--------------------------------------------------------------------------------
[GRAPHIC OMITTED]
[$460,000,000] (APPROXIMATE)
SAXON ASSET SECURITIES TRUST 2000-4
MORTGAGE LOAN ASSET BACKED CERTIFICATES, SERIES 2000-4
CLASSES AF-1, AF-2, AF-3, AF-4, AF-5, AF-6, MF-1, MF-2, BF-1
AV-1, MV-1, MV-2, BV-1 AND A-IO
SAXON ASSET SECURITIES COMPANY
DEPOSITOR
SAXON MORTGAGE, INC.
SELLER AND MASTER SERVICER
MERITECH MORTGAGE SERVICES, INC.
SERVICER
DECEMBER 4, 2000
1
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
PRELIMINARY TERM SHEET DATE PREPARED: DECEMBER 4, 2000
$460,000,000
SAXON ASSET SECURITIES TRUST 2000-4
MORTGAGE LOAN ASSET BACKED CERTIFICATES, SERIES 2000-4
<TABLE>
<CAPTION>
===========================================================================================
APPROX WAL (YRS) PYMT WINDOW TRANCHE EXPECTED RATINGS
CLASS (1) CLASS SIZE CALL/MAT (3) CALL/MAT TYPE MOODY'S/FITCH
--------- ---------- ------------ -------- ---- -------------
<S> <C> <C> <C> <C> <C>
AF-1(5) 44,600,000 0.85 1/01 - 5/02 Fixed-Seq [Aaa/AAA]
AF-2(5) 37,000,000 2.00 5/02 - 8/03 Fixed-Seq [Aaa/AAA]
AF-3(5) 16,600,000 3.00 8/03 - 6/04 Fixed-Seq [Aaa/AAA]
AF-4(4)(5) 28,800,000 4.98 6/04 - 5/08 Fixed-Seq [Aaa/AAA]
AF-5(2)(4)(5) 14,350,000 7.43 5/08 - 5/08 Fixed-Seq [Aaa/AAA]
AF-6(4)(5) 15,700,000 6.28 1/04 - 5/08 Fixed-NAS [Aaa/AAA]
MF-1(2)(4)(5) 10,800,000 5.73 1/04 - 5/08 Fixed-Mez [Aa2/AA]
MF-2(2)(4)(5) 7,650,000 5.73 1/04 - 5/08 Fixed-Mez [A2/A]
BF-1(4)(5) 4,500,000 5.73 1/04 - 5/08 Fixed-Sub [Baa2/BBB]
-------------------------------------------------------------------------------------------
AV-1(2)(4)(6) 233,100,000 2.46 1/01 - 5/08 Float-Sen [Aaa/AAA]
MV-1(2)(4)(6) 22,400,000 4.65 3/04 - 5/08 Float-Mez [Aa2/AA]
MV-2(2)(4)(6) 15,400,000 4.59 2/04 - 5/08 Float-Mez [A2/A]
BV-1(2)(4)(6) 9,100,000 4.55 1/04 - 5/08 Float-Sub [Baa2/BBB]
-------------------------------------------------------------------------------------------
TOTAL $460,000,000
===========================================================================================
</TABLE>
(1) The Group I Certificates consist of Classes AF-1, AF-2, AF-3, AF-4, AF-5,
AF-6 (the "CLASS AF CERTIFICATES" or "GROUP I SENIOR CERTIFICATES"),
Classes MF-1 and MF-2 (the "CLASS MF CERTIFICATES") and Class BF-1
Certificates. The Group I Certificates are backed primarily by the Group I
Mortgage Loans. The Group II Certificates consist of Class AV-1 (the "CLASS
AV CERTIFICATES" or "GROUP II SENIOR CERTIFICATES"), Class MV-1 and Class
MV-2 (the "CLASS MV CERTIFICATES") and Class BV-1 Certificates. The class
sizes are subject to a +/- 5% variance.
(2) The Certificates are subject to a 10% Clean-up Call (as described herein).
The coupon on the Class AF-5, Class MF-1 and Class MF-2 Certificates will
increase by [0.50%]; the margin on the Class AV-1 Certificates will
increase to 2 times the initial margin; and the margin on the Class MV-1,
Class MV-2 and Class BV-1 Certificates will increase to 1.5 times their
initial margin after the first date on which the Clean-up Call is
exercisable.
(3) See "Pricing Prepayment Speed" herein.
(4) Priced to Call.
(5) Subject to the Group I Net WAC Cap.
(6) Subject to the Group II Available Funds Cap.
2
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
I/O CERTIFICATES
--------------------------------------------------------------------------------
To Maturity
--------------------------------------------------------------------------------
Expected Expected
Initial Payment Expected Ratings
Notional Interest Principal Window ----------------
Class Amount Type Type (mos) Moody's Fitch
--------------------------------------------------------------------------------
A-IO 76,700,000 Fixed Notional 1-31 Aaa AAA
--------------------------------------------------------------------------------
EXPECTED CLASS A-IO NOTIONAL AMOUNT SCHEDULE
--------------------------------------------------------------------------------
There will be a Aaa/AAA rated interest-only class (Class A-IO), offered solely
by Credit Suisse First Boston, Inc., relating to Loan Groups I and II with a
coupon of 6.75% for the first 31 months and 0.0% for months 32 and beyond. The
notional amount of Class A-IO is equal to the lesser of (i) the sum of the
aggregate principal balance of the mortgage loans in Loan Groups I and II and
(ii) the following schedule:
Period Total Notional Amount Fix Component ARM Component
1 - 3 76,700,000 52,700,000 24,000,000
4 - 6 72,300,000 51,300,000 21,000,000
7 - 9 67,800,000 48,800,000 19,000,000
10 - 12 64,000,000 46,000,000 18,000,000
13 - 15 60,200,000 43,200,000 17,000,000
16 - 18 55,500,000 40,500,000 15,000,000
19 - 21 53,000,000 38,000,000 15,000,000
22 - 24 50,700,000 35,700,000 15,000,000
25 - 27 46,000,000 31,000,000 15,000,000
28 - 30 40,200,000 25,200,000 15,000,000
31 38,000,000 23,000,000 15,000,000
32 and thereafter 0 0 0
--------------------------------------------------------------------------------
3
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Depositor: Saxon Asset Securities Company
Seller and
Master Servicer: Saxon Mortgage, Inc.
Servicer: Meritech Mortgage Services, Inc.
Lead Manager: Credit Suisse First Boston
Co-Managers: Bank of America Securities LLC, Chase Securities, and
Greenwich Capital Markets, Inc.
Trustee: Bankers Trust
Rating Agencies: Moody's Investor Services Inc. ("MOODYS") and Fitch
IBCA ("FITCH").
Statistical Cut-off Date: The close of business on November 21, 2000.
Closing Date: On or about December [20], 2000.
Settlement Date: December [20], 2000.
Distribution Date: The 25th of each month (or next succeeding business
day), beginning January 25, 2001.
Registration: The Certificates will be available in book-entry form
through DTC, Clearstream, Luxembourg and the
Euroclear System.
Day Count: 30/360 on the Group I Certificates and actual/360 on
the Group II Certificates.
Interest Accrual Period: For the Group I Certificates interest will accrue
during the month immediately preceding the month in
which such Distribution Date occurs. For the Group II
Certificates, interest will accrue from the preceding
Distribution Date (or, with respect to the first
accrual period, the Closing Date) to and including
the day prior to the related Distribution Date.
Cleanup Call: The Master Servicer will have the right to exercise a
clean-up call on any Distribution Date on which the
aggregate principal balance of the Mortgage Loans is
equal to or less than 10% of the sum of the aggregate
principal balance of the Mortgage Loans as of the
Cut-off Date and the Pre-funding Amount.
Denominations: $1,000 in original principal amount and integral
multiples.
Federal Tax Status: The Certificates will be treated as REMIC regular
interest for Federal income tax purposes.
4
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
ERISA: All the offered Certificates are expected to be
"ERISA" eligible.
SMMEA: The Class AV-1 and Class MV-1 Certificates will be
SMMEA eligible upon termination of the funding period
relating to the Pre-funding Account. The remaining
Certificates will not be SMMEA eligible.
Group I Pricing Speed: Fixed rate Mortgage Loans: 100% FRM PPC. 100% FRM PPC
assumes that prepayments start at 2% CPR in month
one, and increase to 22% CPR in month ten, and remain
at 22% CPR thereafter (see table below).
Group II Pricing Speed: Adjustable rate Mortgage Loans: 100% ARM PPC. 100%
ARM PPC assumes that prepayments start at 4% CPR in
month one, and increase to 35% CPR in month 22, and
remain at 35% CPR thereafter (see table below).
--------------------------------------------------
Month ARMS CPR Fixed CPR
1 4.000 2.000
2 5.476 4.222
3 6.952 6.444
4 8.429 8.667
5 9.905 10.889
6 11.381 13.111
7 12.857 15.333
8 14.333 17.556
9 15.809 19.778
10 17.286 22.000
11 18.762 22.000
12 20.238 22.000
13 21.714 22.000
14 23.191 22.000
15 24.714 22.000
16 26.143 22.000
17 27.619 22.000
18 29.095 22.000
19 30.572 22.000
20 32.048 22.000
21 33.524 22.000
22 35.000 22.000
23 - 360 35.000 22.000
--------------------------------------------------
5
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Servicing Fee: Approximately 0.57% of the aggregate principal
balance of the Group I Mortgage Loans and
approximately 0.55% of the aggregate principal
balance of the Group II Mortgage Loans (including the
master servicing fee).
Group I
Net WAC Cap: For any distribution date, the per annum interest
rate equivalent to the product of (i) twelve, and
(ii) a fraction, the numerator of which equals the
total scheduled interest for the Group I Mortgage
Loans for the related due period, net of the
Servicing Fee and the Fixed Component of the Class
A-IO interest, and the denominator of which is the
outstanding principal balance of the Group I Mortgage
Loans at the beginning of the due period.
Group II
Available Funds Cap: For any Distribution Date, the per annum interest
rate equivalent to the product of (i) a fraction, the
numerator of which is 360 and the denominator of
which is the actual number of days in the related
accrual period (deemed to be 30 days for the first
accrual period), and (ii) a fraction, the numerator
of which is the total scheduled interest for the
Group II Mortgage Loans (plus any portion of the
Capitalized Interest Amount payable with respect to
the Group II Certificates) for the related due
period, net of the Servicing Fee, Cap Premium, and
the ARM Component of the Class A-IO interest, and the
denominator of which is the outstanding principal
balance of the Group II Certificates.
Cap Reserve Fund: A reserve fund will be established into which cap
payments will be made in the event one month LIBOR
exceeds the cap strike rate of [6.97]%. The funds
will be used to cover losses in the deal to the
extent that excess spread in the deal is
insufficient. The reserve fund will have a targeted
balance equal to the difference between the O/C
target and the actual O/C amount. Any amount in the
reserve fund in excess of the targeted balance will
be released to the class R. The reserve fund is only
available to support the deal against credit losses
and will not be used to uncap the floaters or to pay
available funds cap carryforwards.
