio(1): max: 90.1%) max: 90.3%)
Loan Type: a) 93.87% Fixed Rate a) 69.20% 2/28 6-month LIBOR ARMs
b) 6.13% 5/25 ARMs b) 27.03% 6-month LIBOR ARMs
c) 3.72% 3/27 6-month LIBOR ARMs
d) 0.04% other
Amortization Type: a) 96.54% Fully Amortizing 100% Fully Amortizing
b) 3.46% Balloon
WA Original Term: 329.48 months (16.57% 180-month maturity 358.64 months (0.58% 180-month maturity
82.89% 360-month maturity) 99.16% 360-month maturity)
Remaining WA Maturity: 325.35 months 354.53 months
WA Seasoning: 4.13 months 4.11 months
Latest Scheduled Maturity: Expected January 1, 2028 Expected January 1, 2028
WA Gross Coupon: 10.571% (min: 6.00% / max: 16.50%) 10.199% (current, min: 5.500% / max:
17.130%)
WA Gross Margin: 6.101% for 5/25 ARMs a) 6.266% for 6-month LIBOR ARMs
b) 3.847% for 1-year CMT ARMs
WA Periodic Cap: 1.004% for 5/25 ARMs 1.025%
WA Months to Roll: 56.50 months for 5/25 ARMs 15.99 months
WA Floor: 10.145% for 5/25 ARMs 10.172%
Property Type: 84.72% single family, 8.5% 2-4 family, 87.86% single family, 5.85% 2-4 family,
4.02% condo, 2.75% other 2.29% PUD, 3.18% condo, 0.82% other
Owner Occupancy: a) 88.74% owner occupied a) 92.90% owner occupied
b) 11.26% investor property b) 7.10% investor property
Geographic Distribution (> 5%): CA (20.31%), HI (17.88%), FL (7.49%), TX CA (32.12%), WA (5.65%)
(5.57%)
% Cashout Refinancing: 58.14% 37.70%
</TABLE>
Notes: (1) Defined as the original combined loan-to-value for all loans on the
property given on the collateral file.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Collateral Tables
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
10,000.00 to 19,999.99 160 2,827,497.39 1.14 11.976 17,671.86 58.43 77.28 71.39 72.70
20,000.00 to 29,999.99 573 14,628,614.15 5.87 11.960 25,529.87 62.95 69.42 63.26 75.62
30,000.00 to 39,999.99 567 20,014,494.06 8.03 11.733 35,298.93 65.81 55.95 70.33 82.85
40,000.00 to 49,999.99 474 21,401,806.65 8.59 11.471 45,151.49 68.49 60.29 71.59 82.21
50,000.00 to 59,999.99 394 21,766,160.18 8.74 11.257 55,244.06 71.69 53.80 69.75 87.67
60,000.00 to 69,999.99 195 12,639,303.30 5.07 11.166 64,816.94 72.96 62.63 60.54 90.23
70,000.00 to 79,999.99 183 13,738,980.11 5.52 10.947 75,076.39 69.98 63.82 63.71 93.29
80,000.00 to 89,999.99 145 12,348,046.58 4.96 10.563 85,158.94 71.49 56.85 68.98 86.24
90,000.00 to 99,999.99 147 14,019,421.30 5.63 10.855 95,370.21 73.49 59.08 55.02 85.85
100,000.00 to 109,999.99 93 9,801,400.23 3.93 10.180 105,391.40 73.96 56.92 64.52 87.30
110,000.00 to 119,999.99 88 10,059,672.88 4.04 10.501 114,314.46 73.00 52.29 62.55 93.12
120,000.00 to 129,999.99 52 6,515,333.50 2.62 10.340 125,294.88 73.95 57.34 65.65 94.11
130,000.00 to 139,999.99 57 7,696,028.60 3.09 9.874 135,018.05 75.60 66.73 57.83 93.04
140,000.00 to 149,999.99 44 6,406,499.29 2.57 10.049 145,602.26 74.73 52.31 51.92 86.64
150,000.00 to 159,999.99 27 4,223,406.16 1.70 10.383 156,422.45 76.07 37.29 66.56 96.36
160,000.00 to 169,999.99 28 4,610,601.37 1.85 9.601 164,664.33 71.77 60.33 64.15 85.52
170,000.00 to 179,999.99 21 3,698,410.77 1.48 9.289 176,114.80 76.23 71.65 85.83 95.14
180,000.00 to 189,999.99 23 4,275,630.46 1.72 9.478 185,896.98 70.95 52.00 56.83 82.43
190,000.00 to 199,999.99 22 4,302,157.18 1.73 9.523 195,552.60 72.77 59.35 54.54 100.00
200,000.00 to 209,999.99 20 4,113,735.16 1.65 9.495 205,686.76 72.73 50.26 69.93 100.00
210,000.00 to 219,999.99 14 3,026,305.38 1.21 9.508 216,164.67 72.45 57.04 57.33 100.00
220,000.00 to 229,999.99 12 2,715,825.64 1.09 8.873 226,318.80 72.69 58.38 83.17 91.62
230,000.00 to 239,999.99 14 3,308,316.61 1.33 9.903 236,308.33 71.94 57.05 49.99 86.08
240,000.00 to 249,999.99 15 3,662,732.76 1.47 10.032 244,182.18 75.00 59.89 59.96 93.32
250,000.00 to 259,999.99 7 1,795,118.31 0.72 8.862 256,445.47 71.68 71.79 56.91 100.00
260,000.00 to 269,999.99 6 1,588,853.53 0.64 10.126 264,808.92 80.05 49.93 83.46 100.00
270,000.00 to 279,999.99 6 1,665,209.96 0.67 9.307 277,534.99 81.65 49.86 83.23 100.00
280,000.00 to 289,999.99 8 2,271,373.50 0.91 8.278 283,921.69 78.30 25.03 74.99 75.28
290,000.00 to 299,999.99 11 3,264,843.56 1.31 8.845 296,803.96 69.53 63.40 45.48 91.06
300,000.00 to 309,999.99 2 614,305.88 0.25 9.053 307,152.94 77.19 100.00 50.39 100.00
310,000.00 to 319,999.99 8 2,526,441.78 1.01 9.926 315,805.22 81.58 50.15 62.38 100.00
320,000.00 to 329,999.99 6 1,953,000.27 0.78 10.103 325,500.04 74.18 66.83 66.65 100.00
330,000.00 to 339,999.99 7 2,341,728.72 0.94 9.335 334,532.67 81.42 57.33 28.67 100.00
340,000.00 to 349,999.99 11 3,808,056.61 1.53 9.435 346,186.96 73.58 63.71 54.50 81.89
350,000.00 to 359,999.99 5 1,772,964.27 0.71 9.614 354,592.85 81.19 59.72 40.28 100.00
360,000.00 to 369,999.99 2 733,694.38 0.29 10.913 366,847.19 69.02 50.32 49.68 100.00
370,000.00 to 379,999.99 3 1,127,372.24 0.45 9.399 375,790.75 69.28 66.81 66.78 100.00
380,000.00 to 389,999.99 2 774,447.91 0.31 9.375 387,223.96 77.50 0.00 49.99 100.00
390,000.00 to 399,999.99 5 1,985,991.38 0.80 8.686 397,198.28 80.36 39.81 19.82 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
400,000.00 to 409,999.99 3 1,216,243.07 0.49 9.665 405,414.36 81.08 33.14 100.00 100.00
410,000.00 to 419,999.99 2 838,145.23 0.34 7.650 419,072.62 72.50 49.98 49.98 100.00
440,000.00 to 449,999.99 2 889,900.43 0.36 9.698 444,950.21 75.05 50.51 0.00 100.00
460,000.00 to 469,999.99 2 924,836.44 0.37 8.473 462,418.22 75.01 100.00 100.00 100.00
470,000.00 to 479,999.99 1 471,658.10 0.19 7.950 471,658.10 86.00 0.00 100.00 100.00
480,000.00 to 489,999.99 1 489,293.85 0.20 9.650 489,293.85 70.00 100.00 0.00 100.00
490,000.00 to 499,999.99 1 498,491.67 0.20 9.490 498,491.67 57.14 100.00 0.00 100.00
510,000.00 to 519,999.99 1 512,473.63 0.21 9.750 512,473.63 80.00 100.00 100.00 100.00
530,000.00 to 539,999.99 1 538,287.60 0.22 9.250 538,287.60 71.05 100.00 100.00 100.00
540,000.00 to 549,999.99 1 542,173.14 0.22 8.750 542,173.14 73.15 0.00 100.00 100.00
620,000.00 to 629,999.99 1 628,664.58 0.25 9.200 628,664.58 70.00 0.00 100.00 100.00
690,000.00 to 699,999.99 1 694,886.32 0.28 9.990 694,886.32 59.32 100.00 0.00 100.00
820,000.00 to 829,999.99 1 828,666.21 0.33 9.130 828,666.21 57.24 0.00 100.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5,906.63
Max: 828,666.21
Average: 71,663.81
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.000 to 6.499 3 539,943.85 0.22 6.415 179,981.28 65.67 44.51 100.00 100.00
6.500 to 6.999 20 3,844,215.58 1.54 6.860 192,210.78 69.32 69.80 72.79 92.91
7.000 to 7.499 16 3,601,092.47 1.45 7.338 225,068.28 72.25 80.43 72.20 100.00
7.500 to 7.999 59 9,574,033.98 3.84 7.860 162,271.76 69.78 66.15 81.49 96.27
8.000 to 8.499 56 7,835,641.10 3.15 8.278 139,922.16 69.77 59.95 68.49 86.16
8.500 to 8.999 173 20,965,504.63 8.42 8.749 121,187.89 72.51 58.27 66.02 95.69
9.000 to 9.499 137 16,066,302.29 6.45 9.231 117,272.28 68.69 60.06 63.85 90.91
9.500 to 9.999 380 38,455,795.85 15.44 9.744 101,199.46 72.20 64.24 61.32 85.56
10.000 to 10.499 238 17,281,650.34 6.94 10.247 72,611.98 73.00 60.01 62.08 84.94
10.500 to 10.999 536 36,432,025.78 14.63 10.723 67,970.20 74.31 57.12 64.35 88.44
11.000 to 11.499 359 21,263,615.74 8.54 11.248 59,230.13 72.42 55.15 56.40 85.61
11.500 to 11.999 517 28,507,113.45 11.44 11.701 55,139.48 74.02 53.42 68.29 87.95
12.000 to 12.499 271 12,652,414.50 5.08 12.186 46,687.88 70.92 48.15 50.96 87.13
12.500 to 12.999 254 12,022,351.12 4.83 12.723 47,332.09 67.35 56.33 60.74 89.53
13.000 to 13.499 154 6,721,228.87 2.70 13.237 43,644.34 65.08 56.49 48.75 90.70
13.500 to 13.999 107 4,495,661.40 1.80 13.740 42,015.53 63.63 63.96 59.64 82.62
14.000 to 14.499 49 2,087,701.01 0.84 14.248 42,606.14 61.15 43.05 55.58 76.36
14.500 to 14.999 75 3,143,497.52 1.26 14.722 41,913.30 66.48 42.43 79.33 91.97
15.000 to 15.499 29 1,580,302.49 0.63 15.202 54,493.19 71.15 41.90 93.14 100.00
15.500 to 15.999 38 1,874,588.44 0.75 15.733 49,331.27 69.75 39.08 94.96 98.61
16.000 to 16.499 3 105,887.93 0.04 16.197 35,295.98 56.44 100.00 64.96 64.96
16.500 to 16.999 2 52,840.57 0.02 16.500 26,420.29 67.65 47.04 100.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6.000
Max:: 16.500
Weighted Average Coupon: 10.571
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,130 229,487,147.35 92.13 10.520 73,318.58 71.95 59.10 63.97 89.09
7 to 12 336 18,761,877.93 7.53 11.183 55,838.92 66.54 45.46 64.00 83.94
13 to 18 3 200,056.65 0.08 12.592 66,685.55 65.28 100.00 33.38 100.00
19 to 24 5 444,506.71 0.18 10.089 88,901.34 65.14 86.43 63.11 100.00
25 to 30 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max:: 26
Weighted Average: 4.133
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Months
Remaining to Number of Aggregate Weighted Average Average Percent Percent Percent
Scheduled Mortgage Principal Percent Average Current Original Cashout Full Owner
Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 59 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
60 to 119 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.00
120 to 179 881 41,282,741.39 16.57 11.087 46,858.96 64.67 67.68 68.17 90.46
180 to 239 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
300 to 359 2,572 206,469,966.04 82.89 10.467 80,276.04 72.86 56.21 63.01 88.33
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 51
Max:: 359
Weighted Average: 325.35
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10 yr fxd 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.0
15 yr fxd 748 32,601,894.79 13.09 10.924 43,585.42 64.22 73.05 70.14 88.95
20 yr fxd 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
30 yr fxd 2,435 191,266,315.37 76.78 10.492 78,548.79 72.74 56.45 63.43 88.67
5/25 140 15,277,343.62 6.13 10.145 109,123.88 74.29 53.45 57.88 83.92
Balloon 131 8,613,060.28 3.46 11.721 65,748.55 66.41 47.05 60.67 96.33
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 2,102 144,851,210.18 58.15 10.446 68,911.14 69.43 100.00 60.38 87.67
Purchase 535 36,066,798.73 14.48 11.001 67,414.58 77.91 0.00 68.00 91.32
Refinance 839 68,185,400.00 27.37 10.609 81,269.85 72.58 0.00 69.17 89.66
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 536 28,040,804.81 11.26 10.761 52,314.93 66.48 63.69 61.31 0.00
Owner Occupied 2,940 221,062,604.10 88.74 10.547 75,191.36 72.16 57.45 64.22 100.00
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 264 21,174,874.25 8.50 10.516 80,207.86 68.52 68.86 56.49 64.87
Condo 136 10,025,489.32 4.02 9.916 73,716.83 71.90 43.48 64.73 80.77
Manuf Home 28 1,659,822.54 0.67 10.887 59,279.38 72.84 41.33 65.30 100.00
PUD 57 4,909,270.98 1.97 10.810 86,127.56 75.82 41.12 67.64 94.50
Single Family 2,985 211,041,806.71 84.72 10.599 70,700.77 71.69 58.33 64.50 91.29
Townhouse 5 231,816.58 0.09 11.078 46,363.32 77.30 48.73 80.73 91.44
Unknown 1 60,328.53 0.02 12.875 60,328.53 76.10 0.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,301 159,157,290.36 63.89 10.517 69,168.75 73.60 54.96 100.00 89.20
Limited 93 9,728,830.62 3.91 9.926 104,611.08 68.67 64.33 0.00 94.29
Stated 1,078 79,878,572.17 32.07 10.755 74,098.86 67.77 64.00 0.00 87.25
Unknown 4 338,715.76 0.14 10.912 84,678.94 63.86 0.00 0.00 69.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3,236 239,943,496.97 96.32 10.514 74,148.18 72.00 57.27 63.69 88.47
2 240 9,159,911.94 3.68 12.060 38,166.30 58.92 81.07 69.17 95.92
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Amresco Mortgage Principal Percent Average Current Original Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 487 50,441,765.16 20.25 9.285 103,576.52 72.83 66.09 55.32 84.96
2 1,270 104,975,335.37 42.14 10.136 82,657.74 73.30 57.64 64.61 87.70
3 701 44,479,044.05 17.86 10.871 63,450.85 72.02 53.04 66.06 92.84
4 435 21,198,900.05 8.51 11.499 48,733.10 68.09 61.87 74.66 91.02
5 577 27,545,539.42 11.06 13.378 47,739.24 64.15 51.34 65.32 91.24
Unknown 6 462,824.86 0.19 11.126 77,137.48 71.88 33.92 47.40 90.85
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 54 3,703,001.54 1.49 10.518 68,574.10 66.03 77.65 38.30 68.35
1.5 Year 2 153,294.29 0.06 14.619 76,647.15 75.43 60.65 60.65 100.00
2 Year 21 2,580,257.10 1.04 9.909 122,869.39 73.66 39.11 58.56 92.61
3 Year 115 7,181,633.07 2.88 11.006 62,448.98 69.19 67.20 74.84 97.54
4 Year 1 62,831.47 0.03 14.770 62,831.47 60.00 100.00 0.00 100.00
5 Year 943 87,964,540.50 35.31 9.776 93,281.59 73.00 59.39 66.63 89.77
Undefined Penalty 1,126 82,675,117.98 33.19 10.635 73,423.73 71.71 56.26 62.67 88.54
No Prepayment Penalty 1,214 64,782,732.96 26.01 11.536 53,363.04 69.76 57.46 62.26 87.61
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 18 1,304,566.65 0.52 10.514 72,475.92 69.56 32.58 82.93 61.25
Arizona 59 4,520,050.56 1.81 10.968 76,611.03 73.89 60.02 44.14 96.77
Arkansas 107 4,277,981.36 1.72 11.472 39,981.13 72.02 68.93 81.52 94.15
California 520 50,594,890.45 20.31 10.099 97,297.87 69.53 61.44 62.61 86.30
Colorado 45 4,151,122.16 1.67 9.540 92,247.16 73.57 63.48 74.29 90.66
Connecticut 29 2,107,340.93 0.85 10.821 72,666.93 67.45 71.10 28.94 83.78
Delaware 5 375,953.40 0.15 11.048 75,190.68 69.25 79.69 67.54 100.00
Florida 310 18,650,475.13 7.49 10.991 60,162.82 71.22 56.95 62.42 91.25
Georgia 42 2,400,580.88 0.96 11.125 57,156.69 72.38 62.43 74.14 86.10
Hawaii 238 44,539,007.35 17.88 8.875 187,138.69 73.65 58.64 58.72 92.74
Idaho 30 1,487,783.18 0.60 10.117 49,592.77 67.36 54.63 64.41 93.85
Illinois 118 6,542,575.61 2.63 11.603 55,445.56 70.24 73.95 61.10 84.61
Indiana 110 3,880,681.86 1.56 10.861 35,278.93 70.04 75.29 71.23 87.49
Iowa 14 695,168.51 0.28 12.288 49,654.89 72.34 76.05 45.35 100.00
Kansas 14 860,483.40 0.35 11.103 61,463.10 77.96 43.79 43.13 89.59
Kentucky 16 763,515.98 0.31 11.584 47,719.75 75.92 47.48 47.58 95.42
Louisiana 77 3,367,043.96 1.35 11.999 43,727.84 72.12 55.66 81.41 83.96
Maryland 81 4,644,909.35 1.86 11.775 57,344.56 73.46 46.82 57.71 83.46
Massachusetts 30 3,133,604.58 1.26 10.629 104,453.49 72.66 82.88 82.73 81.63
Michigan 100 4,270,901.60 1.71 12.268 42,709.02 71.89 50.89 70.46 89.37
Minnesota 46 2,833,866.96 1.14 11.512 61,605.80 74.56 57.56 57.56 78.76
Mississippi 60 2,669,740.16 1.07 11.730 44,495.67 74.47 65.06 70.45 93.87
Missouri 92 4,026,564.00 1.62 11.796 43,767.00 76.45 32.83 84.35 88.75
Montana 7 547,451.86 0.22 10.161 78,207.41 71.99 67.51 68.37 100.00
Nebraska 21 1,021,908.20 0.41 11.331 48,662.30 65.65 76.91 42.93 100.00
Nevada 41 2,948,807.70 1.18 10.570 71,922.14 71.30 48.79 70.12 81.34
New Hampshire 2 165,740.15 0.07 10.654 82,870.08 69.29 36.12 36.12 100.00
New Jersey 13 1,487,668.26 0.60 11.058 114,436.02 66.74 37.84 49.13 93.36
New Mexico 14 864,556.17 0.35 10.649 61,754.01 71.50 58.33 64.39 100.00
New York 37 3,673,035.37 1.47 11.473 99,271.23 69.43 38.84 63.02 89.38
North Carolina 77 3,774,489.66 1.52 12.441 49,019.35 69.83 63.92 54.70 87.29
North Dakota 3 126,750.51 0.05 11.171 42,250.17 74.37 100.00 83.12 100.00
Ohio 165 8,851,762.37 3.55 10.974 53,647.04 70.58 73.17 70.08 89.25
Oklahoma 79 3,559,280.45 1.43 11.335 45,054.18 77.48 54.13 86.44 90.55
Oregon 65 5,822,983.41 2.34 10.064 89,584.36 69.13 68.68 72.44 94.92
Pennsylvania 218 10,539,093.97 4.23 11.860 48,344.47 72.62 62.60 68.61 86.31
Rhode Island 6 226,351.52 0.09 11.571 37,725.25 66.04 78.49 41.46 78.49
South Carolina 31 1,286,533.26 0.52 12.326 41,501.07 71.89 57.62 71.98 91.08
South Dakota 1 55,856.03 0.02 10.250 55,856.03 79.00 100.00 100.00 100.00
Tennessee 68 3,877,154.65 1.56 11.348 57,016.98 72.82 54.45 82.03 93.68
Texas 245 13,872,116.99 5.57 11.482 56,620.89 72.89 16.59 59.22 83.03
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Utah 47 3,834,067.17 1.54 10.068 81,575.90 71.61 80.08 73.16 92.42
Virginia 31 1,796,562.04 0.72 11.773 57,953.61 71.37 51.25 42.26 89.04
Washington 63 4,473,649.40 1.80 9.968 71,010.31 63.34 71.23 59.16 95.52
Washington DC 19 1,651,382.15 0.66 11.737 86,914.85 70.11 50.24 30.17 65.36
West Virginia 16 710,872.46 0.29 11.841 44,429.53 72.86 64.39 68.78 97.22
Wisconsin 38 1,435,108.25 0.58 12.607 37,766.01 68.25 60.12 85.07 76.63
Wyoming 8 401,418.89 0.16 10.621 50,177.36 57.62 63.69 90.07 77.41
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
1996 8 644,563.36 0.26 10.866 80,570.42 65.18 90.64 53.88 100.00
1997 3,466 248,249,025.28 99.66 10.570 71,624.07 71.54 58.07 63.97 88.70
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Original Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.00 to 9.99 8 159,930.09 0.06 12.717 19,991.26 7.44 68.42 45.21 67.77
10.00 to 14.99 26 970,954.17 0.39 12.118 37,344.39 12.78 72.46 36.05 84.62
15.00 to 19.99 33 1,110,735.22 0.45 11.689 33,658.64 16.46 77.08 63.22 94.68
20.00 to 24.99 30 1,423,440.99 0.57 11.232 47,448.03 22.03 69.59 70.00 98.10
25.00 to 29.99 31 1,118,916.86 0.45 10.548 36,094.09 27.38 80.15 68.00 93.98
30.00 to 34.99 41 1,796,933.53 0.72 9.974 43,827.65 32.44 80.87 68.48 87.47
35.00 to 39.99 57 2,569,305.56 1.03 10.490 45,075.54 37.10 74.40 45.43 92.70
40.00 to 44.99 64 3,836,007.06 1.54 10.246 59,937.61 42.64 78.25 49.19 83.40
45.00 to 49.99 69 3,687,745.53 1.48 10.382 53,445.59 47.15 68.01 50.35 92.31
50.00 to 54.99 132 9,110,549.18 3.66 9.968 69,019.31 52.41 74.94 49.51 82.92
55.00 to 59.99 156 10,553,202.82 4.24 10.401 67,648.74 57.31 77.42 43.82 87.08
60.00 to 64.99 286 17,551,695.05 7.05 10.770 61,369.56 61.74 69.65 43.88 84.24
65.00 to 69.99 376 22,618,861.13 9.08 10.986 60,156.55 66.44 61.95 51.56 73.63
70.00 to 74.99 567 39,601,496.08 15.90 10.958 69,843.91 71.05 57.22 65.89 82.36
75.00 to 79.99 564 43,598,533.39 17.50 10.359 77,302.36 75.95 56.65 66.85 86.97
80.00 to 84.99 671 54,794,491.73 22.00 10.399 81,660.94 80.47 53.35 63.09 97.15
85.00 to 89.99 213 20,272,743.44 8.14 10.328 95,177.20 85.78 44.84 90.74 98.72
90.00 to 94.99 152 14,327,867.08 5.75 10.707 94,262.28 90.00 38.40 93.76 98.50
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.00
Max:: 90.10
Weighted Average: 71.52
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
ARM Collateral Tables
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 8,478.00 0.00 8.625 8,478.00 80.00 0.00 100.00 100.00
10,000.00 to 19,999.99 32 583,483.81 0.14 11.892 18,233.87 63.48 68.18 59.12 62.50
20,000.00 to 29,999.99 200 5,155,266.52 1.26 11.430 25,776.33 66.20 57.56 67.76 79.04
30,000.00 to 39,999.99 323 11,409,357.71 2.79 11.456 35,323.09 70.33 43.14 74.57 84.11
40,000.00 to 49,999.99 322 14,601,311.74 3.58 11.215 45,345.69 71.81 46.73 73.42 87.36
50,000.00 to 59,999.99 347 19,232,486.32 4.71 11.046 55,425.03 72.98 43.49 71.07 92.76
60,000.00 to 69,999.99 317 20,774,396.99 5.09 10.623 65,534.38 74.15 40.35 68.92 90.17
70,000.00 to 79,999.99 296 22,214,433.49 5.44 10.633 75,048.76 75.44 41.69 69.82 93.28
80,000.00 to 89,999.99 259 21,996,374.83 5.39 10.483 84,928.09 75.42 40.36 66.49 92.14
90,000.00 to 99,999.99 232 22,161,977.75 5.43 10.301 95,525.77 75.62 38.76 67.18 91.41
100,000.00 to 109,999.99 202 21,146,275.25 5.18 10.311 104,684.53 77.08 38.16 67.72 92.54
110,000.00 to 119,999.99 178 20,491,304.29 5.02 10.073 115,119.69 77.44 38.81 66.82 91.04
120,000.00 to 129,999.99 125 15,668,309.54 3.84 10.192 125,346.48 79.01 35.28 67.14 93.64
130,000.00 to 139,999.99 120 16,155,798.60 3.96 10.145 134,631.65 79.77 30.16 69.11 94.94
140,000.00 to 149,999.99 97 14,160,759.82 3.47 9.942 145,987.21 77.88 45.27 67.99 95.81
150,000.00 to 159,999.99 92 14,286,075.40 3.50 10.106 155,283.43 78.74 22.85 66.25 92.38
160,000.00 to 169,999.99 60 9,911,198.43 2.43 10.039 165,186.64 79.83 41.87 65.04 89.93
170,000.00 to 179,999.99 65 11,377,162.52 2.79 9.956 175,033.27 79.29 35.51 58.57 93.90
180,000.00 to 189,999.99 59 10,944,622.79 2.68 9.640 185,502.08 78.80 26.98 64.45 98.29
190,000.00 to 199,999.99 67 13,104,432.03 3.21 9.995 195,588.54 79.92 22.33 55.27 94.01
200,000.00 to 209,999.99 46 9,514,763.10 2.33 9.944 206,842.68 76.41 45.65 58.53 93.52
210,000.00 to 219,999.99 38 8,149,124.77 2.00 9.789 214,450.65 78.46 49.88 55.38 100.00
220,000.00 to 229,999.99 43 9,644,023.44 2.36 9.761 224,279.61 79.09 27.87 62.73 88.43
230,000.00 to 239,999.99 27 6,361,618.74 1.56 9.597 235,615.51 78.50 18.48 51.86 85.40
240,000.00 to 249,999.99 32 7,862,632.08 1.93 10.322 245,707.25 76.41 34.52 53.01 100.00
250,000.00 to 259,999.99 27 6,862,902.71 1.68 9.774 254,181.58 78.85 29.62 62.78 88.98
260,000.00 to 269,999.99 25 6,622,498.56 1.62 9.880 264,899.94 81.51 31.83 79.96 91.96
270,000.00 to 279,999.99 25 6,881,659.86 1.69 9.447 275,266.39 79.27 44.11 75.92 100.00
280,000.00 to 289,999.99 12 3,431,734.19 0.84 9.503 285,977.85 79.82 24.95 83.33 100.00
290,000.00 to 299,999.99 18 5,322,723.01 1.30 9.265 295,706.83 78.34 61.11 33.28 100.00
300,000.00 to 309,999.99 13 3,963,510.70 0.97 9.889 304,885.44 79.99 38.46 53.83 100.00
310,000.00 to 319,999.99 22 6,925,319.31 1.70 9.874 314,787.24 79.56 36.59 40.86 100.00
320,000.00 to 329,999.99 7 2,285,905.53 0.56 9.406 326,557.93 84.57 42.84 56.96 100.00
330,000.00 to 339,999.99 10 3,338,209.65 0.82 9.979 333,820.97 82.80 29.95 70.07 100.00
340,000.00 to 349,999.99 13 4,507,194.85 1.10 9.847 346,707.30 73.53 30.71 46.13 92.34
350,000.00 to 359,999.99 10 3,559,846.95 0.87 9.246 355,984.70 75.06 19.97 69.83 90.01
360,000.00 to 369,999.99 5 1,835,891.68 0.45 9.306 367,178.34 71.71 40.09 59.89 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
370,000.00 to 379,999.99 7 2,628,845.63 0.64 10.368 375,549.38 82.10 0.00 85.56 100.00
380,000.00 to 389,999.99 5 1,923,680.45 0.47 9.612 384,736.09 76.68 39.96 40.03 100.00
390,000.00 to 399,999.99 6 2,379,227.96 0.58 9.732 396,537.99 74.14 50.04 67.10 66.47
400,000.00 to 409,999.99 2 817,784.48 0.20 9.525 408,892.24 67.50 100.00 49.97 100.00
410,000.00 to 419,999.99 1 419,500.30 0.10 10.550 419,500.30 76.36 100.00 0.00 100.00
420,000.00 to 429,999.99 3 1,281,136.65 0.31 9.968 427,045.55 84.33 66.75 100.00 100.00
430,000.00 to 439,999.99 3 1,308,684.32 0.32 9.387 436,228.11 67.77 33.54 100.00 66.92
440,000.00 to 449,999.99 5 2,241,590.00 0.55 9.571 448,318.00 67.05 0.00 0.00 100.00
450,000.00 to 459,999.99 3 1,360,585.46 0.33 8.874 453,528.49 79.22 33.54 66.46 100.00
460,000.00 to 469,999.99 3 1,404,181.43 0.34 9.847 468,060.48 71.40 66.60 33.40 100.00
470,000.00 to 479,999.99 4 1,895,678.09 0.46 9.503 473,919.52 77.51 50.31 24.83 100.00
480,000.00 to 489,999.99 2 972,075.30 0.24 9.120 486,037.65 74.55 49.98 49.98 100.00
490,000.00 to 499,999.99 5 2,488,396.45 0.61 9.375 497,679.29 73.44 40.03 39.87 100.00
510,000.00 to 519,999.99 2 1,035,879.93 0.25 9.738 517,939.96 69.99 50.14 50.14 100.00
540,000.00 to 549,999.99 1 545,817.91 0.13 8.500 545,817.91 75.00 100.00 100.00 100.00
550,000.00 to 559,999.99 1 550,767.29 0.13 10.250 550,767.29 80.00 0.00 100.00 100.00
590,000.00 to 599,999.99 2 1,189,591.31 0.29 8.369 594,795.66 77.52 0.00 100.00 100.00
630,000.00 to 639,999.99 1 638,221.94 0.16 8.990 638,221.94 79.50 100.00 0.00 100.00
740,000.00 to 749,999.99 1 747,575.64 0.18 8.250 747,575.64 75.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 8,478.00
Max:: 747,575.64
Average: 106,768.38
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.500 to 5.999 2 221,671.18 0.05 5.572 110,835.59 66.27 100.00 57.33 100.00
6.000 to 6.499 2 390,401.31 0.10 6.250 195,200.66 73.60 100.00 100.00 100.00
6.500 to 6.999 33 4,873,750.10 1.19 6.871 147,689.40 69.96 42.30 72.03 100.00
7.000 to 7.499 17 2,671,380.83 0.65 7.274 157,140.05 70.34 45.52 34.04 98.39
7.500 to 7.999 80 12,120,643.76 2.97 7.805 151,508.05 75.46 43.18 81.87 91.57
8.000 to 8.499 99 14,434,877.59 3.54 8.230 145,806.84 74.67 29.55 74.67 82.00
8.500 to 8.999 302 45,131,757.38 11.05 8.760 149,442.91 76.66 43.24 66.42 89.82
9.000 to 9.499 281 36,750,501.03 9.00 9.225 130,784.70 76.77 37.02 58.16 89.92
9.500 to 9.999 679 83,782,028.97 20.52 9.742 123,390.32 78.49 36.34 61.53 94.71
10.000 to 10.499 457 48,834,833.58 11.96 10.227 106,859.59 77.50 32.70 57.81 94.89
10.500 to 10.999 670 68,653,690.44 16.82 10.713 102,468.19 78.64 37.32 65.32 94.47
11.000 to 11.499 351 28,791,798.81 7.05 11.166 82,027.92 78.37 43.99 63.97 92.57
11.500 to 11.999 266 21,630,621.16 5.30 11.682 81,318.12 77.45 40.82 66.41 90.94
12.000 to 12.499 142 10,731,873.20 2.63 12.200 75,576.57 70.64 34.84 62.50 94.80
12.500 to 12.999 120 7,535,053.06 1.85 12.726 62,792.11 68.84 35.44 67.70 91.30
13.000 to 13.499 68 4,181,743.95 1.02 13.220 61,496.23 68.28 26.86 67.11 90.16
13.500 to 13.999 84 5,529,642.92 1.35 13.721 65,829.08 68.62 44.39 77.06 93.25
14.000 to 14.499 59 4,628,353.46 1.13 14.240 78,446.67 68.85 28.67 85.37 95.91
14.500 to 14.999 58 3,784,279.20 0.93 14.659 65,246.19 69.81 36.95 88.45 100.00
15.000 to 15.499 45 3,045,178.69 0.75 15.125 67,670.64 69.98 36.44 97.43 100.00
15.500 to 15.999 5 360,384.54 0.09 15.735 72,076.91 70.18 16.01 100.00 100.00
16.000 to 16.499 2 101,447.45 0.02 16.074 50,723.73 69.99 0.00 100.00 100.00
16.500 to 16.999 1 44,191.76 0.01 16.880 44,191.76 71.29 0.00 100.00 100.00
17.000 to 17.499 1 52,181.13 0.01 17.130 52,181.13 73.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.500
Max: 17.130
Weighted Average: 10.199
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,668 389,356,851.99 95.36 10.214 76.81 38.34 65.00 93.29
106,149.63
7 to 12 142 17,391,847.40 4.26 9.792 74.92 23.55 59.56 84.94
122,477.80
13 to 18 9 1,092,084.20 0.27 11.141 67.01 36.52 35.23 89.03
121,342.69
19 to 24 4 0.09 10.161 73.54 38.64 70.17 70.17
385,937.96 96,484.49
25 to 30 1 55,563.95 0.01 13.750 65.00 0.00 0.00 100.00
55,563.95
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max: 27
Weighted Average: 4.11
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Months Remaining to Mortgage Principal Percent Average Current Average Cashout Full Owner
Scheduled Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
120 to 179 47 2,348,178.57 0.58 10.570 49,961.25 67.20 50.92 66.58 88.84
180 to 239 19 1,093,542.33 0.27 10.362 57,554.86 69.61 24.64 84.85 88.53
300 to 359 3,758 404,840,564.60 99.16 10.196 107,727.66 76.77 37.66 64.62 92.94
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 171
Max: 359
Weighted Average: 354.53
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Yr CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
2_28 2,717 282,525,527.95 69.20 10.463 103,984.37 77.05 36.14 65.36 94.56
3_27 135 15,204,619.02 3.72 10.037 112,626.81 76.20 46.69 65.20 88.99
6 Mo. 970 110,369,485.40 27.03 9.547 113,782.97 75.88 40.41 62.88 89.18
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 1,552 153,915,956.76 37.70 10.155 99,172.65 74.24 100.00 59.60 90.74
Purchase 1,275 139,669,423.99 34.21 10.121 109,544.65 80.31 0.00 69.04 94.27
Refinance 996 114,641,340.80 28.08 10.350 115,101.75 75.61 0.00 66.24 94.15
Unknown 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 355 28,972,252.29 7.10 9.947 81,611.98 71.34 49.22 63.21 0.00
Owner-Occupied 3,469 379,310,033.21 92.90 10.218 109,342.76 77.11 36.82 64.80 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 243 23,882,568.85 5.85 10.438 98,282.18 73.75 45.74 58.12 70.06
