SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities and Exchange Act of 1934
Date of Report: October 16, 1996
(Date of earliest event reported)
Asset Securitization Corporation
(Exact name of registrant as specified in its charter)
Delaware 33-49370-01 13-3672337
- ----------------------------------------------------------------
(State or Other (Commission (I.R.S. Employer
Jurisdiction of File Number) Identification No.)
Incorporation)
Two World Financial Center, Building B, New York, New York 10281
- -------------------------------------------------------------
Address of Principal Executive Office
Registrant's telephone number, including area code: (212) 667-9300
<PAGE>
Item 5. Other Events.
Attached as Exhibit 1 to this Current Report are certain materials
(the "Term Sheets") furnished to Asset Securitization Corporation
(the "Registrant") by Nomura Securities International, Inc. (the "Underwriter"),
the underwriter in respect of the Registrant's Commercial Mortgage Pass-Through
Certificates, Series 1996-D3 (the "Certificates"). The Certificates are being
Offered pursuant to a Prospectus and related Prospectus Supplement (together,
the "Prospectus"), which will be filed with the Commission pursuant to Rule
424(b)(5) under the Securities Act of 1933, as amended (the "Act"). The
Certificates have been registered pursuant to the Act under a Registration
Statement on Form S-3 (No. 33-99502) (the "Registration Statement"). The
Registrant hereby incorporates the Term Sheets by reference in the Registration
Statement.
The Term Sheets were prepared solely by the Underwriter, and the
Registrant did not prepare or participate in the preparation of the Term Sheets.
Any statement or information contained in the Term Sheets shall be
deemed to be modified or superseded for purposes of the Prospectus and the
Registration Statement by statements or information contained in the Prospectus.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits
(c) Exhibits
Exhibit 1. Term Sheets.
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on behalf of the Registrant
by the undersigned thereunto duly authorized.
ASSET SECURITIZATION CORPORATION
By: /s/Perry Gershon
-----------------------------
Perry Gershon
Vice President
Date: October 16, 1996
<PAGE>
Exhibit Index
Item 601(a) of
Regulation S-K
Exhibit No. Exhibit No. Description
- ----------- ----------- -----------
1 99 Term Sheets
<PAGE>
EXHIBIT 1
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: COLLATERAL
CUR BALANCE: $781,660,544
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 763543042 738005480 697983323 680574685
TOTAL PRIN: 781660544 763034198 740930032 727120215
PENALTY: 0 0 0 0
99.750000 9.44 9.28 9.04 8.89
99.812500 9.43 9.27 9.03 8.88
99.875000 9.42 9.26 9.02 8.87
99.937500 9.41 9.25 9.01 8.85
* 100.000000 9.40 9.24 9.00 8.84
100.062500 9.39 9.23 8.99 8.83
100.125000 9.38 9.22 8.98 8.82
100.187500 9.37 9.21 8.97 8.81
100.250000 9.36 9.20 8.96 8.80
100.312500 9.35 9.19 8.95 8.79
WAL: 10.57 10.22 9.70 9.47
WINDOW 24.58 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113
END: 20210513 20210513 20210513 20210513
MOD DUR: 6.25 6.14 5.95 5.87
CONVEX: 0.59 0.56 0.52 0.51
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 16887697 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 4850913 4850913 4850913 4850913
