<PAGE>
- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported)
August 15, 1996
ContiSecurities Asset Funding Corp. on behalf of
ContiMortgage Home Equity Loan Trust 1996-3
(Exact name of registrant as specified in its charter)
New York 33-99340 Application Pending
(State or Other Jurisdiction) (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
c/o Manufacturers and Traders Trust Company
One M & T Plaza
Buffalo, New York 14240
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (716) 842-4217
No Change
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of ContiMortgage Home Equity Loan
Pass-Through Certificates, Series 1996-3, described in a Prospectus Supplement
dated as of July 30, 1996, certain "Computational Materials" within the meaning
of the May 20, 1994 Kidder, Peabody No- Action Letter and the February 17, 1995
Public Securities Association No-Action Letter were furnished to certain
prospective investors (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
8.1 Tax Opinion of Arter & Hadden
23.1 Consent of Coopers & Lybrand L.L.P., independent
auditors of MBIA Insurance Corporation
99.1 Related Computational Materials provided by Merrill
Lynch & Co. in connection with sales efforts
99.2 Related Computational Materials provided by Bear,
Stearns & Co. Inc. in connection with sales efforts.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By: /s/ James E. Moore
----------------------------------
Name: James E. Moore
Title: President
By: /s/ Jerome M. Perelson
----------------------------------
Name: Jerome M. Perelson
Title: Vice President
Dated: August 19, 1996
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
8.1 Tax Opinion of Arter & Hadden
23.1 Consent of Coopers & Lybrand L.L.P., independent
auditors of MBIA Insurance Corporation
99.1 Related Computational Materials provided by Merrill
Lynch & Co. in connection with sales efforts
99.2 Related Computational Materials provided by Bear,
Stearns & Co. Inc. in connection with sales efforts.
<PAGE>
EXHIBIT 8.1
August 19, 1996
Re: ContiSecurities Asset Funding Corp.
ContiMortgage Home Equity Loan Trust 1996-3
Registration Statement on Form S-3 No. 33-99340
Ladies and Gentlemen:
We have acted as counsel for ContiSecurities Asset Funding Corp. in
connection with the preparation and filing of the registration statement on Form
S-3 (such registration statement, the "Registration Statement") filed with the
Securities and Exchange Commission pursuant to the Securities Act of 1933, as
amended (the "Act"), in respect of ContiMortgage Home Equity Loan Pass-Through
Certificates, Series 1996-3 (the "Certificates"). Our advice formed the basis
for the description of federal income tax consequences appearing under the
heading "Certain Federal Income Tax Consequences" in the prospectus supplement
contained in the Registration Statement. Such description does not purport to
discuss all possible federal income tax consequences of an investment in
Certificates but with respect to those tax consequences which are discussed, it
is our opinion that the description is accurate. In addition, assuming (i) the
REMIC elections are made, (ii) the Pooling and Servicing Agreement is fully
executed, delivered and enforceable against the parties thereto in accordance
with its terms, (iii) the transaction described in the prospectus supplement is
completed on substantially the terms and conditions set forth therein, and (iv)
continuing compliance with the Pooling and Servicing Agreement, it is our
opinion that, for federal income tax purposes, the Lower-Tier REMIC and the
Upper-Tier REMIC each will be treated as a REMIC, the Class A Certificates will
be treated as "regular interest" in the Upper-Tier REMIC and the Upper-Tier
REMIC Residual Class will be treated as the sole "residual interest" in the
Upper-Tier REMIC. The Lower-Tier Interest A-1 through A-8 and the Lower-Tier
B-IO Interests will be treated as the "regular interests" in the Lower-Tier
REMIC and the Class R Certificates will be the sole "residual interest" in the
Lower-Tier REMIC.
We hereby consent to the filing of this letter as an Exhibit to the
Registration Statement and to the reference to this firm in the Registration
Statement and related prospectus supplement under the heading "Certain Federal
Income Tax Consequences."
Very truly yours,
s/s Arter & Hadden
Arter & Hadden
<PAGE>
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the inclusion in this Prospectus Supplement dated July 30, 1996 to
Prospectus dated April 17, 1996 of our report dated January 22, 1996, on our
audits of the consolidated financial statements of MBIA Insurance Corporation
and Subsidiaries as of December 31, 1995 and 1994 and for the three years ended
December 31, 1995. We also consent to the reference to our firm under the
caption "Report of Experts".
/s/ Coopers & Lybrand L.L.P.
Coopers & Lybrand L.L.P.
August 15, 1996
New York, New York
<PAGE>
[LOGO] Merrill Lynch
Computational Materials
- --------------------------------------------------------------------------------
FINAL
Deal: ContiMortgage Home Equity Loan Trust 1996-3
Size: $550,000,000 (Approx.)
Cut-Off Date: As of the close of business on July 31, 1996
Exp. Pricing: Wk of July 29, 1996
Exp. Settlement: Wk of August 19, 1996
<TABLE>
<CAPTION>
Ratings Beg. Amort. End Amort.
Amount (Moody's/S&P) WAL (Mo./Date) (Mo. Date)
To Maturity:
<S> <C> <C> <C> <C> <C>
A-1 $136,000,000 Aaa/AAA 1.00 1(9/96) 22(6/98)
A-2 $33,000,000 Aaa/AAA 2.10 22(6/98) 28(12/98)
A-3 $72,000,000 Aaa/AAA 3.00 28(12/98) 45(5/00)
A-4 $30,000,000 Aaa/AAA 4.12 45(5/00) 55(3/01)
A-5 $42,000,000 Aaa/AAA 5.22 55(3/01) 72(8/02)
A-6 $54,000,000 Aaa/AAA 7.49 72(8/02) 114(2/06)
A-7 $33,000,000 Aaa/AAA 12.05 114(2/06) 180(8/11)
A-8 $150,000,000 Aaa/AAA 4.59 1(9/96) 283(3/20)
To Call
A-6 $54,000,000 Aaa/AAA 7.49 72(8/02) 114(2/06)
A-7 $33,000,000 Aaa/AAA 9.57 114(2/06) 115(3/06)
A-8 $150,000,000 Aaa/AAA 4.05 1(9/96) 115(3/06)
</TABLE>
SELLER/
SERVICER: ContiMortgage Corporation ("Seller and Servicer").
TRUSTEE: Manufacturers and Traders Trust Company, a New York
banking corporation.
UNDERWRITERS: Merrill Lynch & Co. (Lead), CS First Boston (Co.), Bear
Stearns (Co.), Greenwich Capital (Co.) and ContiFinancial
Services Corporation (Co.).
ERISA: The Class A Certificates may be purchased by employee benefit
plans that are subject to the Employee Retirement Income
Security Act of 1974, as amended.
SMMEA: The Fixed Rate Class A Certificates will not be SMMEA eligible.