Condo 154 12,981,059.44 3.18 9.906 84,292.59 74.92 28.01 69.32 86.61
Manuf Home 35 2,400,515.34 0.59 10.206 68,586.15 73.53 57.65 73.55 94.24
PUD 70 9,360,518.91 2.29 10.524 133,721.70 79.43 34.49 65.72 98.39
Single Family 3,314 358,716,720.00 87.86 10.186 108,242.82 76.92 37.53 64.90 94.48
Townhouse 8 940,902.96 0.23 9.651 117,612.87 73.06 11.67 51.54 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,588 264,103,043.39 64.69 10.247 102,049.09 78.73 34.74 100.00 93.07
Limited 98 14,443,850.40 3.54 10.117 147,386.23 76.85 40.02 0.00 91.57
Stated 1,134 129,270,492.49 31.66 10.114 113,995.14 72.54 43.63 0.00 92.79
Unknown 4 464,899.22 0.11 8.907 116,224.81 71.79 0.00 0.00 75.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 367 45,300,578.28 11.10 9.845 123,434.82 81.57 37.43 63.28 93.52
2 1,419 186,172,592.38 45.60 9.538 131,199.85 79.03 35.83 60.93 91.06
3 777 79,774,598.12 19.54 10.198 102,670.01 75.99 38.39 66.02 95.46
4 411 30,524,356.24 7.48 10.941 74,268.51 74.93 36.75 74.32 91.49
5 847 66,062,542.87 16.18 11.972 77,995.92 68.43 43.00 70.37 95.38
Unknown 3 447,617.61 0.11 8.697 149,205.87 80.41 0.00 34.13 74.14
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.5 Year 1 72,192.07 0.02 10.480 72,192.07 85.00 0.00 100.00 100.00
1 Year 71 11,747,359.86 2.88 9.300 165,455.77 77.04 14.98 62.69 89.99
2 Year 426 60,264,626.95 14.76 10.017 141,466.26 78.18 32.42 65.52 95.41
3 Year 182 21,363,586.01 5.23 10.134 117,382.34 77.76 33.69 61.60 95.60
3.5 Year 3 252,188.25 0.06 11.788 84,062.75 70.00 44.37 55.63 100.00
5 Year 695 61,266,549.64 15.01 10.389 88,153.31 76.31 40.37 73.22 94.16
Undefined Penalty 1,197 140,795,556.18 34.48 9.914 117,623.69 77.39 39.04 63.76 91.79
No Prepayment Penalty 1,249 112,520,226.54 27.56 10.650 90,088.25 75.02 40.53 61.54 92.04
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 9 1,203,990.48 0.29 10.021 133,776.72 79.62 39.53 63.66 100.00
Arizona 139 14,099,887.12 3.45 10.144 101,438.04 79.94 49.03 59.38 95.24
Arkansas 17 1,660,771.14 0.41 10.301 97,692.42 73.95 32.39 81.25 100.00
California 787 131,131,525.95 32.12 9.566 166,622.02 78.13 31.64 65.32 90.34
Colorado 128 15,951,842.99 3.91 9.634 124,623.77 78.42 36.11 73.43 94.49
Connecticut 36 3,559,952.45 0.87 10.520 98,887.57 71.62 37.62 58.51 89.88
Delaware 4 178,674.87 0.04 9.956 44,668.72 63.79 71.61 71.61 89.24
Florida 197 16,934,775.56 4.15 10.893 85,963.33 75.72 27.72 63.56 97.87
Georgia 57 5,682,170.85 1.39 10.752 99,687.21 79.27 44.70 72.07 95.74
Hawaii 84 16,939,229.29 4.15 9.850 201,657.49 72.03 44.53 50.49 95.66
Idaho 31 2,504,062.39 0.61 10.101 80,776.21 78.07 41.98 71.63 100.00
Illinois 202 17,519,138.67 4.29 10.983 86,728.41 73.83 43.81 65.89 94.93
Indiana 73 4,143,892.02 1.01 10.636 56,765.64 77.25 67.76 85.96 95.88
Iowa 24 1,181,210.41 0.29 11.148 49,217.10 78.15 45.11 85.10 89.86
Kansas 28 2,181,464.65 0.53 10.804 77,909.45 77.40 40.39 64.91 97.47
Kentucky 17 1,196,089.19 0.29 10.019 70,358.19 77.22 26.14 76.69 100.00
Louisiana 40 2,731,972.26 0.67 10.811 68,299.31 76.00 60.23 70.05 95.30
Maine 6 615,025.00 0.15 10.501 102,504.17 74.42 87.02 48.25 100.00
Maryland 31 2,893,652.17 0.71 10.881 93,343.62 72.00 60.97 57.56 89.46
Massachusetts 45 5,055,879.94 1.24 10.207 112,352.89 72.34 40.75 58.38 87.84
Michigan 82 6,865,081.79 1.68 10.897 83,720.51 75.54 52.71 55.67 92.22
Minnesota 194 15,395,267.48 3.77 10.779 79,357.05 76.56 36.55 65.37 91.52
Mississippi 16 1,507,356.61 0.37 10.494 94,209.79 79.85 72.40 96.19 96.19
Missouri 131 8,429,824.29 2.06 11.033 64,349.80 78.74 35.08 80.02 97.26
Montana 5 347,507.77 0.09 10.163 69,501.55 72.47 40.50 52.67 87.83
Nebraska 7 350,500.90 0.09 11.183 50,071.56 75.05 26.66 63.34 100.00
Nevada 43 5,288,838.50 1.30 9.771 122,996.24 79.14 32.54 68.09 91.46
New Hampshire 16 1,226,568.55 0.30 10.602 76,660.53 71.79 53.69 58.73 96.22
New Jersey 56 6,684,498.17 1.64 10.141 119,366.04 75.57 37.91 51.49 98.35
New Mexico 19 1,799,411.99 0.44 10.475 94,705.89 79.18 37.31 53.83 100.00
New York 43 5,819,770.44 1.43 10.858 135,343.50 73.63 30.01 75.47 99.31
North Carolina 88 7,596,085.44 1.86 11.624 86,319.15 72.64 37.33 62.68 94.72
North Dakota 6 221,354.62 0.05 12.136 36,892.44 68.83 68.95 45.35 100.00
Ohio 134 8,360,133.18 2.05 10.511 62,389.05 74.99 50.01 81.16 93.86
Oklahoma 32 1,712,945.42 0.42 10.782 53,529.54 76.58 54.56 75.92 95.97
Oregon 157 17,610,249.56 4.31 10.281 112,167.19 76.87 50.96 60.16 93.08
Pennsylvania 150 9,627,610.19 2.36 11.197 64,184.07 74.38 41.57 68.30 96.19
Rhode Island 27 1,764,598.80 0.43 11.160 65,355.51 71.22 50.38 47.20 81.03
South Carolina 17 967,734.29 0.24 11.664 56,925.55 72.36 56.10 62.05 96.12
South Dakota 3 163,353.94 0.04 11.249 54,451.31 73.37 60.71 66.26 100.00
Tennessee 46 3,151,157.88 0.77 10.557 68,503.43 80.26 28.09 81.64 91.63
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Texas 114 8,665,519.65 2.12 10.696 76,013.33 75.54 10.10 56.95 87.27
Utah 96 11,878,406.01 2.91 9.990 123,733.40 76.79 36.83 58.11 94.21
Vermont 5 440,998.15 0.11 10.401 88,199.63 76.20 24.72 75.28 75.28
Virginia 32 2,887,155.05 0.71 10.643 90,223.60 79.40 49.00 57.13 95.60
Washington 198 23,072,824.76 5.65 9.876 116,529.42 76.98 37.25 59.01 91.75
Washington DC 5 498,122.67 0.12 11.107 99,624.53 74.57 14.99 83.49 82.45
West Virginia 20 1,400,439.31 0.34 10.630 70,021.97 79.25 34.69 82.01 100.00
Wisconsin 126 7,011,967.71 1.72 11.689 55,650.54 74.79 42.06 67.20 89.84
Wyoming 1 171,794.98 0.04 10.520 171,794.98 80.00 0.00 0.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
1996 13 1,478,022.16 0.36 10.885 113,694.01 68.71 37.07 44.36 84.10
1997 3,810 406,748,699.39 99.62 10.196 106,758.19 76.73 37.71 64.77 92.93
- ----------------------------------------------------------------------------------- ------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
to Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15.00 to 19.99 1 30,953.22 0.01 10.800 30,953.22 17.71 100.00 0.00 100.00
20.00 to 24.99 5 182,604.21 0.04 11.182 36,520.84 22.93 67.21 67.21 100.00
25.00 to 29.99 8 309,112.67 0.08 10.502 38,639.08 27.22 74.48 17.61 83.83
30.00 to 34.99 12 709,117.10 0.17 9.577 59,093.09 32.03 64.75 50.43 97.06
35.00 to 39.99 13 648,525.17 0.16 10.185 49,886.55 37.45 85.08 65.19 93.67
40.00 to 44.99 16 983,852.18 0.24 10.140 61,490.76 41.47 85.53 41.46 90.61
45.00 to 49.99 32 2,467,571.29 0.60 9.903 77,111.60 47.43 64.24 42.17 96.60
50.00 to 54.99 74 5,936,279.23 1.45 10.054 80,219.99 52.71 57.22 39.63 81.83
55.00 to 59.99 105 8,426,279.47 2.06 10.112 80,250.28 57.33 58.29 38.59 83.78
60.00 to 64.99 221 17,873,891.84 4.38 10.445 80,877.34 61.91 53.45 39.71 87.28
65.00 to 69.99 321 29,636,459.71 7.26 10.526 92,325.42 66.47 51.89 43.49 87.93
70.00 to 74.99 580 52,068,907.54 12.75 11.198 89,773.98 71.03 41.62 65.61 89.16
75.00 to 79.99 747 79,813,770.23 19.55 9.944 106,845.74 75.78 39.44 55.19 89.89
80.00 to 84.99 968 118,914,118.35 29.13 9.814 122,845.16 80.43 32.91 62.26 95.25
85.00 to 89.99 393 47,487,683.99 11.63 10.141 120,833.80 85.65 33.85 91.08 98.83
90.00 to 94.99 328 42,793,159.30 10.84 10.321 130,466.95 90.00 19.84 94.88 98.91
- --------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 17.71
Max: 90.34
Weighted
Average: 76.70
<TABLE>
<CAPTION>
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Index Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Libor - 6 Month 3,822 408,099,632.37 99.96 10.200 106,776.46 76.70 37.68 64.68 92.90
1 Year CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
- --------------------------------------------------------------------------------------------------------------------
Total: 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Range of Margins Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.000 to 2.499 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
3.500 to 3.999 10 1,092,863.74 0.27 8.385 109,286.37 74.18 38.73 84.38 89.62
4.000 to 4.499 26 3,558,481.33 0.87 9.374 136,864.67 75.56 37.89 70.28 93.40
4.500 to 4.999 106 13,864,244.46 3.40 9.100 130,794.76 75.95 33.67 80.60 93.14
5.000 to 5.499 269 31,863,371.20 7.80 9.286 118,451.19 77.58 30.78 74.96 91.19
5.500 to 5.999 683 84,424,657.32 20.68 9.598 123,608.58 78.18 38.16 71.60 95.99
6.000 to 6.499 932 101,651,627.45 24.90 9.951 109,068.27 77.45 38.97 64.38 93.96
6.500 to 6.999 983 99,556,732.36 24.38 10.446 101,278.47 76.00 41.64 53.77 92.84
7.000 to 7.499 441 43,462,484.97 10.65 11.049 98,554.39 77.56 35.35 64.65 89.55
7.500 to 7.999 272 21,617,539.69 5.29 12.310 79,476.25 71.09 31.56 65.81 86.92
8.000 to 8.499 69 4,592,571.57 1.12 12.451 66,559.01 69.36 32.55 56.22 85.63
8.500 to 8.999 19 1,483,161.32 0.36 13.530 78,061.12 68.77 15.01 64.18 96.89
9.000 to 9.499 12 801,590.97 0.20 13.511 66,799.25 63.87 20.16 26.39 83.19
9.500 to 9.999 1 185,869.94 0.05 13.500 185,869.94 60.00 100.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2.250
Max: 9.550
Weighted Average: 6.265
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Maximum Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.500 to 7.999 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
12.000 to 12.499 3 777,422.63 0.19 7.412 259,140.88 79.24 41.70 97.62 100.00
12.500 to 12.999 16 2,403,058.80 0.59 6.900 150,191.18 73.20 46.36 84.04 100.00
13.000 to 13.449 17 2,093,621.53 0.51 7.199 123,154.21 68.89 62.82 53.36 97.94
13.500 to 13.999 60 9,094,645.36 2.23 7.550 151,577.42 72.82 31.88 68.98 88.76
14.000 to 14.499 79 12,500,538.01 3.06 8.148 158,234.66 76.23 31.34 81.69 83.87
14.500 to 14.999 125 18,198,958.94 4.46 8.639 145,591.67 75.09 35.76 65.46 88.08
15.000 to 15.499 194 27,890,631.69 6.83 8.847 143,766.14 76.06 45.49 59.32 91.27
15.500 to 15.999 303 40,061,287.63 9.81 9.204 132,215.47 77.27 37.43 61.46 91.98
16.000 to 16.499 415 49,876,841.92 12.22 9.638 120,185.16 78.00 39.79 60.26 91.90
16.500 to 16.999 579 66,771,601.41 16.35 9.992 115,322.28 78.10 35.94 64.30 95.56
17.000 to 17.499 490 50,606,895.43 12.40 10.499 103,279.38 78.24 33.67 62.29 95.10
17.500 to 17.999 491 48,023,273.13 11.76 10.845 97,807.07 78.68 39.92 61.21 94.11
18.000 to 18.499 276 22,948,915.66 5.62 11.300 83,148.25 78.54 45.29 69.91 92.15
18.500 to 18.999 210 16,379,132.19 4.01 11.740 77,995.87 75.29 39.30 66.19 88.10
19.000 to 19.499 137 9,928,264.65 2.43 12.263 72,469.09 69.99 35.40 63.57 96.60
19.500 to 19.999 100 6,979,372.97 1.71 12.441 69,793.73 70.45 32.39 62.03 89.58
20.000 to 20.499 69 4,672,394.32 1.14 12.946 67,715.86 68.24 24.97 66.09 91.20
20.500 to 20.999 74 4,993,287.03 1.22 13.749 67,476.85 68.43 45.69 77.86 94.79
21.000 to 21.499 56 4,249,790.67 1.04 14.263 75,889.12 69.73 31.22 89.54 95.55
21.500 to 21.999 58 3,810,209.37 0.93 14.428 65,693.27 70.93 37.38 90.66 100.00
22.000 to 22.499 45 3,100,798.31 0.76 14.991 68,906.63 70.41 35.79 97.47 100.00
22.500 to 22.999 6 453,607.01 0.11 14.505 75,601.17 72.20 12.72 79.45 100.00
23.000 to 23.499 3 109,925.45 0.03 15.499 36,641.82 70.76 0.00 100.00 100.00
23.500 to 23.999 2 128,500.16 0.03 11.628 64,250.08 67.16 0.00 34.39 34.39
24.000 to 24.499 2 225,754.99 0.06 10.495 112,877.50 74.54 0.00 23.11 100.00
24.500 to 24.999 1 54,947.41 0.01 12.875 54,947.41 67.00 0.00 100.00 100.00
25.000 to 25.499 1 287,038.20 0.07 9.000 287,038.20 80.00 0.00 0.00 100.00
25.500 to 25.999 4 549,069.13 0.13 9.498 137,267.28 80.39 0.00 100.00 100.00
27.000 to 27.499 1 112,253.57 0.03 10.125 112,253.57 75.00 0.00 0.00 100.00
27.500 to 27.999 2 253,096.99 0.06 10.375 126,548.50 80.00 0.00 63.11 100.00
28.500 to 28.999 1 314,396.30 0.08 10.750 314,396.30 75.00 0.00 100.00 100.00
32.500 to 32.999 1 70,621.13 0.02 12.990 70,621.13 65.00 0.00 0.00 100.00
33.500 to 33.999 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
35.000 to 35.499 1 179,480.38 0.04 9.700 179,480.38 90.00 0.00 100.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.625
Max: 35.100
Weighted Average: 16.925
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Periodic Caps Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.0 3,679 389,908,571.71 95.50 10.218 105,982.22 76.71 38.24 65.07 92.76
1.5 140 17,595,631.83 4.31 9.798 125,683.08 76.61 23.87 56.95 95.84
2.0 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
3.0 3 595,428.83 0.15 10.200 198,476.28 74.33 79.57 37.96 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1.000
Max: 3.000
Weighted Average: 1.025
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Next Rate Mortgage Principal Percent Average Current Original Cashout Full Owner
Change Date Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998-02 87 10,904,049.00 2.67 8.651 125,333.90 76.55 31.62 64.41 75.98
1998-03 304 40,789,605.64 9.99 9.348 134,176.33 77.00 42.12 57.53 90.87
1998-04 71 8,631,394.42 2.11 9.468 121,568.94 73.20 40.29 55.24 93.57
1998-05 169 16,594,776.59 4.06 9.796 98,193.94 74.32 32.54 63.40 88.68
1998-06 177 17,026,428.55 4.17 9.881 96,194.51 74.97 49.81 74.05 91.96
1998-07 119 12,438,475.10 3.05 10.044 104,525.00 76.44 44.16 65.53 86.96
1998-08 45 4,332,973.37 1.06 10.192 96,288.30 76.37 33.06 69.74 93.26
1998-09 1 110,901.55 0.03 10.280 110,901.55 75.00 100.00 0.00 100.00
1998-10 2 116,292.49 0.03 10.793 58,146.25 55.76 0.00 0.00 100.00
1998-11 5 583,097.52 0.14 11.021 116,619.50 60.90 50.62 50.62 100.00
1998-12 1 96,860.80 0.02 9.990 96,860.80 75.00 0.00 100.00 100.00
1999-01 2 289,720.80 0.07 10.897 144,860.40 74.26 0.00 14.49 100.00
1999-02 4 215,674.84 0.05 12.462 53,918.71 63.29 60.25 0.00 100.00
1999-03 6 632,671.37 0.15 10.356 105,445.23 64.21 41.40 47.13 94.38
1999-04 9 974,541.74 0.24 9.990 108,282.42 73.17 21.55 33.83 100.00
1999-05 18 1,458,680.11 0.36 9.965 81,037.78 67.38 11.77 27.72 91.62
1999-06 33 3,975,668.20 0.97 9.808 120,474.79 76.97 27.33 47.41 85.45
1999-07 40 5,135,863.20 1.26 9.956 128,396.58 79.21 12.82 73.03 97.96
1999-08 178 21,803,038.83 5.34 10.058 122,488.98 76.77 27.29 60.12 92.94
1999-09 882 96,382,310.92 23.61 10.245 109,277.00 77.66 34.63 61.99 94.75
1999-10 396 44,721,839.46 10.95 10.640 112,933.94 76.30 35.22 70.10 95.10
1999-11 158 17,526,445.50 4.29 10.231 110,926.87 78.86 32.11 68.67 97.76
1999-12 378 34,534,148.35 8.46 10.785 91,360.18 76.86 41.04 69.96 93.66
2000-01 390 35,184,878.75 8.62 10.782 90,217.64 76.69 44.99 69.97 93.84
2000-02 213 18,566,132.57 4.55 10.962 87,164.94 77.11 44.56 67.01 95.39
2000-03 2 547,176.91 0.13 8.479 273,588.46 61.03 20.88 100.00 20.88
2000-04 1 28,124.16 0.01 12.490 28,124.16 60.00 0.00 0.00 100.00
2000-05 1 428,420.20 0.10 10.250 428,420.20 83.00 100.00 100.00 100.00
2000-06 1 31,394.93 0.01 12.250 31,394.93 70.00 0.00 0.00 100.00
2000-07 3 481,802.17 0.12 9.043 160,600.72 71.05 0.00 45.70 100.00
2000-08 4 580,541.34 0.14 10.869 145,135.33 80.57 70.05 29.95 100.00
2000-09 26 3,312,761.87 0.81 9.998 127,413.92 80.58 68.16 60.94 78.72
2000-10 15 1,519,555.59 0.37 10.248 101,303.71 72.61 50.90 64.17 97.61
2000-11 37 4,471,983.82 1.10 9.798 120,864.43 76.61 35.05 63.03 97.11
2000-12 20 1,953,019.87 0.48 10.106 97,650.99 77.04 42.95 66.41 92.72
2001-01 16 1,351,089.33 0.33 10.724 84,443.08 72.99 25.22 92.54 93.90
2001-02 10 549,945.64 0.13 10.646 54,994.56 71.99 67.59 45.95 73.44
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
Class A-1
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 11.44 2.04 1.45 1.14 0.95 0.82 0.65
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Payment Window 237 52 35 27 21 18 14
Window
Class A-2
Average Life 20.76 4.82 3.27 2.48 2.00 1.67 1.27
First Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Last Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Payment Window 24 12 9 6 6 4 3
Window
Class A-3
Average Life 24.78 8.45 5.38 3.89 3.00 2.36 1.75
First Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Last Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Payment Window 68 93 62 37 27 15 11
Window
Class A-4
Average Life 27.82 14.53 10.27 6.90 5.00 3.81 2.34
First Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Last Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Payment Window 14 43 40 38 18 19 5
Window
Class A-5
Average Life 29.06 21.58 16.43 12.72 9.68 7.18 2.78
First Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Last Pay 10/27 9/26 9/23 2/19 3/15 5/12 2/01
Payment Window 17 147 165 148 137 119 7
Window
Class A-6
Average Life 13.80 8.15 7.36 6.89 6.62 6.52 6.26
First Pay 3/01 3/01 3/01 3/01 6/01 9/01 2/01
Last Pay 8/27 6/26 5/23 11/18 1/15 3/12 6/08
Payment Window 318 304 267 213 164 127 89
Window
Class M-1F
Average Life 26.23 12.96 9.39 7.19 5.82 5.03 4.54
First Pay 8/19 4/04 5/02 4/01 4/01 6/01 11/01
Last Pay 8/27 7/24 8/19 12/14 10/11 6/09 4/06
Payment Window 97 244 208 165 127 97 54
Window
Class M-2F
Average Life 26.22 12.87 9.28 7.10 5.73 4.89 4.13
First Pay 8/19 4/04 5/02 4/01 3/01 4/01 6/01
Last Pay 7/27 3/23 9/17 4/13 6/10 4/08 6/05
Payment Window 96 228 185 145 112 85 49
Window
Class B-1F
Average Life 26.16 12.39 8.87 6.78 5.45 4.63 3.79
First Pay 8/19 4/04 5/02 4/01 3/01 3/01 3/01
Last Pay 5/27 9/20 12/14 4/11 9/08 10/06 5/04
Payment Window 94 198 152 121 91 68 39
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
Class A-7
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 20.07 4.64 3.48 2.72 2.15 1.67 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/27 3/24 10/19 9/15 8/12 3/10 2/01
Payment Window 356 313 260 211 174 145 36
Window
Class M-1A
Average Life 27.12 9.70 7.28 5.87 5.21 5.12 6.14
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 9/27 8/21 10/16 1/13 5/10 4/08 5/08
Payment Window 68 233 188 140 105 76 72
Window
Class M-2A
Average Life 27.12 9.62 7.20 5.76 4.94 4.51 4.36
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 8/27 10/19 1/15 7/11 1/09 4/07 11/05
Payment Window 67 211 167 124 93 70 52
Window
Class B-1A
Average Life 27.09 9.30 6.95 5.53 4.68 4.17 3.86
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 6/27 2/17 8/12 8/09 6/07 11/05 9/04
Payment Window 65 179 138 102 76 56 42
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Average Life Sensitivities
(To Call)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7
Average Life 20.04 4.30 3.20 2.49 1.96 1.52 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 2/01
Payment Window 344 158 118 92 75 62 36
Class M-1A
Average Life 27.02 8.79 6.54 5.26 4.71 4.70 4.45
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 53 33 16 2
Class M-2A
Average Life 27.02 8.79 6.54 5.21 4.50 4.14 4.06
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 55 37 22 12
Class B-1A
Average Life 27.02 8.79 6.54 5.19 4.41 3.94 3.68
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 56 39 25 16
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-1
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 93 72 62 51 40 29 8
2/00 91 47 26 7 0 0 0
2/01 88 24 0 0 0 0 0
2/02 85 5 0 0 0 0 0
2/03 82 0 0 0 0 0 0
2/04 79 0 0 0 0 0 0
2/05 75 0 0 0 0 0 0
2/06 72 0 0 0 0 0 0
2/07 68 0 0 0 0 0 0
2/08 64 0 0 0 0 0 0
2/09 59 0 0 0 0 0 0
2/10 54 0 0 0 0 0 0
2/11 48 0 0 0 0 0 0
2/12 41 0 0 0 0 0 0
2/13 28 0 0 0 0 0 0
2/14 23 0 0 0 0 0 0
2/15 18 0 0 0 0 0 0
2/16 12 0 0 0 0 0 0
2/17 5 0 0 0 0 0 0
2/18 0 0 0 0 0 0 0
2/19 0 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 11.4 2.0 1.4 1.1 0.9 0.8 0.7
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 11.4 2.0 1.4 1.1 0.9 0.8 0.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-2
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 28 0 0
2/01 100 100 79 0 0 0 0
2/02 100 100 0 0 0 0 0
2/03 100 23 0 0 0 0 0
2/04 100 0 0 0 0 0 0
2/05 100 0 0 0 0 0 0
2/06 100 0 0 0 0 0 0
2/07 100 0 0 0 0 0 0
2/08 100 0 0 0 0 0 0
2/09 100 0 0 0 0 0 0
2/10 100 0 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 86 0 0 0 0 0 0
2/19 34 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.8 4.8 3.3 2.5 2.0 1.7 1.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.8 4.8 3.3 2.5 2.0 1.7 1.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-3
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 74 11
2/01 100 100 100 76 32 0 0
2/02 100 100 79 39 8 0 0
2/03 100 100 50 13 0 0 0
2/04 100 79 30 0 0 0 0
2/05 100 61 13 0 0 0 0
2/06 100 51 6 0 0 0 0
2/07 100 40 0 0 0 0 0
2/08 100 29 0 0 0 0 0
2/09 100 18 0 0 0 0 0
2/10 100 8 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 95 0 0 0 0 0 0
2/21 81 0 0 0 0 0 0
2/22 65 0 0 0 0 0 0
2/23 47 0 0 0 0 0 0
2/24 27 0 0 0 0 0 0
2/25 4 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 24.8 8.5 5.4 3.9 3.0 2.4 1.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 24.8 8.5 5.4 3.9 3.0 2.4 1.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-4
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 78 0
2/02 100 100 100 100 100 34 0
2/03 100 100 100 100 41 0 0
2/04 100 100 100 79 0 0 0
2/05 100 100 100 32 0 0 0
2/06 100 100 100 16 0 0 0
2/07 100 100 87 0 0 0 0
2/08 100 100 55 0 0 0 0
2/09 100 100 25 0 0 0 0
2/10 100 100 0 0 0 0 0
2/11 100 95 0 0 0 0 0
2/12 100 64 0 0 0 0 0
2/13 100 30 0 0 0 0 0
2/14 100 8 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 100 0 0 0 0 0 0
2/23 100 0 0 0 0 0 0
2/24 100 0 0 0 0 0 0
2/25 100 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.8 14.5 10.3 6.9 5.0 3.8 2.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.8 14.5 10.3 6.9 5.0 3.8 2.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-5
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 0
2/02 100 100 100 100 100 100 0
2/03 100 100 100 100 100 72 0
2/04 100 100 100 100 92 46 0
2/05 100 100 100 100 68 31 0
2/06 100 100 100 100 64 31 0
2/07 100 100 100 94 53 28 0
2/08 100 100 100 77 41 21 0
2/09 100 100 100 62 31 15 0
2/10 100 100 98 48 23 9 0
2/11 100 100 81 38 17 4 0
2/12 100 100 66 29 11 0 0
2/13 100 100 52 21 6 0 0
2/14 100 100 43 17 3 0 0
2/15 100 92 35 12 0 0 0
2/16 100 80 29 8 0 0 0
2/17 100 69 23 5 0 0 0
2/18 100 58 19 2 0 0 0
2/19 100 49 15 0 0 0 0
2/20 100 41 11 0 0 0 0
2/21 100 34 7 0 0 0 0
2/22 100 27 4 0 0 0 0
2/23 100 21 1 0 0 0 0
2/24 100 16 0 0 0 0 0
2/25 100 9 0 0 0 0 0
2/26 100 3 0 0 0 0 0
2/27 50 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 29.1 21.6 16.4 12.7 9.7 7.2 2.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 28.5 17.2 12.7 9.6 7.3 5.7 2.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-6
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 99
2/02 99 93 90 89 90 93 99
2/03 99 87 82 80 79 79 74
2/04 97 76 71 66 62 59 44
2/05 95 67 60 52 46 40 26
2/06 89 46 34 25 18 17 15
2/07 82 31 20 12 7 5 6
2/08 75 21 11 5 3 2 1
2/09 67 14 6 3 1 0 0
2/10 60 9 3 1 0 0 0
2/11 52 6 2 1 0 0 0
2/12 44 4 1 0 0 0 0
2/13 31 2 0 0 0 0 0
2/14 28 1 0 0 0 0 0
2/15 24 1 0 0 0 0 0
2/16 20 1 0 0 0 0 0
2/17 17 0 0 0 0 0 0
2/18 13 0 0 0 0 0 0
2/19 10 0 0 0 0 0 0
2/20 8 0 0 0 0 0 0
2/21 6 0 0 0 0 0 0
2/22 4 0 0 0 0 0 0
2/23 3 0 0 0 0 0 0
2/24 1 0 0 0 0 0 0
2/25 1 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 13.8 8.1 7.4 6.9 6.6 6.5 6.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 13.8 8.1 7.3 6.8 6.4 5.8 4.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 63
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 6
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 8 0
2/08 100 61 35 19 10 5 0
2/09 100 53 29 15 7 1 0
2/10 100 46 24 12 5 0 0
2/11 100 40 19 9 2 0 0
2/12 100 35 16 7 0 0 0
2/13 100 29 12 5 0 0 0
2/14 100 25 10 2 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 7 0 0 0 0
2/17 100 16 5 0 0 0 0
2/18 100 14 4 0 0 0 0
2/19 100 12 1 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 8 0 0 0 0 0
2/22 78 6 0 0 0 0 0
2/23 67 5 0 0 0 0 0
2/24 55 1 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 13.0 9.4 7.2 5.8 5.0 4.5
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.6 4.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-2F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 28
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 2
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 6 0
2/08 100 61 35 19 10 1 0
2/09 100 53 29 15 6 0 0
2/10 100 46 24 12 1 0 0
2/11 100 40 19 9 0 0 0
2/12 100 35 16 4 0 0 0
2/13 100 29 12 0 0 0 0
2/14 100 25 10 0 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 4 0 0 0 0
2/17 100 16 1 0 0 0 0
2/18 100 14 0 0 0 0 0
2/19 100 12 0 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 7 0 0 0 0 0
2/22 78 3 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.9 9.3 7.1 5.7 4.9 4.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.5 3.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche -B-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 27
2/03 100 100 87 65 47 34 11
2/04 100 100 72 51 35 21 1
2/05 100 89 61 40 25 11 0
2/06 100 79 50 31 15 3 0
2/07 100 69 42 23 8 0 0
2/08 100 61 35 15 2 0 0
2/09 100 53 29 9 0 0 0
2/10 100 46 21 4 0 0 0
2/11 100 40 15 0 0 0 0
2/12 100 35 10 0 0 0 0
2/13 100 29 5 0 0 0 0
2/14 100 23 2 0 0 0 0
2/15 100 19 0 0 0 0 0
2/16 100 14 0 0 0 0 0
2/17 100 11 0 0 0 0 0
2/18 100 7 0 0 0 0 0
2/19 100 4 0 0 0 0 0
2/20 96 1 0 0 0 0 0
2/21 87 0 0 0 0 0 0
2/22 78 0 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 4 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.4 8.9 6.8 5.5 4.6 3.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.2 4.5 3.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche A-7
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 96 78 72 66 60 54 48
2/00 96 62 52 42 33 25 18
2/01 95 48 36 25 15 7 0
2/02 94 37 28 22 15 7 0
2/03 94 30 23 16 12 7 0
2/04 93 26 18 12 8 0 0
2/05 92 22 14 9 0 0 0
2/06 91 18 11 0 0 0 0
2/07 89 15 9 0 0 0 0
2/08 88 13 0 0 0 0 0
2/09 86 11 0 0 0 0 0
2/10 85 9 0 0 0 0 0
2/11 83 8 0 0 0 0 0
2/12 80 0 0 0 0 0 0
2/13 78 0 0 0 0 0 0
2/14 75 0 0 0 0 0 0
2/15 72 0 0 0 0 0 0
2/16 68 0 0 0 0 0 0
2/17 64 0 0 0 0 0 0
2/18 60 0 0 0 0 0 0
2/19 54 0 0 0 0 0 0
2/20 49 0 0 0 0 0 0
2/21 42 0 0 0 0 0 0
2/22 35 0 0 0 0 0 0
2/23 30 0 0 0 0 0 0
2/24 25 0 0 0 0 0 0
2/25 19 0 0 0 0 0 0
2/26 12 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.0 4.3 3.2 2.5 2.0 1.5 1.2
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.1 4.6 3.5 2.7 2.2 1.7 1.2
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 60 89 100
2/03 100 86 64 46 33 33 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.3 4.7 4.7 4.5
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.7 7.3 5.9 5.2 5.1 6.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-2A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 47
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.5 4.1 4.1
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.6 7.2 5.8 4.9 4.5 4.4
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche B-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 25
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.4 3.9 3.7
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.3 7.0 5.5 4.7 4.2 3.9
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of home equity loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the home equity loans will differ from the
assumptions used in preparing these materials, which are hypothetical in nature.