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.766506 11.16 11.16 11.16 11.16
5.829006 10.61 10.61 10.61 10.61
<PAGE>
5.891506 10.07 10.07 10.07 10.07
5.954006 9.54 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02 9.02
6.079006 8.51 8.51 8.51 8.51
6.141506 8.01 8.01 8.01 8.01
6.204006 7.52 7.52 7.52 7.52
6.266506 7.03 7.03 7.03 7.03
6.329006 6.56 6.56 6.56 6.56
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 81200742 81200742 77964103 77964103
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
101-12 7.20 7.20 7.19 7.19
101-14 7.19 7.19 7.18 7.18
* 101-16 7.18 7.18 7.17 7.17
101-18 7.17 7.17 7.16 7.16
101-20 7.16 7.16 7.15 7.15
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.12 7.12
101-26 7.12 7.12 7.11 7.11
<PAGE>
WAL: 7.13 7.13 6.85 6.85
WINDOW 3.00 3.00 0.58 0.58
BEGIN: 20030413 20030413 20030413 20030413
END: 20060313 20060313 20031013 20031013
MOD DUR: 5.39 5.39 5.23 5.23
CONVEX: 0.37 0.37 0.34 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 242929602 235157669 226082000 221708656
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
101-08 7.41 7.41 7.41 7.40
101-10 7.41 7.40 7.40 7.39
101-12 7.40 7.39 7.39 7.38
101-14 7.39 7.38 7.38 7.37
* 101-16 7.38 7.37 7.37 7.37
101-18 7.37 7.37 7.36 7.36
101-20 7.36 7.36 7.35 7.35
101-22 7.35 7.35 7.34 7.34
101-24 7.34 7.34 7.33 7.33
101-26 7.33 7.33 7.32 7.32
WAL: 10.21 9.89 9.51 9.32
WINDOW 4.08 2.92 3.08 3.08
BEGIN: 20060313 20060313 20031013 20031013
END: 20100313 20090113 20061013 20061013
MOD DUR: 6.93 6.79 6.60 6.51
CONVEX: 0.63 0.60 0.57 0.55
SCENARIO:
<PAGE>
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 106965689 103701705 99860858 98203741
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.730148 9.66 9.29 8.71 8.45
10.792648 9.53 9.15 8.57 8.31
10.855148 9.39 9.02 8.43 8.17
10.917648 9.26 8.88 8.30 8.03
* 10.980148 9.13 8.75 8.16 7.89
11.042648 9.00 8.61 8.02 7.76
11.105148 8.87 8.48 7.89 7.62
11.167648 8.74 8.35 7.76 7.49
11.230148 8.61 8.22 7.63 7.35
11.292648 8.49 8.09 7.50 7.22
WAL: 5.56 5.35 5.17 5.09
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.26 4.20 4.17
CONVEX: 0.30 0.29 0.28 0.28
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
<PAGE>
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 20767673 18470046 14792269 14786911
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
101-08 7.56 7.54 7.52 7.52
101-10 7.55 7.54 7.51 7.51
101-12 7.54 7.53 7.50 7.50
101-14 7.53 7.52 7.49 7.49
* 101-16 7.53 7.51 7.48 7.48
101-18 7.52 7.51 7.47 7.47
101-20 7.51 7.50 7.47 7.47
101-22 7.50 7.49 7.46 7.46
101-24 7.50 7.48 7.45 7.45
101-26 7.49 7.47 7.44 7.44
WAL: 14.01 12.46 9.98 9.98
WINDOW 1.08 0.33 0.25 0.08
BEGIN: 20100313 20090113 20061013 20061013
END: 20110313 20090413 20061213 20061013
MOD DUR: 8.40 7.84 6.80 6.80
CONVEX: 0.98 0.84 0.61 0.61
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
<PAGE>
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 43920457 40858931 38525296 35778766
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
101-08 7.66 7.65 7.68 7.67
101-10 7.65 7.64 7.67 7.66
101-12 7.64 7.63 7.66 7.65
101-14 7.63 7.62 7.65 7.65
* 101-16 7.63 7.62 7.65 7.64
101-18 7.62 7.61 7.64 7.63
101-20 7.61 7.60 7.63 7.62