The Adjustable Rate Class A-8 Certificates will be SMMEA
eligible.
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
TAX STATUS: The Trust will elect to be treated as a REMIC for federal income
tax purposes.
INTEREST/
PRINCIPAL: The 15th day of each month (or if such 15th day is not a
business day, the next succeeding business day), commencing on
September 15, 1996. Interest on the Fixed Rate Certificates
will accrue on the basis of a 360-day year consisting of twelve
30-day months. Calculations of interest on the Adjustable Rate
Certificates will be made on the basis of the actual number of
days elapsed in the related Accrual Period and in a year of 360
days.
CREDIT
ENHANCEMENT: Overcollateralization plus a 100% guarantee of timely interest
and ultimate principal from MBIA.
OPTIONAL
REDEMPTION: Less than 10% of the aggregate Loan Balance of the Home Equity
Loans as of the Closing Date.
The Initial Home Equity Loans:
Fixed Rate Group (as of July 24, 1996):
- ---------------------------------------
Initial Home Equity Loan Principal Balance: $342,547,288
Properties secured by 1st/2nd Liens: 91.71%/8.29%
Weighted Average Second Mortgage Ratio: 40.11%
Weighted Average Coupon: 11.86%
Weighted Average CLTV: 73.87%
Weighted Average Rem. Term: 207 mos
Weighted Average Original Term: 208 mos
Geographic Distribution: 43 States and D.C.
States w/ >5% Concentrations: NJ-10.07%, MI-9.61%,
NY-9.26%, OH 7.53%,
IL 7.47%,PA-6.69%,
NC-6.07%, DC-5.04%
Balloons (30's due in 15): 53.79%
Occupancy-
Investor Owned: 4.67%
Owner Occupied: 95.33%
2
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
Property Type-
Condominium: 0.57%
Manufactured Housing: 0.96%
Mixed Use: 0.60%
Planned Unit Development: 0.53%
Single Family Attached: 2.75%
Single Family Detached: 84.95%
Two-to-Four Family: 9.65%
Adjustable Rate Group (as of July 24, 1996):
- --------------------------------------------
Initial Home Equity Loan Principal Balance: $126,086,840
Weighted Average Coupon: 10.04%
Weighted Average Lifetime Cap: 16.36%
Weighted Average Gross Margin: 6.60%
Weighted Average Rem. Term: 355 mos.
Weighted Average Original Term: 357 mos
Properties secured by 1st Liens: 100.00%
Weighted Average CLTV: 74.79%
Geographic Distribution: 37 States and D.C.
States w/ >5% Concentrations: MI-31.43%, CA-15.83%,
IL-6.81%, OH-5.05%
Balloons: 0.35%
Occupancy-
Owner Occupied: 96.76%
Investor: 3.24%
Property Type-
Condominium: 0.59%
Manufactured Housing: 1.39%
Mixed Use: 0.02%
Planned Unit Development 0.85%
Single Family Attached 0.97%
Single Family Detached 92.76%
Two-to-Four Family: 3.43%
STRUCTURE OVERVIEW:
The Home Equity Loans will be divided into two Loan Groups and the property of
the Trust will include, among other items, the two Loan Groups. The Fixed Rate
Group will consist of fixed rate home equity loans and the Adjustable Rate
Group will consist primarily of adjustable rate home equity loans indexed to 6
Month LIBOR.
3
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The Fixed Rate Certificates (Class A-1 through A-7) will be retired
sequentially primarily from cash flows from the Fixed Rate Group. The
Adjustable Rate Certificates (Class A-8) will be retired concurrently with the
Fixed Rate Certificates primarily from cash flows from the Adjustable Rate
Group.
Greenwich Capital will offer publicly a fixed interest only (I/O) strip
certificate of approximately 130 bps off of the fixed rate bonds. In addition
Greenwich will offer publicly a fixed I/O strip off of the floating rate bonds.
Distributions due the fixed I/O off of the floating rate bonds will be on a
parity with the interest payments due the Class A-8 Certificate (the floating
rate certificate).
FIXED RATE CERTIFICATE PRICING PREPAYMENT ASSUMPTION:
With respect to the Fixed Rate Certificates, the pricing prepayment assumption
assumes conditional prepayment rates (CPR) of 4.4% per annum of the then
outstanding principal balance of the Home Equity Loans in the Fixed Rate Group
in the first month of the life of the mortgage loans and an additional 1.6% per
annum each month thereafter until the twelfth month. Beginning in the twelfth
month and in each month thereafter during the life of the mortgage loans the
pricing prepayment assumption assumes a conditional prepayment rate of 22% per
annum each month.
The pricing prepayment assumption is analogous to 110% PPC which represents
110% of ContiMortgage's base case prepayment curve (100%PPC = 4% CPR in month 1
increasing 1.455% CPR to 20% CPR in month 12)
FIXED RATE CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-1 WAL (yrs.) 8.06 1.78 1.07 1.00 0.81 0.67
Class A-1 Exp. Beg. Am. 1 1 1 1 1 1
Class A-1 Exp. End. Am. 168 43 24 22 17 14
4
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-2 WAL (yrs.) 14.67 4.12 2.28 2.10 1.61 1.27
Class A-2 Exp. Beg. Am. 168 43 24 22 17 14
Class A-2 Exp. End. Am. 179 56 31 28 22 17
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-3 WAL (yrs.) 14.90 6.01 3.27 3.00 2.25 1.72
Class A-3 Exp. Beg. Am. 179 56 31 28 22 17
Class A-3 Exp. End. Am. 179 91 49 45 33 25
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-4 WAL (yrs.) 14.90 8.29 4.52 4.12 3.05 2.26
Class A-4 Exp. Beg. Am. 179 91 49 45 33 25
Class A-4 Exp. End. Am. 179 109 60 55 40 30
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-5 WAL (yrs.) 14.92 10.40 5.72 5.22 3.84 2.84
Class A-5 Exp. Beg. Am. 179 109 60 55 40 30
Class A-5 Exp. End. Am. 180 142 79 72 53 39
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-6 WAL (yrs.) 16.52 13.89 8.20 7.49 5.48 4.02
Class A-6 Exp. Beg. Am. 180 142 79 72 53 39
Class A-6 Exp. End. Am. 233 179 125 114 83 61
(NO CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-7 WAL (yrs.) 24.50 16.08 12.89 12.05 9.07 6.61
Class A-7 Exp. Beg. Am. 233 179 125 114 83 61
Class A-7 Exp. End. Am. 354 281 191 180 170 125
5
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
(10% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-6 WAL (yrs.) 16.52 13.89 8.20 7.49 5.48 4.02
Class A-6 Exp. Beg. Am. 180 142 79 72 53 39
Class A-6 Exp. End. Am. 233 179 125 114 83 61
(10% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 50% 100% 110% 150% 200%
Class A-7 WAL (yrs.) 24.11 14.95 10.56 9.57 6.99 5.07
Class A-7 Exp. Beg. Am. 233 179 125 114 83 61
Class A-7 Exp. End. Am. 324 180 127 115 84 61
ADJUSTABLE RATE CERTIFICATE PRICING PREPAYMENT ASSUMPTION:
Prepayment Scenarios:
- ---------------------
Scenario 1: 0% Constant prepayment rate.