Changes in the assumptions may have a material impact on the information set
forth in these materials. No representation is made that any performance or
return indicated herein will be achieved. For example, it is very unlikely that
the loans will prepay at a constant rate or follow a predictable pattern. This
information may not be used or otherwise disseminated in connection with the
offer or sale of these or any other securities, except in connection with the
initial offer or sale of these securities to you to the extent set forth below.
NO REPRESENTATION IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR
COMPLETENESS OF THESE MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED.
Additional information is available upon request. These materials do not
constitute an offer to buy or sell or a solicitation of an offer to buy or sell
any security or instrument or to participate in any particular trading strategy.
ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE MADE PURSUANT TO A
DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY THE ISSUER WHICH
WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE MATERIALS. SUCH
PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL INFORMATION IN
RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO INVEST IN SUCH
SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS AND PROSPECTUS
SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE TO BE READ IN
CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the event of any
such offering, these materials, including any description of the loans contained
herein, shall be deemed superseded, amended and supplemented in their entirety
by such Prospectus and Prospectus Supplement. To Our Readers Worldwide: In
addition, please note that this information has been provided by Morgan Stanley
& Co. Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Available Funds Cap Schedule for Adjustable Rate Certificates
Assumes constant LIBOR (1M LIBOR = 5.6055%, 6M LIBOR = 5.625%)
- ----------------------------------------
Available Funds
Cap
- ----------------------------------------
1 3/25/98 9.69
2 4/25/98 9.69
3 5/25/98 9.69
4 6/25/98 9.97
5 7/25/98 9.97
6 8/25/98 9.97
7 9/25/98 9.97
8 10/25/98 9.97
9 11/25/98 9.97
10 12/25/98 10.25
11 1/25/99 10.25
12 2/25/99 10.25
13 3/25/99 10.25
14 4/25/99 10.25
15 5/25/99 10.25
16 6/25/99 10.29
17 7/25/99 10.29
18 8/25/99 10.46
19 9/25/99 10.46
20 10/25/99 10.46
21 11/25/99 10.46
22 12/25/99 11.31
23 1/25/00 11.31
24 2/25/00 11.31
25 3/25/00 11.31
26 4/25/00 11.31
27 5/25/00 11.31
28 6/25/00 11.31
29 7/25/00 11.32
30 8/25/00 11.32
31 9/25/00 11.32
32 10/25/00 11.32
33 11/25/00 11.32
34 12/25/00 11.38
35 1/25/01 11.38
36 2/25/01 11.38
37 3/25/01 11.38
38 4/25/01 11.38
39 5/25/01 11.38
40 6/25/01 11.38
- ------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
Computational Materials
$1,000,000,000
(Approximate)
AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-1
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
$1,000,000,000 AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1998-1
AMRESCO Residential Securities Corporation
Depositor
Advanta Mortgage Corp. USA
Ameriquest Mortgage Company
Wendover Funding Inc.
Servicers
Transaction Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Average Modified
Class Size Expected Ratings Life Duration Payment Final
Class(1) ($millions) Tranche Type (Moody's/S&P/Fitch) (years)(2) (years) (2) Window(2) Maturity Date
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $156.00 Fixed Sequential Aaa/AAA/AAA 0.95 0.89 21 03/98 - 11/99 [6/18]
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 25.00 Fixed Sequential Aaa/AAA/AAA 2.00 1.84 06 11/99 - 04/00 [3/20]
- ------------------------------------------------------------------------------------------------------------------------------------
A-3 78.50 Fixed Sequential Aaa/AAA/AAA 3.00 2.66 27 04/00 - 06/02 [5/25]
- ------------------------------------------------------------------------------------------------------------------------------------
A-4 22.50 Fixed Sequential Aaa/AAA/AAA 5.00 4.16 18 06/02 - 11/03 [6/26]
- ------------------------------------------------------------------------------------------------------------------------------------
A-5 32.00 Fixed Sequential Aaa/AAA/AAA 9.68 6.70 137 11/03 - 03/15 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
A-6 30.00 Fixed Lockout Aaa/AAA/AAA 6.62 5.19 164 06/01 - 01/15 [8/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1F 22.00 Fixed Mezzanine Aa2/AA/AA 5.82 4.49 127 04/01 - 10/11 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2F 18.00 Fixed Mezzanine A2/A/A 5.73 4.41 112 03/01 - 06/10 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1F 16.00 Fixed Subordinate Baa3/BBB/BBB 5.45 4.23 91 03/01 - 09/08 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
A-7 $486.00 Floater Aaa/AAA/AAA 2.49 2.13 92 03/98 - 10/05 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1A 48.00 Floater Mezzanine Aa2/AA/AA 5.26 4.30 53 06/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2A 36.00 Floater Mezzanine A2/A/A 5.21 4.23 55 04/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1A 30.00 Floater Baa3/BBB-/BBB- 5.19 4.16 56 03/01 - 10/05 [1/28]
Subordinate
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,000.00 -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Classes A-1 through A-6, M-1F, M-2F, and B-1F are backed by a fixed
rate pool; Classes A-7, M-1A, M-2A, and B-1A are backed by an ARM
pool. The Certificates also include a fixed and ARM pool Subordinate
IO strip, as described below under "Subordinate IO".
(2) Classes A-1 through A-6, M-1F, M-2F, and B-2F are shown to maturity
while Classes A-7, M-1A, M-2A, and B-1A are shown to call. See
"Prepayment Speed" below.
Seller: AMRESCO Residential Capital Markets, Inc.
Servicers: Advanta Mortgage, Ameriquest Mortgage, and Wendover Funding
Trustee: Bankers Trust Company
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Transaction Highlights
(continued)
Collateral: Fixed and floating-rate conventional home equity
loans secured by first and second lien
mortgages. See "Collateral Description" for more
detail.
Prepayment Speed:
Fixed-Rate Certificates: All fixed rate classes are priced at a
prepayment speed starting at 5.0% CPR in month
1, increasing by approximately 1.818% per month
to 25% CPR in month 12 (125% of PPC). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.454% CPR
per month to 20% CPR in month 12, and remaining
at 20% CPR thereafter.
Floating-Rate Certificates: Constant 25% CPR.
Expected Pricing Date: Thursday, January 29, 1998
Expected Settlement: Thursday, February 12, 1998 through DTC,
Euroclear or CEDEL.
Distribution Dates: The 25th of each month, beginning March, 1998
Prefunded Amount: Approximately $115 million of fixed rate
collateral and approximately $135 million of
adjustable rate collateral
Subordinate IO: The Certificates will include a Subordinate IO
strip off of the fixed rate and ARM pools which
are not offered hereby. The fixed rate pool
Subordinate IO pays a 15% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-1F
outstanding principal balance and the Class M-2F
outstanding principal balance). The ARM pool
Subordinate IO pays a 7.50% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-2A
outstanding principal balance and the Class B-1A
outstanding principal balance).
The fixed rate pool Subordinate IO initially
reduces the excess spread available to fund o/c
by approximately 150 basis points (resulting in
a fixed pool initial excess spread of
approximately 2.09%), while the ARM pool
Subordinate IO initially reduces the excess
spread by approximately 82.5 basis points
(resulting in an ARM pool initial excess spread
of approximately 2.93%).
Available Funds Cap: All Certificates are subject to an available
funds cap. The cap, for both the fixed rate and
ARM Certificates, is the weighted average coupon
for that group less the approximately 0.50%
Servicing Fee. Shortfalls due to the available
funds cap will be carried forward on the
Adjustable Rate Certificates only.
Option and Auction Call: 10% mandatory auction call (10% of original
certificate balance) followed by a 5% servicer
clean-up call.
Coupon Step Up: After the Clean-up Date, the spread to LIBOR on
the Class A-7 will double, while the spread to
LIBOR on the M-1A, M-2A, and B-1A will increase
by 50% to incent AMRESCO to call the bonds
Tax Status: REMIC
ERISA Eligibility: The Class A-1 -through A-7 certificates are
ERISA eligible; All other Certificate Classes
are NOT ERISA eligible.
SMMEA Eligibility: Only the Class A-7 and M-1A Certificates are
SMMEA eligible.
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Overcollateralization
1. Before the Stepdown Date, overcollateralization builds to 1.75% and 2.40%
of the original loan balance of the fixed-rate and adjustable-rate loan
groups, respectively.
2. On and after the Stepdown Date, overcollateralization is maintained at
3.50% and 4.80% of the outstanding loan balance of the fixed-rate and
adjustable-rate loan groups, respectively (subject to performance
triggers).
3. The overcollateralization amount is subject to a floor of 0.50% of the
original loan balance for both loan groups.
Interest Cashflow Priority
* Interest Collections (net of Servicing) will generally be allocated in the
following priority:
Fixed Rate Cashflows
1. Trustee fee
2. Class A-1-Class A-6 current interest plus unpaid interest shortfalls
3. M-1F current interest
4. M-2F current interest
5. B-1F current interest
6. Pay fixed-rate Subordinate IO ($500,000 each month for the first 24
months)
7. Build fixed-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1F, Class M-2F and Class B-1F.
9. To the adjustable-rate loan group in the order of items 7 and 8, if
necessary
Floating Rate Cashflows
1. Trustee Fee
2. Class A-7 current interest plus unpaid interest shortfalls
3. M-1A current interest
4. M-2A current interest
5. B-1A current interest
6. Pay adjustable-rate Subordinate IO ($412,500 each month for the first
24 months)
7. Build adjustable-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1A, Class M-2A and Class B-1A
9. To the fixed-rate loan group in the order of items 7 and 8, if
necessary
Principal Cashflow Priority
* Collections of Principal before the Stepdown Date, or if a Trigger Event
exists, will be allocated in the following priority:
Fixed Rate Cashflows
1. Pay A-6 according to the following Lockout Percentage:
March 1998 - February 2001 0%
March 2001 - February 2003 45%
March 2003 - February 2004 80%
March 2004 - February 2005 100%
March 2005 and thereafter 300%
2. Pay Classes A-1 through A-6 sequentially
3. Pay Classes M-1F, M-2F and B-1F sequentially
Floating Rate Cashflows
1. Pay Class A-7
2. Pay Classes M-1A, M-2A and B-1A sequentially
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
* Collections of Principal on and after the Stepdown date, (assuming no Trigger
Event is in effect) will be allocated in the following priority:
Fixed Rate Cashflows
PayClass A, Class M-1F, Class M-2F, and Class B-1F pro-rata in accordance
with enhancement targets, equal to 2.0 times the initial enhancement for
each class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 68.5% 31.5%
Class M-1F 11.0 20.5
Class M-2F 9.0 11.5
Class B-1F 8.0 3.5
Overcollateralization 3.5
---
100%
Floating Rate Cashflows
Pay Class A-7, M-1A, M-2A, and B-1A pro-rata in accordance with
enhancement targets equal to 2.0 times the initial enhancement for each
class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 57.2% 42.8%
Class M-1A 16.0 26.8
Class M-2A 12.0 14.8
Class B-1A 10.0 4.8
Overcollateralization 4.8
----
100.0%
* Stepdown Date- the earlier to occur of: (i) the later of: (x) the 37th
Payment Date (March 2001) or (y) when credit enhancement reaches its target
level and (ii) when the Class A Certificates are retired in full.
* Trigger Event - occurs when 60+ day delinquency percentage is greater than
50% of the senior enhancement percentage for the fixed-rate loan group and
40% of the senior enhancement percentage for the adjustable-rate loan group.
* Subordinate Trigger Event - occurs if both:
-----------------------------------------------------------------------
I. Realized losses exceed: Fixed ARMs
-----------------------------------------------------------------------
March 1998 - February 2000 [1.26%] [1.75%]
March 2000 - February 2001 [1.50%] [2.10%]
March 2001 - February 2002 [2.60%] [3.50%]
March 2002 - February 2003 [3.30%] [4.40%]
March 2003 - February 2004 [3.50%] [4.80%]
March 2004 - February 2005 [3.50%] [5.20%]
March 2005 - February 2006 [3.50%] [5.60%]
-----------------------------------------------------------------------
II. 60+ day delinquencies exceed:
-----------------------------------------------------------------------
March 2000 - February 2002 [4.00%] [4.00%]
March 2002 - February 2004 [5.50%] [5.50%]
March 2004 - February 2006 [8.00%] [8.00%]
-----------------------------------------------------------------------
* If a Subordinate Trigger Event occurs, overcollateralization is not released
and the excess cashflow attributable is paid to the related subordinated
classes in reverse order of seniority.
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Collateral Description
Note that the following collateral description is only reflective of $249.1
million of fixed rate loans and $408.3 million of ARM loans.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans ARM Home Equity Loans
---------------------------- ---------------------
Group I Group II
------- --------
<S> <C> <C>
Aggregate Pool Balance: $249.1 million $408.3 million
Number of Loans: 3,476 3,824
Prefunded Amount: $115 million $135 million
Average Outstanding Balance: $71,663.81 ( min: $5,907/ $106,768.38 ( min: $8,478/
max: $828,666) max: $747,576)
Total Original Balance: $249.9 million $409.3 million
Average Original Balance: $71,896.48 $107,024.61
Lien Position: 96.32% firsts; 3.68% non-firsts 100% firsts
Prepayment Penalty: 74.0% have penalties 72.4% have penalties
WA Original Loan to Value 71.5% (17.6% >80%, min: 5.0%/ 76.7% (26.6% >80%, min: 17.7%/
Ratio(1): max: 90.1%) max: 90.3%)
Loan Type: a) 93.87% Fixed Rate a) 69.20% 2/28 6-month LIBOR ARMs
b) 6.13% 5/25 ARMs b) 27.03% 6-month LIBOR ARMs
c) 3.72% 3/27 6-month LIBOR ARMs
d) 0.04% other
Amortization Type: a) 96.54% Fully Amortizing 100% Fully Amortizing
b) 3.46% Balloon
WA Original Term: 329.48 months (16.57% 180-month maturity 358.64 months (0.58% 180-month maturity
82.89% 360-month maturity) 99.16% 360-month maturity)
Remaining WA Maturity: 325.35 months 354.53 months
WA Seasoning: 4.13 months 4.11 months
Latest Scheduled Maturity: Expected January 1, 2028 Expected January 1, 2028
WA Gross Coupon: 10.571% (min: 6.00% / max: 16.50%) 10.199% (current, min: 5.500% / max:
17.130%)
WA Gross Margin: 6.101% for 5/25 ARMs a) 6.266% for 6-month LIBOR ARMs
b) 3.847% for 1-year CMT ARMs
WA Periodic Cap: 1.004% for 5/25 ARMs 1.025%
WA Months to Roll: 56.50 months for 5/25 ARMs 15.99 months
WA Floor: 10.145% for 5/25 ARMs 10.172%
Property Type: 84.72% single family, 8.5% 2-4 family, 87.86% single family, 5.85% 2-4 family,
4.02% condo, 2.75% other 2.29% PUD, 3.18% condo, 0.82% other
Owner Occupancy: a) 88.74% owner occupied a) 92.90% owner occupied
b) 11.26% investor property b) 7.10% investor property
Geographic Distribution (> 5%): CA (20.31%), HI (17.88%), FL (7.49%), TX CA (32.12%), WA (5.65%)
(5.57%)
% Cashout Refinancing: 58.14% 37.70%
</TABLE>
Notes: (1) Defined as the original combined loan-to-value for all loans on the
property given on the collateral file.