Group II Certificates
Carryover Amount: If on any Distribution Date the Pass Through Rate for
a Class of the Group II Certificates is based upon
the Group II Available Funds Cap, an amount will be
carried over equal to the sum of (i) the excess of
(A) the amount of interest that such Class would have
been entitled to receive on such Distribution Date
based on LIBOR plus the applicable margin (but not
more than the weighted average of the maximum
lifetime net Mortgage Interest Rates for Group II)
over (B) the amount of interest such Class received
on such Distribution Date based on the Group II
Available Funds Cap and (ii) the unpaid portion of
any such excess from prior Distribution Dates (and
interest accrued thereon at the then applicable Pass
Through Rate, without giving effect to the Group II
Available Funds Cap).
Credit Enhancement: Credit enhancement for each group of Certificates
will consist of (i) Excess Interest, (ii) Pledged
Prepayment Penalty Cashflow, (iii)
Overcollateralization, (iv) Bond Subordination, and
(v) Cap Payments (Group II only).
6
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Overcollateralization: On any Distribution Date, collections on the mortgage
loans in excess of the amount required to make
interest and principal distributions on the
Certificates or to pay certain expenses of the trust
will be applied first to cover certain shortfalls on
the Senior Certificates, then to maintain the
overcollateralization for the Certificates and
finally, to cover certain shortfalls on the
Subordinate Certificates.
Expected Targeted
Overcollateralization
Amount: GROUP I CERTIFICATES
Prior to the Step-down Date, [2.00]% of the aggregate
Principal Balance of the Group I Mortgage Loans as of
the Closing Date and the Pre-funding Amount. On and
after the Step-down Date, (assuming a Trigger Event
is not in effect), the greater of (1) the lesser of
(A) [2.00]% of the aggregate Principal Balance of the
Group I Mortgage Loans as of the Closing Date and the
Pre-funding Amount and (B) [4.00]% of the aggregate
current principal balance of the Group I Mortgage
Loans and (2) 0.50% of the aggregate Cut-Off Date
Principal Balance of the Group I Mortgage Loans as of
the Closing Date and the Pre-funding Amount.
GROUP II CERTIFICATES
Prior to the Step-down Date, [3.25]% of the aggregate
Principal Balance of the Group II Mortgage Loans as
of the Closing Date and the Pre-funding Amount. On
and after the Step-down Date, (assuming a Trigger
Event is not in effect), the greater of (1) the
lesser of (A) [3.25]% of the aggregate Principal
Balance of the Group II Mortgage Loans as of the
Closing Date and the Pre-funding Amount and (B)
[6.50]% of the aggregate current principal balance of
the Group II Mortgage Loans and (2) 0.50% of the
aggregate Cut-Off Date Principal Balance of the Group
II Mortgage Loans as of the Closing Date and the
Pre-funding Amount.
<TABLE>
<CAPTION>
Expected Credit
Support Percentage: Group I Certificates
--------------------------------------------------------------------------------
INITIAL CREDIT SUPPORT % AFTER STEP-DOWN DATE
<S> <C> <C> <C> <C>
Class AF-1 to Class AF-6 [12.75]% Class AF-1 to Class AF-6 [29.50]%
Class MF-1 [6.75]% Class MF-1 [17.50]%
Class MF-2 [2.50]% Class MF-2 [9.00]%
Class BF-1 [0.00]% Class BF-1 [4.00]%
--------------------------------------------------------------------------------
Group II Certificates
--------------------------------------------------------------------------------
INITIAL CREDIT SUPPORT % AFTER STEP-DOWN DATE
Class AV-1 [16.75]% Class AV-1 [40.00]%
Class MV-1 [8.75]% Class MV-1 [24.00]%
Class MV-2 [3.25]% Class MV-2 [13.00]%
Class BV-1 [0.00]% Class BV-1 [6.50]%
--------------------------------------------------------------------------------
</TABLE>
Subordination: If Excess Interest and Overcollateralization are
insufficient to cover losses on any mortgage loans,
those losses will be applied in reduction of the
class certificate balances of the subordinate
certificates, in reverse order of seniority.
7
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Stepdown Date: With respect to a group, the earlier of
(1) the date on which the principal balance of the
Senior Certificates of the related group is
reduced to zero and
(2) the later of: (x) the 37th Distribution Date and
(y) the first Distribution Date on which (i)
with respect to Group I, the principal balance
of the Group I Senior Certificates is less than
or equal to [70.50]% of the principal balance of
the Group I Mortgage Loans or (ii) with respect
to Group II, the principal balance of the Group
II Senior Certificates is less than or equal to
[60.00]% of the principal balance of the Group
II Mortgage Loans.
Distributions
of Interest: On each Distribution Date, the interest funds for
that Distribution Date with respect to each group (in
the case of Group II Certificates, after payment of
the Cap Premium, any unpaid Cap Premium from prior
distribution dates and any termination payment owing
to the counterparty for that distribution date) are
required to be distributed in the following order of
priority until the interest funds have been fully
distributed:
o To each class of the Class A Certificates for
such Group and the related component of the
Class A-IO Certificates, the current interest
and any interest carry forward amount for such
class and component on that Distribution Date;
provided, however, if the interest funds and any
amounts transferred from the Capitalized
Interest Account for a Group of Mortgage Loans
are not sufficient to make a full distribution
of the current interest and any interest carry
forward amount with respect to the Class A
Certificates of such group and the related
component of the Class A-IO Certificates, their
interest funds will be distributed pro rata
among each such class of the Class A
Certificates and such component based on the
ratio of:
o The current interest and interest carry
forward amount for that class or component
to
o The total amount of current interest and
any interest carry forward amount of the
Class A Certificates of such group and such
component;
o To the Class M-1 Certificates of the group, the
current interest for that class and Distribution
Date;
o To the Class M-2 Certificates of the group, the
current interest for that class and Distribution
Date;
o To the Class B-1 Certificates of the group, the
current interest for that class and Distribution
Date;
o Any remainder as described under "Excess
Interest" below.
Pledged Prepayment
Penalty Cashflow: The greater of (i) 50% of prepay penalty collections,
(ii) the Current Monthly Excess Spread Shortfall, and
(iii) the Cumulative Excess Spread Shortfall.
Current Monthly
Excess Spread Shortfall: The greater of (i) the Targeted Current Monthly
Excess Spread (see tables below) less the Actual
Current Monthly Excess Spread and (ii) 0.
8
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Cumulative Excess
Spread Shortfall: The greater of (i) the Targeted Cumulative Excess
Spread (see tables below) less the sum of (a) the
prior period Actual Cumulative Excess Spread and (b)
the current period Actual Current Monthly Excess
Spread and (ii) 0.
Actual Current Monthly
Excess Spread: Total collateral interest collected and advanced by
the servicer less the total bond interest owed for
that period, Servicing Fee, and Cap premium (Group II
only).
Actual Cumulative
Excess Spread: The sum of the Actual Current Monthly Excess Spread
plus the Pledged Prepayment Penalty Cashflow for all
prior periods.
Distributions of
Pledged Prepayment
Penalty Cashflow: Pledged Prepayment Penalty Cashflow will be
distributed as interest on the certificates related
to the Loan Group to which the Pledged Prepayment
Penalty Cashflow is attributable to the extent that
interest payments on any such related class of
certificates are determined based on, in the case of
Group I Certificates, the Group I Net WAC Cap, or in
the case of the Group II Certificates, the
appropriate Available Funds Cap. For any Distribution
Date, the amount so distributed will equal the lesser
of the total amount of Pledged Prepayment Penalty
Cashflow for a Loan Group for such date, or the
aggregate interest that would have been payable on
the related certificates at their stated interest
rates determined without regard to the relevant caps
and the amount payable at the capped rates. Any
remaining Prepayment Penalty Cashflow will be
distributable in the same manner as Excess Interest.
Excess Interest:
On each Distribution Date, the trust will generally
apply any excess interest in the following order:
o To distribute an extra principal distribution
amount on the related certificates;
o To distribute to the related subordinate
certificates, in order of seniority, the amount
of unpaid interest for prior Distribution Dates
(excluding any carryover amount for Group II) on
the related certificates and amounts in
repayment of any realized losses previously
allocated to those certificates;
o In the case of Group II, in order of seniority,
to distribute any carryover amount;
o To distribute any remainder to the Class C and
Class R Certificates.
9
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Principal Cash Flow
Priority: On each Distribution Date, the Principal Distribution
Amount for that Distribution Date with respect to
each group is required to be distributed in the
following order of priority until the Principal
Distribution Amount has been fully distributed:
o To the Class A Certificates of the group, the
Class A Principal Distribution Amount for the
group; provided, however, the Class A Principal
Distribution Amount for group I is required to
be distributed as follows: first, the Class AF-6
Distribution Amount to the class AF-6
Certificates, and then the balance of the Class
A Principal Distribution Amount sequentially to
the Class AF-1, Class AF-2, Class AF-3, Class
AF-4, Class AF-5 and Class AF-6 Certificates so
that no distribution will be made to any class
until the certificate principal balances of all
the Class A Certificates with a lower numeral
designation shall have been reduced to zero; and
the Class A Principal Distribution Amount for
Group II shall be distributed to the AV-1
Certificates until the certificate principal
balance of such Class has been reduced to zero;
and provided, further, that, on any Distribution
Date on which the certificate principal balance
of the Class A Certificates with respect to
Group I is equal to or greater than the
scheduled principal balances of the mortgage
loans in that group, the Class A Principal
Distribution Amount for Group I will be
distributed pro rata and not sequentially to
those Class A Certificates;
o To the Class M-1 Certificates of the group, the
Class M-1 Principal Distribution Amount for that
class;
o To the Class M-2 Certificates of the group, the
Class M-2 Principal Distribution Amount for that
class;
o To the Class B-1 Certificates of the group, the
Class B-1 Principal Distribution Amount for that
class;
Principal Distribution
Amount: The excess of (i) the sum of (A) all principal
amounts collected or advanced on the mortgage loans
during the related due period and (B) the lesser of
(I) excess interest funds for such Distribution Date
and (II) the amount, if any, by which the Targeted
Overcollateralization Amount exceeds the
overcollateralization amount for such Distribution
Date over (ii) the amount, if any, by which the
overcollateralization amount exceeds the Targeted
Overcollateralization Amount for each Distribution
Date.