Scenario 2: 8% Constant prepayment rate.
Scenario 3: 16% Constant prepayment rate.
Scenario 4 (Pricing): 18% Constant prepayment rate.
Scenario 5: 24% Constant prepayment rate.
Scenario 6: 32% Constant prepayment rate.
ADJUSTABLE RATE CERTIFICATE PREPAYMENT SENSITIVITY ANALYSIS:
(assuming 0 bps losses):
(NO CLEAN-UP CALL)
SCENARIO (1) 1 2 3 4 5 6
- - - - - -
CPR 0% 8% 16% 18% 24% 32%
Class A-8 WAL (yrs.) 21.52 9.31 5.17 4.59 3.38 2.44
Class A-8 Exp. Beg. Am. 1 1 1 1 1 1
Class A-8 Exp. End. Am. 357 351 305 283 221 162
(10% CLEAN-UP CALL)
SCENARIO 1 2 3 4 5 6
- - - - - -
CPR 0% 8% 16% 18% 24% 32%
Class A-8 WAL (yrs.) 21.14 7.89 4.55 4.05 2.96 2.14
Class A-8 Exp. Beg. Am. 1 1 1 1 1 1
Class A-8 Exp. End. Am. 324 180 127 115 84 61
6
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
FIXED RATE LOANS (INCLUDING BALLOONS)
----------------------------------------------------
Report Profile: ACC963F SuperCrack Portfolio Summary Code File: CONTI963
----------------------------------------------------------------------------------------------------------------
<- P O O L T O T A L S -> AVERAGE < - - GROSS COUPON - - > <- WTD AVG RMNG TERM -> WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD CALCD ORIG L T V
----------------------------------------------------------------------------------------------------------------
5,804 $ 342,547,288 $ 59,019 11.855 7.990 21.900 207.1 303.8 208.0 73.9
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------- -----------------------------------------------------
CURRENT BALANCE LOANS CURRENT BAL %POOL ORIGINAL TERM LOANS CURRENT BAL %POOL
----------------------------------------------------- -----------------------------------------------------
<S> <C>
0.00- 4999.99 1 4,628 0.00 60 14 240,737 0.07
5000.00- 9999.99 21 205,034 0.06 72 3 46,202 0.01
10000.00- 14999.99 200 2,557,694 0.75 84 16 277,169 0.08
15000.00- 19999.99 285 5,025,942 1.47 96 5 286,001 0.08
20000.00- 24999.99 359 8,135,009 2.37 108 1 26,000 0.01
25000.00- 29999.99 437 12,043,368 3.52 120 252 6,989,736 2.04
30000.00- 34999.99 437 14,204,392 4.15 132 2 172,180 0.05
35000.00- 39999.99 433 16,241,748 4.74 144 16 558,916 0.16
40000.00- 44999.99 429 18,260,879 5.33 156 2 77,064 0.02
45000.00- 49999.99 408 19,383,560 5.66 159 1 49,852 0.01
50000.00- 54999.99 362 18,925,404 5.52 168 3 140,091 0.04
55000.00- 59999.99 326 18,754,354 5.47 180 3,849 235,289,167 68.69
60000.00- 64999.99 287 17,922,189 5.23 240 1,152 62,980,435 18.39
65000.00- 69999.99 217 14,629,791 4.27 300 11 602,900 0.18
70000.00- 74999.99 203 14,682,041 4.29 360 477 34,810,840 10.16
75000.00- 79999.99 171 13,221,153 3.86
80000.00- 84999.99 156 12,873,272 3.76 -----------------------------------------------------
85000.00- 89999.99 115 10,077,491 2.94 PROPERTY TYPE REPORT LOANS CURRENT BAL %POOL
90000.00- 94999.99 113 10,466,819 3.06 -----------------------------------------------------
95000.00- 99999.99 99 9,672,479 2.82 2 FAMILY RESIDENCE 302 20,755,131 6.06
100000.00- 124999.99 357 39,602,502 11.56 3-4 FAMILY RESIDENCE 140 12,290,767 3.59
125000.00- 149999.99 185 25,007,417 7.30 HIGH RISE CONDO 3 246,769 0.07
150000.00- 174999.99 84 13,473,172 3.93 LOW RISE CONDO 37 1,690,753 0.49
175000.00- 199999.99 48 8,960,051 2.62 MANUFACTURED 71 3,298,633 0.96
200000.00- 224999.99 22 4,618,362 1.35 MIXED USE-COMRCL 6 675,571 0.20
225000.00- 249999.99 22 5,157,708 1.51 MIXED USE-CONSUM 13 1,388,939 0.41
250000.00- 274999.99 8 2,068,336 0.60 PUD 29 1,806,913 0.53
275000.00- 299999.99 4 1,159,326 0.34 SFR ATTACHED 198 9,410,677 2.75
300000.00- 324999.99 6 1,858,282 0.54 SFR DETACHED 5,005 290,983,135 84.95
325000.00- 349999.99 3 1,031,757 0.30
350000.00- 374999.99 2 720,000 0.21 -----------------------------------------------------
375000.00- 399999.99 2 759,000 0.22 LOAN PURPOSE REPORT LOANS CURRENT BAL %POOL
400000.00- 424999.99 1 414,881 0.12 -----------------------------------------------------
425000.00- 449999.99 1 429,250 0.13 DC & HI COMBO 212 11,907,754 3.48
DEBT CONSOL 4,830 284,053,022 82.92
----------------------------------------------------- HOME IMPROVE 311 16,698,919 4.87
MORTGAGE POSITION LOANS CURRENT BAL %POOL OTHER 451 29,887,593 8.73
-----------------------------------------------------
1 4,957 314,161,920 91.71 -----------------------------------------------------
2 847 28,385,368 8.29 PRODUCT REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
----------------------------------------------------- BALLOON 2,561 184,290,830 53.80
OWNERS OCCUPANCY REPORT LOANS CURRENT BAL %POOL NON BALLOON 3,243 158,256,458 46.20
-----------------------------------------------------
INV OWNED 323 16,002,461 4.67
PRIMARY RES 5,481 326,544,827 95.33
</TABLE>
- -----------------------------------------------------
STATE OF PROPERTY LOANS CURRENT BAL %POOL
- -----------------------------------------------------
AL 5 234,040 0.07
AR 26 1,218,670 0.36
AZ 60 3,758,507 1.10
CA 100 8,383,199 2.45
CO 80 5,174,422 1.51
CT 84 6,389,806 1.87
DC 18 1,279,208 0.37
DE 29 2,134,712 0.62
FL 232 11,750,652 3.43
GA 177 10,205,227 2.98
IA 18 605,326 0.18
ID 15 856,674 0.25
IL 445 25,586,546 7.47
IN 279 11,698,442 3.42
KS 43 2,844,876 0.83
KY 106 5,458,561 1.59
MA 181 13,220,157 3.86
MD 255 17,140,335 5.00
ME 31 1,379,095 0.40
MI 730 32,932,081 9.61
MN 36 1,579,709 0.46
MO 92 4,907,009 1.43
MS 8 339,288 0.10
MT 2 101,889 0.03
NC 424 20,783,803 6.07
NH 6 437,217 0.13