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Collateral Tables
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
10,000.00 to 19,999.99 160 2,827,497.39 1.14 11.976 17,671.86 58.43 77.28 71.39 72.70
20,000.00 to 29,999.99 573 14,628,614.15 5.87 11.960 25,529.87 62.95 69.42 63.26 75.62
30,000.00 to 39,999.99 567 20,014,494.06 8.03 11.733 35,298.93 65.81 55.95 70.33 82.85
40,000.00 to 49,999.99 474 21,401,806.65 8.59 11.471 45,151.49 68.49 60.29 71.59 82.21
50,000.00 to 59,999.99 394 21,766,160.18 8.74 11.257 55,244.06 71.69 53.80 69.75 87.67
60,000.00 to 69,999.99 195 12,639,303.30 5.07 11.166 64,816.94 72.96 62.63 60.54 90.23
70,000.00 to 79,999.99 183 13,738,980.11 5.52 10.947 75,076.39 69.98 63.82 63.71 93.29
80,000.00 to 89,999.99 145 12,348,046.58 4.96 10.563 85,158.94 71.49 56.85 68.98 86.24
90,000.00 to 99,999.99 147 14,019,421.30 5.63 10.855 95,370.21 73.49 59.08 55.02 85.85
100,000.00 to 109,999.99 93 9,801,400.23 3.93 10.180 105,391.40 73.96 56.92 64.52 87.30
110,000.00 to 119,999.99 88 10,059,672.88 4.04 10.501 114,314.46 73.00 52.29 62.55 93.12
120,000.00 to 129,999.99 52 6,515,333.50 2.62 10.340 125,294.88 73.95 57.34 65.65 94.11
130,000.00 to 139,999.99 57 7,696,028.60 3.09 9.874 135,018.05 75.60 66.73 57.83 93.04
140,000.00 to 149,999.99 44 6,406,499.29 2.57 10.049 145,602.26 74.73 52.31 51.92 86.64
150,000.00 to 159,999.99 27 4,223,406.16 1.70 10.383 156,422.45 76.07 37.29 66.56 96.36
160,000.00 to 169,999.99 28 4,610,601.37 1.85 9.601 164,664.33 71.77 60.33 64.15 85.52
170,000.00 to 179,999.99 21 3,698,410.77 1.48 9.289 176,114.80 76.23 71.65 85.83 95.14
180,000.00 to 189,999.99 23 4,275,630.46 1.72 9.478 185,896.98 70.95 52.00 56.83 82.43
190,000.00 to 199,999.99 22 4,302,157.18 1.73 9.523 195,552.60 72.77 59.35 54.54 100.00
200,000.00 to 209,999.99 20 4,113,735.16 1.65 9.495 205,686.76 72.73 50.26 69.93 100.00
210,000.00 to 219,999.99 14 3,026,305.38 1.21 9.508 216,164.67 72.45 57.04 57.33 100.00
220,000.00 to 229,999.99 12 2,715,825.64 1.09 8.873 226,318.80 72.69 58.38 83.17 91.62
230,000.00 to 239,999.99 14 3,308,316.61 1.33 9.903 236,308.33 71.94 57.05 49.99 86.08
240,000.00 to 249,999.99 15 3,662,732.76 1.47 10.032 244,182.18 75.00 59.89 59.96 93.32
250,000.00 to 259,999.99 7 1,795,118.31 0.72 8.862 256,445.47 71.68 71.79 56.91 100.00
260,000.00 to 269,999.99 6 1,588,853.53 0.64 10.126 264,808.92 80.05 49.93 83.46 100.00
270,000.00 to 279,999.99 6 1,665,209.96 0.67 9.307 277,534.99 81.65 49.86 83.23 100.00
280,000.00 to 289,999.99 8 2,271,373.50 0.91 8.278 283,921.69 78.30 25.03 74.99 75.28
290,000.00 to 299,999.99 11 3,264,843.56 1.31 8.845 296,803.96 69.53 63.40 45.48 91.06
300,000.00 to 309,999.99 2 614,305.88 0.25 9.053 307,152.94 77.19 100.00 50.39 100.00
310,000.00 to 319,999.99 8 2,526,441.78 1.01 9.926 315,805.22 81.58 50.15 62.38 100.00
320,000.00 to 329,999.99 6 1,953,000.27 0.78 10.103 325,500.04 74.18 66.83 66.65 100.00
330,000.00 to 339,999.99 7 2,341,728.72 0.94 9.335 334,532.67 81.42 57.33 28.67 100.00
340,000.00 to 349,999.99 11 3,808,056.61 1.53 9.435 346,186.96 73.58 63.71 54.50 81.89
350,000.00 to 359,999.99 5 1,772,964.27 0.71 9.614 354,592.85 81.19 59.72 40.28 100.00
360,000.00 to 369,999.99 2 733,694.38 0.29 10.913 366,847.19 69.02 50.32 49.68 100.00
370,000.00 to 379,999.99 3 1,127,372.24 0.45 9.399 375,790.75 69.28 66.81 66.78 100.00
380,000.00 to 389,999.99 2 774,447.91 0.31 9.375 387,223.96 77.50 0.00 49.99 100.00
390,000.00 to 399,999.99 5 1,985,991.38 0.80 8.686 397,198.28 80.36 39.81 19.82 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
400,000.00 to 409,999.99 3 1,216,243.07 0.49 9.665 405,414.36 81.08 33.14 100.00 100.00
410,000.00 to 419,999.99 2 838,145.23 0.34 7.650 419,072.62 72.50 49.98 49.98 100.00
440,000.00 to 449,999.99 2 889,900.43 0.36 9.698 444,950.21 75.05 50.51 0.00 100.00
460,000.00 to 469,999.99 2 924,836.44 0.37 8.473 462,418.22 75.01 100.00 100.00 100.00
470,000.00 to 479,999.99 1 471,658.10 0.19 7.950 471,658.10 86.00 0.00 100.00 100.00
480,000.00 to 489,999.99 1 489,293.85 0.20 9.650 489,293.85 70.00 100.00 0.00 100.00
490,000.00 to 499,999.99 1 498,491.67 0.20 9.490 498,491.67 57.14 100.00 0.00 100.00
510,000.00 to 519,999.99 1 512,473.63 0.21 9.750 512,473.63 80.00 100.00 100.00 100.00
530,000.00 to 539,999.99 1 538,287.60 0.22 9.250 538,287.60 71.05 100.00 100.00 100.00
540,000.00 to 549,999.99 1 542,173.14 0.22 8.750 542,173.14 73.15 0.00 100.00 100.00
620,000.00 to 629,999.99 1 628,664.58 0.25 9.200 628,664.58 70.00 0.00 100.00 100.00
690,000.00 to 699,999.99 1 694,886.32 0.28 9.990 694,886.32 59.32 100.00 0.00 100.00
820,000.00 to 829,999.99 1 828,666.21 0.33 9.130 828,666.21 57.24 0.00 100.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5,906.63
Max: 828,666.21
Average: 71,663.81
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.000 to 6.499 3 539,943.85 0.22 6.415 179,981.28 65.67 44.51 100.00 100.00
6.500 to 6.999 20 3,844,215.58 1.54 6.860 192,210.78 69.32 69.80 72.79 92.91
7.000 to 7.499 16 3,601,092.47 1.45 7.338 225,068.28 72.25 80.43 72.20 100.00
7.500 to 7.999 59 9,574,033.98 3.84 7.860 162,271.76 69.78 66.15 81.49 96.27
8.000 to 8.499 56 7,835,641.10 3.15 8.278 139,922.16 69.77 59.95 68.49 86.16
8.500 to 8.999 173 20,965,504.63 8.42 8.749 121,187.89 72.51 58.27 66.02 95.69
9.000 to 9.499 137 16,066,302.29 6.45 9.231 117,272.28 68.69 60.06 63.85 90.91
9.500 to 9.999 380 38,455,795.85 15.44 9.744 101,199.46 72.20 64.24 61.32 85.56
10.000 to 10.499 238 17,281,650.34 6.94 10.247 72,611.98 73.00 60.01 62.08 84.94
10.500 to 10.999 536 36,432,025.78 14.63 10.723 67,970.20 74.31 57.12 64.35 88.44
11.000 to 11.499 359 21,263,615.74 8.54 11.248 59,230.13 72.42 55.15 56.40 85.61
11.500 to 11.999 517 28,507,113.45 11.44 11.701 55,139.48 74.02 53.42 68.29 87.95
12.000 to 12.499 271 12,652,414.50 5.08 12.186 46,687.88 70.92 48.15 50.96 87.13
12.500 to 12.999 254 12,022,351.12 4.83 12.723 47,332.09 67.35 56.33 60.74 89.53
13.000 to 13.499 154 6,721,228.87 2.70 13.237 43,644.34 65.08 56.49 48.75 90.70
13.500 to 13.999 107 4,495,661.40 1.80 13.740 42,015.53 63.63 63.96 59.64 82.62
14.000 to 14.499 49 2,087,701.01 0.84 14.248 42,606.14 61.15 43.05 55.58 76.36
14.500 to 14.999 75 3,143,497.52 1.26 14.722 41,913.30 66.48 42.43 79.33 91.97
15.000 to 15.499 29 1,580,302.49 0.63 15.202 54,493.19 71.15 41.90 93.14 100.00
15.500 to 15.999 38 1,874,588.44 0.75 15.733 49,331.27 69.75 39.08 94.96 98.61
16.000 to 16.499 3 105,887.93 0.04 16.197 35,295.98 56.44 100.00 64.96 64.96
16.500 to 16.999 2 52,840.57 0.02 16.500 26,420.29 67.65 47.04 100.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6.000
Max:: 16.500
Weighted Average Coupon: 10.571
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,130 229,487,147.35 92.13 10.520 73,318.58 71.95 59.10 63.97 89.09
7 to 12 336 18,761,877.93 7.53 11.183 55,838.92 66.54 45.46 64.00 83.94
13 to 18 3 200,056.65 0.08 12.592 66,685.55 65.28 100.00 33.38 100.00
19 to 24 5 444,506.71 0.18 10.089 88,901.34 65.14 86.43 63.11 100.00
25 to 30 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max:: 26
Weighted Average: 4.133
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Months
Remaining to Number of Aggregate Weighted Average Average Percent Percent Percent
Scheduled Mortgage Principal Percent Average Current Original Cashout Full Owner
Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 59 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
60 to 119 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.00
120 to 179 881 41,282,741.39 16.57 11.087 46,858.96 64.67 67.68 68.17 90.46
180 to 239 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
300 to 359 2,572 206,469,966.04 82.89 10.467 80,276.04 72.86 56.21 63.01 88.33
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 51
Max:: 359
Weighted Average: 325.35
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10 yr fxd 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.0
15 yr fxd 748 32,601,894.79 13.09 10.924 43,585.42 64.22 73.05 70.14 88.95
20 yr fxd 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
30 yr fxd 2,435 191,266,315.37 76.78 10.492 78,548.79 72.74 56.45 63.43 88.67
5/25 140 15,277,343.62 6.13 10.145 109,123.88 74.29 53.45 57.88 83.92
Balloon 131 8,613,060.28 3.46 11.721 65,748.55 66.41 47.05 60.67 96.33
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 2,102 144,851,210.18 58.15 10.446 68,911.14 69.43 100.00 60.38 87.67
Purchase 535 36,066,798.73 14.48 11.001 67,414.58 77.91 0.00 68.00 91.32
Refinance 839 68,185,400.00 27.37 10.609 81,269.85 72.58 0.00 69.17 89.66
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 536 28,040,804.81 11.26 10.761 52,314.93 66.48 63.69 61.31 0.00
Owner Occupied 2,940 221,062,604.10 88.74 10.547 75,191.36 72.16 57.45 64.22 100.00
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 264 21,174,874.25 8.50 10.516 80,207.86 68.52 68.86 56.49 64.87
Condo 136 10,025,489.32 4.02 9.916 73,716.83 71.90 43.48 64.73 80.77
Manuf Home 28 1,659,822.54 0.67 10.887 59,279.38 72.84 41.33 65.30 100.00
PUD 57 4,909,270.98 1.97 10.810 86,127.56 75.82 41.12 67.64 94.50
Single Family 2,985 211,041,806.71 84.72 10.599 70,700.77 71.69 58.33 64.50 91.29
Townhouse 5 231,816.58 0.09 11.078 46,363.32 77.30 48.73 80.73 91.44
Unknown 1 60,328.53 0.02 12.875 60,328.53 76.10 0.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,301 159,157,290.36 63.89 10.517 69,168.75 73.60 54.96 100.00 89.20
Limited 93 9,728,830.62 3.91 9.926 104,611.08 68.67 64.33 0.00 94.29
Stated 1,078 79,878,572.17 32.07 10.755 74,098.86 67.77 64.00 0.00 87.25
Unknown 4 338,715.76 0.14 10.912 84,678.94 63.86 0.00 0.00 69.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3,236 239,943,496.97 96.32 10.514 74,148.18 72.00 57.27 63.69 88.47
2 240 9,159,911.94 3.68 12.060 38,166.30 58.92 81.07 69.17 95.92
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Amresco Mortgage Principal Percent Average Current Original Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 487 50,441,765.16 20.25 9.285 103,576.52 72.83 66.09 55.32 84.96
2 1,270 104,975,335.37 42.14 10.136 82,657.74 73.30 57.64 64.61 87.70
3 701 44,479,044.05 17.86 10.871 63,450.85 72.02 53.04 66.06 92.84
4 435 21,198,900.05 8.51 11.499 48,733.10 68.09 61.87 74.66 91.02
5 577 27,545,539.42 11.06 13.378 47,739.24 64.15 51.34 65.32 91.24
Unknown 6 462,824.86 0.19 11.126 77,137.48 71.88 33.92 47.40 90.85
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 54 3,703,001.54 1.49 10.518 68,574.10 66.03 77.65 38.30 68.35
1.5 Year 2 153,294.29 0.06 14.619 76,647.15 75.43 60.65 60.65 100.00
2 Year 21 2,580,257.10 1.04 9.909 122,869.39 73.66 39.11 58.56 92.61
3 Year 115 7,181,633.07 2.88 11.006 62,448.98 69.19 67.20 74.84 97.54
4 Year 1 62,831.47 0.03 14.770 62,831.47 60.00 100.00 0.00 100.00
5 Year 943 87,964,540.50 35.31 9.776 93,281.59 73.00 59.39 66.63 89.77
Undefined Penalty 1,126 82,675,117.98 33.19 10.635 73,423.73 71.71 56.26 62.67 88.54
No Prepayment Penalty 1,214 64,782,732.96 26.01 11.536 53,363.04 69.76 57.46 62.26 87.61
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 18 1,304,566.65 0.52 10.514 72,475.92 69.56 32.58 82.93 61.25
Arizona 59 4,520,050.56 1.81 10.968 76,611.03 73.89 60.02 44.14 96.77
Arkansas 107 4,277,981.36 1.72 11.472 39,981.13 72.02 68.93 81.52 94.15
California 520 50,594,890.45 20.31 10.099 97,297.87 69.53 61.44 62.61 86.30
Colorado 45 4,151,122.16 1.67 9.540 92,247.16 73.57 63.48 74.29 90.66
Connecticut 29 2,107,340.93 0.85 10.821 72,666.93 67.45 71.10 28.94 83.78
Delaware 5 375,953.40 0.15 11.048 75,190.68 69.25 79.69 67.54 100.00
Florida 310 18,650,475.13 7.49 10.991 60,162.82 71.22 56.95 62.42 91.25
Georgia 42 2,400,580.88 0.96 11.125 57,156.69 72.38 62.43 74.14 86.10
Hawaii 238 44,539,007.35 17.88 8.875 187,138.69 73.65 58.64 58.72 92.74
Idaho 30 1,487,783.18 0.60 10.117 49,592.77 67.36 54.63 64.41 93.85
Illinois 118 6,542,575.61 2.63 11.603 55,445.56 70.24 73.95 61.10 84.61
Indiana 110 3,880,681.86 1.56 10.861 35,278.93 70.04 75.29 71.23 87.49
Iowa 14 695,168.51 0.28 12.288 49,654.89 72.34 76.05 45.35 100.00
Kansas 14 860,483.40 0.35 11.103 61,463.10 77.96 43.79 43.13 89.59
Kentucky 16 763,515.98 0.31 11.584 47,719.75 75.92 47.48 47.58 95.42
Louisiana 77 3,367,043.96 1.35 11.999 43,727.84 72.12 55.66 81.41 83.96
Maryland 81 4,644,909.35 1.86 11.775 57,344.56 73.46 46.82 57.71 83.46
Massachusetts 30 3,133,604.58 1.26 10.629 104,453.49 72.66 82.88 82.73 81.63
Michigan 100 4,270,901.60 1.71 12.268 42,709.02 71.89 50.89 70.46 89.37
Minnesota 46 2,833,866.96 1.14 11.512 61,605.80 74.56 57.56 57.56 78.76
Mississippi 60 2,669,740.16 1.07 11.730 44,495.67 74.47 65.06 70.45 93.87
Missouri 92 4,026,564.00 1.62 11.796 43,767.00 76.45 32.83 84.35 88.75
Montana 7 547,451.86 0.22 10.161 78,207.41 71.99 67.51 68.37 100.00
Nebraska 21 1,021,908.20 0.41 11.331 48,662.30 65.65 76.91 42.93 100.00
Nevada 41 2,948,807.70 1.18 10.570 71,922.14 71.30 48.79 70.12 81.34
New Hampshire 2 165,740.15 0.07 10.654 82,870.08 69.29 36.12 36.12 100.00
New Jersey 13 1,487,668.26 0.60 11.058 114,436.02 66.74 37.84 49.13 93.36
New Mexico 14 864,556.17 0.35 10.649 61,754.01 71.50 58.33 64.39 100.00
New York 37 3,673,035.37 1.47 11.473 99,271.23 69.43 38.84 63.02 89.38
North Carolina 77 3,774,489.66 1.52 12.441 49,019.35 69.83 63.92 54.70 87.29
North Dakota 3 126,750.51 0.05 11.171 42,250.17 74.37 100.00 83.12 100.00
Ohio 165 8,851,762.37 3.55 10.974 53,647.04 70.58 73.17 70.08 89.25
Oklahoma 79 3,559,280.45 1.43 11.335 45,054.18 77.48 54.13 86.44 90.55
Oregon 65 5,822,983.41 2.34 10.064 89,584.36 69.13 68.68 72.44 94.92
Pennsylvania 218 10,539,093.97 4.23 11.860 48,344.47 72.62 62.60 68.61 86.31
Rhode Island 6 226,351.52 0.09 11.571 37,725.25 66.04 78.49 41.46 78.49
South Carolina 31 1,286,533.26 0.52 12.326 41,501.07 71.89 57.62 71.98 91.08
South Dakota 1 55,856.03 0.02 10.250 55,856.03 79.00 100.00 100.00 100.00
Tennessee 68 3,877,154.65 1.56 11.348 57,016.98 72.82 54.45 82.03 93.68
Texas 245 13,872,116.99 5.57 11.482 56,620.89 72.89 16.59 59.22 83.03
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Utah 47 3,834,067.17 1.54 10.068 81,575.90 71.61 80.08 73.16 92.42
Virginia 31 1,796,562.04 0.72 11.773 57,953.61 71.37 51.25 42.26 89.04
Washington 63 4,473,649.40 1.80 9.968 71,010.31 63.34 71.23 59.16 95.52
Washington DC 19 1,651,382.15 0.66 11.737 86,914.85 70.11 50.24 30.17 65.36
West Virginia 16 710,872.46 0.29 11.841 44,429.53 72.86 64.39 68.78 97.22
Wisconsin 38 1,435,108.25 0.58 12.607 37,766.01 68.25 60.12 85.07 76.63
Wyoming 8 401,418.89 0.16 10.621 50,177.36 57.62 63.69 90.07 77.41
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
1996 8 644,563.36 0.26 10.866 80,570.42 65.18 90.64 53.88 100.00
1997 3,466 248,249,025.28 99.66 10.570 71,624.07 71.54 58.07 63.97 88.70
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Original Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.00 to 9.99 8 159,930.09 0.06 12.717 19,991.26 7.44 68.42 45.21 67.77
10.00 to 14.99 26 970,954.17 0.39 12.118 37,344.39 12.78 72.46 36.05 84.62
15.00 to 19.99 33 1,110,735.22 0.45 11.689 33,658.64 16.46 77.08 63.22 94.68
20.00 to 24.99 30 1,423,440.99 0.57 11.232 47,448.03 22.03 69.59 70.00 98.10
25.00 to 29.99 31 1,118,916.86 0.45 10.548 36,094.09 27.38 80.15 68.00 93.98
30.00 to 34.99 41 1,796,933.53 0.72 9.974 43,827.65 32.44 80.87 68.48 87.47
35.00 to 39.99 57 2,569,305.56 1.03 10.490 45,075.54 37.10 74.40 45.43 92.70
40.00 to 44.99 64 3,836,007.06 1.54 10.246 59,937.61 42.64 78.25 49.19 83.40
45.00 to 49.99 69 3,687,745.53 1.48 10.382 53,445.59 47.15 68.01 50.35 92.31
50.00 to 54.99 132 9,110,549.18 3.66 9.968 69,019.31 52.41 74.94 49.51 82.92
55.00 to 59.99 156 10,553,202.82 4.24 10.401 67,648.74 57.31 77.42 43.82 87.08
60.00 to 64.99 286 17,551,695.05 7.05 10.770 61,369.56 61.74 69.65 43.88 84.24
65.00 to 69.99 376 22,618,861.13 9.08 10.986 60,156.55 66.44 61.95 51.56 73.63
70.00 to 74.99 567 39,601,496.08 15.90 10.958 69,843.91 71.05 57.22 65.89 82.36
75.00 to 79.99 564 43,598,533.39 17.50 10.359 77,302.36 75.95 56.65 66.85 86.97
80.00 to 84.99 671 54,794,491.73 22.00 10.399 81,660.94 80.47 53.35 63.09 97.15
85.00 to 89.99 213 20,272,743.44 8.14 10.328 95,177.20 85.78 44.84 90.74 98.72
90.00 to 94.99 152 14,327,867.08 5.75 10.707 94,262.28 90.00 38.40 93.76 98.50
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.00
Max:: 90.10
Weighted Average: 71.52
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
ARM Collateral Tables
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 8,478.00 0.00 8.625 8,478.00 80.00 0.00 100.00 100.00
10,000.00 to 19,999.99 32 583,483.81 0.14 11.892 18,233.87 63.48 68.18 59.12 62.50
20,000.00 to 29,999.99 200 5,155,266.52 1.26 11.430 25,776.33 66.20 57.56 67.76 79.04
30,000.00 to 39,999.99 323 11,409,357.71 2.79 11.456 35,323.09 70.33 43.14 74.57 84.11
40,000.00 to 49,999.99 322 14,601,311.74 3.58 11.215 45,345.69 71.81 46.73 73.42 87.36
50,000.00 to 59,999.99 347 19,232,486.32 4.71 11.046 55,425.03 72.98 43.49 71.07 92.76
60,000.00 to 69,999.99 317 20,774,396.99 5.09 10.623 65,534.38 74.15 40.35 68.92 90.17
70,000.00 to 79,999.99 296 22,214,433.49 5.44 10.633 75,048.76 75.44 41.69 69.82 93.28
80,000.00 to 89,999.99 259 21,996,374.83 5.39 10.483 84,928.09 75.42 40.36 66.49 92.14
90,000.00 to 99,999.99 232 22,161,977.75 5.43 10.301 95,525.77 75.62 38.76 67.18 91.41
100,000.00 to 109,999.99 202 21,146,275.25 5.18 10.311 104,684.53 77.08 38.16 67.72 92.54
110,000.00 to 119,999.99 178 20,491,304.29 5.02 10.073 115,119.69 77.44 38.81 66.82 91.04
120,000.00 to 129,999.99 125 15,668,309.54 3.84 10.192 125,346.48 79.01 35.28 67.14 93.64
130,000.00 to 139,999.99 120 16,155,798.60 3.96 10.145 134,631.65 79.77 30.16 69.11 94.94
140,000.00 to 149,999.99 97 14,160,759.82 3.47 9.942 145,987.21 77.88 45.27 67.99 95.81
150,000.00 to 159,999.99 92 14,286,075.40 3.50 10.106 155,283.43 78.74 22.85 66.25 92.38
160,000.00 to 169,999.99 60 9,911,198.43 2.43 10.039 165,186.64 79.83 41.87 65.04 89.93
170,000.00 to 179,999.99 65 11,377,162.52 2.79 9.956 175,033.27 79.29 35.51 58.57 93.90
180,000.00 to 189,999.99 59 10,944,622.79 2.68 9.640 185,502.08 78.80 26.98 64.45 98.29
190,000.00 to 199,999.99 67 13,104,432.03 3.21 9.995 195,588.54 79.92 22.33 55.27 94.01
200,000.00 to 209,999.99 46 9,514,763.10 2.33 9.944 206,842.68 76.41 45.65 58.53 93.52
210,000.00 to 219,999.99 38 8,149,124.77 2.00 9.789 214,450.65 78.46 49.88 55.38 100.00
220,000.00 to 229,999.99 43 9,644,023.44 2.36 9.761 224,279.61 79.09 27.87 62.73 88.43
230,000.00 to 239,999.99 27 6,361,618.74 1.56 9.597 235,615.51 78.50 18.48 51.86 85.40
240,000.00 to 249,999.99 32 7,862,632.08 1.93 10.322 245,707.25 76.41 34.52 53.01 100.00
250,000.00 to 259,999.99 27 6,862,902.71 1.68 9.774 254,181.58 78.85 29.62 62.78 88.98
260,000.00 to 269,999.99 25 6,622,498.56 1.62 9.880 264,899.94 81.51 31.83 79.96 91.96
270,000.00 to 279,999.99 25 6,881,659.86 1.69 9.447 275,266.39 79.27 44.11 75.92 100.00
280,000.00 to 289,999.99 12 3,431,734.19 0.84 9.503 285,977.85 79.82 24.95 83.33 100.00
290,000.00 to 299,999.99 18 5,322,723.01 1.30 9.265 295,706.83 78.34 61.11 33.28 100.00
300,000.00 to 309,999.99 13 3,963,510.70 0.97 9.889 304,885.44 79.99 38.46 53.83 100.00
310,000.00 to 319,999.99 22 6,925,319.31 1.70 9.874 314,787.24 79.56 36.59 40.86 100.00
320,000.00 to 329,999.99 7 2,285,905.53 0.56 9.406 326,557.93 84.57 42.84 56.96 100.00
330,000.00 to 339,999.99 10 3,338,209.65 0.82 9.979 333,820.97 82.80 29.95 70.07 100.00
340,000.00 to 349,999.99 13 4,507,194.85 1.10 9.847 346,707.30 73.53 30.71 46.13 92.34
350,000.00 to 359,999.99 10 3,559,846.95 0.87 9.246 355,984.70 75.06 19.97 69.83 90.01
360,000.00 to 369,999.99 5 1,835,891.68 0.45 9.306 367,178.34 71.71 40.09 59.89 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
370,000.00 to 379,999.99 7 2,628,845.63 0.64 10.368 375,549.38 82.10 0.00 85.56 100.00
380,000.00 to 389,999.99 5 1,923,680.45 0.47 9.612 384,736.09 76.68 39.96 40.03 100.00
390,000.00 to 399,999.99 6 2,379,227.96 0.58 9.732 396,537.99 74.14 50.04 67.10 66.47
400,000.00 to 409,999.99 2 817,784.48 0.20 9.525 408,892.24 67.50 100.00 49.97 100.00
410,000.00 to 419,999.99 1 419,500.30 0.10 10.550 419,500.30 76.36 100.00 0.00 100.00
420,000.00 to 429,999.99 3 1,281,136.65 0.31 9.968 427,045.55 84.33 66.75 100.00 100.00
430,000.00 to 439,999.99 3 1,308,684.32 0.32 9.387 436,228.11 67.77 33.54 100.00 66.92
440,000.00 to 449,999.99 5 2,241,590.00 0.55 9.571 448,318.00 67.05 0.00 0.00 100.00
450,000.00 to 459,999.99 3 1,360,585.46 0.33 8.874 453,528.49 79.22 33.54 66.46 100.00
460,000.00 to 469,999.99 3 1,404,181.43 0.34 9.847 468,060.48 71.40 66.60 33.40 100.00
470,000.00 to 479,999.99 4 1,895,678.09 0.46 9.503 473,919.52 77.51 50.31 24.83 100.00
480,000.00 to 489,999.99 2 972,075.30 0.24 9.120 486,037.65 74.55 49.98 49.98 100.00
490,000.00 to 499,999.99 5 2,488,396.45 0.61 9.375 497,679.29 73.44 40.03 39.87 100.00
510,000.00 to 519,999.99 2 1,035,879.93 0.25 9.738 517,939.96 69.99 50.14 50.14 100.00
540,000.00 to 549,999.99 1 545,817.91 0.13 8.500 545,817.91 75.00 100.00 100.00 100.00
550,000.00 to 559,999.99 1 550,767.29 0.13 10.250 550,767.29 80.00 0.00 100.00 100.00
590,000.00 to 599,999.99 2 1,189,591.31 0.29 8.369 594,795.66 77.52 0.00 100.00 100.00
630,000.00 to 639,999.99 1 638,221.94 0.16 8.990 638,221.94 79.50 100.00 0.00 100.00
740,000.00 to 749,999.99 1 747,575.64 0.18 8.250 747,575.64 75.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 8,478.00
Max:: 747,575.64
Average: 106,768.38
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.500 to 5.999 2 221,671.18 0.05 5.572 110,835.59 66.27 100.00 57.33 100.00
6.000 to 6.499 2 390,401.31 0.10 6.250 195,200.66 73.60 100.00 100.00 100.00
6.500 to 6.999 33 4,873,750.10 1.19 6.871 147,689.40 69.96 42.30 72.03 100.00
7.000 to 7.499 17 2,671,380.83 0.65 7.274 157,140.05 70.34 45.52 34.04 98.39
7.500 to 7.999 80 12,120,643.76 2.97 7.805 151,508.05 75.46 43.18 81.87 91.57
8.000 to 8.499 99 14,434,877.59 3.54 8.230 145,806.84 74.67 29.55 74.67 82.00
8.500 to 8.999 302 45,131,757.38 11.05 8.760 149,442.91 76.66 43.24 66.42 89.82
9.000 to 9.499 281 36,750,501.03 9.00 9.225 130,784.70 76.77 37.02 58.16 89.92
9.500 to 9.999 679 83,782,028.97 20.52 9.742 123,390.32 78.49 36.34 61.53 94.71
10.000 to 10.499 457 48,834,833.58 11.96 10.227 106,859.59 77.50 32.70 57.81 94.89
10.500 to 10.999 670 68,653,690.44 16.82 10.713 102,468.19 78.64 37.32 65.32 94.47
11.000 to 11.499 351 28,791,798.81 7.05 11.166 82,027.92 78.37 43.99 63.97 92.57
11.500 to 11.999 266 21,630,621.16 5.30 11.682 81,318.12 77.45 40.82 66.41 90.94
12.000 to 12.499 142 10,731,873.20 2.63 12.200 75,576.57 70.64 34.84 62.50 94.80
12.500 to 12.999 120 7,535,053.06 1.85 12.726 62,792.11 68.84 35.44 67.70 91.30
13.000 to 13.499 68 4,181,743.95 1.02 13.220 61,496.23 68.28 26.86 67.11 90.16
13.500 to 13.999 84 5,529,642.92 1.35 13.721 65,829.08 68.62 44.39 77.06 93.25
14.000 to 14.499 59 4,628,353.46 1.13 14.240 78,446.67 68.85 28.67 85.37 95.91
14.500 to 14.999 58 3,784,279.20 0.93 14.659 65,246.19 69.81 36.95 88.45 100.00
15.000 to 15.499 45 3,045,178.69 0.75 15.125 67,670.64 69.98 36.44 97.43 100.00
15.500 to 15.999 5 360,384.54 0.09 15.735 72,076.91 70.18 16.01 100.00 100.00
16.000 to 16.499 2 101,447.45 0.02 16.074 50,723.73 69.99 0.00 100.00 100.00
16.500 to 16.999 1 44,191.76 0.01 16.880 44,191.76 71.29 0.00 100.00 100.00
17.000 to 17.499 1 52,181.13 0.01 17.130 52,181.13 73.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.500
Max: 17.130
Weighted Average: 10.199
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,668 389,356,851.99 95.36 10.214 76.81 38.34 65.00 93.29
106,149.63
7 to 12 142 17,391,847.40 4.26 9.792 74.92 23.55 59.56 84.94
122,477.80
13 to 18 9 1,092,084.20 0.27 11.141 67.01 36.52 35.23 89.03
121,342.69
19 to 24 4 0.09 10.161 73.54 38.64 70.17 70.17
385,937.96 96,484.49
25 to 30 1 55,563.95 0.01 13.750 65.00 0.00 0.00 100.00
55,563.95
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max: 27
Weighted Average: 4.11
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Months Remaining to Mortgage Principal Percent Average Current Average Cashout Full Owner
Scheduled Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
120 to 179 47 2,348,178.57 0.58 10.570 49,961.25 67.20 50.92 66.58 88.84
180 to 239 19 1,093,542.33 0.27 10.362 57,554.86 69.61 24.64 84.85 88.53
300 to 359 3,758 404,840,564.60 99.16 10.196 107,727.66 76.77 37.66 64.62 92.94
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 171
Max: 359
Weighted Average: 354.53
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Yr CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
2_28 2,717 282,525,527.95 69.20 10.463 103,984.37 77.05 36.14 65.36 94.56
3_27 135 15,204,619.02 3.72 10.037 112,626.81 76.20 46.69 65.20 88.99
6 Mo. 970 110,369,485.40 27.03 9.547 113,782.97 75.88 40.41 62.88 89.18
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 1,552 153,915,956.76 37.70 10.155 99,172.65 74.24 100.00 59.60 90.74
Purchase 1,275 139,669,423.99 34.21 10.121 109,544.65 80.31 0.00 69.04 94.27
Refinance 996 114,641,340.80 28.08 10.350 115,101.75 75.61 0.00 66.24 94.15
Unknown 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 355 28,972,252.29 7.10 9.947 81,611.98 71.34 49.22 63.21 0.00
Owner-Occupied 3,469 379,310,033.21 92.90 10.218 109,342.76 77.11 36.82 64.80 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 243 23,882,568.85 5.85 10.438 98,282.18 73.75 45.74 58.12 70.06
Condo 154 12,981,059.44 3.18 9.906 84,292.59 74.92 28.01 69.32 86.61
Manuf Home 35 2,400,515.34 0.59 10.206 68,586.15 73.53 57.65 73.55 94.24
PUD 70 9,360,518.91 2.29 10.524 133,721.70 79.43 34.49 65.72 98.39
Single Family 3,314 358,716,720.00 87.86 10.186 108,242.82 76.92 37.53 64.90 94.48
Townhouse 8 940,902.96 0.23 9.651 117,612.87 73.06 11.67 51.54 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,588 264,103,043.39 64.69 10.247 102,049.09 78.73 34.74 100.00 93.07
Limited 98 14,443,850.40 3.54 10.117 147,386.23 76.85 40.02 0.00 91.57
Stated 1,134 129,270,492.49 31.66 10.114 113,995.14 72.54 43.63 0.00 92.79
Unknown 4 464,899.22 0.11 8.907 116,224.81 71.79 0.00 0.00 75.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 367 45,300,578.28 11.10 9.845 123,434.82 81.57 37.43 63.28 93.52
2 1,419 186,172,592.38 45.60 9.538 131,199.85 79.03 35.83 60.93 91.06
3 777 79,774,598.12 19.54 10.198 102,670.01 75.99 38.39 66.02 95.46
4 411 30,524,356.24 7.48 10.941 74,268.51 74.93 36.75 74.32 91.49
5 847 66,062,542.87 16.18 11.972 77,995.92 68.43 43.00 70.37 95.38
Unknown 3 447,617.61 0.11 8.697 149,205.87 80.41 0.00 34.13 74.14
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.5 Year 1 72,192.07 0.02 10.480 72,192.07 85.00 0.00 100.00 100.00
1 Year 71 11,747,359.86 2.88 9.300 165,455.77 77.04 14.98 62.69 89.99
2 Year 426 60,264,626.95 14.76 10.017 141,466.26 78.18 32.42 65.52 95.41
3 Year 182 21,363,586.01 5.23 10.134 117,382.34 77.76 33.69 61.60 95.60
3.5 Year 3 252,188.25 0.06 11.788 84,062.75 70.00 44.37 55.63 100.00
5 Year 695 61,266,549.64 15.01 10.389 88,153.31 76.31 40.37 73.22 94.16
Undefined Penalty 1,197 140,795,556.18 34.48 9.914 117,623.69 77.39 39.04 63.76 91.79
No Prepayment Penalty 1,249 112,520,226.54 27.56 10.650 90,088.25 75.02 40.53 61.54 92.04
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 9 1,203,990.48 0.29 10.021 133,776.72 79.62 39.53 63.66 100.00
Arizona 139 14,099,887.12 3.45 10.144 101,438.04 79.94 49.03 59.38 95.24
Arkansas 17 1,660,771.14 0.41 10.301 97,692.42 73.95 32.39 81.25 100.00