10
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Class AF-6 Distribution
Amount:
For any Distribution Date, is equal to the product
of:
o A fraction, the numerator of which is the Class
AF-6 Certificate principal balance and the
denominator of which is the Class A Certificate
principal balance for Group I, in each case
immediately prior to the Distribution Date,
o The Class A Principal Distribution Amount with
respect to Group I for the Distribution Date and
o The applicable percentage for the Distribution
Date set forth in the following table:
DISTRIBUTION PERIODS PERCENTAGE
-------------------- ----------
1-36 0%
37-60 45%
61-72 80%
73-84 100%
85 and after 300%
However, the AF-6 Distribution Amount is limited to
the Class A Principal Distribution Amount with
respect to Group I.
Class A Principal
Distribution Amount: For a group is:
o With respect to any Distribution Date prior to
the related Step-down Date or as to which a
Trigger Event exists for the group, 100% of the
Principal Distribution Amount for the group and
the Distribution Date and
o With respect to any Distribution Date on or
after the related Step-down Date and as to which
a Trigger Event is not in effect for the group,
the excess of
o The related Class A Certificate principal
balance immediately prior to the
Distribution Date over
the lesser of
o [70.50]% for Group I ([60.00]% for Group
II) of the scheduled principal balances of
the mortgage loans in the group on the
preceding due date and
o the scheduled principal balances of the
mortgage loans in the group on the
preceding due date less 0.50% of the
scheduled principal balances of the
mortgage loans in the group as of the
Cut-Off Date.
11
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Class M-1 Principal
Distribution Amount: For a group, with respect to any Distribution Date on
or after the related Step-down Date and as long as a
Trigger Event for the group is not in effect for the
group, is the excess of
o the sum for the group of
o the related Class A Certificate principal
balance (after giving effect to
distributions on that date) and
o the related Class M-1 Certificate principal
balance immediately prior to the
Distribution Date over the
lesser of
o [82.50]% for Group I ([76.00]% for Group
II) of the scheduled principal balances of
the mortgage loans in the group on the
preceding due date and
o the scheduled principal balances of the
mortgage loans in the group on the
preceding due date less 0.50% of the
scheduled principal balances of the
mortgage loans in the group as of the
Cut-Off Date.
Class M-2 Principal
Distribution Amount: For a group, with respect to any Distribution Date on
or after the related Step-down Date and as long as a
Trigger Event for the group is not in effect for the
group, is the excess of
o the sum for the group of
o the related Class A Certificate principal
balance (after giving effect to
distributions on that date) ,
o the related Class M-1 Certificate principal
balance (after giving effect to
distributions on that date), and
o the related Class M-2 Certificate principal
balance immediately prior to the
Distribution Date over
the lesser of
o [91.00]% for Group I ([87.00]% for Group
II) of the scheduled principal balances of
the mortgage loans in the group on the
preceding due date and
o the scheduled principal balances of the
mortgage loans in the group on the
preceding due date less 0.50% of the
scheduled principal balances of the
mortgage loans in the group as of the
Cut-Off Date.
12
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Class B-1 Principal
Distribution Amount: For a group, with respect to any Distribution Date on
or after the related Step-down Date and as long as a
Trigger Event for the group is not in effect for the
group, is the excess of the sum for the group of
o the related Class A Certificate principal
balance (after giving effect to distributions on
that date) ,
o the related Class M-1 Certificate principal
balance (after giving effect to distributions on
that date),
o the related Class M-2 Certificate principal
balance (after giving effect to distributions on
that date), and
o the related Class B-1 Certificate principal
balance immediately prior to the Distribution
Date over
the lesser of
o [96.00]% for Group I ([93.50]% for Group II) of
the scheduled principal balances of the mortgage
loans in the group on the preceding due date and
o the scheduled principal balances of the mortgage
loans in the group on the preceding due date
less 0.50% of the scheduled principal balances
of the mortgage loans in the group as of the
Cut-Off Date.
Trigger Event: Occurs with respect to a loan group when 60+ day
delinquency percentage is greater than (x) 50% of the
senior enhancement percentage for the Group I
Certificates or (y) 50% of the senior enhancement
percentage for the Group II Certificates
Mortgage Loans: As of the Statistical Cut-off Date, the aggregate
principal balance of the Mortgage Loans described
herein was approximately $203,507,108.89 (the
"INITIAL MORTGAGE LOANS").
Between the Statistical Cut-Off Date and the Closing
Date the Seller expects to designate additional
mortgage loans for deposit in each Mortgage Loan
Group (the "ADDITIONAL MORTGAGE LOANS").
Group I
Mortgage Loans: Fixed-Rate conventional home equity mortgage loans
secured by first and second liens. Loan Group I
consists of Mortgage Loans with an aggregate balance
of approximately $81,385,057.64 as of the Statistical
Cut-off Date.
Group II
Mortgage Loans: Adjustable-Rate conventional home equity mortgage
loans secured by first liens. Loan Group II consists
of Mortgage Loans with an aggregate balance of
approximately $122,122,051.25 as of the Statistical
Cut-off Date.
Collateral Description: For further information, please see the attached
collateral term sheet.
Pre-funding Amount: A deposit of approximately $161,000,000 (the initial
"Pre-funding Amount") will be made to the Pre-funding
Account on the Closing Date. On or prior to [December
15,] 2000, (the "Pre-funding Period"), the
Pre-funding Amount will be used to purchase
additional mortgage loans (the "SUBSEQUENT MORTGAGE
LOANS") (to the extent available) having similar
characteristics as the Initial Mortgage Loans.
13
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Capitalized Interest
Amount: On the Closing Date, a deposit (the "CAPITAL INTEREST
AMOUNT") will be made to the Capitalized Interest
Account, which will be applied to cover potential
interest shortfalls during the Pre-funding Period due
to the pre-funding feature and the long first period
with respect to the Group II Certificates only.
Monthly
Servicer Advances: The Servicer is required to advance scheduled
principal and interest (net of the Servicing Fee) for
any delinquent mortgage loan, but is not required to
make any advance which the Servicer deems to be
nonrecoverable.
Prepayment
Interest Shortfall: For any Distribution Date, with respect to any
mortgage loan prepaid in full during a prepayment
period, the difference between the interest that
would have been paid on the mortgage loan through the
last day of the month in which the liquidation or
prepayment occurred and interest actually received by
the servicer with respect to the mortgage loan, in
each case net of the servicing fee, except that month
end interest does not accrue with respect to a
payment of a mortgage loan during the period from
first day of a month through the last day of the
prepayment period ending during the month.
The Servicer will be obligated to pay from its own
funds Prepayment Interest Shortfalls for any
prepayment in full on a mortgage loan, but only to
the extent of the Servicing Fee for the related due
period.
14
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Fixed
Targeted Current
Monthly Excess Spread:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
Date Amount Date Amount Date Amount
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/25/2001 -- 9/25/2002 168,038 5/25/2004 185,273
-------------------------------------------------------------------------------------------------
2/25/2001 246,727 10/25/2002 168,825 6/25/2004 179,120
-------------------------------------------------------------------------------------------------
3/25/2001 251,211 11/25/2002 156,770 7/25/2004 172,797
-------------------------------------------------------------------------------------------------
4/25/2001 262,212 12/25/2002 145,033 8/25/2004 166,662
-------------------------------------------------------------------------------------------------
5/25/2001 263,962 1/25/2003 159,573 9/25/2004 160,667
-------------------------------------------------------------------------------------------------
6/25/2001 264,233 2/25/2003 147,757 10/25/2004 154,790
-------------------------------------------------------------------------------------------------
7/25/2001 277,037 3/25/2003 136,207 11/25/2004 149,027
-------------------------------------------------------------------------------------------------
8/25/2001 274,297 4/25/2003 157,539 12/25/2004 143,373
-------------------------------------------------------------------------------------------------
9/25/2001 269,961 5/25/2003 146,688 1/25/2005 138,507
-------------------------------------------------------------------------------------------------
10/25/2001 273,880 6/25/2003 136,467 2/25/2005 133,970
-------------------------------------------------------------------------------------------------
11/25/2001 262,035 7/25/2003 138,972 3/25/2005 129,310
-------------------------------------------------------------------------------------------------
12/25/2001 248,113 8/25/2003 258,766 4/25/2005 124,820
-------------------------------------------------------------------------------------------------
1/25/2002 249,769 9/25/2003 250,178 5/25/2005 120,679
-------------------------------------------------------------------------------------------------
2/25/2002 235,952 10/25/2003 240,476 6/25/2005 116,659
-------------------------------------------------------------------------------------------------
3/25/2002 220,263 11/25/2003 232,329 7/25/2005 112,757
-------------------------------------------------------------------------------------------------
4/25/2002 220,756 12/25/2003 219,773 8/25/2005 108,971
-------------------------------------------------------------------------------------------------
5/25/2002 206,846 1/25/2004 210,127 9/25/2005 105,294
-------------------------------------------------------------------------------------------------
6/25/2002 192,642 2/25/2004 203,404 10/25/2005 101,689
-------------------------------------------------------------------------------------------------
7/25/2002 193,283 3/25/2004 197,609 11/25/2005 98,152
-------------------------------------------------------------------------------------------------
8/25/2002 180,500 4/25/2004 191,421 12/25/2005 88,389
-------------------------------------------------------------------------------------------------
Fixed targeted Cumulative
Excess Spread:
-------------------------------------------------------------------------------------------------
Date Amount Date Amount Date Amount
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/25/2001 -- 9/25/2002 4,761,717 5/25/2004 8,444,904
-------------------------------------------------------------------------------------------------
2/25/2001 246,727 10/25/2002 4,930,542 6/25/2004 8,624,024
-------------------------------------------------------------------------------------------------
3/25/2001 497,938 11/25/2002 5,087,312 7/25/2004 8,796,821
-------------------------------------------------------------------------------------------------
4/25/2001 760,150 12/25/2002 5,232,345 8/25/2004 8,963,483
-------------------------------------------------------------------------------------------------
5/25/2001 1,024,112 1/25/2003 5,391,918 9/25/2004 9,124,150
-------------------------------------------------------------------------------------------------
6/25/2001 1,288,345 2/25/2003 5,539,675 10/25/2004 9,278,940
-------------------------------------------------------------------------------------------------
7/25/2001 1,565,382 3/25/2003 5,675,882 11/25/2004 9,427,967
-------------------------------------------------------------------------------------------------
8/25/2001 1,839,679 4/25/2003 5,833,421 12/25/2004 9,571,340
-------------------------------------------------------------------------------------------------
9/25/2001 2,109,640 5/25/2003 5,980,109 1/25/2005 9,709,847
-------------------------------------------------------------------------------------------------
10/25/2001 2,383,520 6/25/2003 6,116,576 2/25/2005 9,843,817