NJ 457 34,492,827 10.07
NM 31 2,078,861 0.61
NV 4 332,347 0.10
NY 398 31,729,841 9.26
OH 463 25,810,748 7.53
OK 11 568,620 0.17
OR 26 1,712,346 0.50
PA 380 22,904,982 6.69
RI 54 3,999,531 1.17
SC 126 6,349,755 1.85
TN 96 5,537,261 1.62
TX 7 598,127 0.17
UT 47 3,478,014 1.02
VA 116 5,510,463 1.61
WA 27 2,939,366 0.86
WI 76 3,893,647 1.14
WV 1 27,732 0.01
WY 2 183,371 0.05
- -------------------------------------------------------------------------------
Active Filter: Balloon="B " OR BALLOON="F " V0.32
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
FIXED RATE LOANS (INCLUDING BALLOONS)
----------------------------------------------------
Report Profile: ACC963F SuperCrack Portfolio Summary Code File: CONTI963
----------------------------------------------------------------------------------------------------------------
<- P O O L T O T A L S -> AVERAGE < - - GROSS COUPON - - > <- WTD AVG RMNG TERM -> WTDAV
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD CALCD ORIG L T V
----------------------------------------------------------------------------------------------------------------
5,804 $ 342,547,288 $ 59,019 11.855 7.990 21.900 207.1 303.8 208.0 73.9
----------------------------------------------------------------------------------------------------------------
----------------------------------------------------- -----------------------------------------------------
RATE REPORT LOANS CURRENT BAL %POOL STATED REMAINING TERM R LOANS CURRENT BAL %POOL
----------------------------------------------------- -----------------------------------------------------
<S> <C>
7.500- 7.999 1 65,927 0.02 49- 60 14 240,737 0.07
8.000- 8.499 10 920,587 0.27 61- 72 3 46,202 0.01
8.500- 8.999 84 6,524,785 1.90 73- 84 16 277,169 0.08
9.000- 9.499 76 6,352,361 1.85 85- 96 5 286,001 0.08
9.500- 9.999 348 25,428,052 7.42 97- 108 2 138,659 0.04
10.000- 10.499 357 23,853,085 6.96 109- 120 251 6,877,076 2.01
10.500- 10.999 741 50,566,820 14.76 121- 132 2 172,180 0.05
11.000- 11.499 538 34,786,136 10.16 133- 144 16 558,916 0.16
11.500- 11.999 862 56,766,616 16.57 145- 156 2 77,064 0.02
12.000- 12.499 478 28,008,269 8.18 157- 168 5 224,132 0.07
12.500- 12.999 727 40,919,957 11.95 169- 180 3,848 235,254,977 68.68
13.000- 13.499 337 16,558,786 4.83 217- 228 1 35,000 0.01
13.500- 13.999 449 20,457,783 5.97 229- 240 1,151 62,945,435 18.38
14.000- 14.499 177 6,954,813 2.03 289- 300 11 602,900 0.18
14.500- 14.999 288 11,617,681 3.39 349- 360 477 34,810,840 10.16
15.000- 15.499 109 4,647,686 1.36 WTD AVERAGE: 207
15.500- 15.999 110 4,180,279 1.22
16.000- 16.499 35 1,564,605 0.46 -----------------------------------------------------
16.500- 16.999 43 1,340,919 0.39 SECOND MORTGAGE RATIO R LOANS CURRENT BAL %POOL
17.000- 17.499 12 430,581 0.13 -----------------------------------------------------
17.500- 17.999 17 433,466 0.13 Subfilter: LIEN=2
18.000- 18.499 3 130,596 0.04 0.00- 9.99 4 52,801 0.02
19.500- 19.999 1 27,500 0.01 10.00- 19.99 175 3,618,636 1.06
21.500- 21.999 1 9,999 0.00 20.00- 29.99 263 7,292,113 2.13
WTD AVERAGE: 11.855 30.00- 39.99 165 6,165,678 1.80
40.00- 49.99 96 3,654,578 1.07
----------------------------------------------------- 50.00- 59.99 46 2,458,429 0.72
COMBINED LOAN TO VALUE LOANS CURRENT BAL %POOL 60.00- 69.99 42 1,860,815 0.54
----------------------------------------------------- 70.00- 74.99 18 968,109 0.28
0.00- 9.99 1 12,400 0.00 75.00- 79.99 11 541,989 0.16
10.00- 19.99 27 578,323 0.17 80.00- 84.99 9 440,369 0.13
20.00- 29.99 100 2,580,604 0.75 85.00- 89.99 9 751,242 0.22
30.00- 39.99 187 7,067,398 2.06 90.00- 94.99 5 410,760 0.12
40.00- 49.99 283 11,391,796 3.33 95.00- 99.99 4 169,849 0.05
50.00- 59.99 471 21,656,115 6.32 100.00+ 2,397 176,385,336 51.49
60.00- 69.99 834 42,944,618 12.54 WTD AVERAGE: 40.11
70.00- 74.99 653 36,782,962 10.74 Total for subfilter >>> 3,244 204,770,704 59.78
75.00- 79.99 840 53,757,467 15.69
80.00- 84.99 1,409 88,831,783 25.93
85.00- 89.99 673 47,221,796 13.79
90.00- 94.99 324 29,512,106 8.62
95.00- 99.99 1 153,673 0.04
125.00+ 1 56,250 0.02
WTD AVERAGE: 73.87
</TABLE>
-----------------------------------------------------------------------------
Active Filter: Balloon="B " OR BALLOON="F " V0.32
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
ADJUSTABLE RATE LOANS ONLY
----------------------------------------------------
Report Profile: ACC963 SuperCrack Portfolio Summary Code File: CONTI963
---------------------------------------------------------------------------------------------------------------
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
---------------------------------------------------------------------------------------------------------------
1,506 $ 126,086,840 $ 83,723 10.036 6.750 15.550 355.4 356.5 74.8 6.597 2.875 11.125
---------------------------------------------------------------------------------------------------------------
----------------------------------------------------- -----------------------------------------------------
CURRENT BALANCE LOANS CURRENT BAL %POOL STATE OF PROPERTY LOANS CURRENT BAL %POOL
----------------------------------------------------- -----------------------------------------------------
<S> <C>
10000.00- 14999.99 10 125,743 0.10 AZ 53 4,974,916 3.95
15000.00- 19999.99 14 239,066 0.19 CA 164 19,955,774 15.83
20000.00- 24999.99 41 952,256 0.76 CO 22 1,976,887 1.57
25000.00- 29999.99 55 1,549,554 1.23 CT 21 2,807,686 2.23