101-22 7.60 7.59 7.62 7.61
101-24 7.60 7.59 7.62 7.60
101-26 7.59 7.58 7.61 7.60
WAL: 14.58 13.57 12.71 11.80
WINDOW 0.33 2.17 4.33 4.42
BEGIN: 20110313 20090413 20061213 20061013
END: 20110613 20110513 20110313 20110213
MOD DUR: 8.57 8.22 7.89 7.54
CONVEX: 1.03 0.93 0.85 0.77
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
<PAGE>
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 40881442 40614495 40967256 41056483
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-20 7.80 7.81 7.87 7.89
101-22 7.80 7.80 7.86 7.89
101-24 7.79 7.80 7.85 7.88
101-26 7.78 7.79 7.84 7.87
* 101-28 7.78 7.78 7.84 7.87
101-30 7.77 7.77 7.83 7.86
102-00 7.76 7.77 7.82 7.85
102-02 7.75 7.76 7.81 7.84
102-04 7.75 7.75 7.81 7.84
102-06 7.74 7.74 7.80 7.83
WAL: 14.72 14.61 14.59 14.54
WINDOW 0.33 0.17 0.33 0.42
BEGIN: 20110613 20110513 20110313 20110213
END: 20110913 20110613 20110613 20110613
MOD DUR: 8.52 8.49 8.47 8.46
CONVEX: 1.02 1.01 1.01 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 47153915 46774166 47160900 47300997
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-24 8.12 8.12 8.18 8.21
<PAGE>
100-26 8.11 8.11 8.17 8.20
100-28 8.10 8.11 8.16 8.19
100-30 8.09 8.10 8.16 8.19
* 101-00 8.09 8.09 8.15 8.18
101-02 8.08 8.09 8.14 8.17
101-04 8.07 8.08 8.13 8.16
101-06 8.07 8.07 8.13 8.16
101-08 8.06 8.06 8.12 8.15
101-10 8.05 8.06 8.11 8.14
WAL: 14.89 14.76 14.74 14.70
WINDOW 0.08 0.33 0.33 0.25
BEGIN: 20110913 20110613 20110613 20110613
END: 20110913 20110913 20110913 20110813
MOD DUR: 8.43 8.39 8.38 8.37
CONVEX: 1.01 1.00 1.00 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 19611056 19631108 19814013 19919409
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-24 8.57 8.57 8.63 8.66
99-26 8.56 8.57 8.62 8.65
99-28 8.55 8.56 8.61 8.65
99-30 8.55 8.55 8.61 8.64
* 100-00 8.54 8.54 8.60 8.63
100-02 8.53 8.54 8.59 8.62
100-04 8.52 8.53 8.58 8.61
100-06 8.51 8.52 8.58 8.61
<PAGE>
100-08 8.51 8.51 8.57 8.60
100-10 8.50 8.51 8.56 8.59
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.22 8.22
CONVEX: 0.98 0.98 0.98 0.97
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-1 BB
CUR BALANCE: $42,991,329
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 59614160 60464120 61324464 64027680
TOTAL PRIN: 42991329 42991329 42991329 39258939
PENALTY: 0 0 0 0
87-10 11.23 11.22 11.27 10.81
87-12 11.22 11.21 11.26 10.81
87-14 11.21 11.20 11.25 10.80
87-16 11.20 11.19 11.24 10.79
* 87-18 11.19 11.18 11.23 10.78
87-20 11.18 11.17 11.22 10.77
87-22 11.17 11.16 11.21 10.76
87-24 11.16 11.15 11.20 10.75
87-26 11.15 11.14 11.19 10.74
87-28 11.14 11.13 11.18 10.73
WAL: 14.94 15.15 15.23 16.43
WINDOW 0.17 1.67 3.33 9.75
BEGIN: 20110913 20110913 20110913 20110913
END: 20111013 20130413 20141213 20210513
MOD DUR: 7.30 7.34 7.34 7.46
CONVEX: 0.82 0.83 0.83 0.88
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-2 B
CUR BALANCE: $27,358,119
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 39854289 43219175 34341745 19599322
TOTAL PRIN: 27358119 27358119 10077427 0
PENALTY: 0 0 0 0
74.140625 13.49 13.37 9.58 -0.86
74.203125 13.48 13.36 9.56 -0.88
74.265625 13.46 13.34 9.55 -0.90
74.328125 13.45 13.33 9.54 -0.92
* 74.390625 13.44 13.32 9.52 -0.94
74.453125 13.43 13.31 9.51 -0.97
74.515625 13.41 13.29 9.50 -0.99
74.578125 13.40 13.28 9.48 -1.01