-------------------------------------------------------------------------------------------------
11/25/2001 2,645,555 7/25/2003 6,255,548 3/25/2005 9,973,127
-------------------------------------------------------------------------------------------------
12/25/2001 2,893,668 8/25/2003 6,514,314 4/25/2005 10,097,947
-------------------------------------------------------------------------------------------------
1/25/2002 3,143,437 9/25/2003 6,764,492 5/25/2005 10,218,626
-------------------------------------------------------------------------------------------------
2/25/2002 3,379,389 10/25/2003 7,004,968 6/25/2005 10,335,285
-------------------------------------------------------------------------------------------------
3/25/2002 3,599,652 11/25/2003 7,237,297 7/25/2005 10,448,042
-------------------------------------------------------------------------------------------------
4/25/2002 3,820,408 12/25/2003 7,457,070 8/25/2005 10,557,013
-------------------------------------------------------------------------------------------------
5/25/2002 4,027,254 1/25/2004 7,667,197 9/25/2005 10,662,307
-------------------------------------------------------------------------------------------------
6/25/2002 4,219,896 2/25/2004 7,870,601 10/25/2005 10,763,996
-------------------------------------------------------------------------------------------------
7/25/2002 4,413,179 3/25/2004 8,068,210 11/25/2005 10,862,148
-------------------------------------------------------------------------------------------------
8/25/2002 4,593,679 4/25/2004 8,259,631 12/25/2005 10,950,537
-------------------------------------------------------------------------------------------------
</TABLE>
15
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
ARM
Targeted Current
Monthly Excess Spread:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
Date Amount Date Amount Date Amount
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/25/2001 -- 9/25/2002 400,053 5/25/2004 362,845
-------------------------------------------------------------------------------------------------
2/25/2001 548,992 10/25/2002 416,470 6/25/2004 333,422
-------------------------------------------------------------------------------------------------
3/25/2001 705,310 11/25/2002 405,383 7/25/2004 334,216
-------------------------------------------------------------------------------------------------
4/25/2001 550,627 12/25/2002 425,766 8/25/2004 315,286
-------------------------------------------------------------------------------------------------
5/25/2001 595,279 1/25/2003 369,910 9/25/2004 302,463
-------------------------------------------------------------------------------------------------
6/25/2001 531,167 2/25/2003 371,366 10/25/2004 302,379
-------------------------------------------------------------------------------------------------
7/25/2001 584,361 3/25/2003 434,882 11/25/2004 281,265
-------------------------------------------------------------------------------------------------
8/25/2001 519,515 4/25/2003 334,796 12/25/2004 280,379
-------------------------------------------------------------------------------------------------
9/25/2001 517,522 5/25/2003 384,600 1/25/2005 257,946
-------------------------------------------------------------------------------------------------
10/25/2001 570,410 6/25/2003 345,995 2/25/2005 248,550
-------------------------------------------------------------------------------------------------
11/25/2001 516,026 7/25/2003 351,043 3/25/2005 268,429
-------------------------------------------------------------------------------------------------
12/25/2001 558,544 8/25/2003 409,162 4/25/2005 228,434
-------------------------------------------------------------------------------------------------
1/25/2002 507,747 9/25/2003 391,905 5/25/2005 228,131
-------------------------------------------------------------------------------------------------
2/25/2002 498,702 10/25/2003 395,791 6/25/2005 209,722
-------------------------------------------------------------------------------------------------
3/25/2002 619,530 11/25/2003 372,502 7/25/2005 209,324
-------------------------------------------------------------------------------------------------
4/25/2002 488,650 12/25/2003 376,165 8/25/2005 192,317
-------------------------------------------------------------------------------------------------
5/25/2002 512,650 1/25/2004 370,319 9/25/2005 184,076
-------------------------------------------------------------------------------------------------
6/25/2002 455,033 2/25/2004 358,595 10/25/2005 183,523
-------------------------------------------------------------------------------------------------
7/25/2002 474,027 3/25/2004 380,240 11/25/2005 166,087
-------------------------------------------------------------------------------------------------
8/25/2002 418,296 4/25/2004 333,525 12/25/2005 164,942
-------------------------------------------------------------------------------------------------
ARM targeted Cumulative
Excess Spread:
-------------------------------------------------------------------------------------------------
Date Amount Date Amount Date Amount
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1/25/2001 -- 9/25/2002 10,572,441 5/25/2004 18,163,701
-------------------------------------------------------------------------------------------------
2/25/2001 548,992 10/25/2002 10,988,911 6/25/2004 18,497,123
-------------------------------------------------------------------------------------------------
3/25/2001 1,254,302 11/25/2002 11,394,294 7/25/2004 18,831,339
-------------------------------------------------------------------------------------------------
4/25/2001 1,804,929 12/25/2002 11,820,060 8/25/2004 19,146,625
-------------------------------------------------------------------------------------------------
5/25/2001 2,400,208 1/25/2003 12,189,970 9/25/2004 19,449,088
-------------------------------------------------------------------------------------------------
6/25/2001 2,931,375 2/25/2003 12,561,336 10/25/2004 19,751,467
-------------------------------------------------------------------------------------------------
7/25/2001 3,515,736 3/25/2003 12,996,218 11/25/2004 20,032,732
-------------------------------------------------------------------------------------------------
8/25/2001 4,035,251 4/25/2003 13,331,014 12/25/2004 20,313,111
-------------------------------------------------------------------------------------------------
9/25/2001 4,552,773 5/25/2003 13,715,614 1/25/2005 20,571,057
-------------------------------------------------------------------------------------------------
10/25/2001 5,123,183 6/25/2003 14,061,609 2/25/2005 20,819,607
-------------------------------------------------------------------------------------------------
11/25/2001 5,639,209 7/25/2003 14,412,652 3/25/2005 21,088,036
-------------------------------------------------------------------------------------------------
12/25/2001 6,197,753 8/25/2003 14,821,814 4/25/2005 21,316,470
-------------------------------------------------------------------------------------------------
1/25/2002 6,705,500 9/25/2003 15,213,719 5/25/2005 21,544,601
-------------------------------------------------------------------------------------------------
2/25/2002 7,204,202 10/25/2003 15,609,510 6/25/2005 21,754,323
-------------------------------------------------------------------------------------------------
3/25/2002 7,823,732 11/25/2003 15,982,012 7/25/2005 21,963,647
-------------------------------------------------------------------------------------------------
4/25/2002 8,312,382 12/25/2003 16,358,177 8/25/2005 22,155,964
-------------------------------------------------------------------------------------------------
5/25/2002 8,825,032 1/25/2004 16,728,496 9/25/2005 22,340,040
-------------------------------------------------------------------------------------------------
6/25/2002 9,280,065 2/25/2004 17,087,091 10/25/2005 22,523,563
-------------------------------------------------------------------------------------------------
7/25/2002 9,754,092 3/25/2004 17,467,331 11/25/2005 22,689,650
-------------------------------------------------------------------------------------------------
8/25/2002 10,172,388 4/25/2004 17,800,856 12/25/2005 22,854,592
-------------------------------------------------------------------------------------------------
</TABLE>
16
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
GROUP I MORTGAGE LOANS GROUP II SUBGROUP A MORTGAGE LOANS
Aggregate Scheduled Principal Balances $81,385,057.64 Aggregate Scheduled Principal Balances $122,122,051.25
Average Scheduled Principal Balance $81,466.52 Average Scheduled Principal Balance $127,876.49
Range of Scheduled Principal Range of Scheduled Principal
Balances $9,998.01 to $555,579.47 Balances $21,547.56 to $983,313.99
Range of Mortgage Interest Rates 6.833% to 16.280% Mortgage Interest Rates
Weighted Average Mortgage Interest Rate 11.447% Loan Type:
Weighted Average Original Loan-to-Value Ratio 73.17% 2/28 LIBOR 51.87%
Weighted Average Combined Original 3/27 LIBOR 48.13%
Loan-to-Value Ratio 76.69% Weighted Average Gross Margin:
Weighted Average Remaining Scheduled Term 2/28 LIBOR 6.070%
to Maturity 222 Months 3/27 LIBOR 6.048%
Range of Remaining Scheduled Terms to Current Weighted Average Mortgage
Maturity 118 to 360 Months Interest Rate 10.841%
Weighted Average Remaining Range of Current Mortgage Interest
Amortization Term 341 Months Rate 8.200% to 14.500%
Range of Remaining Amortization Terms 118 to 360 Months Weighted Average Maximum Lifetime
Second Liens 6.05% Mortgage Interest Rate 17.360%
Balloon Mortgage Loans 66.21% Range of Maximum Lifetime
Mortgaged Premises Mortgage Interest Rates 14.500% to 21.500%
Single-family detached dwellings 85.90%
Single-family attached dwellings 0.53% Weighted Average Lifetime Minimum
Planned unit developments 3.00% Mortgage Interest Rate 10.781%
Condominiums 4.18% Range of Minimum Lifetime
2-4 Family 3.65% Mortgage Interest Rates 5.850% to 14.500%
Townhouse 0.23% Weighted Average Original Loan-to-Value Ratio 78.76%
Manufactured Home 2.51% Weighted Average Remaining Scheduled Term
Weighted Average Servicing Fee Rate 0.52% to Maturity 358 Months
Master Servicing Fee Rate 0.05% Range of Remaining Scheduled Terms to
Maturity 349 to 360 Months
Weighted Average Remaining
Amortization Term 358 Months
Range of Remaining Amortization Terms 173 to 360 Months
Second Lien Mortgage Loans 0.00%
Mortgaged Premises
Single-family detached dwelling 78.48%
Single-family attached dwelling 0.33%
Planned unit developments 8.60%
Condominiums 4.39%
2-4 Family 6.06%
Townhouse 0.33%
Manufactured Home 0.98%
Weighted Average Servicing Fee Rate 0.50%
Master Servicing Fee Rate 0.05%
</TABLE>
17
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
1) Current Scheduled Principal Balance
Group I Group II
----------------------- ----------------------
No. Of Scheduled No. Of Scheduled
Current Scheduled Mortgage Principal Mortgage Principal
Principal Balance ($) Loans (%) Balance(%) Loans (%) Balance(%)
--------------------- --------- ---------- --------- ----------
9,998.01 - 25,000.00 6.71 1.76 0.73 0.13
25,000.01 - 50,000.00 29.13 13.74 11.31 3.60
50,000.01 - 75,000.00 26.03 19.86 18.85 9.19
75,000.01 - 100,000.00 14.51 15.41 17.70 12.31
100,000.01 - 125,000.00 9.11 12.45 14.03 12.45
125,000.01 - 150,000.00 5.51 9.29 9.32 9.95
150,000.01 - 175,000.00 2.70 5.40 7.85 9.91
175,000.01 - 200,000.00 1.20 2.83 4.50 6.57
200,000.01 - 225,000.00 0.70 1.84 4.29 7.12
225,000.01 - 250,000.00 0.80 2.40 2.83 5.22
250,000.01 - 275,000.00 0.90 2.91 1.88 3.86
275,000.01 - 300,000.00 0.30 1.05 2.72 6.14
300,000.01 - 325,000.00 0.80 3.11 0.73 1.80
325,000.01 - 350,000.00 0.40 1.66 0.73 1.91
350,000.01 - 375,000.00 0.20 0.88 0.21 0.60
375,000.01 - 400,000.00 0.20 0.94 0.63 1.93
400,000.01 - 425,000.00 0.30 1.54 0.00 0.00
425,000.01 - 450,000.00 0.20 1.06 0.21 0.74
450,000.01 - 475,000.00 0.10 0.58 0.31 1.13
475,000.01 - 500,000.00 0.10 0.60 0.31 1.21
500,000.01 - 525,000.00 0.00 0.00 0.10 0.43
550,000.01 - 575,000.00 0.10 0.68 0.21 0.92
600,000.01 - 625,000.00 0.00 0.00 0.21 1.00
625,000.01 - 650,000.00 0.00 0.00 0.10 0.53
675,000.01 - 700,000.00 0.00 0.00 0.10 0.56
975,000.01 - 983,313.99 0.00 0.00 0.10 0.81
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
The average scheduled principal balance is (a) $104,148.98 for the mortgage
loans, (b) $81,466.52 for group I and (c) $127,876.49 for group II. The minimum
and maximum scheduled principal balances of the mortgage loans are $9,998.01 and
$983,313.99, respectively.