30000.00- 34999.99 66 2,142,696 1.70 DC 2 326,741 0.26
35000.00- 39999.99 88 3,274,493 2.60 DE 1 67,971 0.05
40000.00- 44999.99 80 3,401,035 2.70 FL 9 475,402 0.38
45000.00- 49999.99 84 4,008,366 3.18 GA 19 1,810,134 1.44
50000.00- 54999.99 80 4,197,771 3.33 IA 14 603,688 0.48
55000.00- 59999.99 88 5,075,429 4.03 ID 6 360,487 0.29
60000.00- 64999.99 83 5,189,049 4.12 IL 90 8,581,707 6.81
65000.00- 69999.99 65 4,385,111 3.48 IN 48 2,673,271 2.12
70000.00- 74999.99 68 4,932,291 3.91 KS 8 524,495 0.42
75000.00- 79999.99 62 4,812,414 3.82 KY 8 603,734 0.48
80000.00- 84999.99 53 4,374,718 3.47 MA 10 988,841 0.78
85000.00- 89999.99 50 4,367,416 3.46 MD 34 3,706,812 2.94
90000.00- 94999.99 36 3,316,470 2.63 MI 607 39,623,189 31.43
95000.00- 99999.99 55 5,360,371 4.25 MN 23 1,796,279 1.42
100000.00- 124999.99 178 19,963,454 15.83 MO 12 1,056,980 0.84
125000.00- 149999.99 86 11,605,204 9.20 NC 5 402,820 0.32
150000.00- 174999.99 65 10,561,784 8.38 NE 1 63,000 0.05
175000.00- 199999.99 41 7,611,209 6.04 NH 2 164,192 0.13
200000.00- 224999.99 19 4,043,742 3.21 NJ 25 3,243,937 2.57
225000.00- 249999.99 13 3,065,262 2.43 NM 24 2,488,792 1.97
250000.00- 274999.99 10 2,584,262 2.05 NV 2 198,832 0.16
275000.00- 299999.99 6 1,715,195 1.36 NY 21 2,491,194 1.98
300000.00- 324999.99 6 1,875,369 1.49 OH 80 6,363,270 5.05
325000.00- 349999.99 2 654,750 0.52 OR 16 1,055,158 0.84
350000.00- 374999.99 2 702,360 0.56 PA 31 2,648,989 2.10
RI 8 1,078,896 0.86
----------------------------------------------------- SC 3 367,541 0.29
ORIGINAL TERM LOANS CURRENT BAL %POOL TN 13 1,004,332 0.80
----------------------------------------------------- TX 8 674,755 0.54
60 1 31,000 0.02 UT 31 3,358,447 2.66
120 7 233,410 0.19 VA 5 698,468 0.55
180 46 1,759,844 1.40 WA 49 5,095,683 4.04
240 8 500,745 0.40 WI 26 1,443,957 1.15
354 4 186,589 0.15 WY 5 329,580 0.26
360 1,440 123,375,252 97.85
-----------------------------------------------------
----------------------------------------------------- OWNERS OCCUPANCY REPORT LOANS CURRENT BAL %POOL
MORTGAGE POSITION LOANS CURRENT BAL %POOL -----------------------------------------------------
----------------------------------------------------- INV OWNED 68 4,080,552 3.24
1 1,506 126,086,840 100.00 PRIMARY RES 1,438 122,006,288 96.76
</TABLE>
- ----------------------------------------------------------
< - - L I F E C A P - - > < - L I F E F L O O R - >
WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- ----------------------------------------------------------
16.355 13.150 21.550 100
- ----------------------------------------------------------
-----------------------------------------------------
PROPERTY TYPE REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
2 FAMILY RESIDENCE 32 2,494,430 1.98
3-4 FAMILY RESIDENCE 17 1,826,231 1.45
LOW RISE CONDO 12 742,119 0.59
MANUFACTURED 30 1,747,294 1.39
MIXED USE-CONSUM 1 29,882 0.02
PUD 8 1,067,803 0.85
SFR ATTACHED 14 1,220,968 0.97
SFR DETACHED 1,392 116,958,113 92.76
-----------------------------------------------------
LOAN PURPOSE REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
DC & HI COMBO 78 5,869,955 4.66
DEBT CONSOL 1,266 106,516,074 84.48
HOME IMPROVE 54 3,930,146 3.12
OTHER 108 9,770,665 7.75
-----------------------------------------------------
RATE REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
6.500- 6.999 1 245,583 0.19
7.000- 7.499 5 538,076 0.43
7.500- 7.999 30 3,456,672 2.74
8.000- 8.499 45 4,667,838 3.70
8.500- 8.999 147 15,329,145 12.16
9.000- 9.499 152 15,356,669 12.18
9.500- 9.999 333 31,493,019 24.98
10.000- 10.499 187 14,514,625 11.51
10.500- 10.999 230 18,283,390 14.50
11.000- 11.499 135 8,891,987 7.05
11.500- 11.999 96 6,068,908 4.81
12.000- 12.499 41 2,419,952 1.92
12.500- 12.999 39 1,948,676 1.55
13.000- 13.499 20 1,043,082 0.83
13.500- 13.999 29 1,217,207 0.97
14.000- 14.499 7 323,068 0.26
14.500- 14.999 6 184,010 0.15
15.000- 15.499 2 69,734 0.06
15.500- 15.999 1 35,200 0.03
WTD AVERAGE: 10.036
-----------------------------------------------------
PRODUCT REPORT LOANS CURRENT BAL %POOL
-----------------------------------------------------
ADJUSTABLE RATE 1,498 125,648,905 99.65
ADJUSTABLE RATE BALLOON 8 437,935 0.35
-----------------------------------------------------------------------------
Active Filter: Balloon="A " OR BALLOON="AB" V0.32
<PAGE>
<TABLE>
<CAPTION>
----------------------------------------------------
ADJUSTABLE RATE LOANS ONLY
----------------------------------------------------
Report Profile: ACC963 SuperCrack Portfolio Summary Code File: CONTI963
---------------------------------------------------------------------------------------------------------------
<-P O O L T O T A L S-> AVERAGE <- - GROSS COUPON - -> <-RMNG TRM-> WTDAV <- - M A R G I N - ->
# LOANS CURRENT BALANCE CURRBAL WTDAVG MIN MAX STATD ORIG L T V WTDAV MIN MAX
---------------------------------------------------------------------------------------------------------------
1,506 $ 126,086,840 $ 83,723 10.036 6.750 15.550 355.4 356.5 74.8 6.597 2.875 11.125
---------------------------------------------------------------------------------------------------------------
----------------------------------------------------- -----------------------------------------------------
COMBINED LOAN TO VALUE LOANS CURRENT BAL %POOL MARGIN REPORT LOANS CURRENT BAL %POOL