74.640625 13.39 13.27 9.47 -1.03
74.703125 13.38 13.26 9.46 -1.05
WAL: 15.73 17.08 19.62 3.95
WINDOW 1.58 3.08 6.50 9.00
BEGIN: 20111013 20130413 20141213 19961113
END: 20130413 20160413 20210513 20051013
MOD DUR: 6.76 6.92 6.35 4.02
CONVEX: 0.74 0.80 0.72 0.23
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
<PAGE>
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-3 B-
CUR BALANCE: $7,816,605
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 11908847 11785582 5263401 5010840
TOTAL PRIN: 7816605 4823474 0 0
PENALTY: 0 0 0 0
59.890625 16.77 14.68 3.22 1.96
59.953125 16.75 14.66 3.19 1.92
60.015625 16.74 14.64 3.16 1.89
60.078125 16.72 14.62 3.13 1.86
* 60.140625 16.70 14.61 3.10 1.83
60.203125 16.68 14.59 3.07 1.80
60.265625 16.66 14.57 3.04 1.77
60.328125 16.65 14.55 3.01 1.74
60.390625 16.63 14.53 2.98 1.71
60.453125 16.61 14.52 2.95 1.68
WAL: 16.48 20.31 3.75 3.53
WINDOW 0.08 5.17 9.00 7.00
BEGIN: 20130413 20160413 19961113 19961113
END: 20130413 20210513 20051013 20031013
MOD DUR: 5.90 5.72 3.55 3.43
CONVEX: 0.62 0.62 0.19 0.17
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
<PAGE>
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4A UR
CUR BALANCE: $15,632,214
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 26994831 12930665 8581802 8581802
TOTAL PRIN: 15632214 0 0 0
PENALTY: 0 0 0 0
39.218750 25.16 19.98 12.11 12.11
39.281250 25.12 19.93 12.05 12.05
39.343750 25.08 19.88 11.99 11.99
39.406250 25.04 19.83 11.92 11.92
* 39.468750 25.00 19.77 11.86 11.86
39.531250 24.97 19.72 11.80 11.80
39.593750 24.93 19.67 11.74 11.74
39.656250 24.89 19.62 11.68 11.68
39.718750 24.85 19.57 11.61 11.61
39.781250 24.81 19.51 11.55 11.55
WAL: 18.71 4.54 3.03 3.03
WINDOW 8.17 9.00 6.00 6.00
BEGIN: 20130413 19961113 19961113 19961113
END: 20210513 20051013 20021013 20021013
MOD DUR: 4.03 3.03 2.54 2.54
CONVEX: 0.33 0.15 0.10 0.10
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
<PAGE>
CLASS: B-4B UR H
CUR BALANCE: $1,001
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 1728 828 549 549
TOTAL PRIN: 1001 0 0 0
PENALTY: 0 0 0 0
39.218750 25.16 19.98 12.11 12.11
39.281250 25.12 19.93 12.05 12.05
39.343750 25.08 19.88 11.99 11.99
39.406250 25.04 19.83 11.92 11.92
* 39.468750 25.00 19.77 11.86 11.86
39.531250 24.97 19.72 11.80 11.80
39.593750 24.93 19.67 11.74 11.74
39.656250 24.89 19.62 11.68 11.68
39.718750 24.85 19.57 11.61 11.61
39.781250 24.81 19.51 11.55 11.55
WAL: 18.71 4.54 3.03 3.03
WINDOW 8.17 9.00 6.00 6.00
BEGIN: 20130413 19961113 19961113 19961113
END: 20210513 20051013 20021013 20021013
MOD DUR: 4.03 3.03 2.54 2.54
CONVEX: 0.33 0.15 0.10 0.10
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: RESID
CUR BALANCE: $0
CUR COUPON: 0.00000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 46 46 37 37
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
<PAGE>
99.750000 -17.64 -17.64 -26.20 -26.20
99.812500 -17.66 -17.66 -26.22 -26.22
99.875000 -17.67 -17.67 -26.23 -26.23
99.937500 -17.68 -17.68 -26.24 -26.24
* 100.000000 -17.69 -17.69 -26.26 -26.26
100.062500 -17.71 -17.71 -26.27 -26.27
100.125000 -17.72 -17.72 -26.29 -26.29
100.187500 -17.73 -17.73 -26.30 -26.30
100.250000 -17.74 -17.74 -26.31 -26.31
100.312500 -17.76 -17.76 -26.33 -26.33
WAL: 3.81 3.81 3.14 3.14