18
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
2) Current Mortgage Interest Rates
Group I Group II
----------------------- -----------------------
No. Of Scheduled No. Of Scheduled
Current Mortgage Mortgage Principal Mortgage Principal
Interest Rate (%) Loans (%) Balance(%) Loans (%) Balance(%)
----------------- --------- ---------- --------- ----------
6.833 - 7.500 0.10 0.12 0.00 0.00
7.751 - 8.000 0.20 0.21 0.00 0.00
8.001 - 8.250 0.00 0.00 0.10 0.09
8.251 - 8.500 0.30 0.66 0.21 0.25
8.501 - 8.750 0.70 0.55 0.31 0.55
8.751 - 9.000 1.50 1.70 1.36 1.48
9.001 - 9.250 1.60 2.05 1.99 2.74
9.251 - 9.500 2.80 4.70 3.04 3.78
9.501 - 9.750 3.00 3.51 3.87 5.55
9.751 - 10.000 5.31 5.86 9.95 12.87
10.001 - 10.250 2.80 3.08 6.39 6.02
10.251 - 10.500 5.11 4.99 8.38 8.17
10.501 - 10.750 6.11 8.65 8.38 9.20
10.751 - 11.000 7.21 8.05 11.83 12.30
11.001 - 11.250 3.50 3.50 6.60 6.67
11.251 - 11.500 6.91 8.48 7.96 7.65
11.501 - 11.750 5.91 5.70 6.28 5.50
11.751 - 12.000 7.31 6.28 7.23 5.83
12.001 - 12.250 4.00 3.78 3.04 2.29
12.251 - 12.500 5.71 5.10 3.25 2.45
12.501 - 12.750 5.81 5.34 1.57 1.05
12.751 - 13.000 4.80 3.98 3.56 2.44
13.001 - 13.250 3.10 1.62 1.57 0.97
13.251 - 13.500 3.90 3.12 0.63 0.37
13.501 - 13.750 3.10 1.92 0.73 0.44
13.751 - 14.000 2.70 2.13 0.94 1.06
14.001 - 14.250 2.10 1.67 0.42 0.16
14.251 - 14.500 1.90 1.18 0.42 0.14
14.501 - 14.750 1.30 0.81 0.00 0.00
14.751 - 15.000 0.60 0.30 0.00 0.00
15.251 - 15.500 0.20 0.23 0.00 0.00
15.501 - 15.750 0.10 0.11 0.00 0.00
15.751 - 16.000 0.10 0.07 0.00 0.00
16.001 - 16.280 0.20 0.57 0.00 0.00
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
The weighted average current mortgage interest rate is (a) 11.084% per annum for
the mortgage loans, (b) 11.447% per annum for group I and (c) 10.841% per annum
for group II.
19
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
3) Original Combined Loan-to-Value Ratio on Group I (1)
No. Of Scheduled
Original Combined Loan- Mortgage Principal
to-Value Ratio (%) Loans (%) Balance(%)
----------------- --------- ----------
15.91 - 20.00 0.30 0.10
20.01 - 25.00 0.70 0.51
25.01 - 30.00 1.00 0.37
30.01 - 35.00 0.90 0.41
35.01 - 40.00 1.40 0.71
40.01 - 45.00 1.40 0.82
45.01 - 50.00 3.20 2.32
50.01 - 55.00 3.00 2.08
55.01 - 60.00 4.70 3.34
60.01 - 65.00 6.51 6.56
65.01 - 70.00 9.21 9.30
70.01 - 75.00 10.21 10.52
75.01 - 80.00 24.32 28.13
80.01 - 85.00 14.41 15.39
85.01 - 90.00 14.21 16.59
90.01 - 95.00 1.50 1.31
95.01 - 100.00 3.00 1.55
------ ------
Totals: 100.00 100.00
====== ======
(1) The combined loan-to-value ratio of a mortgage loan (including a second
mortgage loan) is equal to the ratio (expressed as a percentage) of the original
scheduled principal balance of the mortgage loan plus any senior lien balances
and the fair market value of the mortgage premises at the time of origination.
The fair market value is the lower of (i) the purchase price and (ii) the
appraised value in the case of purchases and is the appraised value in all other
cases. The weighted average combined original loan-to-value ratio is 76.69% for
group I.
20
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
4) Original Loan-to-Value Ratio on Group II (1)
Group II
-----------------------
No. Of Scheduled
Original Loan-to-Value Mortgage Principal
Ratio (%) Loans (%) Balance(%)
--------- --------- ----------
17.32 - 20.00 0.10 0.03
20.01 - 25.00 0.21 0.12
25.01 - 30.00 0.42 0.12
30.01 - 35.00 0.10 0.08
35.01 - 40.00 0.21 0.07
40.01 - 45.00 0.42 0.25
45.01 - 50.00 0.84 0.98
50.01 - 55.00 1.05 0.77
55.01 - 60.00 2.83 3.47
60.01 - 65.00 5.65 5.03
65.01 - 70.00 9.63 8.01
70.01 - 75.00 13.19 12.87
75.01 - 80.00 30.37 29.23
80.01 - 85.00 17.80 18.45
85.01 - 90.00 16.54 19.97
90.01 - 95.00 0.63 0.55
---- ----
Totals: 100.00 100.00
====== ======
(1) The weighted average original loan-to-value ratio is 78.76% for group II.
5) Remaining Scheduled Term to Maturity
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Remaining Term Mortgage Principal Mortgage Principal
(Months) Loans(%) Balance(%) Loans(%) Balance(%)
-------- -------- ---------- -------- ----------
118 - 120 1.40 0.54 0.00 0.00
169 - 180 73.57 73.84 0.00 0.00
229 - 240 2.90 2.12 0.00 0.00
289 - 300 0.20 0.13 0.00 0.00
337 - 348 0.10 0.43 0.00 0.00
349 - 360 21.82 22.94 100.00 100.00
------ ----- ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
The weighted average remaining schedule term to maturity is 222 months for group
I and 358 months for group II. Please note that the above calculation reflects
the number of remaining payments.
21
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
6) Remaining Amortization Term
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Remaining Term Mortgage Principal Mortgage Principal
(Months) Loans(%) Balance(%) Loans(%) Balance(%)
-------- -------- ---------- -------- ----------
118 - 120 1.40 0.54 0.00 0.00
169 - 180 12.61 7.63 0.10 0.09
229 - 240 2.90 2.12 0.10 0.10
253 - 264 0.10 0.17 0.00 0.00
289 - 300 0.20 0.13 0.10 0.10
313 - 324 0.10 0.14 0.00 0.00
325 - 336 0.20 0.51 0.00 0.00
337 - 348 0.20 0.15 0.31 0.19
349 - 360 82.28 88.61 99.37 99.52
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
The weighted average remaining amortization term is 341 months for group I and
358 months for group II. Please note that the above calculation reflects the
number of remaining payments.
22
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
7) Gross Margin on Group II
Group II
---------------------------
No. of Scheduled
Mortgage Principal
Gross Margin (%) Loans(%) Balance(%)
---------------- -------- ----------
3.640 - 3.750 0.10 0.09
3.751 - 4.000 0.21 0.69
4.001 - 4.250 1.05 1.95
4.251 - 4.500 1.68 2.47
4.501 - 4.750 2.51 2.98
4.751 - 5.000 5.45 7.03
5.001 - 5.250 8.59 8.14
5.251 - 5.500 8.59 8.84
5.501 - 5.750 7.85 7.70
5.751 - 6.000 10.68 10.75
6.001 - 6.250 8.69 7.87
6.251 - 6.500 10.16 11.11
6.501 - 6.750 9.01 8.37
6.751 - 7.000 8.90 8.41
7.001 - 7.250 4.50 4.38
7.251 - 7.500 4.29 3.53
7.501 - 7.750 1.99 1.73
7.751 - 8.000 2.72 1.71
8.001 - 8.250 1.15 1.19
8.251 - 8.500 0.94 0.54
8.501 - 8.750 0.52 0.32
8.751 - 9.000 0.31 0.12
9.001 - 9.125 0.10 0.06
------ ------
Totals: 100.00 100.00
====== ======
The weighted average gross margin is 6.06% for group II.
23
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
8) Maximum Lifetime Mortgage Interest Rates on Group II
Group II Subgroup
-----------------------------
Maximum Lifetime No. Of Scheduled
Mortgage Interest Mortgage Principal
Rates(%) Loans (%) Balance(%)
-------- --------- ----------
14.500 - 14.750 0.21 0.28
14.751 - 15.000 0.94 0.84
15.001 - 15.250 1.26 1.82
15.251 - 15.500 2.62 3.14
15.501 - 15.750 2.51 3.16
15.751 - 16.000 6.70 6.95
16.001 - 16.250 4.50 4.29
16.251 - 16.500 5.55 5.62
16.501 - 16.750 5.86 6.63
16.751 - 17.000 8.80 10.96
17.001 - 17.250 5.34 5.18
17.251 - 17.500 6.81 6.54
17.501 - 17.750 7.33 7.94
17.751 - 18.000 11.31 11.42
18.001 - 18.250 5.76 5.38
18.251 - 18.500 6.07 5.71
18.501 - 18.750 3.56 3.13
18.751 - 19.000 4.61 3.32
19.001 - 19.250 1.78 1.38
19.251 - 19.500 2.20 1.66
19.501 - 19.750 1.47 1.04
19.751 - 20.000 1.88 1.39
20.001 - 20.250 1.36 0.87
20.251 - 20.500 0.31 0.11
20.501 - 20.750 0.31 0.18
20.751 - 21.000 0.52 0.92
21.001 - 21.250 0.10 0.02
21.251 - 21.500 0.31 0.12
---- ----
Totals: 100.00 100.00
====== ======
The weighted average maximum lifetime mortgage interest rate is 17.36% for group
II.