----------------------------------------------------- -----------------------------------------------------
<S> <C>
10.00- 19.99 2 61,083 0.05 Subfilter: balloon="A " OR BALLOON="AB"
20.00- 29.99 10 344,884 0.27 * * * all loans meet subfilter criteria * * *
30.00- 39.99 20 787,767 0.62 2.750- 2.999 1 91,000 0.07
40.00- 49.99 58 3,171,399 2.52 3.500- 3.749 1 115,279 0.09
50.00- 59.99 104 5,403,367 4.29 3.750- 3.999 4 398,163 0.32
60.00- 69.99 213 13,922,893 11.04 4.000- 4.249 1 134,300 0.11
70.00- 74.99 196 16,501,352 13.09 4.250- 4.499 1 128,800 0.10
75.00- 79.99 264 25,161,285 19.96 4.500- 4.749 11 1,241,892 0.98
80.00- 84.99 441 39,695,536 31.48 4.750- 4.999 38 4,882,483 3.87
85.00- 89.99 189 20,067,019 15.92 5.000- 5.249 36 3,611,187 2.86
90.00- 94.99 9 970,255 0.77 5.250- 5.499 95 10,295,712 8.17
WTD AVERAGE: 74.79 5.500- 5.749 72 7,458,176 5.92
5.750- 5.999 139 13,098,532 10.39
----------------------------------------------------- 6.000- 6.249 89 7,454,425 5.91
LIFECAP LOANS CURRENT BAL %POOL 6.250- 6.499 112 10,065,988 7.98
----------------------------------------------------- 6.500- 6.749 123 10,478,905 8.31
Subfilter: balloon="A " OR BALLOON="AB" 6.750- 6.999 126 10,325,665 8.19
* * * all loans meet subfilter criteria * * * 7.000- 7.249 121 9,541,197 7.57
13.000- 13.499 1 128,800 0.10 7.250- 7.499 137 11,043,193 8.76
13.500- 13.999 17 1,854,648 1.47 7.500- 7.749 102 7,339,174 5.82
14.000- 14.499 24 2,409,375 1.91 7.750- 7.999 73 5,222,196 4.14
14.500- 14.999 83 8,342,666 6.62 8.000- 8.249 52 4,145,919 3.29
15.000- 15.499 114 11,410,714 9.05 8.250- 8.499 29 1,634,151 1.30
15.500- 15.999 337 32,576,191 25.84 8.500- 8.749 31 1,891,715 1.50
16.000- 16.499 202 16,863,712 13.37 8.750- 8.999 31 1,857,525 1.47
16.500- 16.999 262 22,101,019 17.53 9.000- 9.249 25 1,354,520 1.07
17.000- 17.499 169 11,875,162 9.42 9.250- 9.499 12 595,612 0.47
17.500- 17.999 120 8,801,311 6.98 9.500- 9.749 12 427,288 0.34
18.000- 18.499 51 3,289,974 2.61 9.750- 9.999 12 480,418 0.38
18.500- 18.999 51 2,658,338 2.11 10.000- 10.249 3 122,840 0.10
19.000- 19.499 24 1,422,408 1.13 10.250- 10.499 9 298,534 0.24
19.500- 19.999 31 1,544,761 1.23 10.500- 10.749 2 40,500 0.03
20.000- 20.499 8 395,068 0.31 10.750- 10.999 1 37,000 0.03
20.500- 20.999 9 307,761 0.24 11.000- 11.249 5 274,551 0.22
21.000- 21.499 2 69,734 0.06 WTD AVERAGE: 6.597
21.500- 21.999 1 35,200 0.03
WTD AVERAGE: 16.355 -----------------------------------------------------
INITIAL PERIODIC CAP LOANS CURRENT BAL %POOL
----------------------------------------------------- -----------------------------------------------------
STATED REMAINING TERM R LOANS CURRENT BAL %POOL Subfilter: BALLOON="A " OR BALLOON="AB"
----------------------------------------------------- * * * all loans meet subfilter criteria * * *
49- 60 1 31,000 0.02 1.000 1,368 111,750,882 88.63
109- 120 7 233,410 0.19 1.500 73 7,595,072 6.02
169- 180 46 1,759,844 1.40 2.000 2 300,751 0.24
229- 240 8 500,745 0.40 3.000 63 6,440,134 5.11
337- 348 4 463,551 0.37
349- 360 1,440 123,098,290 97.63
WTD AVERAGE: 355
</TABLE>
- ----------------------------------------------------------
< - - L I F E C A P - - > < - L I F E F L O O R - >
WTDAVG MIN MAX %>0 WTDAVG MIN MAX %>0
- ----------------------------------------------------------
16.355 13.150 21.550 100
- ----------------------------------------------------------
-----------------------------------------------------
NEXT RATE ADJUSTMENT LOANS CURRENT BAL %POOL
-----------------------------------------------------
Subfilter: balloon="A " OR BALLOON="AB"
* * * all loans meet subfilter criteria * * *
9608 2 165,757 0.13
9609 19 1,341,246 1.06
9610 64 4,548,378 3.61
9611 355 29,237,397 23.19
9612 548 48,062,378 38.12
9701 365 29,559,258 23.44
9702 80 5,453,241 4.32
9712 4 416,368 0.33
9801 1 72,321 0.06
9803 1 131,547 0.10
9805 1 101,969 0.08
9806 7 617,650 0.49
9807 25 2,295,955 1.82
9808 1 177,926 0.14
9809 1 34,779 0.03
9812 1 220,902 0.18
9901 1 113,688 0.09
9903 3 358,851 0.28
9904 4 842,946 0.67
9905 13 1,085,649 0.86
9906 9 1,109,408 0.88
9908 1 139,224 0.11
-----------------------------------------------------
REGULAR PERIODIC CAP LOANS CURRENT BAL %POOL
-----------------------------------------------------
1.000 1,384 112,955,879 89.59
1.500 120 12,830,210 10.18
2.000 2 300,751 0.24
-----------------------------------------------------------------------------
Active Filter: Balloon="A " OR BALLOON="AB" V0.32
<PAGE>
The previous tables and other statistical analyses (the "Computational
Materials") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these
materials. Neither Merrill Lynch, the issuer of the securities nor any of its
affiliates makes any representation as to the accuracy or completeness of the
information herein. The information herein is preliminary, and will be
subsequently filed with the Securities and Exchange Commission. They may not
be provided to any third party other than the addressee's legal, tax, financial
and/or accounting advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Material
which may or may not be stated therein. As such, no assurance can be given as
to the accuracy, appropriateness or completeness of the Computational Materials
in any particular context; or as to whether the Computational Materials and/or
the assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be
construed as either projections or predictions or as legal, tax, financial or
accounting advice.