California 787 131,131,525.95 32.12 9.566 166,622.02 78.13 31.64 65.32 90.34
Colorado 128 15,951,842.99 3.91 9.634 124,623.77 78.42 36.11 73.43 94.49
Connecticut 36 3,559,952.45 0.87 10.520 98,887.57 71.62 37.62 58.51 89.88
Delaware 4 178,674.87 0.04 9.956 44,668.72 63.79 71.61 71.61 89.24
Florida 197 16,934,775.56 4.15 10.893 85,963.33 75.72 27.72 63.56 97.87
Georgia 57 5,682,170.85 1.39 10.752 99,687.21 79.27 44.70 72.07 95.74
Hawaii 84 16,939,229.29 4.15 9.850 201,657.49 72.03 44.53 50.49 95.66
Idaho 31 2,504,062.39 0.61 10.101 80,776.21 78.07 41.98 71.63 100.00
Illinois 202 17,519,138.67 4.29 10.983 86,728.41 73.83 43.81 65.89 94.93
Indiana 73 4,143,892.02 1.01 10.636 56,765.64 77.25 67.76 85.96 95.88
Iowa 24 1,181,210.41 0.29 11.148 49,217.10 78.15 45.11 85.10 89.86
Kansas 28 2,181,464.65 0.53 10.804 77,909.45 77.40 40.39 64.91 97.47
Kentucky 17 1,196,089.19 0.29 10.019 70,358.19 77.22 26.14 76.69 100.00
Louisiana 40 2,731,972.26 0.67 10.811 68,299.31 76.00 60.23 70.05 95.30
Maine 6 615,025.00 0.15 10.501 102,504.17 74.42 87.02 48.25 100.00
Maryland 31 2,893,652.17 0.71 10.881 93,343.62 72.00 60.97 57.56 89.46
Massachusetts 45 5,055,879.94 1.24 10.207 112,352.89 72.34 40.75 58.38 87.84
Michigan 82 6,865,081.79 1.68 10.897 83,720.51 75.54 52.71 55.67 92.22
Minnesota 194 15,395,267.48 3.77 10.779 79,357.05 76.56 36.55 65.37 91.52
Mississippi 16 1,507,356.61 0.37 10.494 94,209.79 79.85 72.40 96.19 96.19
Missouri 131 8,429,824.29 2.06 11.033 64,349.80 78.74 35.08 80.02 97.26
Montana 5 347,507.77 0.09 10.163 69,501.55 72.47 40.50 52.67 87.83
Nebraska 7 350,500.90 0.09 11.183 50,071.56 75.05 26.66 63.34 100.00
Nevada 43 5,288,838.50 1.30 9.771 122,996.24 79.14 32.54 68.09 91.46
New Hampshire 16 1,226,568.55 0.30 10.602 76,660.53 71.79 53.69 58.73 96.22
New Jersey 56 6,684,498.17 1.64 10.141 119,366.04 75.57 37.91 51.49 98.35
New Mexico 19 1,799,411.99 0.44 10.475 94,705.89 79.18 37.31 53.83 100.00
New York 43 5,819,770.44 1.43 10.858 135,343.50 73.63 30.01 75.47 99.31
North Carolina 88 7,596,085.44 1.86 11.624 86,319.15 72.64 37.33 62.68 94.72
North Dakota 6 221,354.62 0.05 12.136 36,892.44 68.83 68.95 45.35 100.00
Ohio 134 8,360,133.18 2.05 10.511 62,389.05 74.99 50.01 81.16 93.86
Oklahoma 32 1,712,945.42 0.42 10.782 53,529.54 76.58 54.56 75.92 95.97
Oregon 157 17,610,249.56 4.31 10.281 112,167.19 76.87 50.96 60.16 93.08
Pennsylvania 150 9,627,610.19 2.36 11.197 64,184.07 74.38 41.57 68.30 96.19
Rhode Island 27 1,764,598.80 0.43 11.160 65,355.51 71.22 50.38 47.20 81.03
South Carolina 17 967,734.29 0.24 11.664 56,925.55 72.36 56.10 62.05 96.12
South Dakota 3 163,353.94 0.04 11.249 54,451.31 73.37 60.71 66.26 100.00
Tennessee 46 3,151,157.88 0.77 10.557 68,503.43 80.26 28.09 81.64 91.63
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Texas 114 8,665,519.65 2.12 10.696 76,013.33 75.54 10.10 56.95 87.27
Utah 96 11,878,406.01 2.91 9.990 123,733.40 76.79 36.83 58.11 94.21
Vermont 5 440,998.15 0.11 10.401 88,199.63 76.20 24.72 75.28 75.28
Virginia 32 2,887,155.05 0.71 10.643 90,223.60 79.40 49.00 57.13 95.60
Washington 198 23,072,824.76 5.65 9.876 116,529.42 76.98 37.25 59.01 91.75
Washington DC 5 498,122.67 0.12 11.107 99,624.53 74.57 14.99 83.49 82.45
West Virginia 20 1,400,439.31 0.34 10.630 70,021.97 79.25 34.69 82.01 100.00
Wisconsin 126 7,011,967.71 1.72 11.689 55,650.54 74.79 42.06 67.20 89.84
Wyoming 1 171,794.98 0.04 10.520 171,794.98 80.00 0.00 0.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
1996 13 1,478,022.16 0.36 10.885 113,694.01 68.71 37.07 44.36 84.10
1997 3,810 406,748,699.39 99.62 10.196 106,758.19 76.73 37.71 64.77 92.93
- ----------------------------------------------------------------------------------- ------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
to Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15.00 to 19.99 1 30,953.22 0.01 10.800 30,953.22 17.71 100.00 0.00 100.00
20.00 to 24.99 5 182,604.21 0.04 11.182 36,520.84 22.93 67.21 67.21 100.00
25.00 to 29.99 8 309,112.67 0.08 10.502 38,639.08 27.22 74.48 17.61 83.83
30.00 to 34.99 12 709,117.10 0.17 9.577 59,093.09 32.03 64.75 50.43 97.06
35.00 to 39.99 13 648,525.17 0.16 10.185 49,886.55 37.45 85.08 65.19 93.67
40.00 to 44.99 16 983,852.18 0.24 10.140 61,490.76 41.47 85.53 41.46 90.61
45.00 to 49.99 32 2,467,571.29 0.60 9.903 77,111.60 47.43 64.24 42.17 96.60
50.00 to 54.99 74 5,936,279.23 1.45 10.054 80,219.99 52.71 57.22 39.63 81.83
55.00 to 59.99 105 8,426,279.47 2.06 10.112 80,250.28 57.33 58.29 38.59 83.78
60.00 to 64.99 221 17,873,891.84 4.38 10.445 80,877.34 61.91 53.45 39.71 87.28
65.00 to 69.99 321 29,636,459.71 7.26 10.526 92,325.42 66.47 51.89 43.49 87.93
70.00 to 74.99 580 52,068,907.54 12.75 11.198 89,773.98 71.03 41.62 65.61 89.16
75.00 to 79.99 747 79,813,770.23 19.55 9.944 106,845.74 75.78 39.44 55.19 89.89
80.00 to 84.99 968 118,914,118.35 29.13 9.814 122,845.16 80.43 32.91 62.26 95.25
85.00 to 89.99 393 47,487,683.99 11.63 10.141 120,833.80 85.65 33.85 91.08 98.83
90.00 to 94.99 328 42,793,159.30 10.84 10.321 130,466.95 90.00 19.84 94.88 98.91
- --------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 17.71
Max: 90.34
Weighted
Average: 76.70
<TABLE>
<CAPTION>
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Index Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Libor - 6 Month 3,822 408,099,632.37 99.96 10.200 106,776.46 76.70 37.68 64.68 92.90
1 Year CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
- --------------------------------------------------------------------------------------------------------------------
Total: 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Range of Margins Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.000 to 2.499 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
3.500 to 3.999 10 1,092,863.74 0.27 8.385 109,286.37 74.18 38.73 84.38 89.62
4.000 to 4.499 26 3,558,481.33 0.87 9.374 136,864.67 75.56 37.89 70.28 93.40
4.500 to 4.999 106 13,864,244.46 3.40 9.100 130,794.76 75.95 33.67 80.60 93.14
5.000 to 5.499 269 31,863,371.20 7.80 9.286 118,451.19 77.58 30.78 74.96 91.19
5.500 to 5.999 683 84,424,657.32 20.68 9.598 123,608.58 78.18 38.16 71.60 95.99
6.000 to 6.499 932 101,651,627.45 24.90 9.951 109,068.27 77.45 38.97 64.38 93.96
6.500 to 6.999 983 99,556,732.36 24.38 10.446 101,278.47 76.00 41.64 53.77 92.84
7.000 to 7.499 441 43,462,484.97 10.65 11.049 98,554.39 77.56 35.35 64.65 89.55
7.500 to 7.999 272 21,617,539.69 5.29 12.310 79,476.25 71.09 31.56 65.81 86.92
8.000 to 8.499 69 4,592,571.57 1.12 12.451 66,559.01 69.36 32.55 56.22 85.63
8.500 to 8.999 19 1,483,161.32 0.36 13.530 78,061.12 68.77 15.01 64.18 96.89
9.000 to 9.499 12 801,590.97 0.20 13.511 66,799.25 63.87 20.16 26.39 83.19
9.500 to 9.999 1 185,869.94 0.05 13.500 185,869.94 60.00 100.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2.250
Max: 9.550
Weighted Average: 6.265
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Maximum Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.500 to 7.999 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
12.000 to 12.499 3 777,422.63 0.19 7.412 259,140.88 79.24 41.70 97.62 100.00
12.500 to 12.999 16 2,403,058.80 0.59 6.900 150,191.18 73.20 46.36 84.04 100.00
13.000 to 13.449 17 2,093,621.53 0.51 7.199 123,154.21 68.89 62.82 53.36 97.94
13.500 to 13.999 60 9,094,645.36 2.23 7.550 151,577.42 72.82 31.88 68.98 88.76
14.000 to 14.499 79 12,500,538.01 3.06 8.148 158,234.66 76.23 31.34 81.69 83.87
14.500 to 14.999 125 18,198,958.94 4.46 8.639 145,591.67 75.09 35.76 65.46 88.08
15.000 to 15.499 194 27,890,631.69 6.83 8.847 143,766.14 76.06 45.49 59.32 91.27
15.500 to 15.999 303 40,061,287.63 9.81 9.204 132,215.47 77.27 37.43 61.46 91.98
16.000 to 16.499 415 49,876,841.92 12.22 9.638 120,185.16 78.00 39.79 60.26 91.90
16.500 to 16.999 579 66,771,601.41 16.35 9.992 115,322.28 78.10 35.94 64.30 95.56
17.000 to 17.499 490 50,606,895.43 12.40 10.499 103,279.38 78.24 33.67 62.29 95.10
17.500 to 17.999 491 48,023,273.13 11.76 10.845 97,807.07 78.68 39.92 61.21 94.11
18.000 to 18.499 276 22,948,915.66 5.62 11.300 83,148.25 78.54 45.29 69.91 92.15
18.500 to 18.999 210 16,379,132.19 4.01 11.740 77,995.87 75.29 39.30 66.19 88.10
19.000 to 19.499 137 9,928,264.65 2.43 12.263 72,469.09 69.99 35.40 63.57 96.60
19.500 to 19.999 100 6,979,372.97 1.71 12.441 69,793.73 70.45 32.39 62.03 89.58
20.000 to 20.499 69 4,672,394.32 1.14 12.946 67,715.86 68.24 24.97 66.09 91.20
20.500 to 20.999 74 4,993,287.03 1.22 13.749 67,476.85 68.43 45.69 77.86 94.79
21.000 to 21.499 56 4,249,790.67 1.04 14.263 75,889.12 69.73 31.22 89.54 95.55
21.500 to 21.999 58 3,810,209.37 0.93 14.428 65,693.27 70.93 37.38 90.66 100.00
22.000 to 22.499 45 3,100,798.31 0.76 14.991 68,906.63 70.41 35.79 97.47 100.00
22.500 to 22.999 6 453,607.01 0.11 14.505 75,601.17 72.20 12.72 79.45 100.00
23.000 to 23.499 3 109,925.45 0.03 15.499 36,641.82 70.76 0.00 100.00 100.00
23.500 to 23.999 2 128,500.16 0.03 11.628 64,250.08 67.16 0.00 34.39 34.39
24.000 to 24.499 2 225,754.99 0.06 10.495 112,877.50 74.54 0.00 23.11 100.00
24.500 to 24.999 1 54,947.41 0.01 12.875 54,947.41 67.00 0.00 100.00 100.00
25.000 to 25.499 1 287,038.20 0.07 9.000 287,038.20 80.00 0.00 0.00 100.00
25.500 to 25.999 4 549,069.13 0.13 9.498 137,267.28 80.39 0.00 100.00 100.00
27.000 to 27.499 1 112,253.57 0.03 10.125 112,253.57 75.00 0.00 0.00 100.00
27.500 to 27.999 2 253,096.99 0.06 10.375 126,548.50 80.00 0.00 63.11 100.00
28.500 to 28.999 1 314,396.30 0.08 10.750 314,396.30 75.00 0.00 100.00 100.00
32.500 to 32.999 1 70,621.13 0.02 12.990 70,621.13 65.00 0.00 0.00 100.00
33.500 to 33.999 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
35.000 to 35.499 1 179,480.38 0.04 9.700 179,480.38 90.00 0.00 100.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.625
Max: 35.100
Weighted Average: 16.925
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Periodic Caps Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.0 3,679 389,908,571.71 95.50 10.218 105,982.22 76.71 38.24 65.07 92.76
1.5 140 17,595,631.83 4.31 9.798 125,683.08 76.61 23.87 56.95 95.84
2.0 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
3.0 3 595,428.83 0.15 10.200 198,476.28 74.33 79.57 37.96 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1.000
Max: 3.000
Weighted Average: 1.025
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Next Rate Mortgage Principal Percent Average Current Original Cashout Full Owner
Change Date Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998-02 87 10,904,049.00 2.67 8.651 125,333.90 76.55 31.62 64.41 75.98
1998-03 304 40,789,605.64 9.99 9.348 134,176.33 77.00 42.12 57.53 90.87
1998-04 71 8,631,394.42 2.11 9.468 121,568.94 73.20 40.29 55.24 93.57
1998-05 169 16,594,776.59 4.06 9.796 98,193.94 74.32 32.54 63.40 88.68
1998-06 177 17,026,428.55 4.17 9.881 96,194.51 74.97 49.81 74.05 91.96
1998-07 119 12,438,475.10 3.05 10.044 104,525.00 76.44 44.16 65.53 86.96
1998-08 45 4,332,973.37 1.06 10.192 96,288.30 76.37 33.06 69.74 93.26
1998-09 1 110,901.55 0.03 10.280 110,901.55 75.00 100.00 0.00 100.00
1998-10 2 116,292.49 0.03 10.793 58,146.25 55.76 0.00 0.00 100.00
1998-11 5 583,097.52 0.14 11.021 116,619.50 60.90 50.62 50.62 100.00
1998-12 1 96,860.80 0.02 9.990 96,860.80 75.00 0.00 100.00 100.00
1999-01 2 289,720.80 0.07 10.897 144,860.40 74.26 0.00 14.49 100.00
1999-02 4 215,674.84 0.05 12.462 53,918.71 63.29 60.25 0.00 100.00
1999-03 6 632,671.37 0.15 10.356 105,445.23 64.21 41.40 47.13 94.38
1999-04 9 974,541.74 0.24 9.990 108,282.42 73.17 21.55 33.83 100.00
1999-05 18 1,458,680.11 0.36 9.965 81,037.78 67.38 11.77 27.72 91.62
1999-06 33 3,975,668.20 0.97 9.808 120,474.79 76.97 27.33 47.41 85.45
1999-07 40 5,135,863.20 1.26 9.956 128,396.58 79.21 12.82 73.03 97.96
1999-08 178 21,803,038.83 5.34 10.058 122,488.98 76.77 27.29 60.12 92.94
1999-09 882 96,382,310.92 23.61 10.245 109,277.00 77.66 34.63 61.99 94.75
1999-10 396 44,721,839.46 10.95 10.640 112,933.94 76.30 35.22 70.10 95.10
1999-11 158 17,526,445.50 4.29 10.231 110,926.87 78.86 32.11 68.67 97.76
1999-12 378 34,534,148.35 8.46 10.785 91,360.18 76.86 41.04 69.96 93.66
2000-01 390 35,184,878.75 8.62 10.782 90,217.64 76.69 44.99 69.97 93.84
2000-02 213 18,566,132.57 4.55 10.962 87,164.94 77.11 44.56 67.01 95.39
2000-03 2 547,176.91 0.13 8.479 273,588.46 61.03 20.88 100.00 20.88
2000-04 1 28,124.16 0.01 12.490 28,124.16 60.00 0.00 0.00 100.00
2000-05 1 428,420.20 0.10 10.250 428,420.20 83.00 100.00 100.00 100.00
2000-06 1 31,394.93 0.01 12.250 31,394.93 70.00 0.00 0.00 100.00
2000-07 3 481,802.17 0.12 9.043 160,600.72 71.05 0.00 45.70 100.00
2000-08 4 580,541.34 0.14 10.869 145,135.33 80.57 70.05 29.95 100.00
2000-09 26 3,312,761.87 0.81 9.998 127,413.92 80.58 68.16 60.94 78.72
2000-10 15 1,519,555.59 0.37 10.248 101,303.71 72.61 50.90 64.17 97.61
2000-11 37 4,471,983.82 1.10 9.798 120,864.43 76.61 35.05 63.03 97.11
2000-12 20 1,953,019.87 0.48 10.106 97,650.99 77.04 42.95 66.41 92.72
2001-01 16 1,351,089.33 0.33 10.724 84,443.08 72.99 25.22 92.54 93.90
2001-02 10 549,945.64 0.13 10.646 54,994.56 71.99 67.59 45.95 73.44
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
Class A-1
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 11.44 2.04 1.45 1.14 0.95 0.82 0.65
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Payment Window 237 52 35 27 21 18 14
Window
Class A-2
Average Life 20.76 4.82 3.27 2.48 2.00 1.67 1.27
First Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Last Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Payment Window 24 12 9 6 6 4 3
Window
Class A-3
Average Life 24.78 8.45 5.38 3.89 3.00 2.36 1.75
First Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Last Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Payment Window 68 93 62 37 27 15 11
Window
Class A-4
Average Life 27.82 14.53 10.27 6.90 5.00 3.81 2.34
First Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Last Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Payment Window 14 43 40 38 18 19 5
Window
Class A-5
Average Life 29.06 21.58 16.43 12.72 9.68 7.18 2.78
First Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Last Pay 10/27 9/26 9/23 2/19 3/15 5/12 2/01
Payment Window 17 147 165 148 137 119 7
Window
Class A-6
Average Life 13.80 8.15 7.36 6.89 6.62 6.52 6.26
First Pay 3/01 3/01 3/01 3/01 6/01 9/01 2/01
Last Pay 8/27 6/26 5/23 11/18 1/15 3/12 6/08
Payment Window 318 304 267 213 164 127 89
Window
Class M-1F
Average Life 26.23 12.96 9.39 7.19 5.82 5.03 4.54
First Pay 8/19 4/04 5/02 4/01 4/01 6/01 11/01
Last Pay 8/27 7/24 8/19 12/14 10/11 6/09 4/06
Payment Window 97 244 208 165 127 97 54
Window
Class M-2F
Average Life 26.22 12.87 9.28 7.10 5.73 4.89 4.13
First Pay 8/19 4/04 5/02 4/01 3/01 4/01 6/01
Last Pay 7/27 3/23 9/17 4/13 6/10 4/08 6/05
Payment Window 96 228 185 145 112 85 49
Window
Class B-1F
Average Life 26.16 12.39 8.87 6.78 5.45 4.63 3.79
First Pay 8/19 4/04 5/02 4/01 3/01 3/01 3/01
Last Pay 5/27 9/20 12/14 4/11 9/08 10/06 5/04
Payment Window 94 198 152 121 91 68 39
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
Class A-7
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 20.07 4.64 3.48 2.72 2.15 1.67 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/27 3/24 10/19 9/15 8/12 3/10 2/01
Payment Window 356 313 260 211 174 145 36
Window
Class M-1A
Average Life 27.12 9.70 7.28 5.87 5.21 5.12 6.14
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 9/27 8/21 10/16 1/13 5/10 4/08 5/08
Payment Window 68 233 188 140 105 76 72
Window
Class M-2A
Average Life 27.12 9.62 7.20 5.76 4.94 4.51 4.36
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 8/27 10/19 1/15 7/11 1/09 4/07 11/05
Payment Window 67 211 167 124 93 70 52
Window
Class B-1A
Average Life 27.09 9.30 6.95 5.53 4.68 4.17 3.86
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 6/27 2/17 8/12 8/09 6/07 11/05 9/04
Payment Window 65 179 138 102 76 56 42
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Floating Rate Average Life Sensitivities
(To Call)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7
Average Life 20.04 4.30 3.20 2.49 1.96 1.52 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 2/01
Payment Window 344 158 118 92 75 62 36
Class M-1A
Average Life 27.02 8.79 6.54 5.26 4.71 4.70 4.45
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 53 33 16 2
Class M-2A
Average Life 27.02 8.79 6.54 5.21 4.50 4.14 4.06
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 55 37 22 12
Class B-1A
Average Life 27.02 8.79 6.54 5.19 4.41 3.94 3.68
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 56 39 25 16
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-1
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 93 72 62 51 40 29 8
2/00 91 47 26 7 0 0 0
2/01 88 24 0 0 0 0 0
2/02 85 5 0 0 0 0 0
2/03 82 0 0 0 0 0 0
2/04 79 0 0 0 0 0 0
2/05 75 0 0 0 0 0 0
2/06 72 0 0 0 0 0 0
2/07 68 0 0 0 0 0 0
2/08 64 0 0 0 0 0 0
2/09 59 0 0 0 0 0 0
2/10 54 0 0 0 0 0 0
2/11 48 0 0 0 0 0 0
2/12 41 0 0 0 0 0 0
2/13 28 0 0 0 0 0 0
2/14 23 0 0 0 0 0 0
2/15 18 0 0 0 0 0 0
2/16 12 0 0 0 0 0 0
2/17 5 0 0 0 0 0 0
2/18 0 0 0 0 0 0 0
2/19 0 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 11.4 2.0 1.4 1.1 0.9 0.8 0.7
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 11.4 2.0 1.4 1.1 0.9 0.8 0.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-2
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 28 0 0
2/01 100 100 79 0 0 0 0
2/02 100 100 0 0 0 0 0
2/03 100 23 0 0 0 0 0
2/04 100 0 0 0 0 0 0
2/05 100 0 0 0 0 0 0
2/06 100 0 0 0 0 0 0
2/07 100 0 0 0 0 0 0
2/08 100 0 0 0 0 0 0
2/09 100 0 0 0 0 0 0
2/10 100 0 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 86 0 0 0 0 0 0
2/19 34 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.8 4.8 3.3 2.5 2.0 1.7 1.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.8 4.8 3.3 2.5 2.0 1.7 1.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-3
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 74 11
2/01 100 100 100 76 32 0 0
2/02 100 100 79 39 8 0 0
2/03 100 100 50 13 0 0 0
2/04 100 79 30 0 0 0 0
2/05 100 61 13 0 0 0 0
2/06 100 51 6 0 0 0 0
2/07 100 40 0 0 0 0 0
2/08 100 29 0 0 0 0 0
2/09 100 18 0 0 0 0 0
2/10 100 8 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 95 0 0 0 0 0 0
2/21 81 0 0 0 0 0 0
2/22 65 0 0 0 0 0 0
2/23 47 0 0 0 0 0 0
2/24 27 0 0 0 0 0 0
2/25 4 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 24.8 8.5 5.4 3.9 3.0 2.4 1.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 24.8 8.5 5.4 3.9 3.0 2.4 1.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-4
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 78 0
2/02 100 100 100 100 100 34 0
2/03 100 100 100 100 41 0 0
2/04 100 100 100 79 0 0 0
2/05 100 100 100 32 0 0 0
2/06 100 100 100 16 0 0 0
2/07 100 100 87 0 0 0 0
2/08 100 100 55 0 0 0 0
2/09 100 100 25 0 0 0 0
2/10 100 100 0 0 0 0 0
2/11 100 95 0 0 0 0 0
2/12 100 64 0 0 0 0 0
2/13 100 30 0 0 0 0 0
2/14 100 8 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 100 0 0 0 0 0 0
2/23 100 0 0 0 0 0 0
2/24 100 0 0 0 0 0 0
2/25 100 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.8 14.5 10.3 6.9 5.0 3.8 2.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.8 14.5 10.3 6.9 5.0 3.8 2.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-5
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 0
2/02 100 100 100 100 100 100 0
2/03 100 100 100 100 100 72 0
2/04 100 100 100 100 92 46 0
2/05 100 100 100 100 68 31 0
2/06 100 100 100 100 64 31 0
2/07 100 100 100 94 53 28 0
2/08 100 100 100 77 41 21 0
2/09 100 100 100 62 31 15 0
2/10 100 100 98 48 23 9 0
2/11 100 100 81 38 17 4 0
2/12 100 100 66 29 11 0 0
2/13 100 100 52 21 6 0 0
2/14 100 100 43 17 3 0 0
2/15 100 92 35 12 0 0 0
2/16 100 80 29 8 0 0 0
2/17 100 69 23 5 0 0 0
2/18 100 58 19 2 0 0 0
2/19 100 49 15 0 0 0 0
2/20 100 41 11 0 0 0 0
2/21 100 34 7 0 0 0 0
2/22 100 27 4 0 0 0 0
2/23 100 21 1 0 0 0 0
2/24 100 16 0 0 0 0 0
2/25 100 9 0 0 0 0 0
2/26 100 3 0 0 0 0 0
2/27 50 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 29.1 21.6 16.4 12.7 9.7 7.2 2.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 28.5 17.2 12.7 9.6 7.3 5.7 2.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-6
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 99
2/02 99 93 90 89 90 93 99
2/03 99 87 82 80 79 79 74
2/04 97 76 71 66 62 59 44
2/05 95 67 60 52 46 40 26
2/06 89 46 34 25 18 17 15
2/07 82 31 20 12 7 5 6
2/08 75 21 11 5 3 2 1
2/09 67 14 6 3 1 0 0
2/10 60 9 3 1 0 0 0
2/11 52 6 2 1 0 0 0
2/12 44 4 1 0 0 0 0
2/13 31 2 0 0 0 0 0
2/14 28 1 0 0 0 0 0
2/15 24 1 0 0 0 0 0
2/16 20 1 0 0 0 0 0
2/17 17 0 0 0 0 0 0
2/18 13 0 0 0 0 0 0
2/19 10 0 0 0 0 0 0
2/20 8 0 0 0 0 0 0
2/21 6 0 0 0 0 0 0
2/22 4 0 0 0 0 0 0
2/23 3 0 0 0 0 0 0
2/24 1 0 0 0 0 0 0
2/25 1 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 13.8 8.1 7.4 6.9 6.6 6.5 6.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 13.8 8.1 7.3 6.8 6.4 5.8 4.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 63
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 6
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 8 0
2/08 100 61 35 19 10 5 0
2/09 100 53 29 15 7 1 0
2/10 100 46 24 12 5 0 0
2/11 100 40 19 9 2 0 0
2/12 100 35 16 7 0 0 0
2/13 100 29 12 5 0 0 0
2/14 100 25 10 2 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 7 0 0 0 0
2/17 100 16 5 0 0 0 0
2/18 100 14 4 0 0 0 0
2/19 100 12 1 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 8 0 0 0 0 0
2/22 78 6 0 0 0 0 0
2/23 67 5 0 0 0 0 0
2/24 55 1 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 13.0 9.4 7.2 5.8 5.0 4.5
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.6 4.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-2F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 28
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 2
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 6 0
2/08 100 61 35 19 10 1 0
2/09 100 53 29 15 6 0 0
2/10 100 46 24 12 1 0 0
2/11 100 40 19 9 0 0 0
2/12 100 35 16 4 0 0 0
2/13 100 29 12 0 0 0 0
2/14 100 25 10 0 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 4 0 0 0 0
2/17 100 16 1 0 0 0 0
2/18 100 14 0 0 0 0 0
2/19 100 12 0 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 7 0 0 0 0 0
2/22 78 3 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.9 9.3 7.1 5.7 4.9 4.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.5 3.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche -B-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 27
2/03 100 100 87 65 47 34 11
2/04 100 100 72 51 35 21 1
2/05 100 89 61 40 25 11 0
2/06 100 79 50 31 15 3 0
2/07 100 69 42 23 8 0 0
2/08 100 61 35 15 2 0 0
2/09 100 53 29 9 0 0 0
2/10 100 46 21 4 0 0 0
2/11 100 40 15 0 0 0 0
2/12 100 35 10 0 0 0 0
2/13 100 29 5 0 0 0 0
2/14 100 23 2 0 0 0 0
2/15 100 19 0 0 0 0 0
2/16 100 14 0 0 0 0 0
2/17 100 11 0 0 0 0 0
2/18 100 7 0 0 0 0 0
2/19 100 4 0 0 0 0 0
2/20 96 1 0 0 0 0 0
2/21 87 0 0 0 0 0 0
2/22 78 0 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 4 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.4 8.9 6.8 5.5 4.6 3.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.2 4.5 3.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche A-7
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 96 78 72 66 60 54 48
2/00 96 62 52 42 33 25 18
2/01 95 48 36 25 15 7 0
2/02 94 37 28 22 15 7 0
2/03 94 30 23 16 12 7 0
2/04 93 26 18 12 8 0 0
2/05 92 22 14 9 0 0 0
2/06 91 18 11 0 0 0 0
2/07 89 15 9 0 0 0 0
2/08 88 13 0 0 0 0 0
2/09 86 11 0 0 0 0 0
2/10 85 9 0 0 0 0 0
2/11 83 8 0 0 0 0 0
2/12 80 0 0 0 0 0 0
2/13 78 0 0 0 0 0 0
2/14 75 0 0 0 0 0 0
2/15 72 0 0 0 0 0 0
2/16 68 0 0 0 0 0 0
2/17 64 0 0 0 0 0 0
2/18 60 0 0 0 0 0 0
2/19 54 0 0 0 0 0 0
2/20 49 0 0 0 0 0 0
2/21 42 0 0 0 0 0 0
2/22 35 0 0 0 0 0 0
2/23 30 0 0 0 0 0 0
2/24 25 0 0 0 0 0 0
2/25 19 0 0 0 0 0 0
2/26 12 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.0 4.3 3.2 2.5 2.0 1.5 1.2
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.1 4.6 3.5 2.7 2.2 1.7 1.2
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 60 89 100
2/03 100 86 64 46 33 33 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.3 4.7 4.7 4.5
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.7 7.3 5.9 5.2 5.1 6.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-2A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 47
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.5 4.1 4.1
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.6 7.2 5.8 4.9 4.5 4.4
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche B-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 25
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.4 3.9 3.7
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.3 7.0 5.5 4.7 4.2 3.9
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
<PAGE>
Available Funds Cap Schedule for Adjustable Rate Certificates
Assumes constant LIBOR (1M LIBOR = 5.6055%, 6M LIBOR = 5.625%)
- ----------------------------------------
Available Funds
Cap
- ----------------------------------------
1 3/25/98 9.69
2 4/25/98 9.69
3 5/25/98 9.69
4 6/25/98 9.97
5 7/25/98 9.97
6 8/25/98 9.97
7 9/25/98 9.97
8 10/25/98 9.97
9 11/25/98 9.97
10 12/25/98 10.25
11 1/25/99 10.25
12 2/25/99 10.25
13 3/25/99 10.25
14 4/25/99 10.25
15 5/25/99 10.25
16 6/25/99 10.29
17 7/25/99 10.29
18 8/25/99 10.46
19 9/25/99 10.46
20 10/25/99 10.46
21 11/25/99 10.46
22 12/25/99 11.31
23 1/25/00 11.31
24 2/25/00 11.31
25 3/25/00 11.31
26 4/25/00 11.31
27 5/25/00 11.31
28 6/25/00 11.31
29 7/25/00 11.32
30 8/25/00 11.32
31 9/25/00 11.32
32 10/25/00 11.32
33 11/25/00 11.32
34 12/25/00 11.38
35 1/25/01 11.38
36 2/25/01 11.38
37 3/25/01 11.38
38 4/25/01 11.38
39 5/25/01 11.38
40 6/25/01 11.38
- ------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
The information herein has been provided solely by PSI based on information with
respect to the mortgage loans provided by AMRESCO Residential Capital Markets,
Inc. and Credit Suisse First Boston. Neither AMRESCO nor Credit Suisse First
Boston (nor any of their affiliates) make any representation as to the accuracy
or completeness of the information herein. The information herein is preliminary
and will be superseded by the prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commissions (SEC). All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in the analysis. The decision to adopt any
strategy remains your responsibility. PSI (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to here, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PSI may make market in the securities referred to
herein. Neither the information nor the assumptions reflected herein shall be
construed to be, or constitute, an offer to sell or buy or a solicitation of an
offer to sell or buy and securities, commodities or derivative instruments
mentioned herein. No sale of any securities, commodities or derivative
instruments should be consummated without the purchaser first having received a
prospectus and, if required, prospectus supplement. Finally, PSI has not
addressed the legal, accounting and tax implications of the analysis with
respect to you, and PSI strongly urges you to seek advice from your counsel,
accountant and tax advisor.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY. THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
Computational Materials
$1,000,000,000
(Approximate)
AMRESCO Residential Securities Corporation Mortgage Loan Trust 1998-1
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
$1,000,000,000 AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1998-1
AMRESCO Residential Securities Corporation
Depositor
Advanta Mortgage Corp. USA
Ameriquest Mortgage Company
Wendover Funding Inc.