24
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
9) Minimum Lifetime Mortgage Interest Rates on Group II
Group II
-----------------------------
Minimum Lifetime No. Of Scheduled
Mortgage Interest Mortgage Principal
Rates(%) Loans (%) Balance(%)
-------- --------- ----------
5.850 - 7.500 1.26 1.18
7.751 - 8.000 0.21 0.1
8.001 - 8.250 0.63 0.68
8.251 - 8.500 0.31 0.3
8.501 - 8.750 0.52 0.64
8.751 - 9.000 1.36 1.38
9.001 - 9.250 1.88 2.69
9.251 - 9.500 3.04 3.78
9.501 - 9.750 3.87 5.55
9.751 - 10.000 9.63 12.71
10.001 - 10.250 5.86 5.44
10.251 - 10.500 8.06 7.97
10.501 - 10.750 7.96 8.76
10.751 - 11.000 11.31 11.76
11.001 - 11.250 6.49 6.63
11.251 - 11.500 7.96 7.74
11.501 - 11.750 6.28 5.5
11.751 - 12.000 7.23 5.83
12.001 - 12.250 3.04 2.29
12.251 - 12.500 3.25 2.45
12.501 - 12.750 1.57 1.05
12.751 - 13.000 3.56 2.44
13.001 - 13.250 1.57 0.97
13.251 - 13.500 0.63 0.37
13.501 - 13.750 0.73 0.44
13.751 - 14.000 0.94 1.06
14.001 - 14.250 0.42 0.16
14.251 - 14.500 0.42 0.14
------ ------
Totals: 100.00 100.00
====== ======
The weighted average minimum lifetime mortgage interest rate is 10.78% for group
II. 99.30% of the group II mortgage loans have a minimum lifetime mortgage
interest rate greater than the applicable gross margin.
25
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
10) Next Interest Adjustment Dates on Group II
Group II
-----------------------------
No. Of Scheduled
Interest Mortgage Principal
Adjustment Date Loans (%) Balance(%)
--------------- --------- ----------
2002-May 0.10 0.08
2002-Jun 0.10 0.14
2002-Jul 0.42 0.57
2002-Aug 2.62 2.96
2002-Sep 5.65 5.85
2002-Oct 17.38 18.76
2002-Nov 23.98 21.92
2002-Dec 1.68 1.60
2003-Jan 0.10 0.10
2003-Mar 0.10 0.08
2003-Apr 0.10 0.05
2003-Jul 0.63 0.66
2003-Aug 2.30 2.29
2003-Sep 7.43 8.06
2003-Oct 15.39 15.76
2003-Nov 20.31 19.65
2003-Dec 1.68 1.48
------ ------
Totals: 100.00 100.00
====== ======
The weighted average next interest adjustment date is April 2003 for group II.
26
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
11) Occupancy Type of Mortgaged Premises
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Occupancy Type(1) Loans(%) Balance(%) Loans(%) Balance(%)
----------------- -------- ---------- -------- ----------
Primary 93.39 95.22 91.94 94.95
Investor 6.11 4.44 7.85 4.98
Second Home 0.50 0.34 0.21 0.07
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
(1) As represented by the borrowers on their mortgage loan applications.
12) Origination Program
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Origination Program Loans(%) Balance(%) Loans(%) Balance(%)
------------------- -------- ---------- -------- ----------
Full Documentation 83.78 80.79 75.71 75.39
Stated Documentation 10.31 11.15 18.64 17.86
Limited Documentation 3.80 6.56 5.55 6.58
No Ratio 2.10 1.32 0.10 0.16
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
(1) See "The Mortgage Loan Pool - Underwriting Standards" on page S-26.
13) Mortgage Loan Purpose
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Loan Purpose Loans(%) Balance(%) Loans(%) Balance(%)
------------ -------- ---------- -------- ----------
Cash Out Refinance 70.27 67.08 53.40 52.75
Purchase 21.72 23.23 36.65 37.17
Refinance 8.01 9.69 9.95 10.08
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
27
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
14) Property Types of Mortgaged Premises
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Property Type Loans(%) Balance(%) Loans(%) Balance(%)
------------- -------- ---------- -------- ----------
Single Family Detached 85.89 85.90 78.32 78.48
PUD 2.40 3.00 6.39 8.60
Two-Four Family 3.70 3.65 6.91 6.06
High RiseCondominiums 0.70 0.98 0.52 0.33
Low RiseCondominiums 3.10 3.20 4.82 4.06
Manufactured Housing 3.30 2.51 1.68 0.98
Single Family Attached 0.70 0.53 1.05 1.16
Townhouse 0.20 0.23 0.31 0.33
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
15) Loan Types in Group II
Group II
------------------------
No. Of Scheduled
Mortgage Principal
Loan Type Loans (%) Balance(%)
--------- --------- ----------
2/28 6 Mo LIBOR ARM 51.94 51.87
3/27 6 Mo LIBOR ARM 48.06 48.13
Totals: 100.00 100.00
====== ======
16) Geographic Distribution of Mortgaged Premises
Group I Group II Subgroup A
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
State Loans(%) Balance(%) Loans(%) Balance(%)
----- -------- ---------- -------- ----------
Alaska 0.30 0.27 0.31 0.36
Arizona 1.00 1.07 2.20 1.93
Arkansas 1.70 0.76 0.73 0.46
California 8.01 12.46 23.66 34.04
Colorado 1.50 2.03 3.14 3.56
Connecticut 1.70 1.53 2.41 2.94
Delaware 0.90 1.33 0.10 0.05
Florida 6.01 5.33 5.24 4.36
Georgia 5.91 5.19 3.04 3.54
Hawaii 0.30 0.36 0.73 0.57
Idaho 0.10 0.32 0.31 0.18
Illinois 5.91 5.97 7.54 6.22
Indiana 4.30 3.94 3.14 1.53
28
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
Group I Group II Subgroup A
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
State Loans(%) Balance(%) Loans(%) Balance(%)
----- -------- ---------- -------- ----------
Iowa 1.50 1.30 0.94 0.48
Kansas 1.00 0.54 0.94 0.45
Kentucky 1.70 1.91 0.63 0.36
Louisiana 2.50 2.10 1.88 1.38
Maine 0.30 0.22 0.21 0.08
Maryland 1.60 1.55 0.21 0.18
Massachusetts 0.80 1.21 0.84 1.45
Michigan 7.61 6.53 6.60 5.12
Minnesota 1.10 1.13 2.72 2.76
Mississippi 1.60 0.93 0.21 0.07
Missouri 2.00 1.36 2.62 1.54
Montana 0.20 0.51 0.00 0.00
Nebraska 0.60 0.52 0.21 0.16
Nevada 0.50 0.62 1.36 1.46
New Hampshire 0.40 0.64 0.10 0.06
New Jersey 2.60 3.75 1.15 1.39
New Mexico 0.40 0.37 0.10 0.08
New York 1.50 2.72 0.10 0.46
North Carolina 2.20 1.52 0.94 0.51
Ohio 5.61 4.48 4.71 3.18
Oklahoma 2.50 1.59 1.26 0.70
Oregon 1.50 2.31 1.88 1.76
Pennsylvania 4.50 4.39 2.83 2.37
Rhode Island 0.10 0.16 0.42 1.05
South Carolina 0.50 0.48 0.73 0.35
South Dakota 0.10 0.10 0.31 0.17
Tennessee 3.10 2.19 1.78 1.51
Texas 6.41 5.36 4.40 4.00
Utah 0.60 0.67 0.84 0.84
Virginia 3.30 2.87 1.36 1.29
Washington 2.40 4.12 3.25 3.86
Washington DC 0.10 0.12 0.00 0.00
West Virginia 0.20 0.13 0.31 0.13
Wisconsin 1.30 1.01 1.57 1.05
------ ------ ---- ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
29
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
17) Credit Score (1)
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Range of Credit Scores Loans(%) Balance(%) Loans(%) Balance(%)
---------------------- -------- ---------- -------- ----------
<= 400 3.30 2.69 1.36 0.89
401 - 450 0.20 0.11 0.00 0.00
451 - 500 8.41 8.69 6.18 5.27
501 - 550 28.13 28.81 37.80 38.24
551 - 600 25.33 27.68 32.88 32.96
601 - 650 20.42 19.19 15.60 16.35
651 - 700 10.71 8.87 4.61 4.59
701 - 750 2.20 2.50 1.05 0.88
751 - 800 1.20 1.36 0.52 0.82
> 800 0.10 0.09 0.00 0.00
------ ------ ------ ------
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
(1) Credit score is a tri-merged score. A tri-merged score is based on the
number of scores available from the three national repositories and determined
as follows: If three scores exist for a borrower then credit score will equal
the middle score. If two scores exist then the credit score will equal the lower
of the two scores. If only one score exists the credit score will equal that
score. The weighted average credit score is equal to approximately 572.