WINDOW 6.08 6.08 5.08 5.08
BEGIN: 19970313 19970313 19970313 19970313
END: 20030313 20030313 20020313 20020313
MOD DUR: 4.98 4.98 4.57 4.57
CONVEX: 0.32 0.32 0.27 0.27
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 16005423 8097634 13367972 7854016 13367972
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.39 6.63 6.37 6.63
101-04 6.67 6.35 6.61 6.33 6.61
101-06 6.65 6.31 6.58 6.29 6.58
101-08 6.63 6.28 6.56 6.25 6.56
101-10 6.61 6.24 6.54 6.22 6.54
101-12 6.59 6.20 6.51 6.18 6.51
101-14 6.57 6.16 6.49 6.14 6.49
* 101-16 6.55 6.13 6.46 6.10 6.46
101-18 6.53 6.09 6.44 6.06 6.44
101-20 6.50 6.05 6.42 6.02 6.42
101-22 6.48 6.01 6.39 5.98 6.39
101-24 6.46 5.98 6.37 5.94 6.37
101-26 6.44 5.94 6.34 5.91 6.34
101-28 6.42 5.90 6.32 5.87 6.32
101-30 6.40 5.86 6.30 5.83 6.30
WAL: 3.54 1.80 2.96 1.74 2.96
WINDOW 6.42 2.92 4.00 2.00 4.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 19990913 20001013 19981013 20001013
MOD DUR: 2.98 1.64 2.57 1.59 2.57
CONVEX: 0.14 0.04 0.10 0.04 0.10
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
<PAGE>
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 5174126 2607018 4321465 2532468 4321465
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 -35.68 4.20 -39.13 4.20
6.241212 11.55 -36.38 3.61 -39.84 3.61
6.303712 11.03 -37.08 3.03 -40.54 3.03
6.366212 10.53 -37.76 2.46 -41.24 2.46
6.428712 10.03 -38.42 1.91 -41.92 1.91
6.491212 9.54 -39.08 1.36 -42.58 1.36
6.553712 9.06 -39.73 0.82 -43.24 0.82
* 6.616212 8.59 -40.37 0.28 -43.89 0.28
6.678712 8.13 -40.99 -0.24 -44.53 -0.24
6.741212 7.67 -41.61 -0.76 -45.16 -0.76
6.803712 7.22 -42.22 -1.26 -45.78 -1.26
6.866212 6.78 -42.82 -1.76 -46.38 -1.76
6.928712 6.34 -43.41 -2.26 -46.98 -2.26
6.991212 5.91 -43.99 -2.74 -47.57 -2.74
7.053712 5.49 -44.56 -3.22 -48.16 -3.22
WAL: 2.30 1.03 1.80 0.99 1.80
WINDOW 6.42 2.92 4.00 2.00 4.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 19990913 20001013 19981013 20001013
MOD DUR: 2.02 1.49 1.79 1.47 1.79
CONVEX: 0.07 0.04 0.05 0.04 0.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
<PAGE>
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 78652586 45289202 58107328 29694999 50592310
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 6.97 7.04 6.83 7.01
101-04 7.08 6.95 7.02 6.81 6.99
101-06 7.07 6.94 7.01 6.78 6.97
101-08 7.06 6.92 6.99 6.75 6.96
101-10 7.05 6.90 6.98 6.73 6.94
101-12 7.04 6.88 6.96 6.70 6.92
101-14 7.02 6.86 6.95 6.68 6.91
* 101-16 7.01 6.85 6.94 6.65 6.89
101-18 7.00 6.83 6.92 6.62 6.88
101-20 6.99 6.81 6.91 6.60 6.86
101-22 6.98 6.79 6.89 6.57 6.84
101-24 6.97 6.77 6.88 6.55 6.83
101-26 6.96 6.75 6.86 6.52 6.81
101-28 6.95 6.74 6.85 6.50 6.79
101-30 6.93 6.72 6.83 6.47 6.78
WAL: 7.11 4.10 5.25 2.69 4.58
WINDOW 3.08 4.08 3.00 1.08 1.08
BEGIN: 20030313 19990913 20001013 19981013 20001013
END: 20060313 20030913 20030913 19991013 20011013
MOD DUR: 5.41 3.40 4.24 2.37 3.78
CONVEX: 0.37 0.16 0.23 0.07 0.18
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 240332117 239707379 237971538 166818685 185385673
TOTAL PRIN: 321000000 321000000 321000000 277060622 284384798
PENALTY: 0 0 0 0 0
101-02 7.29 7.29 7.29 5.23 5.91
101-04 7.28 7.28 7.28 5.22 5.90
101-06 7.27 7.27 7.27 5.21 5.89
101-08 7.26 7.26 7.26 5.20 5.88
101-10 7.25 7.25 7.25 5.18 5.87
101-12 7.24 7.24 7.24 5.17 5.86