Servicers
Transaction Highlights
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Average Modified
Class Size Expected Ratings Life Duration Payment Final
Class(1) ($millions) Tranche Type (Moody's/S&P/Fitch) (years)(2) (years) (2) Window(2) Maturity Date
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $156.00 Fixed Sequential Aaa/AAA/AAA 0.95 0.89 21 03/98 - 11/99 [6/18]
- ------------------------------------------------------------------------------------------------------------------------------------
A-2 25.00 Fixed Sequential Aaa/AAA/AAA 2.00 1.84 06 11/99 - 04/00 [3/20]
- ------------------------------------------------------------------------------------------------------------------------------------
A-3 78.50 Fixed Sequential Aaa/AAA/AAA 3.00 2.66 27 04/00 - 06/02 [5/25]
- ------------------------------------------------------------------------------------------------------------------------------------
A-4 22.50 Fixed Sequential Aaa/AAA/AAA 5.00 4.16 18 06/02 - 11/03 [6/26]
- ------------------------------------------------------------------------------------------------------------------------------------
A-5 32.00 Fixed Sequential Aaa/AAA/AAA 9.68 6.70 137 11/03 - 03/15 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
A-6 30.00 Fixed Lockout Aaa/AAA/AAA 6.62 5.19 164 06/01 - 01/15 [8/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1F 22.00 Fixed Mezzanine Aa2/AA/AA 5.82 4.49 127 04/01 - 10/11 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2F 18.00 Fixed Mezzanine A2/A/A 5.73 4.41 112 03/01 - 06/10 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1F 16.00 Fixed Subordinate Baa3/BBB/BBB 5.45 4.23 91 03/01 - 09/08 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
A-7 $486.00 Floater Aaa/AAA/AAA 2.49 2.13 92 03/98 - 10/05 [10/27]
- ------------------------------------------------------------------------------------------------------------------------------------
M-1A 48.00 Floater Mezzanine Aa2/AA/AA 5.26 4.30 53 06/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
M-2A 36.00 Floater Mezzanine A2/A/A 5.21 4.23 55 04/01 - 10/05 [1/28]
- ------------------------------------------------------------------------------------------------------------------------------------
B-1A 30.00 Floater Baa3/BBB-/BBB- 5.19 4.16 56 03/01 - 10/05 [1/28]
Subordinate
- ------------------------------------------------------------------------------------------------------------------------------------
Total $1,000.00 -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Classes A-1 through A-6, M-1F, M-2F, and B-1F are backed by a fixed
rate pool; Classes A-7, M-1A, M-2A, and B-1A are backed by an ARM
pool. The Certificates also include a fixed and ARM pool Subordinate
IO strip, as described below under "Subordinate IO".
(2) Classes A-1 through A-6, M-1F, M-2F, and B-2F are shown to maturity
while Classes A-7, M-1A, M-2A, and B-1A are shown to call. See
"Prepayment Speed" below.
Seller: AMRESCO Residential Capital Markets, Inc.
Servicers: Advanta Mortgage, Ameriquest Mortgage, and Wendover Funding
Trustee: Bankers Trust Company
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Transaction Highlights
(continued)
Collateral: Fixed and floating-rate conventional home equity
loans secured by first and second lien
mortgages. See "Collateral Description" for more
detail.
Prepayment Speed:
Fixed-Rate Certificates: All fixed rate classes are priced at a
prepayment speed starting at 5.0% CPR in month
1, increasing by approximately 1.818% per month
to 25% CPR in month 12 (125% of PPC). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.454% CPR
per month to 20% CPR in month 12, and remaining
at 20% CPR thereafter.
Floating-Rate Certificates: Constant 25% CPR.
Expected Pricing Date: Thursday, January 29, 1998
Expected Settlement: Thursday, February 12, 1998 through DTC,
Euroclear or CEDEL.
Distribution Dates: The 25th of each month, beginning March, 1998
Prefunded Amount: Approximately $115 million of fixed rate
collateral and approximately $135 million of
adjustable rate collateral
Subordinate IO: The Certificates will include a Subordinate IO
strip off of the fixed rate and ARM pools which
are not offered hereby. The fixed rate pool
Subordinate IO pays a 15% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-1F
outstanding principal balance and the Class M-2F
outstanding principal balance). The ARM pool
Subordinate IO pays a 7.50% coupon for the first
24 months based on its notional principal
balance (defined as the sum of the Class M-2A
outstanding principal balance and the Class B-1A
outstanding principal balance).
The fixed rate pool Subordinate IO initially
reduces the excess spread available to fund o/c
by approximately 150 basis points (resulting in
a fixed pool initial excess spread of
approximately 2.09%), while the ARM pool
Subordinate IO initially reduces the excess
spread by approximately 82.5 basis points
(resulting in an ARM pool initial excess spread
of approximately 2.93%).
Available Funds Cap: All Certificates are subject to an available
funds cap. The cap, for both the fixed rate and
ARM Certificates, is the weighted average coupon
for that group less the approximately 0.50%
Servicing Fee. Shortfalls due to the available
funds cap will be carried forward on the
Adjustable Rate Certificates only.
Option and Auction Call: 10% mandatory auction call (10% of original
certificate balance) followed by a 5% servicer
clean-up call.
Coupon Step Up: After the Clean-up Date, the spread to LIBOR on
the Class A-7 will double, while the spread to
LIBOR on the M-1A, M-2A, and B-1A will increase
by 50% to incent AMRESCO to call the bonds
Tax Status: REMIC
ERISA Eligibility: The Class A-1 -through A-7 certificates are
ERISA eligible; All other Certificate Classes
are NOT ERISA eligible.
SMMEA Eligibility: Only the Class A-7 and M-1A Certificates are
SMMEA eligible.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Overcollateralization
1. Before the Stepdown Date, overcollateralization builds to 1.75% and 2.40%
of the original loan balance of the fixed-rate and adjustable-rate loan
groups, respectively.
2. On and after the Stepdown Date, overcollateralization is maintained at
3.50% and 4.80% of the outstanding loan balance of the fixed-rate and
adjustable-rate loan groups, respectively (subject to performance
triggers).
3. The overcollateralization amount is subject to a floor of 0.50% of the
original loan balance for both loan groups.
Interest Cashflow Priority
* Interest Collections (net of Servicing) will generally be allocated in the
following priority:
Fixed Rate Cashflows
1. Trustee fee
2. Class A-1-Class A-6 current interest plus unpaid interest shortfalls
3. M-1F current interest
4. M-2F current interest
5. B-1F current interest
6. Pay fixed-rate Subordinate IO ($500,000 each month for the first 24
months)
7. Build fixed-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1F, Class M-2F and Class B-1F.
9. To the adjustable-rate loan group in the order of items 7 and 8, if
necessary
Floating Rate Cashflows
1. Trustee Fee
2. Class A-7 current interest plus unpaid interest shortfalls
3. M-1A current interest
4. M-2A current interest
5. B-1A current interest
6. Pay adjustable-rate Subordinate IO ($412,500 each month for the first
24 months)
7. Build adjustable-rate overcollateralization to the target level
8. Unpaid interest shortfalls and reimbursements of principal writedowns
on Class M-1A, Class M-2A and Class B-1A
9. To the fixed-rate loan group in the order of items 7 and 8, if
necessary
Principal Cashflow Priority
* Collections of Principal before the Stepdown Date, or if a Trigger Event
exists, will be allocated in the following priority:
Fixed Rate Cashflows
1. Pay A-6 according to the following Lockout Percentage:
March 1998 - February 2001 0%
March 2001 - February 2003 45%
March 2003 - February 2004 80%
March 2004 - February 2005 100%
March 2005 and thereafter 300%
2. Pay Classes A-1 through A-6 sequentially
3. Pay Classes M-1F, M-2F and B-1F sequentially
Floating Rate Cashflows
1. Pay Class A-7
2. Pay Classes M-1A, M-2A and B-1A sequentially
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
* Collections of Principal on and after the Stepdown date, (assuming no Trigger
Event is in effect) will be allocated in the following priority:
Fixed Rate Cashflows
PayClass A, Class M-1F, Class M-2F, and Class B-1F pro-rata in accordance
with enhancement targets, equal to 2.0 times the initial enhancement for
each class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 68.5% 31.5%
Class M-1F 11.0 20.5
Class M-2F 9.0 11.5
Class B-1F 8.0 3.5
Overcollateralization 3.5
---
100%
Floating Rate Cashflows
Pay Class A-7, M-1A, M-2A, and B-1A pro-rata in accordance with
enhancement targets equal to 2.0 times the initial enhancement for each
class:
Targeted % of Pool Targeted Credit Enhancement
------------------ ---------------------------
Class A 57.2% 42.8%
Class M-1A 16.0 26.8
Class M-2A 12.0 14.8
Class B-1A 10.0 4.8
Overcollateralization 4.8
----
100.0%
* Stepdown Date- the earlier to occur of: (i) the later of: (x) the 37th
Payment Date (March 2001) or (y) when credit enhancement reaches its target
level and (ii) when the Class A Certificates are retired in full.
* Trigger Event - occurs when 60+ day delinquency percentage is greater than
50% of the senior enhancement percentage for the fixed-rate loan group and
40% of the senior enhancement percentage for the adjustable-rate loan group.
* Subordinate Trigger Event - occurs if both:
-----------------------------------------------------------------------
I. Realized losses exceed: Fixed ARMs
-----------------------------------------------------------------------
March 1998 - February 2000 [1.26%] [1.75%]
March 2000 - February 2001 [1.50%] [2.10%]
March 2001 - February 2002 [2.60%] [3.50%]
March 2002 - February 2003 [3.30%] [4.40%]
March 2003 - February 2004 [3.50%] [4.80%]
March 2004 - February 2005 [3.50%] [5.20%]
March 2005 - February 2006 [3.50%] [5.60%]
-----------------------------------------------------------------------
II. 60+ day delinquencies exceed:
-----------------------------------------------------------------------
March 2000 - February 2002 [4.00%] [4.00%]
March 2002 - February 2004 [5.50%] [5.50%]
March 2004 - February 2006 [8.00%] [8.00%]
-----------------------------------------------------------------------
* If a Subordinate Trigger Event occurs, overcollateralization is not released
and the excess cashflow attributable is paid to the related subordinated
classes in reverse order of seniority.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Collateral Description
Note that the following collateral description is only reflective of $249.1
million of fixed rate loans and $408.3 million of ARM loans.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans ARM Home Equity Loans
---------------------------- ---------------------
Group I Group II
------- --------
<S> <C> <C>
Aggregate Pool Balance: $249.1 million $408.3 million
Number of Loans: 3,476 3,824
Prefunded Amount: $115 million $135 million
Average Outstanding Balance: $71,663.81 ( min: $5,907/ $106,768.38 ( min: $8,478/
max: $828,666) max: $747,576)
Total Original Balance: $249.9 million $409.3 million
Average Original Balance: $71,896.48 $107,024.61
Lien Position: 96.32% firsts; 3.68% non-firsts 100% firsts
Prepayment Penalty: 74.0% have penalties 72.4% have penalties
WA Original Loan to Value 71.5% (17.6% >80%, min: 5.0%/ 76.7% (26.6% >80%, min: 17.7%/
Ratio(1): max: 90.1%) max: 90.3%)
Loan Type: a) 93.87% Fixed Rate a) 69.20% 2/28 6-month LIBOR ARMs
b) 6.13% 5/25 ARMs b) 27.03% 6-month LIBOR ARMs
c) 3.72% 3/27 6-month LIBOR ARMs
d) 0.04% other
Amortization Type: a) 96.54% Fully Amortizing 100% Fully Amortizing
b) 3.46% Balloon
WA Original Term: 329.48 months (16.57% 180-month maturity 358.64 months (0.58% 180-month maturity
82.89% 360-month maturity) 99.16% 360-month maturity)
Remaining WA Maturity: 325.35 months 354.53 months
WA Seasoning: 4.13 months 4.11 months
Latest Scheduled Maturity: Expected January 1, 2028 Expected January 1, 2028
WA Gross Coupon: 10.571% (min: 6.00% / max: 16.50%) 10.199% (current, min: 5.500% / max:
17.130%)
WA Gross Margin: 6.101% for 5/25 ARMs a) 6.266% for 6-month LIBOR ARMs
b) 3.847% for 1-year CMT ARMs
WA Periodic Cap: 1.004% for 5/25 ARMs 1.025%
WA Months to Roll: 56.50 months for 5/25 ARMs 15.99 months
WA Floor: 10.145% for 5/25 ARMs 10.172%
Property Type: 84.72% single family, 8.5% 2-4 family, 87.86% single family, 5.85% 2-4 family,
4.02% condo, 2.75% other 2.29% PUD, 3.18% condo, 0.82% other
Owner Occupancy: a) 88.74% owner occupied a) 92.90% owner occupied
b) 11.26% investor property b) 7.10% investor property
Geographic Distribution (> 5%): CA (20.31%), HI (17.88%), FL (7.49%), TX CA (32.12%), WA (5.65%)
(5.57%)
% Cashout Refinancing: 58.14% 37.70%
</TABLE>
Notes: (1) Defined as the original combined loan-to-value for all loans on the
property given on the collateral file.
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Collateral Tables
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
10,000.00 to 19,999.99 160 2,827,497.39 1.14 11.976 17,671.86 58.43 77.28 71.39 72.70
20,000.00 to 29,999.99 573 14,628,614.15 5.87 11.960 25,529.87 62.95 69.42 63.26 75.62
30,000.00 to 39,999.99 567 20,014,494.06 8.03 11.733 35,298.93 65.81 55.95 70.33 82.85
40,000.00 to 49,999.99 474 21,401,806.65 8.59 11.471 45,151.49 68.49 60.29 71.59 82.21
50,000.00 to 59,999.99 394 21,766,160.18 8.74 11.257 55,244.06 71.69 53.80 69.75 87.67
60,000.00 to 69,999.99 195 12,639,303.30 5.07 11.166 64,816.94 72.96 62.63 60.54 90.23
70,000.00 to 79,999.99 183 13,738,980.11 5.52 10.947 75,076.39 69.98 63.82 63.71 93.29
80,000.00 to 89,999.99 145 12,348,046.58 4.96 10.563 85,158.94 71.49 56.85 68.98 86.24
90,000.00 to 99,999.99 147 14,019,421.30 5.63 10.855 95,370.21 73.49 59.08 55.02 85.85
100,000.00 to 109,999.99 93 9,801,400.23 3.93 10.180 105,391.40 73.96 56.92 64.52 87.30
110,000.00 to 119,999.99 88 10,059,672.88 4.04 10.501 114,314.46 73.00 52.29 62.55 93.12
120,000.00 to 129,999.99 52 6,515,333.50 2.62 10.340 125,294.88 73.95 57.34 65.65 94.11
130,000.00 to 139,999.99 57 7,696,028.60 3.09 9.874 135,018.05 75.60 66.73 57.83 93.04
140,000.00 to 149,999.99 44 6,406,499.29 2.57 10.049 145,602.26 74.73 52.31 51.92 86.64
150,000.00 to 159,999.99 27 4,223,406.16 1.70 10.383 156,422.45 76.07 37.29 66.56 96.36
160,000.00 to 169,999.99 28 4,610,601.37 1.85 9.601 164,664.33 71.77 60.33 64.15 85.52
170,000.00 to 179,999.99 21 3,698,410.77 1.48 9.289 176,114.80 76.23 71.65 85.83 95.14
180,000.00 to 189,999.99 23 4,275,630.46 1.72 9.478 185,896.98 70.95 52.00 56.83 82.43
190,000.00 to 199,999.99 22 4,302,157.18 1.73 9.523 195,552.60 72.77 59.35 54.54 100.00
200,000.00 to 209,999.99 20 4,113,735.16 1.65 9.495 205,686.76 72.73 50.26 69.93 100.00
210,000.00 to 219,999.99 14 3,026,305.38 1.21 9.508 216,164.67 72.45 57.04 57.33 100.00
220,000.00 to 229,999.99 12 2,715,825.64 1.09 8.873 226,318.80 72.69 58.38 83.17 91.62
230,000.00 to 239,999.99 14 3,308,316.61 1.33 9.903 236,308.33 71.94 57.05 49.99 86.08
240,000.00 to 249,999.99 15 3,662,732.76 1.47 10.032 244,182.18 75.00 59.89 59.96 93.32
250,000.00 to 259,999.99 7 1,795,118.31 0.72 8.862 256,445.47 71.68 71.79 56.91 100.00
260,000.00 to 269,999.99 6 1,588,853.53 0.64 10.126 264,808.92 80.05 49.93 83.46 100.00
270,000.00 to 279,999.99 6 1,665,209.96 0.67 9.307 277,534.99 81.65 49.86 83.23 100.00
280,000.00 to 289,999.99 8 2,271,373.50 0.91 8.278 283,921.69 78.30 25.03 74.99 75.28
290,000.00 to 299,999.99 11 3,264,843.56 1.31 8.845 296,803.96 69.53 63.40 45.48 91.06
300,000.00 to 309,999.99 2 614,305.88 0.25 9.053 307,152.94 77.19 100.00 50.39 100.00
310,000.00 to 319,999.99 8 2,526,441.78 1.01 9.926 315,805.22 81.58 50.15 62.38 100.00
320,000.00 to 329,999.99 6 1,953,000.27 0.78 10.103 325,500.04 74.18 66.83 66.65 100.00
330,000.00 to 339,999.99 7 2,341,728.72 0.94 9.335 334,532.67 81.42 57.33 28.67 100.00
340,000.00 to 349,999.99 11 3,808,056.61 1.53 9.435 346,186.96 73.58 63.71 54.50 81.89
350,000.00 to 359,999.99 5 1,772,964.27 0.71 9.614 354,592.85 81.19 59.72 40.28 100.00
360,000.00 to 369,999.99 2 733,694.38 0.29 10.913 366,847.19 69.02 50.32 49.68 100.00
370,000.00 to 379,999.99 3 1,127,372.24 0.45 9.399 375,790.75 69.28 66.81 66.78 100.00
380,000.00 to 389,999.99 2 774,447.91 0.31 9.375 387,223.96 77.50 0.00 49.99 100.00
390,000.00 to 399,999.99 5 1,985,991.38 0.80 8.686 397,198.28 80.36 39.81 19.82 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
400,000.00 to 409,999.99 3 1,216,243.07 0.49 9.665 405,414.36 81.08 33.14 100.00 100.00
410,000.00 to 419,999.99 2 838,145.23 0.34 7.650 419,072.62 72.50 49.98 49.98 100.00
440,000.00 to 449,999.99 2 889,900.43 0.36 9.698 444,950.21 75.05 50.51 0.00 100.00
460,000.00 to 469,999.99 2 924,836.44 0.37 8.473 462,418.22 75.01 100.00 100.00 100.00
470,000.00 to 479,999.99 1 471,658.10 0.19 7.950 471,658.10 86.00 0.00 100.00 100.00
480,000.00 to 489,999.99 1 489,293.85 0.20 9.650 489,293.85 70.00 100.00 0.00 100.00
490,000.00 to 499,999.99 1 498,491.67 0.20 9.490 498,491.67 57.14 100.00 0.00 100.00
510,000.00 to 519,999.99 1 512,473.63 0.21 9.750 512,473.63 80.00 100.00 100.00 100.00
530,000.00 to 539,999.99 1 538,287.60 0.22 9.250 538,287.60 71.05 100.00 100.00 100.00
540,000.00 to 549,999.99 1 542,173.14 0.22 8.750 542,173.14 73.15 0.00 100.00 100.00
620,000.00 to 629,999.99 1 628,664.58 0.25 9.200 628,664.58 70.00 0.00 100.00 100.00
690,000.00 to 699,999.99 1 694,886.32 0.28 9.990 694,886.32 59.32 100.00 0.00 100.00
820,000.00 to 829,999.99 1 828,666.21 0.33 9.130 828,666.21 57.24 0.00 100.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5,906.63
Max: 828,666.21
Average: 71,663.81
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
6.000 to 6.499 3 539,943.85 0.22 6.415 179,981.28 65.67 44.51 100.00 100.00
6.500 to 6.999 20 3,844,215.58 1.54 6.860 192,210.78 69.32 69.80 72.79 92.91
7.000 to 7.499 16 3,601,092.47 1.45 7.338 225,068.28 72.25 80.43 72.20 100.00
7.500 to 7.999 59 9,574,033.98 3.84 7.860 162,271.76 69.78 66.15 81.49 96.27
8.000 to 8.499 56 7,835,641.10 3.15 8.278 139,922.16 69.77 59.95 68.49 86.16
8.500 to 8.999 173 20,965,504.63 8.42 8.749 121,187.89 72.51 58.27 66.02 95.69
9.000 to 9.499 137 16,066,302.29 6.45 9.231 117,272.28 68.69 60.06 63.85 90.91
9.500 to 9.999 380 38,455,795.85 15.44 9.744 101,199.46 72.20 64.24 61.32 85.56
10.000 to 10.499 238 17,281,650.34 6.94 10.247 72,611.98 73.00 60.01 62.08 84.94
10.500 to 10.999 536 36,432,025.78 14.63 10.723 67,970.20 74.31 57.12 64.35 88.44
11.000 to 11.499 359 21,263,615.74 8.54 11.248 59,230.13 72.42 55.15 56.40 85.61
11.500 to 11.999 517 28,507,113.45 11.44 11.701 55,139.48 74.02 53.42 68.29 87.95
12.000 to 12.499 271 12,652,414.50 5.08 12.186 46,687.88 70.92 48.15 50.96 87.13
12.500 to 12.999 254 12,022,351.12 4.83 12.723 47,332.09 67.35 56.33 60.74 89.53
13.000 to 13.499 154 6,721,228.87 2.70 13.237 43,644.34 65.08 56.49 48.75 90.70
13.500 to 13.999 107 4,495,661.40 1.80 13.740 42,015.53 63.63 63.96 59.64 82.62
14.000 to 14.499 49 2,087,701.01 0.84 14.248 42,606.14 61.15 43.05 55.58 76.36
14.500 to 14.999 75 3,143,497.52 1.26 14.722 41,913.30 66.48 42.43 79.33 91.97
15.000 to 15.499 29 1,580,302.49 0.63 15.202 54,493.19 71.15 41.90 93.14 100.00
15.500 to 15.999 38 1,874,588.44 0.75 15.733 49,331.27 69.75 39.08 94.96 98.61
16.000 to 16.499 3 105,887.93 0.04 16.197 35,295.98 56.44 100.00 64.96 64.96
16.500 to 16.999 2 52,840.57 0.02 16.500 26,420.29 67.65 47.04 100.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 6.000
Max:: 16.500
Weighted Average Coupon: 10.571
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,130 229,487,147.35 92.13 10.520 73,318.58 71.95 59.10 63.97 89.09
7 to 12 336 18,761,877.93 7.53 11.183 55,838.92 66.54 45.46 64.00 83.94
13 to 18 3 200,056.65 0.08 12.592 66,685.55 65.28 100.00 33.38 100.00
19 to 24 5 444,506.71 0.18 10.089 88,901.34 65.14 86.43 63.11 100.00
25 to 30 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max:: 26
Weighted Average: 4.133
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Months
Remaining to Number of Aggregate Weighted Average Average Percent Percent Percent
Scheduled Mortgage Principal Percent Average Current Original Cashout Full Owner
Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 to 59 1 5,906.63 0.00 14.000 5,906.63 84.92 0.00 100.00 100.00
60 to 119 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.00
120 to 179 881 41,282,741.39 16.57 11.087 46,858.96 64.67 67.68 68.17 90.46
180 to 239 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
300 to 359 2,572 206,469,966.04 82.89 10.467 80,276.04 72.86 56.21 63.01 88.33
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 51
Max:: 359
Weighted Average: 325.35
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10 yr fxd 1 62,719.96 0.03 11.500 62,719.96 90.02 0.00 0.00 100.0
15 yr fxd 748 32,601,894.79 13.09 10.924 43,585.42 64.22 73.05 70.14 88.95
20 yr fxd 21 1,282,074.89 0.51 10.761 61,051.19 75.09 66.62 70.54 100.00
30 yr fxd 2,435 191,266,315.37 76.78 10.492 78,548.79 72.74 56.45 63.43 88.67
5/25 140 15,277,343.62 6.13 10.145 109,123.88 74.29 53.45 57.88 83.92
Balloon 131 8,613,060.28 3.46 11.721 65,748.55 66.41 47.05 60.67 96.33
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 2,102 144,851,210.18 58.15 10.446 68,911.14 69.43 100.00 60.38 87.67
Purchase 535 36,066,798.73 14.48 11.001 67,414.58 77.91 0.00 68.00 91.32
Refinance 839 68,185,400.00 27.37 10.609 81,269.85 72.58 0.00 69.17 89.66
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 536 28,040,804.81 11.26 10.761 52,314.93 66.48 63.69 61.31 0.00
Owner Occupied 2,940 221,062,604.10 88.74 10.547 75,191.36 72.16 57.45 64.22 100.00
- ------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 264 21,174,874.25 8.50 10.516 80,207.86 68.52 68.86 56.49 64.87
Condo 136 10,025,489.32 4.02 9.916 73,716.83 71.90 43.48 64.73 80.77
Manuf Home 28 1,659,822.54 0.67 10.887 59,279.38 72.84 41.33 65.30 100.00
PUD 57 4,909,270.98 1.97 10.810 86,127.56 75.82 41.12 67.64 94.50
Single Family 2,985 211,041,806.71 84.72 10.599 70,700.77 71.69 58.33 64.50 91.29
Townhouse 5 231,816.58 0.09 11.078 46,363.32 77.30 48.73 80.73 91.44
Unknown 1 60,328.53 0.02 12.875 60,328.53 76.10 0.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,301 159,157,290.36 63.89 10.517 69,168.75 73.60 54.96 100.00 89.20
Limited 93 9,728,830.62 3.91 9.926 104,611.08 68.67 64.33 0.00 94.29
Stated 1,078 79,878,572.17 32.07 10.755 74,098.86 67.77 64.00 0.00 87.25
Unknown 4 338,715.76 0.14 10.912 84,678.94 63.86 0.00 0.00 69.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 3,236 239,943,496.97 96.32 10.514 74,148.18 72.00 57.27 63.69 88.47
2 240 9,159,911.94 3.68 12.060 38,166.30 58.92 81.07 69.17 95.92
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Amresco Mortgage Principal Percent Average Current Original Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 487 50,441,765.16 20.25 9.285 103,576.52 72.83 66.09 55.32 84.96
2 1,270 104,975,335.37 42.14 10.136 82,657.74 73.30 57.64 64.61 87.70
3 701 44,479,044.05 17.86 10.871 63,450.85 72.02 53.04 66.06 92.84
4 435 21,198,900.05 8.51 11.499 48,733.10 68.09 61.87 74.66 91.02
5 577 27,545,539.42 11.06 13.378 47,739.24 64.15 51.34 65.32 91.24
Unknown 6 462,824.86 0.19 11.126 77,137.48 71.88 33.92 47.40 90.85
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 54 3,703,001.54 1.49 10.518 68,574.10 66.03 77.65 38.30 68.35
1.5 Year 2 153,294.29 0.06 14.619 76,647.15 75.43 60.65 60.65 100.00