18) Prepayment Penalty Type
<TABLE>
<CAPTION>
Group I Group II
------------------------ -----------------------
No. Of Scheduled No. Of Scheduled
Mortgage Principal Mortgage Principal
Prepayment Penalty Type Loans(%) Balance(%) Loans(%) Balance(%)
----------------------- -------- ---------- -------- ----------
<S> <C> <C> <C> <C>
1 Year - 6 months advance interest 0.90 1.77 1.15 1.66
1.5 Year - 6 months advance interest 0.00 0.00 0.10 0.27
2 Year - 6 months advance interest 1.20 1.13 25.03 26.06
3 Year - 3 months advance interest 0.10 0.58 0.63 1.21
3 Year - 6 months advance interest 16.82 19.75 41.57 42.12
4 Year - 6 months advance interest 0.40 0.30 0.10 0.10
5 Year - 6 months advance interest 49.55 51.25 12.98 10.55
6 Month - 6 months advance interest 0.10 0.05 0.00 0.00
No Prepayment Penalty 24.42 19.01 12.98 12.92
Penalty in accordance with state law 6.51 6.17 5.45 5.11
Totals: 100.00 100.00 100.00 100.00
====== ====== ====== ======
</TABLE>
30
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
BOND SUMMARY
<TABLE>
<CAPTION>
Class AF-1 (To Maturity)
Pass Thru Margin: 7.30%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.34 7.01 6.90 6.80 6.72 6.65 6.58
================---------------------------------------------------------------------------------------
WAL (yr) 10.29 1.33 1.01 0.85 0.74 0.67 0.62
MDUR (yr) 6.55 1.22 0.94 0.80 0.70 0.64 0.59
First Prin Pay 01/01 01/01 01/01 01/01 01/01 01/01 01/01
Last Prin Pay 11/15 06/03 09/02 05/02 02/02 01/02 11/01
-------------------------------------------------------------------------------------------------------
Class AF-2 (To Maturity)
Coupon: 6.94%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 6.99 6.90 6.84 6.79 6.74 6.69 6.64
================---------------------------------------------------------------------------------------
WAL (yr) 14.93 3.75 2.58 2.00 1.65 1.42 1.25
MDUR (yr) 9.04 3.19 2.29 1.81 1.51 1.31 1.16
First Prin Pay 11/15 06/03 09/02 05/02 02/02 01/02 11/01
Last Prin Pay 11/15 02/06 06/04 08/03 02/03 10/02 07/02
-------------------------------------------------------------------------------------------------------
Class AF-3 (To Maturity)
Coupon: 7.07%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.12 7.08 7.04 7.00 6.96 6.92 6.88
================---------------------------------------------------------------------------------------
WAL (yr) 14.99 6.14 4.03 3.00 2.41 2.03 1.75
MDUR (yr) 8.99 4.83 3.40 2.62 2.15 1.83 1.60
First Prin Pay 11/15 02/06 06/04 08/03 02/03 10/02 07/02
Last Prin Pay 01/16 07/08 09/05 06/04 08/03 03/03 11/02
-------------------------------------------------------------------------------------------------------
</TABLE>
31
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class AF-4 (To Maturity)
Coupon: 7.30%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.36 7.35 7.32 7.29 7.26 7.22 7.18
================---------------------------------------------------------------------------------------
WAL (yr) 17.46 11.66 7.39 4.99 3.72 2.84 2.33
MDUR (yr) 9.53 7.54 5.46 4.02 3.14 2.48 2.08
First Prin Pay 01/16 07/08 09/05 06/04 08/03 03/03 11/02
Last Prin Pay 01/23 11/15 07/12 12/08 03/06 01/05 09/03
-------------------------------------------------------------------------------------------------------
Class AF-4 (To Call)
Coupon: 7.30%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.36 7.35 7.32 7.29 7.26 7.22 7.18
================---------------------------------------------------------------------------------------
WAL (yr) 17.46 11.59 7.26 4.98 3.72 2.84 2.33
MDUR (yr) 9.53 7.52 5.40 4.02 3.14 2.48 2.08
First Prin Pay 01/16 07/08 09/05 06/04 08/03 03/03 11/02
Last Prin Pay 01/23 06/15 11/10 05/08 03/06 01/05 09/03
-------------------------------------------------------------------------------------------------------
Class AF-5 (To Maturity)
Coupon: 7.75%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.83 7.85 7.92 7.94 7.92 7.86 7.74
================---------------------------------------------------------------------------------------
WAL (yr) 24.20 16.55 14.41 11.69 8.76 6.17 3.70
MDUR (yr) 10.60 9.00 8.38 7.37 6.00 4.62 3.09
First Prin Pay 01/23 11/15 07/12 12/08 03/06 01/05 09/03
Last Prin Pay 01/28 05/24 11/20 11/16 11/15 03/14 07/06
-------------------------------------------------------------------------------------------------------
</TABLE>
32
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class AF-5 (To Call)
Coupon: 7.75%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.83 7.82 7.80 7.78 7.76 7.74 7.70
================---------------------------------------------------------------------------------------
WAL (yr) 24.20 14.51 9.93 7.43 5.78 4.63 3.45
MDUR (yr) 10.60 8.45 6.71 5.47 4.51 3.76 2.92
First Prin Pay 01/23 6/15 11/10 05/08 03/06 01/05 09/03
Last Prin Pay 01/28 6/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
Class AF-6 (To Maturity)
Coupon: 7.30%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.35 7.33 7.32 7.32 7.31 7.31 7.31
================---------------------------------------------------------------------------------------
WAL (yr) 13.16 8.03 7.23 6.74 6.49 6.41 6.43
MDUR (yr) 8.11 5.76 5.34 5.08 4.95 4.91 4.92
First Prin Pay 01/04 01/04 01/04 01/04 04/04 07/04 11/04
Last Prin Pay 11/15 11/15 11/15 11/15 11/15 01/14 01/12
-------------------------------------------------------------------------------------------------------
Class AF-6 (To Call)
Coupon: 7.30%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.35 7.33 7.32 7.31 7.30 7.28 7.27
================---------------------------------------------------------------------------------------
WAL (yr) 13.16 8.02 7.06 6.28 5.40 4.65 4.01
MDUR (yr) 8.11 5.75 5.27 4.85 4.32 3.82 3.37
First Prin Pay 01/04 01/04 01/04 01/04 04/04 07/04 11/04
Last Prin Pay 11/15 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
</TABLE>
33
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class MF-1 (To Maturity)
Coupon: 7.78%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.85 7.84 7.85 7.85 7.84 7.82 7.82
================---------------------------------------------------------------------------------------
WAL (yr) 18.17 11.53 8.67 6.80 5.50 4.76 4.39
MDUR (yr) 9.31 7.18 5.89 4.91 4.19 3.77 3.56
First Prin Pay 11/15 12/06 01/05 01/04 02/04 04/04 05/04
Last Prin Pay 11/26 12/20 03/16 11/15 08/13 04/11 08/09
-------------------------------------------------------------------------------------------------------
Class MF-1 (To Call)
Coupon: 7.78%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.85 7.83 7.81 7.79 7.77 7.75 7.74
================---------------------------------------------------------------------------------------
WAL (yr) 18.17 11.13 7.63 5.73 4.62 4.04 3.79
MDUR (yr) 9.31 7.07 5.48 4.42 3.73 3.34 3.18
First Prin Pay 11/15 12/06 01/05 01/04 02/04 04/04 05/04
Last Prin Pay 11/26 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
Class MF-2 (To Maturity)
Coupon: 8.28%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.36 8.35 8.36 8.35 8.34 8.33 8.31
================---------------------------------------------------------------------------------------
WAL (yr) 18.11 11.36 8.66 6.69 5.38 4.60 4.14
MDUR (yr) 8.97 6.95 5.76 4.78 4.07 3.62 3.35
First Prin Pay 11/15 12.06 01/05 01/04 01/04 02/04 03/04
Last Prin Pay 04/26 07/18 11/15 12/14 01/12 01/10 07/08
-------------------------------------------------------------------------------------------------------
</TABLE>
34
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class MF-2 (To Call)
Coupon: 8.28%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.36 8.34 8.32 8.30 8.27 8.25 8.24
================---------------------------------------------------------------------------------------
WAL (yr) 18.11 11.13 7.63 5.73 4.61 3.96 3.61
MDUR (yr) 8.97 6.89 5.38 4.35 3.67 3.25 3.01
First Prin Pay 11/15 12/06 01/05 01/04 01/04 02/04 03/04
Last Prin Pay 4/26 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
Class BF-1 (To Maturity)
Coupon: 8.77%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.86 8.85 8.83 8.80 8.78 8.76 8.75
================---------------------------------------------------------------------------------------
WAL (yr) 17.92 11.27 8.45 6.37 5.12 4.36 3.89
MDUR (yr) 8.64 6.75 5.56 4.58 3.89 3.44 3.15
First Prin Pay 11/15 12/06 01/05 01/04 01/04 01/04 01/04
Last Prin Pay 12/24 01/16 11/15 06/12 02/10 06/08 03/07
-------------------------------------------------------------------------------------------------------
Class BF-1 (To Call)
Coupon: 8.77%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.86 8.84 8.82 8.80 8.77 8.75 8.73
================---------------------------------------------------------------------------------------
WAL (yr) 17.92 11.13 7.63 5.73 4.60 3.92 3.53
MDUR (yr) 8.64 6.71 5.27 4.29 3.61 3.19 2.92
First Prin Pay 11/15 12/06 01/05 01/04 01/04 01/04 01/04
Last Prin Pay 12/24 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
</TABLE>
35
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class AV-1 (To Maturity)
Pass Thru Margin: 0.25%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.24 7.24 7.24 7.24 7.24 7.23 7.23
================---------------------------------------------------------------------------------------
WAL (yr) 20.59 4.69 3.30 2.54 2.00 1.53 1.37
MDUR (yr) 9.85 3.47 2.65 2.13 1.74 1.39 1.25
First Prin Pay 01/01 01/01 01/01 01/01 01/01 01/01 01/01
Last Prin Pay 12/30 08/25 06/18 11/13 11/10 12/03 07/03
-------------------------------------------------------------------------------------------------------
Class AV-1 (To Call)
Pass Thru Margin: 0.25%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.24 7.23 7.23 7.23 7.23 7.23 7.23
================---------------------------------------------------------------------------------------
WAL (yr) 20.51 4.52 3.19 2.46 1.95 1.53 1.37
MDUR (yr) 9.84 3.42 2.60 2.09 1.71 1.39 1.25
First Prin Pay 01/01 01/01 01/01 01/01 01/01 01/01 01/01
Last Prin Pay 07/29 06/15 11/10 05/08 10/06 12/03 07/03
-------------------------------------------------------------------------------------------------------
Class MV-1 (To Maturity)
Pass Thru Margin: 0.65%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.66 7.66 7.66 7.66 7.66 7.68 7.68