Any yields or weighted average lives shown in the Computational Materials
are based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower
or faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to
the securities discussed in this communication has been filed with the
Securities and Exchange Commission and is effective, the final prospectus
supplement relating to the securities discussed in
11
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
this communication has not been filed with the Securities and Exchange
Commission. This communication shall not constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the securities
discussed in this communication in any state in which such offer, solicitations
or sale would be unlawful prior to registration or qualification under the
securities laws of any such state. Prospective purchasers are referred to the
final prospectus and prospectus supplement relating to the securities discussed
in this communication for definitive Computational Materials on any matter
discussed in this communication. A final prospectus and prospectus supplement
may be obtained by contacting the Merrill Lynch Trading Desk at (212) 449-3659.
Please be advised that asset-backed securities may not be appropriate for
all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayments, yield curve and interest rate
risk. Investors should fully consider the risk of an investment in these
securities.
If you have received this communication in error, please notify the
sending party immediately by telephone and return the original to such party by
mail.
12
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this informaion if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
ContiMortgage, HEL Certificates Series 1996-3
Information Relating to the Collateral (weighted averages by current balance)
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the Preliminary Cut-Off Date 7/24/96:
<TABLE>
<S> <C> <C>
Total Number of Loans: 5,804
Total Outstanding Loan Balance: $342,547,288
Balloon (% of Total): 53.80%
Level Pay (% of Total): 46.20%
Average Loan Principal Balance: $59,019 ($4,628 to $429,250)
Weighted Average LTV: 70.13% (5.00% to 96.00%)
Weighted Average CLTV : 73.87% (7.00% to 125.00%)
Weighted Average Home Equity Ratio (2nd Liens): 40.11% (6.62% to 97.76%)
Weighted Average Coupon: 11.86% (7.99% to 21.90%)
Weighted Average Remaining Term to Maturity (months) 207.1 (58 to 360)
Weighted Average Seasoning (months): 0.9
Weighted Average Original Term (months): 208.0 (60 to 360)
Range of Original Terms: Level Pay Balloons
-------------------- --------------------
Up to 60: 0.07% 121 - 180: 53.77%
61 - 120: 2.23% 181 - 240: 0.01%
121 - 180: 15.21% 301 - 360: 0.02%
181 - 240: 18.37%
241 - 300: 0.18%
301 - 360: 10.14%
</TABLE>
Lien Position: 1st Lien: 91.71%
2nd Lien: 8.29%
Property Type:
Single Family 84.95%
Single Family 2.75%
2 -4 Family: 9.65%
Other: 2.66%
Occupancy Status:
Owner Occupied 95.33%
Non-Owner Occupied 4.67%
<TABLE>
<S> <S> <C> <C> <C>
Geographic Distribution: NJ: 10.07% IL: 7.47%
(states not listed individually account for MI: 9.61% PA: 6.69%
less than 5.00% of the Outstanding Mortgage Pool NY: 9.26% MD: 5.00%
principal balance) OH: 7.53%
Credit Quality: A: 50.64%
(per ContiMortgage's guidelines) B: 27.44%
C: 16.16%
D: 5.76%
</TABLE>
The information contained herein will be superseded
by the description of the collateral contained in the prospectus supplement.
BEAR STEARNS
Page 1
<PAGE>
ContiMortgage, HEL Certificates Series 1996-3
Information Relating to the Collateral (weighted averages by current balance)
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the Preliminary Cut-Off Date 7/24/96:
<TABLE>
<S> <C> <C>
Total Number of Loans: 1,506
Total Outstanding Loan Balance: $126,086,840
Balloon (% of Total): 0.35%
Level Pay (% of Total): 0.00%
Adjustable (% of Total): 99.65%
Average Loan Principal Balance: $83,723 ($10,000 to $352,360)
Weighted Average LTV : 74.79% (16.00% to 93.00%)
Weighted Average CLTV: 74.79%
Weighted Average Home Equity Ratio: n/a
Weighted Average Coupon: 10.04% (6.75% to 15.55%)
Weighted Average Gross Margin: 6.60% (2.88% to 11.13%)
Weighted Average Gross Life Cap: 16.36% (13.15% to 21.55%)
Interest Type:
Actuarial: 99.13%
Simple: 0.87%
Weighted Average Remaining Term to Maturity (months) 355.4 (60 to 360)
Weighted Average Seasoning (months): 1.1
Weighted Average Original Term (months): 356.5 (60 to 360)
Range of Original Terms: Adjustable Balloons
------------------- -------------------
Up to 60: 0.02% 121 - 180: 0.11%
61 - 120: 0.19% 301 - 360: 0.24%
121 - 180: 1.29%
181 - 240: 0.40%
241 - 300: 0.00%
301 - 360: 97.76%
</TABLE>
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 92.76%
Single Family Attached: 0.97%
2 -4 Family: 3.43%
Other: 2.84%
Occupancy Status:
Owner Occupied 96.76%
Non-Owner Occupied 3.24%
Geographic Distribution: MI: 31.43%
(states not listed individually account for CA: 15.83%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.81%
principal balance) OH: 5.05%
Credit Quality: A: 47.43%
(per ContiMortgage's guidelines) B: 26.53%
C: 21.88%
D: 4.15%
The information contained herein will be superseded
by the description of the collateral contained in the prospectus supplement.