2 Year 21 2,580,257.10 1.04 9.909 122,869.39 73.66 39.11 58.56 92.61
3 Year 115 7,181,633.07 2.88 11.006 62,448.98 69.19 67.20 74.84 97.54
4 Year 1 62,831.47 0.03 14.770 62,831.47 60.00 100.00 0.00 100.00
5 Year 943 87,964,540.50 35.31 9.776 93,281.59 73.00 59.39 66.63 89.77
Undefined Penalty 1,126 82,675,117.98 33.19 10.635 73,423.73 71.71 56.26 62.67 88.54
No Prepayment Penalty 1,214 64,782,732.96 26.01 11.536 53,363.04 69.76 57.46 62.26 87.61
- ------------------------------------------------------------------------------------ -----------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 18 1,304,566.65 0.52 10.514 72,475.92 69.56 32.58 82.93 61.25
Arizona 59 4,520,050.56 1.81 10.968 76,611.03 73.89 60.02 44.14 96.77
Arkansas 107 4,277,981.36 1.72 11.472 39,981.13 72.02 68.93 81.52 94.15
California 520 50,594,890.45 20.31 10.099 97,297.87 69.53 61.44 62.61 86.30
Colorado 45 4,151,122.16 1.67 9.540 92,247.16 73.57 63.48 74.29 90.66
Connecticut 29 2,107,340.93 0.85 10.821 72,666.93 67.45 71.10 28.94 83.78
Delaware 5 375,953.40 0.15 11.048 75,190.68 69.25 79.69 67.54 100.00
Florida 310 18,650,475.13 7.49 10.991 60,162.82 71.22 56.95 62.42 91.25
Georgia 42 2,400,580.88 0.96 11.125 57,156.69 72.38 62.43 74.14 86.10
Hawaii 238 44,539,007.35 17.88 8.875 187,138.69 73.65 58.64 58.72 92.74
Idaho 30 1,487,783.18 0.60 10.117 49,592.77 67.36 54.63 64.41 93.85
Illinois 118 6,542,575.61 2.63 11.603 55,445.56 70.24 73.95 61.10 84.61
Indiana 110 3,880,681.86 1.56 10.861 35,278.93 70.04 75.29 71.23 87.49
Iowa 14 695,168.51 0.28 12.288 49,654.89 72.34 76.05 45.35 100.00
Kansas 14 860,483.40 0.35 11.103 61,463.10 77.96 43.79 43.13 89.59
Kentucky 16 763,515.98 0.31 11.584 47,719.75 75.92 47.48 47.58 95.42
Louisiana 77 3,367,043.96 1.35 11.999 43,727.84 72.12 55.66 81.41 83.96
Maryland 81 4,644,909.35 1.86 11.775 57,344.56 73.46 46.82 57.71 83.46
Massachusetts 30 3,133,604.58 1.26 10.629 104,453.49 72.66 82.88 82.73 81.63
Michigan 100 4,270,901.60 1.71 12.268 42,709.02 71.89 50.89 70.46 89.37
Minnesota 46 2,833,866.96 1.14 11.512 61,605.80 74.56 57.56 57.56 78.76
Mississippi 60 2,669,740.16 1.07 11.730 44,495.67 74.47 65.06 70.45 93.87
Missouri 92 4,026,564.00 1.62 11.796 43,767.00 76.45 32.83 84.35 88.75
Montana 7 547,451.86 0.22 10.161 78,207.41 71.99 67.51 68.37 100.00
Nebraska 21 1,021,908.20 0.41 11.331 48,662.30 65.65 76.91 42.93 100.00
Nevada 41 2,948,807.70 1.18 10.570 71,922.14 71.30 48.79 70.12 81.34
New Hampshire 2 165,740.15 0.07 10.654 82,870.08 69.29 36.12 36.12 100.00
New Jersey 13 1,487,668.26 0.60 11.058 114,436.02 66.74 37.84 49.13 93.36
New Mexico 14 864,556.17 0.35 10.649 61,754.01 71.50 58.33 64.39 100.00
New York 37 3,673,035.37 1.47 11.473 99,271.23 69.43 38.84 63.02 89.38
North Carolina 77 3,774,489.66 1.52 12.441 49,019.35 69.83 63.92 54.70 87.29
North Dakota 3 126,750.51 0.05 11.171 42,250.17 74.37 100.00 83.12 100.00
Ohio 165 8,851,762.37 3.55 10.974 53,647.04 70.58 73.17 70.08 89.25
Oklahoma 79 3,559,280.45 1.43 11.335 45,054.18 77.48 54.13 86.44 90.55
Oregon 65 5,822,983.41 2.34 10.064 89,584.36 69.13 68.68 72.44 94.92
Pennsylvania 218 10,539,093.97 4.23 11.860 48,344.47 72.62 62.60 68.61 86.31
Rhode Island 6 226,351.52 0.09 11.571 37,725.25 66.04 78.49 41.46 78.49
South Carolina 31 1,286,533.26 0.52 12.326 41,501.07 71.89 57.62 71.98 91.08
South Dakota 1 55,856.03 0.02 10.250 55,856.03 79.00 100.00 100.00 100.00
Tennessee 68 3,877,154.65 1.56 11.348 57,016.98 72.82 54.45 82.03 93.68
Texas 245 13,872,116.99 5.57 11.482 56,620.89 72.89 16.59 59.22 83.03
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Utah 47 3,834,067.17 1.54 10.068 81,575.90 71.61 80.08 73.16 92.42
Virginia 31 1,796,562.04 0.72 11.773 57,953.61 71.37 51.25 42.26 89.04
Washington 63 4,473,649.40 1.80 9.968 71,010.31 63.34 71.23 59.16 95.52
Washington DC 19 1,651,382.15 0.66 11.737 86,914.85 70.11 50.24 30.17 65.36
West Virginia 16 710,872.46 0.29 11.841 44,429.53 72.86 64.39 68.78 97.22
Wisconsin 38 1,435,108.25 0.58 12.607 37,766.01 68.25 60.12 85.07 76.63
Wyoming 8 401,418.89 0.16 10.621 50,177.36 57.62 63.69 90.07 77.41
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 2 209,820.27 0.08 11.000 104,910.14 67.96 52.90 0.00 100.00
1996 8 644,563.36 0.26 10.866 80,570.42 65.18 90.64 53.88 100.00
1997 3,466 248,249,025.28 99.66 10.570 71,624.07 71.54 58.07 63.97 88.70
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Original Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.00 to 9.99 8 159,930.09 0.06 12.717 19,991.26 7.44 68.42 45.21 67.77
10.00 to 14.99 26 970,954.17 0.39 12.118 37,344.39 12.78 72.46 36.05 84.62
15.00 to 19.99 33 1,110,735.22 0.45 11.689 33,658.64 16.46 77.08 63.22 94.68
20.00 to 24.99 30 1,423,440.99 0.57 11.232 47,448.03 22.03 69.59 70.00 98.10
25.00 to 29.99 31 1,118,916.86 0.45 10.548 36,094.09 27.38 80.15 68.00 93.98
30.00 to 34.99 41 1,796,933.53 0.72 9.974 43,827.65 32.44 80.87 68.48 87.47
35.00 to 39.99 57 2,569,305.56 1.03 10.490 45,075.54 37.10 74.40 45.43 92.70
40.00 to 44.99 64 3,836,007.06 1.54 10.246 59,937.61 42.64 78.25 49.19 83.40
45.00 to 49.99 69 3,687,745.53 1.48 10.382 53,445.59 47.15 68.01 50.35 92.31
50.00 to 54.99 132 9,110,549.18 3.66 9.968 69,019.31 52.41 74.94 49.51 82.92
55.00 to 59.99 156 10,553,202.82 4.24 10.401 67,648.74 57.31 77.42 43.82 87.08
60.00 to 64.99 286 17,551,695.05 7.05 10.770 61,369.56 61.74 69.65 43.88 84.24
65.00 to 69.99 376 22,618,861.13 9.08 10.986 60,156.55 66.44 61.95 51.56 73.63
70.00 to 74.99 567 39,601,496.08 15.90 10.958 69,843.91 71.05 57.22 65.89 82.36
75.00 to 79.99 564 43,598,533.39 17.50 10.359 77,302.36 75.95 56.65 66.85 86.97
80.00 to 84.99 671 54,794,491.73 22.00 10.399 81,660.94 80.47 53.35 63.09 97.15
85.00 to 89.99 213 20,272,743.44 8.14 10.328 95,177.20 85.78 44.84 90.74 98.72
90.00 to 94.99 152 14,327,867.08 5.75 10.707 94,262.28 90.00 38.40 93.76 98.50
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,476 249,103,408.91 100.00 10.571 71,663.81 71.52 58.15 63.89 88.74
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.00
Max:: 90.10
Weighted Average: 71.52
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
ARM Collateral Tables
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.00 to 9,999.99 1 8,478.00 0.00 8.625 8,478.00 80.00 0.00 100.00 100.00
10,000.00 to 19,999.99 32 583,483.81 0.14 11.892 18,233.87 63.48 68.18 59.12 62.50
20,000.00 to 29,999.99 200 5,155,266.52 1.26 11.430 25,776.33 66.20 57.56 67.76 79.04
30,000.00 to 39,999.99 323 11,409,357.71 2.79 11.456 35,323.09 70.33 43.14 74.57 84.11
40,000.00 to 49,999.99 322 14,601,311.74 3.58 11.215 45,345.69 71.81 46.73 73.42 87.36
50,000.00 to 59,999.99 347 19,232,486.32 4.71 11.046 55,425.03 72.98 43.49 71.07 92.76
60,000.00 to 69,999.99 317 20,774,396.99 5.09 10.623 65,534.38 74.15 40.35 68.92 90.17
70,000.00 to 79,999.99 296 22,214,433.49 5.44 10.633 75,048.76 75.44 41.69 69.82 93.28
80,000.00 to 89,999.99 259 21,996,374.83 5.39 10.483 84,928.09 75.42 40.36 66.49 92.14
90,000.00 to 99,999.99 232 22,161,977.75 5.43 10.301 95,525.77 75.62 38.76 67.18 91.41
100,000.00 to 109,999.99 202 21,146,275.25 5.18 10.311 104,684.53 77.08 38.16 67.72 92.54
110,000.00 to 119,999.99 178 20,491,304.29 5.02 10.073 115,119.69 77.44 38.81 66.82 91.04
120,000.00 to 129,999.99 125 15,668,309.54 3.84 10.192 125,346.48 79.01 35.28 67.14 93.64
130,000.00 to 139,999.99 120 16,155,798.60 3.96 10.145 134,631.65 79.77 30.16 69.11 94.94
140,000.00 to 149,999.99 97 14,160,759.82 3.47 9.942 145,987.21 77.88 45.27 67.99 95.81
150,000.00 to 159,999.99 92 14,286,075.40 3.50 10.106 155,283.43 78.74 22.85 66.25 92.38
160,000.00 to 169,999.99 60 9,911,198.43 2.43 10.039 165,186.64 79.83 41.87 65.04 89.93
170,000.00 to 179,999.99 65 11,377,162.52 2.79 9.956 175,033.27 79.29 35.51 58.57 93.90
180,000.00 to 189,999.99 59 10,944,622.79 2.68 9.640 185,502.08 78.80 26.98 64.45 98.29
190,000.00 to 199,999.99 67 13,104,432.03 3.21 9.995 195,588.54 79.92 22.33 55.27 94.01
200,000.00 to 209,999.99 46 9,514,763.10 2.33 9.944 206,842.68 76.41 45.65 58.53 93.52
210,000.00 to 219,999.99 38 8,149,124.77 2.00 9.789 214,450.65 78.46 49.88 55.38 100.00
220,000.00 to 229,999.99 43 9,644,023.44 2.36 9.761 224,279.61 79.09 27.87 62.73 88.43
230,000.00 to 239,999.99 27 6,361,618.74 1.56 9.597 235,615.51 78.50 18.48 51.86 85.40
240,000.00 to 249,999.99 32 7,862,632.08 1.93 10.322 245,707.25 76.41 34.52 53.01 100.00
250,000.00 to 259,999.99 27 6,862,902.71 1.68 9.774 254,181.58 78.85 29.62 62.78 88.98
260,000.00 to 269,999.99 25 6,622,498.56 1.62 9.880 264,899.94 81.51 31.83 79.96 91.96
270,000.00 to 279,999.99 25 6,881,659.86 1.69 9.447 275,266.39 79.27 44.11 75.92 100.00
280,000.00 to 289,999.99 12 3,431,734.19 0.84 9.503 285,977.85 79.82 24.95 83.33 100.00
290,000.00 to 299,999.99 18 5,322,723.01 1.30 9.265 295,706.83 78.34 61.11 33.28 100.00
300,000.00 to 309,999.99 13 3,963,510.70 0.97 9.889 304,885.44 79.99 38.46 53.83 100.00
310,000.00 to 319,999.99 22 6,925,319.31 1.70 9.874 314,787.24 79.56 36.59 40.86 100.00
320,000.00 to 329,999.99 7 2,285,905.53 0.56 9.406 326,557.93 84.57 42.84 56.96 100.00
330,000.00 to 339,999.99 10 3,338,209.65 0.82 9.979 333,820.97 82.80 29.95 70.07 100.00
340,000.00 to 349,999.99 13 4,507,194.85 1.10 9.847 346,707.30 73.53 30.71 46.13 92.34
350,000.00 to 359,999.99 10 3,559,846.95 0.87 9.246 355,984.70 75.06 19.97 69.83 90.01
360,000.00 to 369,999.99 5 1,835,891.68 0.45 9.306 367,178.34 71.71 40.09 59.89 100.00
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Remaining Principal Mortgage Principal Percent Average Current Average Cashout Full Owner
Balance Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
370,000.00 to 379,999.99 7 2,628,845.63 0.64 10.368 375,549.38 82.10 0.00 85.56 100.00
380,000.00 to 389,999.99 5 1,923,680.45 0.47 9.612 384,736.09 76.68 39.96 40.03 100.00
390,000.00 to 399,999.99 6 2,379,227.96 0.58 9.732 396,537.99 74.14 50.04 67.10 66.47
400,000.00 to 409,999.99 2 817,784.48 0.20 9.525 408,892.24 67.50 100.00 49.97 100.00
410,000.00 to 419,999.99 1 419,500.30 0.10 10.550 419,500.30 76.36 100.00 0.00 100.00
420,000.00 to 429,999.99 3 1,281,136.65 0.31 9.968 427,045.55 84.33 66.75 100.00 100.00
430,000.00 to 439,999.99 3 1,308,684.32 0.32 9.387 436,228.11 67.77 33.54 100.00 66.92
440,000.00 to 449,999.99 5 2,241,590.00 0.55 9.571 448,318.00 67.05 0.00 0.00 100.00
450,000.00 to 459,999.99 3 1,360,585.46 0.33 8.874 453,528.49 79.22 33.54 66.46 100.00
460,000.00 to 469,999.99 3 1,404,181.43 0.34 9.847 468,060.48 71.40 66.60 33.40 100.00
470,000.00 to 479,999.99 4 1,895,678.09 0.46 9.503 473,919.52 77.51 50.31 24.83 100.00
480,000.00 to 489,999.99 2 972,075.30 0.24 9.120 486,037.65 74.55 49.98 49.98 100.00
490,000.00 to 499,999.99 5 2,488,396.45 0.61 9.375 497,679.29 73.44 40.03 39.87 100.00
510,000.00 to 519,999.99 2 1,035,879.93 0.25 9.738 517,939.96 69.99 50.14 50.14 100.00
540,000.00 to 549,999.99 1 545,817.91 0.13 8.500 545,817.91 75.00 100.00 100.00 100.00
550,000.00 to 559,999.99 1 550,767.29 0.13 10.250 550,767.29 80.00 0.00 100.00 100.00
590,000.00 to 599,999.99 2 1,189,591.31 0.29 8.369 594,795.66 77.52 0.00 100.00 100.00
630,000.00 to 639,999.99 1 638,221.94 0.16 8.990 638,221.94 79.50 100.00 0.00 100.00
740,000.00 to 749,999.99 1 747,575.64 0.18 8.250 747,575.64 75.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 8,478.00
Max:: 747,575.64
Average: 106,768.38
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.500 to 5.999 2 221,671.18 0.05 5.572 110,835.59 66.27 100.00 57.33 100.00
6.000 to 6.499 2 390,401.31 0.10 6.250 195,200.66 73.60 100.00 100.00 100.00
6.500 to 6.999 33 4,873,750.10 1.19 6.871 147,689.40 69.96 42.30 72.03 100.00
7.000 to 7.499 17 2,671,380.83 0.65 7.274 157,140.05 70.34 45.52 34.04 98.39
7.500 to 7.999 80 12,120,643.76 2.97 7.805 151,508.05 75.46 43.18 81.87 91.57
8.000 to 8.499 99 14,434,877.59 3.54 8.230 145,806.84 74.67 29.55 74.67 82.00
8.500 to 8.999 302 45,131,757.38 11.05 8.760 149,442.91 76.66 43.24 66.42 89.82
9.000 to 9.499 281 36,750,501.03 9.00 9.225 130,784.70 76.77 37.02 58.16 89.92
9.500 to 9.999 679 83,782,028.97 20.52 9.742 123,390.32 78.49 36.34 61.53 94.71
10.000 to 10.499 457 48,834,833.58 11.96 10.227 106,859.59 77.50 32.70 57.81 94.89
10.500 to 10.999 670 68,653,690.44 16.82 10.713 102,468.19 78.64 37.32 65.32 94.47
11.000 to 11.499 351 28,791,798.81 7.05 11.166 82,027.92 78.37 43.99 63.97 92.57
11.500 to 11.999 266 21,630,621.16 5.30 11.682 81,318.12 77.45 40.82 66.41 90.94
12.000 to 12.499 142 10,731,873.20 2.63 12.200 75,576.57 70.64 34.84 62.50 94.80
12.500 to 12.999 120 7,535,053.06 1.85 12.726 62,792.11 68.84 35.44 67.70 91.30
13.000 to 13.499 68 4,181,743.95 1.02 13.220 61,496.23 68.28 26.86 67.11 90.16
13.500 to 13.999 84 5,529,642.92 1.35 13.721 65,829.08 68.62 44.39 77.06 93.25
14.000 to 14.499 59 4,628,353.46 1.13 14.240 78,446.67 68.85 28.67 85.37 95.91
14.500 to 14.999 58 3,784,279.20 0.93 14.659 65,246.19 69.81 36.95 88.45 100.00
15.000 to 15.499 45 3,045,178.69 0.75 15.125 67,670.64 69.98 36.44 97.43 100.00
15.500 to 15.999 5 360,384.54 0.09 15.735 72,076.91 70.18 16.01 100.00 100.00
16.000 to 16.499 2 101,447.45 0.02 16.074 50,723.73 69.99 0.00 100.00 100.00
16.500 to 16.999 1 44,191.76 0.01 16.880 44,191.76 71.29 0.00 100.00 100.00
17.000 to 17.499 1 52,181.13 0.01 17.130 52,181.13 73.00 0.00 100.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 5.500
Max: 17.130
Weighted Average: 10.199
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Seasoning Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 to 6 3,668 389,356,851.99 95.36 10.214 76.81 38.34 65.00 93.29
106,149.63
7 to 12 142 17,391,847.40 4.26 9.792 74.92 23.55 59.56 84.94
122,477.80
13 to 18 9 1,092,084.20 0.27 11.141 67.01 36.52 35.23 89.03
121,342.69
19 to 24 4 0.09 10.161 73.54 38.64 70.17 70.17
385,937.96 96,484.49
25 to 30 1 55,563.95 0.01 13.750 65.00 0.00 0.00 100.00
55,563.95
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1
Max: 27
Weighted Average: 4.11
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Months Remaining to Mortgage Principal Percent Average Current Average Cashout Full Owner
Scheduled Maturity Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
120 to 179 47 2,348,178.57 0.58 10.570 49,961.25 67.20 50.92 66.58 88.84
180 to 239 19 1,093,542.33 0.27 10.362 57,554.86 69.61 24.64 84.85 88.53
300 to 359 3,758 404,840,564.60 99.16 10.196 107,727.66 76.77 37.66 64.62 92.94
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 171
Max: 359
Weighted Average: 354.53
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Product Type Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Yr CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
2_28 2,717 282,525,527.95 69.20 10.463 103,984.37 77.05 36.14 65.36 94.56
3_27 135 15,204,619.02 3.72 10.037 112,626.81 76.20 46.69 65.20 88.99
6 Mo. 970 110,369,485.40 27.03 9.547 113,782.97 75.88 40.41 62.88 89.18
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Purpose Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Cash-out 1,552 153,915,956.76 37.70 10.155 99,172.65 74.24 100.00 59.60 90.74
Purchase 1,275 139,669,423.99 34.21 10.121 109,544.65 80.31 0.00 69.04 94.27
Refinance 996 114,641,340.80 28.08 10.350 115,101.75 75.61 0.00 66.24 94.15
Unknown 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Occupancy Status Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Non-Owner Occupied 355 28,972,252.29 7.10 9.947 81,611.98 71.34 49.22 63.21 0.00
Owner-Occupied 3,469 379,310,033.21 92.90 10.218 109,342.76 77.11 36.82 64.80 100.00
- --------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Property Types Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2-4 Family 243 23,882,568.85 5.85 10.438 98,282.18 73.75 45.74 58.12 70.06
Condo 154 12,981,059.44 3.18 9.906 84,292.59 74.92 28.01 69.32 86.61
Manuf Home 35 2,400,515.34 0.59 10.206 68,586.15 73.53 57.65 73.55 94.24
PUD 70 9,360,518.91 2.29 10.524 133,721.70 79.43 34.49 65.72 98.39
Single Family 3,314 358,716,720.00 87.86 10.186 108,242.82 76.92 37.53 64.90 94.48
Townhouse 8 940,902.96 0.23 9.651 117,612.87 73.06 11.67 51.54 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Loan Documentation Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full 2,588 264,103,043.39 64.69 10.247 102,049.09 78.73 34.74 100.00 93.07
Limited 98 14,443,850.40 3.54 10.117 147,386.23 76.85 40.02 0.00 91.57
Stated 1,134 129,270,492.49 31.66 10.114 113,995.14 72.54 43.63 0.00 92.79
Unknown 4 464,899.22 0.11 8.907 116,224.81 71.79 0.00 0.00 75.10
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Lien Position Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Credit Grade (PAG) Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 367 45,300,578.28 11.10 9.845 123,434.82 81.57 37.43 63.28 93.52
2 1,419 186,172,592.38 45.60 9.538 131,199.85 79.03 35.83 60.93 91.06
3 777 79,774,598.12 19.54 10.198 102,670.01 75.99 38.39 66.02 95.46
4 411 30,524,356.24 7.48 10.941 74,268.51 74.93 36.75 74.32 91.49
5 847 66,062,542.87 16.18 11.972 77,995.92 68.43 43.00 70.37 95.38
Unknown 3 447,617.61 0.11 8.697 149,205.87 80.41 0.00 34.13 74.14
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.5 Year 1 72,192.07 0.02 10.480 72,192.07 85.00 0.00 100.00 100.00
1 Year 71 11,747,359.86 2.88 9.300 165,455.77 77.04 14.98 62.69 89.99
2 Year 426 60,264,626.95 14.76 10.017 141,466.26 78.18 32.42 65.52 95.41
3 Year 182 21,363,586.01 5.23 10.134 117,382.34 77.76 33.69 61.60 95.60
3.5 Year 3 252,188.25 0.06 11.788 84,062.75 70.00 44.37 55.63 100.00
5 Year 695 61,266,549.64 15.01 10.389 88,153.31 76.31 40.37 73.22 94.16
Undefined Penalty 1,197 140,795,556.18 34.48 9.914 117,623.69 77.39 39.04 63.76 91.79
No Prepayment Penalty 1,249 112,520,226.54 27.56 10.650 90,088.25 75.02 40.53 61.54 92.04
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Alaska 9 1,203,990.48 0.29 10.021 133,776.72 79.62 39.53 63.66 100.00
Arizona 139 14,099,887.12 3.45 10.144 101,438.04 79.94 49.03 59.38 95.24
Arkansas 17 1,660,771.14 0.41 10.301 97,692.42 73.95 32.39 81.25 100.00
California 787 131,131,525.95 32.12 9.566 166,622.02 78.13 31.64 65.32 90.34
Colorado 128 15,951,842.99 3.91 9.634 124,623.77 78.42 36.11 73.43 94.49
Connecticut 36 3,559,952.45 0.87 10.520 98,887.57 71.62 37.62 58.51 89.88
Delaware 4 178,674.87 0.04 9.956 44,668.72 63.79 71.61 71.61 89.24
Florida 197 16,934,775.56 4.15 10.893 85,963.33 75.72 27.72 63.56 97.87
Georgia 57 5,682,170.85 1.39 10.752 99,687.21 79.27 44.70 72.07 95.74
Hawaii 84 16,939,229.29 4.15 9.850 201,657.49 72.03 44.53 50.49 95.66
Idaho 31 2,504,062.39 0.61 10.101 80,776.21 78.07 41.98 71.63 100.00
Illinois 202 17,519,138.67 4.29 10.983 86,728.41 73.83 43.81 65.89 94.93
Indiana 73 4,143,892.02 1.01 10.636 56,765.64 77.25 67.76 85.96 95.88
Iowa 24 1,181,210.41 0.29 11.148 49,217.10 78.15 45.11 85.10 89.86
Kansas 28 2,181,464.65 0.53 10.804 77,909.45 77.40 40.39 64.91 97.47
Kentucky 17 1,196,089.19 0.29 10.019 70,358.19 77.22 26.14 76.69 100.00
Louisiana 40 2,731,972.26 0.67 10.811 68,299.31 76.00 60.23 70.05 95.30
Maine 6 615,025.00 0.15 10.501 102,504.17 74.42 87.02 48.25 100.00
Maryland 31 2,893,652.17 0.71 10.881 93,343.62 72.00 60.97 57.56 89.46
Massachusetts 45 5,055,879.94 1.24 10.207 112,352.89 72.34 40.75 58.38 87.84
Michigan 82 6,865,081.79 1.68 10.897 83,720.51 75.54 52.71 55.67 92.22
Minnesota 194 15,395,267.48 3.77 10.779 79,357.05 76.56 36.55 65.37 91.52
Mississippi 16 1,507,356.61 0.37 10.494 94,209.79 79.85 72.40 96.19 96.19
Missouri 131 8,429,824.29 2.06 11.033 64,349.80 78.74 35.08 80.02 97.26
Montana 5 347,507.77 0.09 10.163 69,501.55 72.47 40.50 52.67 87.83
Nebraska 7 350,500.90 0.09 11.183 50,071.56 75.05 26.66 63.34 100.00
Nevada 43 5,288,838.50 1.30 9.771 122,996.24 79.14 32.54 68.09 91.46
New Hampshire 16 1,226,568.55 0.30 10.602 76,660.53 71.79 53.69 58.73 96.22
New Jersey 56 6,684,498.17 1.64 10.141 119,366.04 75.57 37.91 51.49 98.35
New Mexico 19 1,799,411.99 0.44 10.475 94,705.89 79.18 37.31 53.83 100.00
New York 43 5,819,770.44 1.43 10.858 135,343.50 73.63 30.01 75.47 99.31
North Carolina 88 7,596,085.44 1.86 11.624 86,319.15 72.64 37.33 62.68 94.72
North Dakota 6 221,354.62 0.05 12.136 36,892.44 68.83 68.95 45.35 100.00
Ohio 134 8,360,133.18 2.05 10.511 62,389.05 74.99 50.01 81.16 93.86
Oklahoma 32 1,712,945.42 0.42 10.782 53,529.54 76.58 54.56 75.92 95.97
Oregon 157 17,610,249.56 4.31 10.281 112,167.19 76.87 50.96 60.16 93.08
Pennsylvania 150 9,627,610.19 2.36 11.197 64,184.07 74.38 41.57 68.30 96.19
Rhode Island 27 1,764,598.80 0.43 11.160 65,355.51 71.22 50.38 47.20 81.03
South Carolina 17 967,734.29 0.24 11.664 56,925.55 72.36 56.10 62.05 96.12
South Dakota 3 163,353.94 0.04 11.249 54,451.31 73.37 60.71 66.26 100.00
Tennessee 46 3,151,157.88 0.77 10.557 68,503.43 80.26 28.09 81.64 91.63
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Average Cashout Full Owner
Geographical Distribution Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Texas 114 8,665,519.65 2.12 10.696 76,013.33 75.54 10.10 56.95 87.27
Utah 96 11,878,406.01 2.91 9.990 123,733.40 76.79 36.83 58.11 94.21
Vermont 5 440,998.15 0.11 10.401 88,199.63 76.20 24.72 75.28 75.28
Virginia 32 2,887,155.05 0.71 10.643 90,223.60 79.40 49.00 57.13 95.60
Washington 198 23,072,824.76 5.65 9.876 116,529.42 76.98 37.25 59.01 91.75
Washington DC 5 498,122.67 0.12 11.107 99,624.53 74.57 14.99 83.49 82.45
West Virginia 20 1,400,439.31 0.34 10.630 70,021.97 79.25 34.69 82.01 100.00
Wisconsin 126 7,011,967.71 1.72 11.689 55,650.54 74.79 42.06 67.20 89.84
Wyoming 1 171,794.98 0.04 10.520 171,794.98 80.00 0.00 0.00 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Calendar Year of Mortgage Principal Percent Average Current Original Cashout Full Owner
Origination Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
1996 13 1,478,022.16 0.36 10.885 113,694.01 68.71 37.07 44.36 84.10
1997 3,810 406,748,699.39 99.62 10.196 106,758.19 76.73 37.71 64.77 92.93
- ----------------------------------------------------------------------------------- ------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Combined Loan Mortgage Principal Percent Average Current Original Cashout Full Owner
to Value Ratios Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15.00 to 19.99 1 30,953.22 0.01 10.800 30,953.22 17.71 100.00 0.00 100.00
20.00 to 24.99 5 182,604.21 0.04 11.182 36,520.84 22.93 67.21 67.21 100.00
25.00 to 29.99 8 309,112.67 0.08 10.502 38,639.08 27.22 74.48 17.61 83.83
30.00 to 34.99 12 709,117.10 0.17 9.577 59,093.09 32.03 64.75 50.43 97.06
35.00 to 39.99 13 648,525.17 0.16 10.185 49,886.55 37.45 85.08 65.19 93.67
40.00 to 44.99 16 983,852.18 0.24 10.140 61,490.76 41.47 85.53 41.46 90.61
45.00 to 49.99 32 2,467,571.29 0.60 9.903 77,111.60 47.43 64.24 42.17 96.60
50.00 to 54.99 74 5,936,279.23 1.45 10.054 80,219.99 52.71 57.22 39.63 81.83
55.00 to 59.99 105 8,426,279.47 2.06 10.112 80,250.28 57.33 58.29 38.59 83.78
60.00 to 64.99 221 17,873,891.84 4.38 10.445 80,877.34 61.91 53.45 39.71 87.28
65.00 to 69.99 321 29,636,459.71 7.26 10.526 92,325.42 66.47 51.89 43.49 87.93
70.00 to 74.99 580 52,068,907.54 12.75 11.198 89,773.98 71.03 41.62 65.61 89.16
75.00 to 79.99 747 79,813,770.23 19.55 9.944 106,845.74 75.78 39.44 55.19 89.89
80.00 to 84.99 968 118,914,118.35 29.13 9.814 122,845.16 80.43 32.91 62.26 95.25
85.00 to 89.99 393 47,487,683.99 11.63 10.141 120,833.80 85.65 33.85 91.08 98.83
90.00 to 94.99 328 42,793,159.30 10.84 10.321 130,466.95 90.00 19.84 94.88 98.91
- --------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 17.71
Max: 90.34
Weighted
Average: 76.70
<TABLE>
<CAPTION>