================---------------------------------------------------------------------------------------
WAL (yr) 27.57 9.07 6.16 4.84 4.43 5.08 4.19
MDUR (yr) 11.23 6.06 4.60 3.84 3.61 4.05 3.46
First Prin Pay 07/25 03/05 01/04 03/04 06/04 12/03 07/03
Last Prin Pay 10/30 06/22 09/15 10/11 05/09 11/08 06/07
-------------------------------------------------------------------------------------------------------
</TABLE>
36
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class MV-1 (To Call)
Pass Thru Margin: 0.65%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 7.66 7.65 7.65 7.65 7.65 7.65 7.65
================---------------------------------------------------------------------------------------
WAL (yr) 27.35 8.65 5.89 4.65 4.29 4.50 3.76
MDUR (yr) 11.21 5.94 4.49 3.74 3.53 3.69 3.16
First Prin Pay 07/25 03/05 01/04 03/04 06/04 12/03 07/03
Last Prin Pay 07/29 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
Class MV-2 (To Maturity)
Pass Thru Margin: 1.07%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.10 8.10 8.10 8.10 8.10 8.10 8.10
================---------------------------------------------------------------------------------------
WAL (yr) 27.56 8.97 6.09 4.72 4.09 3.91 3.32
MDUR (yr) 10.78 5.92 4.50 3.72 3.34 3.23 2.81
First Prin Pay 07/25 03/05 01/04 02/04 03/04 05/04 11/03
Last Prin Pay 09/30 05/20 02/14 08/10 06/08 12/06 12/05
-------------------------------------------------------------------------------------------------------
Class MV-2 (To Call)
Pass Thru Margin: 1.07%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 8.10 8.09 8.09 8.09 8.09 8.09 8.09
================---------------------------------------------------------------------------------------
WAL (yr) 27.35 8.65 5.89 4.59 4.00 3.84 3.26
MDUR (yr) 10.76 5.83 4.42 3.65 3.28 3.19 2.77
First Prin Pay 07/25 03/05 01/04 02/04 03/04 05/04 11/03
Last Prin Pay 07/29 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
</TABLE>
37
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
<TABLE>
<CAPTION>
Class BV-1 (To Maturity)
Pass Thru Margin: 1.95%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 9.02 9.02 9.02 9.02 9.02 9.02 9.02
================---------------------------------------------------------------------------------------
WAL (yr) 27.55 8.74 5.93 4.57 3.91 3.60 3.06
MDUR (yr) 9.92 5.62 4.31 3.55 3.15 2.95 2.57
First Prin Pay 07/25 03/05 01/04 01/04 02/04 02/04 09/03
Last Prin Pay 08/30 09/17 03/12 03/09 06/07 03/06 04/05
-------------------------------------------------------------------------------------------------------
Class BV-1 (To Call)
Pass Thru Margin: 1.95%
-------------------------------------------------------------------------------------------------------
0% PPC 50% PPC 75% PPC 100% PPC 125% PPC 150% PPC 175% PPC
=======================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Yield at Par 9.02 9.02 9.02 9.02 9.02 9.02 9.02
================---------------------------------------------------------------------------------------
WAL (yr) 27.35 8.64 5.88 4.55 3.89 3.58 3.05
MDUR (yr) 9.91 5.60 4.29 3.54 3.14 2.94 2.57
First Prin Pay 07/25 03/05 01/04 01/04 02/04 02/04 09/03
Last Prin Pay 07/29 06/15 11/10 05/08 10/06 09/05 12/04
-------------------------------------------------------------------------------------------------------
</TABLE>
38
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
GROUP I NET WAC CAP
<TABLE>
<CAPTION>
Period Net Available Funds Cap Period Net Available Funds Cap Period Net Available Funds Cap
------ ----------------------- ------ ----------------------- ------ -----------------------
<S> <C> <C> <C> <C> <C>
1 8.90% 37 10.88% 73 10.88%
2 8.89% 38 10.88% 74 10.88%
3 8.88% 39 10.88% 75 10.88%
4 8.92% 40 10.88% 76 10.88%
5 8.91% 41 10.88% 77 10.88%
6 8.88% 42 10.88% 78 10.88%
7 8.96% 43 10.88% 79 10.88%
8 8.93% 44 10.88% 80 10.88%
9 8.89% 45 10.88% 81 10.88%
10 8.97% 46 10.88% 82 10.88%
11 8.93% 47 10.88% 83 10.88%
12 8.89% 48 10.88% 84 10.88%
13 8.97% 49 10.88% 85 10.88%
14 8.93% 50 10.88% 86 10.88%
15 8.88% 51 10.88% 87 10.88%
16 8.97% 52 10.88% 88 10.88%
17 8.93% 53 10.88% 89 10.88%
18 8.89% 54 10.88% 90 10.88%
19 8.97% 55 10.88% 91 10.88%
20 8.93% 56 10.88% 92 10.88%
21 8.89% 57 10.88% 93 10.88%
22 8.97% 58 10.88% 94 10.88%
23 8.93% 59 10.88% 95 10.88%
24 8.88% 60 10.88% 96 10.88%
25 9.11% 61 10.88% 97 10.88%
26 9.07% 62 10.88% 98 10.88%
27 9.03% 63 10.88% 99 10.88%
28 9.35% 64 10.88% 100 10.88%
29 9.31% 65 10.88%
30 9.28% 66 10.88%
31 9.39% 67 10.88%
32 10.88% 68 10.88%
33 10.88% 69 10.88%
34 10.88% 70 10.88%
35 10.88% 71 10.88%
36 10.88% 72 10.88%
</TABLE>
39
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
EFFECTIVE GROUP I NET WAC CAP INCLUDING PLEDGED PREPAYMENT PENALTIES
<TABLE>
<CAPTION>
Period Net Available Funds Cap Period Net Available Funds Cap Period Net Available Funds Cap
------ ----------------------- ------ ----------------------- ------ -----------------------
<S> <C> <C> <C> <C> <C>
1 8.98% 37 11.19% 73 10.88%
2 9.00% 38 11.16% 74 10.88%
3 9.03% 39 11.16% 75 10.88%
4 9.10% 40 11.16% 76 10.88%
5 9.13% 41 11.16% 77 10.88%
6 9.15% 42 11.16% 78 10.88%
7 9.26% 43 11.16% 79 10.88%
8 9.27% 44 11.16% 80 10.88%
9 9.28% 45 11.16% 81 10.88%
10 9.37% 46 11.16% 82 10.88%
11 9.34% 47 11.16% 83 10.88%
12 9.30% 48 11.16% 84 10.88%
13 9.38% 49 11.16% 85 10.88%
14 9.34% 50 11.16% 86 10.88%
15 9.29% 51 11.16% 87 10.88%
16 9.38% 52 11.16% 88 10.88%
17 9.34% 53 11.16% 89 10.88%
18 9.29% 54 11.16% 90 10.88%
19 9.37% 55 11.16% 91 10.88%
20 9.33% 56 11.16% 92 10.88%
21 9.29% 57 11.16% 93 10.88%
22 9.37% 58 11.16% 94 10.88%
23 9.33% 59 11.16% 95 10.88%
24 9.28% 60 10.95% 96 10.88%
25 9.51% 61 10.95% 97 10.88%
26 9.47% 62 10.88% 98 10.88%
27 9.43% 63 10.88% 99 10.88%
29 9.71% 65 10.88% 100 10.88%
30 9.68% 66 10.88%
31 9.79% 67 10.88%
32 11.28% 68 10.88%
33 11.28% 69 10.88%
34 11.26% 70 10.88%
35 11.26% 71 10.88%
36 11.19% 72 10.88%
</TABLE>
40
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
GROUP II AVAILABLE FUNDS CAP
<TABLE>
<CAPTION>
Period Net Available Funds Cap Period Net Available Funds Cap Period Net Available Funds Cap
------ ----------------------- ------ ----------------------- ------ -----------------------
<S> <C> <C> <C> <C> <C>
1 9.51% 37 12.02% 73 16.27%
2 9.25% 38 12.32% 74 16.27%
3 10.23% 39 13.17% 75 18.01%
4 9.31% 40 12.32% 76 16.27%
5 9.61% 41 13.55% 77 16.81%
6 9.29% 42 13.16% 78 16.27%
7 9.65% 43 13.60% 79 16.81%
8 9.33% 44 13.45% 80 16.27%
9 9.32% 45 13.45% 81 16.27%
10 9.64% 46 13.90% 82 16.81%
11 9.32% 47 14.24% 83 16.27%
12 9.62% 48 14.77% 84 16.81%
13 9.32% 49 14.29% 85 16.27%
14 9.31% 50 14.58% 86 16.27%
15 10.28% 51 16.14% 87 17.39%
16 9.33% 52 14.58% 88 16.27%
17 9.62% 53 15.60% 89 16.81%
18 9.29% 54 15.14% 90 16.27%
19 9.58% 55 15.65% 91 16.81%
20 9.25% 56 15.34% 92 16.27%
21 9.22% 57 15.34% 93 16.27%
22 9.50% 58 15.85% 94 16.81%
23 9.57% 59 15.73% 95 16.27%
24 9.91% 60 16.26% 96 16.81%
25 9.56% 61 15.73% 97 16.27%
26 9.69% 62 15.87% 98 16.27%
27 10.69% 63 17.57% 99 18.01%
28 9.62% 64 15.87% 100 16.27%
29 10.33% 65 16.70%
30 10.01% 66 16.16%
31 10.30% 67 16.70%
32 10.85% 68 16.26%
33 10.84% 69 16.26%
34 11.19% 70 16.81%
35 11.61% 71 16.27%
36 12.03% 72 16.81%
</TABLE>
41
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
EFFECTIVE GROUP II AVAILABLE FUNDS CAP INCLUDING PREPAYMENT PENALTIES
<TABLE>
<CAPTION>
Period Net Available Funds Cap Period Net Available Funds Cap Period Net Available Funds Cap
------ ----------------------- ------ ----------------------- ------ -----------------------
<S> <C> <C> <C> <C> <C>
1 9.78% 37 12.46% 73 16.27%
2 9.51% 38 12.55% 74 16.27%
3 10.58% 39 13.42% 75 18.01%
4 9.68% 40 12.55% 76 16.27%
5 10.05% 41 13.80% 77 16.81%
6 9.78% 42 13.41% 78 16.27%
7 10.21% 43 13.86% 79 16.81%
8 9.93% 44 13.71% 80 16.27%
9 9.98% 45 13.71% 81 16.27%
10 10.39% 46 14.17% 82 16.81%
11 10.10% 47 14.50% 83 16.27%
12 10.49% 48 15.04% 84 16.81%
13 10.22% 49 14.56% 85 16.27%
14 10.27% 50 14.85% 86 16.27%
15 11.43% 51 16.44% 87 17.39%
16 10.43% 52 14.85% 88 16.27%
17 10.82% 53 15.89% 89 16.81%
18 10.52% 54 15.43% 90 16.27%
19 10.90% 55 15.95% 91 16.81%
20 10.60% 56 15.63% 92 16.27%
21 10.59% 57 15.63% 93 16.27%
22 10.93% 58 16.15% 94 16.81%
23 10.66% 59 15.81% 95 16.27%
24 11.05% 60 16.33% 96 16.81%
25 10.66% 61 15.76% 97 16.27%
26 10.68% 62 15.87% 98 16.27%
27 11.79% 63 17.57% 99 18.01%
28 10.61% 64 15.87% 100 16.27%
29 11.36% 65 16.70%
30 11.02% 66 16.16%
31 11.35% 67 16.70%
32 11.87% 68 16.26%
33 11.86% 69 16.26%
34 12.24% 70 16.81%
35 12.04% 71 16.27%
36 12.49% 72 16.81%
</TABLE>
42
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
<PAGE>
LEGAL FINAL
--------------------------------------------------------------------------------
CLASS LEGAL FINAL
--------------------------------------------------------------------------------
AF-1 11/15
--------------------------------------------------------------------------------
AF-2 11/15
--------------------------------------------------------------------------------
AF-3 1/16
--------------------------------------------------------------------------------
AF-4 1/23
--------------------------------------------------------------------------------
AF-5 1/32
--------------------------------------------------------------------------------
AF-6 11/15
--------------------------------------------------------------------------------
MF-1 1/32
--------------------------------------------------------------------------------
MF-2 1/32
--------------------------------------------------------------------------------
BF-1 1/32
--------------------------------------------------------------------------------
AV-1 1/32
--------------------------------------------------------------------------------
MV-1 1/32
--------------------------------------------------------------------------------
MV-2 1/32
--------------------------------------------------------------------------------
BV-1 1/32
--------------------------------------------------------------------------------
43
--------------------------------------------------------------------------------
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 SUISSE / FIRST BOSTON