BEAR STEARNS
Page 2
<PAGE>
ContiMortgage, HELT Certificates Series 1996-3
Information Relating to Bonds
TRANSACTION SUMMARY @ Pricing Speed
<TABLE>
<CAPTION>
Estimated to Maturity Expected
----------------------------------------- Ratings
Modified Principal Principal (Moody's/
Approximate Size Certificate WAL Duration Lockout Window S&P)
<S> <C> <C> <C> <C> <C> <C>
$136,000,000 Class A-1 1.00 0.93 0 22 Aaa/AAA
$33,000,000 Class A-2 2.10 1.89 21 7 Aaa/AAA
$72,000,000 Class A-3 3.00 2.61 27 18 Aaa/AAA
$30,000,000 Class A-4 4.12 3.44 44 11 Aaa/AAA
$42,000,000 Class A-5 5.22 4.17 54 18 Aaa/AAA
$54,000,000 Class A-6 7.49 5.46 71 43 Aaa/AAA
$33,000,000 Class A-7 12.05 7.40 113 67 Aaa/AAA
$150,000,000 Class A-8 4.59 3.55 0 283 Aaa/AAA
<CAPTION>
Class A-1 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 8.06 1.78 1.32 1.00 0.92 0.81
Duration 5.68 1.59 1.21 0.93 0.86 0.76
First Principal Payment 09/15/96 09/15/96 09/15/96 09/15/96 09/15/96 09/15/96
Last Principal Payment 08/15/10 03/15/00 03/15/99 06/15/98 04/15/98 01/15/98
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 168 43 31 22 20 17
Yield @ Par 6.81% 6.69% 6.64% 6.57% 6.55% 6.51%
<CAPTION>
Class A-2 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.67 4.12 2.92 2.10 1.88 1.61
Duration 8.91 3.47 2.56 1.89 1.71 1.48
First Principal Payment 08/15/10 03/15/00 03/15/99 06/15/98 04/15/98 01/15/98
Last Principal Payment 07/15/11 04/15/01 12/15/99 12/15/98 09/15/98 06/15/98
Principal Lockout (months) 167 42 30 21 19 16
Principal Window (months) 12 14 10 7 6 6
Yield @ Par 7.04% 6.99% 6.97% 6.93% 6.91% 6.89%
<CAPTION>
Class A-3 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.9 6.01 4.24 3.00 2.66 2.25
Duration 8.88 4.71 3.53 2.61 2.34 2.01
First Principal Payment 07/15/11 04/15/01 12/15/99 12/15/98 09/15/98 06/15/98
Last Principal Payment 07/15/11 03/15/04 12/15/01 05/15/00 12/15/99 05/15/99
Principal Lockout (months) 178 55 39 27 24 21
Principal Window (months) 1 36 25 18 16 12
Yield @ Par 7.24% 7.21% 7.19% 7.16% 7.15% 7.13%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may
obtain a copy of the Statement from your sales representative.
Page 3
<PAGE>
ContiMortgage HELT Series 1996-3
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-4 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.90 8.29 5.88 4.12 3.65 3.05
Duration 8.79 6.01 4.62 3.44 3.09 2.64
First Principal Payment 07/15/11 03/15/04 12/15/01 05/15/00 12/15/99 05/15/99
Last Principal Payment 07/15/11 09/15/05 02/15/03 03/15/01 08/15/00 12/15/99
Principal Lockout (months) 178 90 63 44 39 32
Principal Window (months) 1 19 15 11 9 8
Yield @ Par 7.39% 7.38% 7.36% 7.34% 7.33% 7.32%
<CAPTION>
Class A-5 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.91 10.40 7.45 5.22 4.61 3.84
Duration 8.70 6.98 5.52 4.17 3.76 3.22
First Principal Payment 07/15/11 09/15/05 02/15/03 03/15/01 08/15/00 12/15/99
Last Principal Payment 08/15/11 06/15/08 03/15/05 08/15/02 12/15/01 01/15/01
Principal Lockout (months) 178 108 77 54 47 39
Principal Window (months) 2 34 26 18 17 14
Yield @ Par 7.56% 7.56% 7.55% 7.53% 7.52% 7.51%
<CAPTION>
Class A-6 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 16.52 13.89 10.61 7.49 6.60 5.48
Duration 8.96 8.19 6.94 5.46 4.97 4.29
First Principal Payment 8/15/11 6/15/08 3/15/05 8/15/02 12/15/01 1/15/01
Last Principal Payment 1/15/16 7/15/11 12/15/09 2/15/06 12/15/04 7/15/03
Principal Lockout (months) 179 141 102 71 63 52
Principal Window (months) 54 38 58 43 37 31
Yield @ Par 7.88% 7.88% 7.87% 7.86% 7.86% 7.85%
<CAPTION>
Class A-7 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 24.50 16.08 14.88 12.05 10.84 9.07
Duration 10.28 8.68 8.36 7.40 6.92 6.15
First Principal Payment 1/15/16 7/15/11 12/15/09 2/15/06 12/15/04 7/15/03
Last Principal Payment 2/15/26 1/15/20 7/15/15 8/15/11 7/15/11 10/15/10
Principal Lockout (months) 232 178 159 113 99 82
Principal Window (months) 122 103 68 67 80 88
Yield @ Par 8.16% 8.15% 8.15% 8.14% 8.14% 8.14%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may
obtain a copy of the Statement from your sales representative.
Page 4
<PAGE>
ContiMortgage HELT Series 1996-3
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-8 (to maturity)
- -----------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 9.00% 13.50% 18.00% 22.50% 27.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.52 8.55 6.08 4.59 3.63 2.97
First Principal Payment 9/15/96 9/15/96 9/15/96 9/15/96 9/15/96 9/15/96
Last Principal Payment 5/15/26 9/15/25 12/15/23 3/15/20 3/15/16 11/15/12
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 357 349 328 283 235 195
<CAPTION>
Class A-6 (to call)
- -------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 16.52 13.89 10.61 7.49 6.60 5.48
Duration 8.96 8.19 6.94 5.46 4.97 4.29
First Principal Payment 8/15/11 6/15/08 3/15/05 8/15/02 12/15/01 1/15/01
Last Principal Payment 1/15/16 7/15/11 11/15/09 2/15/06 10/15/04 5/15/03
Principal Lockout (months) 179 141 102 71 63 52
Principal Window (months) 54 38 57 43 35 29
Yield @ Par 7.88% 7.88% 7.87% 7.86% 7.86% 7.85%
<CAPTION>
Class A-7 (to call)
- -------------------
% of Prepayment Assumption 0% 50% 75% 110% 125% 150%
Ramp to 0% 10.00% 15.00% 22.00% 25.00% 30.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 24.11 14.90 13.24 9.57 8.15 6.74
Duration 10.24 8.38 7.86 6.44 5.77 5.01
First Principal Payment 1/15/16 7/15/11 11/15/09 2/15/06 10/15/04 5/15/03
Last Principal Payment 8/15/23 7/15/11 11/15/09 3/15/06 10/15/04 5/15/03
Principal Lockout (months) 232 178 158 113 97 80
Principal Window (months) 92 1 1 2 1 1
Yield @ Par 8.16% 8.15% 8.15% 8.14% 8.13% 8.12%
<CAPTION>
Class A-8 (to call)
- -------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 9.00% 13.50% 18.00% 22.50% 27.00%
---------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.14 7.39 5.49 4.05 3.26 2.67
First Principal Payment 9/15/96 9/15/96 9/15/96 9/15/96 9/15/96 9/15/96
Last Principal Payment 8/15/23 7/15/11 11/15/09 3/15/06 10/15/04 5/15/03
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 179 159 115 98 81
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates and Other Information
(the "Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed this Statement. You may
obtain a copy of the Statement from your sales representative.
Page 5