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Index Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Libor - 6 Month 3,822 408,099,632.37 99.96 10.200 106,776.46 76.70 37.68 64.68 92.90
1 Year CMT 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
- --------------------------------------------------------------------------------------------------------------------
Total: 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Range of Margins Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2.000 to 2.499 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
3.500 to 3.999 10 1,092,863.74 0.27 8.385 109,286.37 74.18 38.73 84.38 89.62
4.000 to 4.499 26 3,558,481.33 0.87 9.374 136,864.67 75.56 37.89 70.28 93.40
4.500 to 4.999 106 13,864,244.46 3.40 9.100 130,794.76 75.95 33.67 80.60 93.14
5.000 to 5.499 269 31,863,371.20 7.80 9.286 118,451.19 77.58 30.78 74.96 91.19
5.500 to 5.999 683 84,424,657.32 20.68 9.598 123,608.58 78.18 38.16 71.60 95.99
6.000 to 6.499 932 101,651,627.45 24.90 9.951 109,068.27 77.45 38.97 64.38 93.96
6.500 to 6.999 983 99,556,732.36 24.38 10.446 101,278.47 76.00 41.64 53.77 92.84
7.000 to 7.499 441 43,462,484.97 10.65 11.049 98,554.39 77.56 35.35 64.65 89.55
7.500 to 7.999 272 21,617,539.69 5.29 12.310 79,476.25 71.09 31.56 65.81 86.92
8.000 to 8.499 69 4,592,571.57 1.12 12.451 66,559.01 69.36 32.55 56.22 85.63
8.500 to 8.999 19 1,483,161.32 0.36 13.530 78,061.12 68.77 15.01 64.18 96.89
9.000 to 9.499 12 801,590.97 0.20 13.511 66,799.25 63.87 20.16 26.39 83.19
9.500 to 9.999 1 185,869.94 0.05 13.500 185,869.94 60.00 100.00 0.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 2.250
Max: 9.550
Weighted Average: 6.265
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Percent Average Current Original Cashout Full Owner
Maximum Mortgage Rates Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.500 to 7.999 1 127,089.18 0.03 5.625 127,089.18 74.00 100.00 100.00 100.00
12.000 to 12.499 3 777,422.63 0.19 7.412 259,140.88 79.24 41.70 97.62 100.00
12.500 to 12.999 16 2,403,058.80 0.59 6.900 150,191.18 73.20 46.36 84.04 100.00
13.000 to 13.449 17 2,093,621.53 0.51 7.199 123,154.21 68.89 62.82 53.36 97.94
13.500 to 13.999 60 9,094,645.36 2.23 7.550 151,577.42 72.82 31.88 68.98 88.76
14.000 to 14.499 79 12,500,538.01 3.06 8.148 158,234.66 76.23 31.34 81.69 83.87
14.500 to 14.999 125 18,198,958.94 4.46 8.639 145,591.67 75.09 35.76 65.46 88.08
15.000 to 15.499 194 27,890,631.69 6.83 8.847 143,766.14 76.06 45.49 59.32 91.27
15.500 to 15.999 303 40,061,287.63 9.81 9.204 132,215.47 77.27 37.43 61.46 91.98
16.000 to 16.499 415 49,876,841.92 12.22 9.638 120,185.16 78.00 39.79 60.26 91.90
16.500 to 16.999 579 66,771,601.41 16.35 9.992 115,322.28 78.10 35.94 64.30 95.56
17.000 to 17.499 490 50,606,895.43 12.40 10.499 103,279.38 78.24 33.67 62.29 95.10
17.500 to 17.999 491 48,023,273.13 11.76 10.845 97,807.07 78.68 39.92 61.21 94.11
18.000 to 18.499 276 22,948,915.66 5.62 11.300 83,148.25 78.54 45.29 69.91 92.15
18.500 to 18.999 210 16,379,132.19 4.01 11.740 77,995.87 75.29 39.30 66.19 88.10
19.000 to 19.499 137 9,928,264.65 2.43 12.263 72,469.09 69.99 35.40 63.57 96.60
19.500 to 19.999 100 6,979,372.97 1.71 12.441 69,793.73 70.45 32.39 62.03 89.58
20.000 to 20.499 69 4,672,394.32 1.14 12.946 67,715.86 68.24 24.97 66.09 91.20
20.500 to 20.999 74 4,993,287.03 1.22 13.749 67,476.85 68.43 45.69 77.86 94.79
21.000 to 21.499 56 4,249,790.67 1.04 14.263 75,889.12 69.73 31.22 89.54 95.55
21.500 to 21.999 58 3,810,209.37 0.93 14.428 65,693.27 70.93 37.38 90.66 100.00
22.000 to 22.499 45 3,100,798.31 0.76 14.991 68,906.63 70.41 35.79 97.47 100.00
22.500 to 22.999 6 453,607.01 0.11 14.505 75,601.17 72.20 12.72 79.45 100.00
23.000 to 23.499 3 109,925.45 0.03 15.499 36,641.82 70.76 0.00 100.00 100.00
23.500 to 23.999 2 128,500.16 0.03 11.628 64,250.08 67.16 0.00 34.39 34.39
24.000 to 24.499 2 225,754.99 0.06 10.495 112,877.50 74.54 0.00 23.11 100.00
24.500 to 24.999 1 54,947.41 0.01 12.875 54,947.41 67.00 0.00 100.00 100.00
25.000 to 25.499 1 287,038.20 0.07 9.000 287,038.20 80.00 0.00 0.00 100.00
25.500 to 25.999 4 549,069.13 0.13 9.498 137,267.28 80.39 0.00 100.00 100.00
27.000 to 27.499 1 112,253.57 0.03 10.125 112,253.57 75.00 0.00 0.00 100.00
27.500 to 27.999 2 253,096.99 0.06 10.375 126,548.50 80.00 0.00 63.11 100.00
28.500 to 28.999 1 314,396.30 0.08 10.750 314,396.30 75.00 0.00 100.00 100.00
32.500 to 32.999 1 70,621.13 0.02 12.990 70,621.13 65.00 0.00 0.00 100.00
33.500 to 33.999 1 55,563.95 0.01 13.750 55,563.95 65.00 0.00 0.00 100.00
35.000 to 35.499 1 179,480.38 0.04 9.700 179,480.38 90.00 0.00 100.00 100.00
- -------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 7.625
Max: 35.100
Weighted Average: 16.925
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Weighted Percent Percent Percent
Mortgage Principal Percent Average Current Original Cashout Full Owner
Periodic Caps Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.0 3,679 389,908,571.71 95.50 10.218 105,982.22 76.71 38.24 65.07 92.76
1.5 140 17,595,631.83 4.31 9.798 125,683.08 76.61 23.87 56.95 95.84
2.0 2 182,653.13 0.04 8.097 91,326.57 71.26 69.58 69.58 100.00
3.0 3 595,428.83 0.15 10.200 198,476.28 74.33 79.57 37.96 100.00
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Min: 1.000
Max: 3.000
Weighted Average: 1.025
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
Number of Aggregate Weighted Average Average Percent Percent Percent
Next Rate Mortgage Principal Percent Average Current Original Cashout Full Owner
Change Date Loans Balance of Total Coupon Balance CLTV Refi Doc Occupied
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1998-02 87 10,904,049.00 2.67 8.651 125,333.90 76.55 31.62 64.41 75.98
1998-03 304 40,789,605.64 9.99 9.348 134,176.33 77.00 42.12 57.53 90.87
1998-04 71 8,631,394.42 2.11 9.468 121,568.94 73.20 40.29 55.24 93.57
1998-05 169 16,594,776.59 4.06 9.796 98,193.94 74.32 32.54 63.40 88.68
1998-06 177 17,026,428.55 4.17 9.881 96,194.51 74.97 49.81 74.05 91.96
1998-07 119 12,438,475.10 3.05 10.044 104,525.00 76.44 44.16 65.53 86.96
1998-08 45 4,332,973.37 1.06 10.192 96,288.30 76.37 33.06 69.74 93.26
1998-09 1 110,901.55 0.03 10.280 110,901.55 75.00 100.00 0.00 100.00
1998-10 2 116,292.49 0.03 10.793 58,146.25 55.76 0.00 0.00 100.00
1998-11 5 583,097.52 0.14 11.021 116,619.50 60.90 50.62 50.62 100.00
1998-12 1 96,860.80 0.02 9.990 96,860.80 75.00 0.00 100.00 100.00
1999-01 2 289,720.80 0.07 10.897 144,860.40 74.26 0.00 14.49 100.00
1999-02 4 215,674.84 0.05 12.462 53,918.71 63.29 60.25 0.00 100.00
1999-03 6 632,671.37 0.15 10.356 105,445.23 64.21 41.40 47.13 94.38
1999-04 9 974,541.74 0.24 9.990 108,282.42 73.17 21.55 33.83 100.00
1999-05 18 1,458,680.11 0.36 9.965 81,037.78 67.38 11.77 27.72 91.62
1999-06 33 3,975,668.20 0.97 9.808 120,474.79 76.97 27.33 47.41 85.45
1999-07 40 5,135,863.20 1.26 9.956 128,396.58 79.21 12.82 73.03 97.96
1999-08 178 21,803,038.83 5.34 10.058 122,488.98 76.77 27.29 60.12 92.94
1999-09 882 96,382,310.92 23.61 10.245 109,277.00 77.66 34.63 61.99 94.75
1999-10 396 44,721,839.46 10.95 10.640 112,933.94 76.30 35.22 70.10 95.10
1999-11 158 17,526,445.50 4.29 10.231 110,926.87 78.86 32.11 68.67 97.76
1999-12 378 34,534,148.35 8.46 10.785 91,360.18 76.86 41.04 69.96 93.66
2000-01 390 35,184,878.75 8.62 10.782 90,217.64 76.69 44.99 69.97 93.84
2000-02 213 18,566,132.57 4.55 10.962 87,164.94 77.11 44.56 67.01 95.39
2000-03 2 547,176.91 0.13 8.479 273,588.46 61.03 20.88 100.00 20.88
2000-04 1 28,124.16 0.01 12.490 28,124.16 60.00 0.00 0.00 100.00
2000-05 1 428,420.20 0.10 10.250 428,420.20 83.00 100.00 100.00 100.00
2000-06 1 31,394.93 0.01 12.250 31,394.93 70.00 0.00 0.00 100.00
2000-07 3 481,802.17 0.12 9.043 160,600.72 71.05 0.00 45.70 100.00
2000-08 4 580,541.34 0.14 10.869 145,135.33 80.57 70.05 29.95 100.00
2000-09 26 3,312,761.87 0.81 9.998 127,413.92 80.58 68.16 60.94 78.72
2000-10 15 1,519,555.59 0.37 10.248 101,303.71 72.61 50.90 64.17 97.61
2000-11 37 4,471,983.82 1.10 9.798 120,864.43 76.61 35.05 63.03 97.11
2000-12 20 1,953,019.87 0.48 10.106 97,650.99 77.04 42.95 66.41 92.72
2001-01 16 1,351,089.33 0.33 10.724 84,443.08 72.99 25.22 92.54 93.90
2001-02 10 549,945.64 0.13 10.646 54,994.56 71.99 67.59 45.95 73.44
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL 3,824 408,282,285.50 100.00 10.199 106,768.38 76.70 37.70 64.69 92.90
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
Class A-1
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 11.44 2.04 1.45 1.14 0.95 0.82 0.65
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Payment Window 237 52 35 27 21 18 14
Window
Class A-2
Average Life 20.76 4.82 3.27 2.48 2.00 1.67 1.27
First Pay 11/17 6/02 1/01 5/00 11/99 8/99 4/99
Last Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Payment Window 24 12 9 6 6 4 3
Window
Class A-3
Average Life 24.78 8.45 5.38 3.89 3.00 2.36 1.75
First Pay 10/19 5/03 9/01 10/00 4/00 11/99 6/99
Last Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Payment Window 68 93 62 37 27 15 11
Window
Class A-4
Average Life 27.82 14.53 10.27 6.90 5.00 3.81 2.34
First Pay 5/25 1/11 10/06 10/03 6/02 1/01 4/00
Last Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Payment Window 14 43 40 38 18 19 5
Window
Class A-5
Average Life 29.06 21.58 16.43 12.72 9.68 7.18 2.78
First Pay 6/26 7/14 1/10 11/06 11/03 7/02 8/00
Last Pay 10/27 9/26 9/23 2/19 3/15 5/12 2/01
Payment Window 17 147 165 148 137 119 7
Window
Class A-6
Average Life 13.80 8.15 7.36 6.89 6.62 6.52 6.26
First Pay 3/01 3/01 3/01 3/01 6/01 9/01 2/01
Last Pay 8/27 6/26 5/23 11/18 1/15 3/12 6/08
Payment Window 318 304 267 213 164 127 89
Window
Class M-1F
Average Life 26.23 12.96 9.39 7.19 5.82 5.03 4.54
First Pay 8/19 4/04 5/02 4/01 4/01 6/01 11/01
Last Pay 8/27 7/24 8/19 12/14 10/11 6/09 4/06
Payment Window 97 244 208 165 127 97 54
Window
Class M-2F
Average Life 26.22 12.87 9.28 7.10 5.73 4.89 4.13
First Pay 8/19 4/04 5/02 4/01 3/01 4/01 6/01
Last Pay 7/27 3/23 9/17 4/13 6/10 4/08 6/05
Payment Window 96 228 185 145 112 85 49
Window
Class B-1F
Average Life 26.16 12.39 8.87 6.78 5.45 4.63 3.79
First Pay 8/19 4/04 5/02 4/01 3/01 3/01 3/01
Last Pay 5/27 9/20 12/14 4/11 9/08 10/06 5/04
Payment Window 94 198 152 121 91 68 39
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Average Life Sensitivities
(To Maturity)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
Class A-7
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life 20.07 4.64 3.48 2.72 2.15 1.67 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/27 3/24 10/19 9/15 8/12 3/10 2/01
Payment Window 356 313 260 211 174 145 36
Window
Class M-1A
Average Life 27.12 9.70 7.28 5.87 5.21 5.12 6.14
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 9/27 8/21 10/16 1/13 5/10 4/08 5/08
Payment Window 68 233 188 140 105 76 72
Window
Class M-2A
Average Life 27.12 9.62 7.20 5.76 4.94 4.51 4.36
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 8/27 10/19 1/15 7/11 1/09 4/07 11/05
Payment Window 67 211 167 124 93 70 52
Window
Class B-1A
Average Life 27.09 9.30 6.95 5.53 4.68 4.17 3.86
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 6/27 2/17 8/12 8/09 6/07 11/05 9/04
Payment Window 65 179 138 102 76 56 42
Window
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Average Life Sensitivities
(To Call)
<TABLE>
<CAPTION>
0 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7
Average Life 20.04 4.30 3.20 2.49 1.96 1.52 1.19
First Pay 3/98 3/98 3/98 3/98 3/98 3/98 3/98
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 2/01
Payment Window 344 158 118 92 75 62 36
Class M-1A
Average Life 27.02 8.79 6.54 5.26 4.71 4.70 4.45
First Pay 2/22 4/02 3/01 6/01 9/01 1/02 6/02
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 53 33 16 2
Class M-2A
Average Life 27.02 8.79 6.54 5.21 4.50 4.14 4.06
First Pay 2/22 4/02 3/01 4/01 5/01 7/01 8/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 55 37 22 12
Class B-1A
Average Life 27.02 8.79 6.54 5.19 4.41 3.94 3.68
First Pay 2/22 4/02 3/01 3/01 3/01 4/01 4/01
Last Pay 10/26 4/11 12/07 10/05 5/04 4/03 7/02
Payment Window 57 109 82 56 39 25 16
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-1
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 93 72 62 51 40 29 8
2/00 91 47 26 7 0 0 0
2/01 88 24 0 0 0 0 0
2/02 85 5 0 0 0 0 0
2/03 82 0 0 0 0 0 0
2/04 79 0 0 0 0 0 0
2/05 75 0 0 0 0 0 0
2/06 72 0 0 0 0 0 0
2/07 68 0 0 0 0 0 0
2/08 64 0 0 0 0 0 0
2/09 59 0 0 0 0 0 0
2/10 54 0 0 0 0 0 0
2/11 48 0 0 0 0 0 0
2/12 41 0 0 0 0 0 0
2/13 28 0 0 0 0 0 0
2/14 23 0 0 0 0 0 0
2/15 18 0 0 0 0 0 0
2/16 12 0 0 0 0 0 0
2/17 5 0 0 0 0 0 0
2/18 0 0 0 0 0 0 0
2/19 0 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 11.4 2.0 1.4 1.1 0.9 0.8 0.7
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 11.4 2.0 1.4 1.1 0.9 0.8 0.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-2
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 28 0 0
2/01 100 100 79 0 0 0 0
2/02 100 100 0 0 0 0 0
2/03 100 23 0 0 0 0 0
2/04 100 0 0 0 0 0 0
2/05 100 0 0 0 0 0 0
2/06 100 0 0 0 0 0 0
2/07 100 0 0 0 0 0 0
2/08 100 0 0 0 0 0 0
2/09 100 0 0 0 0 0 0
2/10 100 0 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 86 0 0 0 0 0 0
2/19 34 0 0 0 0 0 0
2/20 0 0 0 0 0 0 0
2/21 0 0 0 0 0 0 0
2/22 0 0 0 0 0 0 0
2/23 0 0 0 0 0 0 0
2/24 0 0 0 0 0 0 0
2/25 0 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.8 4.8 3.3 2.5 2.0 1.7 1.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.8 4.8 3.3 2.5 2.0 1.7 1.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-3
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 74 11
2/01 100 100 100 76 32 0 0
2/02 100 100 79 39 8 0 0
2/03 100 100 50 13 0 0 0
2/04 100 79 30 0 0 0 0
2/05 100 61 13 0 0 0 0
2/06 100 51 6 0 0 0 0
2/07 100 40 0 0 0 0 0
2/08 100 29 0 0 0 0 0
2/09 100 18 0 0 0 0 0
2/10 100 8 0 0 0 0 0
2/11 100 0 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 95 0 0 0 0 0 0
2/21 81 0 0 0 0 0 0
2/22 65 0 0 0 0 0 0
2/23 47 0 0 0 0 0 0
2/24 27 0 0 0 0 0 0
2/25 4 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 24.8 8.5 5.4 3.9 3.0 2.4 1.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 24.8 8.5 5.4 3.9 3.0 2.4 1.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-4
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 78 0
2/02 100 100 100 100 100 34 0
2/03 100 100 100 100 41 0 0
2/04 100 100 100 79 0 0 0
2/05 100 100 100 32 0 0 0
2/06 100 100 100 16 0 0 0
2/07 100 100 87 0 0 0 0
2/08 100 100 55 0 0 0 0
2/09 100 100 25 0 0 0 0
2/10 100 100 0 0 0 0 0
2/11 100 95 0 0 0 0 0
2/12 100 64 0 0 0 0 0
2/13 100 30 0 0 0 0 0
2/14 100 8 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 100 0 0 0 0 0 0
2/23 100 0 0 0 0 0 0
2/24 100 0 0 0 0 0 0
2/25 100 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.8 14.5 10.3 6.9 5.0 3.8 2.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.8 14.5 10.3 6.9 5.0 3.8 2.3
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-5
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 0
2/02 100 100 100 100 100 100 0
2/03 100 100 100 100 100 72 0
2/04 100 100 100 100 92 46 0
2/05 100 100 100 100 68 31 0
2/06 100 100 100 100 64 31 0
2/07 100 100 100 94 53 28 0
2/08 100 100 100 77 41 21 0
2/09 100 100 100 62 31 15 0
2/10 100 100 98 48 23 9 0
2/11 100 100 81 38 17 4 0
2/12 100 100 66 29 11 0 0
2/13 100 100 52 21 6 0 0
2/14 100 100 43 17 3 0 0
2/15 100 92 35 12 0 0 0
2/16 100 80 29 8 0 0 0
2/17 100 69 23 5 0 0 0
2/18 100 58 19 2 0 0 0
2/19 100 49 15 0 0 0 0
2/20 100 41 11 0 0 0 0
2/21 100 34 7 0 0 0 0
2/22 100 27 4 0 0 0 0
2/23 100 21 1 0 0 0 0
2/24 100 16 0 0 0 0 0
2/25 100 9 0 0 0 0 0
2/26 100 3 0 0 0 0 0
2/27 50 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 29.1 21.6 16.4 12.7 9.7 7.2 2.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 28.5 17.2 12.7 9.6 7.3 5.7 2.8
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche A-6
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 99
2/02 99 93 90 89 90 93 99
2/03 99 87 82 80 79 79 74
2/04 97 76 71 66 62 59 44
2/05 95 67 60 52 46 40 26
2/06 89 46 34 25 18 17 15
2/07 82 31 20 12 7 5 6
2/08 75 21 11 5 3 2 1
2/09 67 14 6 3 1 0 0
2/10 60 9 3 1 0 0 0
2/11 52 6 2 1 0 0 0
2/12 44 4 1 0 0 0 0
2/13 31 2 0 0 0 0 0
2/14 28 1 0 0 0 0 0
2/15 24 1 0 0 0 0 0
2/16 20 1 0 0 0 0 0
2/17 17 0 0 0 0 0 0
2/18 13 0 0 0 0 0 0
2/19 10 0 0 0 0 0 0
2/20 8 0 0 0 0 0 0
2/21 6 0 0 0 0 0 0
2/22 4 0 0 0 0 0 0
2/23 3 0 0 0 0 0 0
2/24 1 0 0 0 0 0 0
2/25 1 0 0 0 0 0 0
2/26 0 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 13.8 8.1 7.4 6.9 6.6 6.5 6.3
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 13.8 8.1 7.3 6.8 6.4 5.8 4.6
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 63
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 6
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 8 0
2/08 100 61 35 19 10 5 0
2/09 100 53 29 15 7 1 0
2/10 100 46 24 12 5 0 0
2/11 100 40 19 9 2 0 0
2/12 100 35 16 7 0 0 0
2/13 100 29 12 5 0 0 0
2/14 100 25 10 2 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 7 0 0 0 0
2/17 100 16 5 0 0 0 0
2/18 100 14 4 0 0 0 0
2/19 100 12 1 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 8 0 0 0 0 0
2/22 78 6 0 0 0 0 0
2/23 67 5 0 0 0 0 0
2/24 55 1 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 13.0 9.4 7.2 5.8 5.0 4.5
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.6 4.2
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche M-2F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 28
2/03 100 100 87 65 47 34 16
2/04 100 100 72 51 35 23 10
2/05 100 89 61 40 26 16 2
2/06 100 79 50 31 19 11 0
2/07 100 69 42 25 14 6 0
2/08 100 61 35 19 10 1 0
2/09 100 53 29 15 6 0 0
2/10 100 46 24 12 1 0 0
2/11 100 40 19 9 0 0 0
2/12 100 35 16 4 0 0 0
2/13 100 29 12 0 0 0 0
2/14 100 25 10 0 0 0 0
2/15 100 22 8 0 0 0 0
2/16 100 19 4 0 0 0 0
2/17 100 16 1 0 0 0 0
2/18 100 14 0 0 0 0 0
2/19 100 12 0 0 0 0 0
2/20 96 10 0 0 0 0 0
2/21 87 7 0 0 0 0 0
2/22 78 3 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 28 0 0 0 0 0 0
2/27 12 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.9 9.3 7.1 5.7 4.9 4.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.3 4.5 3.9
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Fixed Rate Certificates
Decrement Tables: Priced to Maturity
Tranche -B-1F
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 100 82 64 49 27
2/03 100 100 87 65 47 34 11
2/04 100 100 72 51 35 21 1
2/05 100 89 61 40 25 11 0
2/06 100 79 50 31 15 3 0
2/07 100 69 42 23 8 0 0
2/08 100 61 35 15 2 0 0
2/09 100 53 29 9 0 0 0
2/10 100 46 21 4 0 0 0
2/11 100 40 15 0 0 0 0
2/12 100 35 10 0 0 0 0
2/13 100 29 5 0 0 0 0
2/14 100 23 2 0 0 0 0
2/15 100 19 0 0 0 0 0
2/16 100 14 0 0 0 0 0
2/17 100 11 0 0 0 0 0
2/18 100 7 0 0 0 0 0
2/19 100 4 0 0 0 0 0
2/20 96 1 0 0 0 0 0
2/21 87 0 0 0 0 0 0
2/22 78 0 0 0 0 0 0
2/23 67 0 0 0 0 0 0
2/24 55 0 0 0 0 0 0
2/25 42 0 0 0 0 0 0
2/26 27 0 0 0 0 0 0
2/27 4 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 26.2 12.4 8.9 6.8 5.5 4.6 3.8
(Years)
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 26.1 12.0 8.6 6.5 5.2 4.5 3.7
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche A-7
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 96 78 72 66 60 54 48
2/00 96 62 52 42 33 25 18
2/01 95 48 36 25 15 7 0
2/02 94 37 28 22 15 7 0
2/03 94 30 23 16 12 7 0
2/04 93 26 18 12 8 0 0
2/05 92 22 14 9 0 0 0
2/06 91 18 11 0 0 0 0
2/07 89 15 9 0 0 0 0
2/08 88 13 0 0 0 0 0
2/09 86 11 0 0 0 0 0
2/10 85 9 0 0 0 0 0
2/11 83 8 0 0 0 0 0
2/12 80 0 0 0 0 0 0
2/13 78 0 0 0 0 0 0
2/14 75 0 0 0 0 0 0
2/15 72 0 0 0 0 0 0
2/16 68 0 0 0 0 0 0
2/17 64 0 0 0 0 0 0
2/18 60 0 0 0 0 0 0
2/19 54 0 0 0 0 0 0
2/20 49 0 0 0 0 0 0
2/21 42 0 0 0 0 0 0
2/22 35 0 0 0 0 0 0
2/23 30 0 0 0 0 0 0
2/24 25 0 0 0 0 0 0
2/25 19 0 0 0 0 0 0
2/26 12 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 20.0 4.3 3.2 2.5 2.0 1.5 1.2
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 20.1 4.6 3.5 2.7 2.2 1.7 1.2
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 60 89 100
2/03 100 86 64 46 33 33 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.3 4.7 4.7 4.5
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.7 7.3 5.9 5.2 5.1 6.1
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche M-2A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 47
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.5 4.1 4.1
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.6 7.2 5.8 4.9 4.5 4.4
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Floating Rate Certificates
Decrement Tables: Priced to Call
Tranche B-1A
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
0% CPR 15% CPR 20% CPR 25% CPR 30% CPR 35% CPR 40% CPR
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
2/98 100 100 100 100 100 100 100
2/99 100 100 100 100 100 100 100
2/00 100 100 100 100 100 100 100
2/01 100 100 100 100 100 100 100
2/02 100 100 80 62 47 35 25
2/03 100 86 64 46 33 23 0
2/04 100 73 51 34 23 0 0
2/05 100 61 40 26 0 0 0
2/06 100 52 32 0 0 0 0
2/07 100 43 25 0 0 0 0
2/08 100 37 0 0 0 0 0
2/09 100 31 0 0 0 0 0
2/10 100 26 0 0 0 0 0
2/11 100 21 0 0 0 0 0
2/12 100 0 0 0 0 0 0
2/13 100 0 0 0 0 0 0
2/14 100 0 0 0 0 0 0
2/15 100 0 0 0 0 0 0
2/16 100 0 0 0 0 0 0
2/17 100 0 0 0 0 0 0
2/18 100 0 0 0 0 0 0
2/19 100 0 0 0 0 0 0
2/20 100 0 0 0 0 0 0
2/21 100 0 0 0 0 0 0
2/22 99 0 0 0 0 0 0
2/23 86 0 0 0 0 0 0
2/24 71 0 0 0 0 0 0
2/25 54 0 0 0 0 0 0
2/26 34 0 0 0 0 0 0
2/27 0 0 0 0 0 0 0
2/28 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to Call
(Years) 27.0 8.8 6.5 5.2 4.4 3.9 3.7
- ----------------------------------------------------------------------------------------------------------------------
Avg Life to
Maturity 27.1 9.3 7.0 5.5 4.7 4.2 3.9
(Years)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Available Funds Cap Schedule for Adjustable Rate Certificates
Assumes constant LIBOR (1M LIBOR = 5.6055%, 6M LIBOR = 5.625%)
- ----------------------------------------
Available Funds
Cap
- ----------------------------------------
1 3/25/98 9.69
2 4/25/98 9.69
3 5/25/98 9.69
4 6/25/98 9.97
5 7/25/98 9.97
6 8/25/98 9.97
7 9/25/98 9.97
8 10/25/98 9.97
9 11/25/98 9.97
10 12/25/98 10.25
11 1/25/99 10.25
12 2/25/99 10.25
13 3/25/99 10.25
14 4/25/99 10.25
15 5/25/99 10.25
16 6/25/99 10.29
17 7/25/99 10.29
18 8/25/99 10.46
19 9/25/99 10.46
20 10/25/99 10.46
21 11/25/99 10.46
22 12/25/99 11.31
23 1/25/00 11.31
24 2/25/00 11.31
25 3/25/00 11.31
26 4/25/00 11.31
27 5/25/00 11.31
28 6/25/00 11.31
29 7/25/00 11.32
30 8/25/00 11.32
31 9/25/00 11.32
32 10/25/00 11.32
33 11/25/00 11.32
34 12/25/00 11.38
35 1/25/01 11.38
36 2/25/01 11.38
37 3/25/01 11.38
38 4/25/01 11.38
39 5/25/01 11.38
40 6/25/01 11.38
- ------------------------------------------
NOTE: Percentages may not add to 100.00% due to rounding.
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by AMRESCO Residential Securities Corporation with respect to the
expected characteristics of the pool of loans in which these securities will
represent undivided beneficial interests. The actual characteristics and
performance of the loans will differ from the assumptions used in preparing
these materials, which are hypothetical in nature. Changes in the assumptions
may have a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that the loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the loans contained herein, shall be deemed
superseded, amended and supplemented in their entirety by such Prospectus and
Prospectus Supplement. To Our Readers Worldwide: In addition, please note that
this information has been provided by Deutsche Morgan Grenfell. We recommend
that investors obtain the advice of their Deutsche Morgan Grenfell
representative about the investment concerned. NOT FOR DISTRIBUTION TO PRIVATE
CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES AUTHORITY.