101-14 7.24 7.23 7.23 5.16 5.85
* 101-16 7.23 7.22 7.22 5.15 5.83
101-18 7.22 7.21 7.21 5.14 5.82
101-20 7.21 7.21 7.20 5.13 5.81
101-22 7.20 7.20 7.20 5.12 5.80
101-24 7.19 7.19 7.19 5.11 5.79
101-26 7.18 7.18 7.18 5.10 5.78
101-28 7.17 7.17 7.17 5.09 5.77
<PAGE>
101-30 7.16 7.16 7.16 5.07 5.76
WAL: 10.22 10.19 10.12 7.59 8.13
WINDOW 4.17 8.08 8.08 21.67 19.67
BEGIN: 20060313 20030913 20030913 19991013 20011013
END: 20100413 20110913 20110913 20210513 20210513
MOD DUR: 6.98 6.88 6.85 5.55 5.82
CONVEX: 0.64 0.64 0.64 0.47 0.48
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 118465921 99072086 105305355 54667878 71463680
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 5.30 6.75 -6.98 -1.23
12.097874 9.15 5.19 6.63 -7.08 -1.36
12.160374 9.03 5.09 6.52 -7.17 -1.48
12.222874 8.91 4.98 6.40 -7.27 -1.60
12.285374 8.80 4.88 6.29 -7.36 -1.73
<PAGE>
12.347874 8.68 4.77 6.18 -7.46 -1.85
12.410374 8.57 4.67 6.07 -7.55 -1.97
* 12.472874 8.45 4.56 5.96 -7.64 -2.09
12.535374 8.34 4.46 5.85 -7.74 -2.21
12.597874 8.23 4.36 5.74 -7.83 -2.33
12.660374 8.12 4.26 5.64 -7.92 -2.44
12.722874 8.01 4.16 5.53 -8.01 -2.56
12.785374 7.90 4.06 5.43 -8.09 -2.67
12.847874 7.79 3.97 5.32 -8.18 -2.79
12.910374 7.68 3.87 5.22 -8.27 -2.90
WAL: 5.57 5.72 5.60 3.90 3.92
WINDOW 14.92 24.58 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20210513 20210513 20210513 20210513
MOD DUR: 4.42 4.90 4.60 5.45 4.20
CONVEX: 0.31 0.40 0.36 0.55 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 20500978 21677135 21677135 4324125 8692697
TOTAL PRIN: 19564674 19564674 19564674 0 0
PENALTY: 0 0 0 0 0
101.062500 7.43 7.43 7.43 -68.16 -22.86
101.125000 7.42 7.43 7.43 -68.18 -22.87
101.187500 7.42 7.42 7.42 -68.20 -22.88
101.250000 7.41 7.41 7.41 -68.22 -22.90
101.312500 7.40 7.41 7.41 -68.24 -22.91
101.375000 7.39 7.40 7.40 -68.26 -22.93
101.437500 7.39 7.39 7.39 -68.28 -22.94
* 101.500000 7.38 7.38 7.38 -68.30 -22.96
101.562500 7.37 7.38 7.38 -68.32 -22.97
101.625000 7.36 7.37 7.37 -68.34 -22.99
101.687500 7.36 7.36 7.36 -68.36 -23.00
101.750000 7.35 7.36 7.36 -68.38 -23.02
101.812500 7.34 7.35 7.35 -68.40 -23.03
101.875000 7.34 7.34 7.34 -68.41 -23.05
101.937500 7.33 7.34 7.34 -68.43 -23.06
WAL: 14.08 14.89 14.89 1.53 3.03
WINDOW 1.08 0.08 0.08 6.42 6.00
BEGIN: 20100413 20110913 20110913 19961113 19961113
END: 20110413 20110913 20110913 20030313 20021013
MOD DUR: 8.50 8.77 8.77 3.18 4.22
CONVEX: 1.00 1.08 1.08 0.14 0.24
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
<PAGE>
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 43172519 43275954 43417403 8602196 14452607
TOTAL PRIN: 39129349 39129349 39129349 0 0
PENALTY: 0 0 0 0 0
101.062500 7.53 7.39 7.43 -68.53 -32.13
101.125000 7.52 7.38 7.42 -68.55 -32.15
101.187500 7.51 7.38 7.41 -68.57 -32.16
101.250000 7.51 7.37 7.41 -68.59 -32.18
101.312500 7.50 7.36 7.40 -68.61 -32.20
101.375000 7.49 7.36 7.39 -68.63 -32.21
101.437500 7.49 7.35 7.38 -68.65 -32.23
* 101.500000 7.48 7.34 7.38 -68.67 -32.25
101.562500 7.47 7.33 7.37 -68.69 -32.26
101.625000 7.46 7.33 7.36 -68.71 -32.28
101.687500 7.46 7.32 7.36 -68.73 -32.29
101.750000 7.45 7.31 7.35 -68.75 -32.31
101.812500 7.44 7.31 7.34 -68.77 -32.33
101.875000 7.44 7.30 7.34 -68.78 -32.34
101.937500 7.43 7.29 7.33 -68.80 -32.36
WAL: 14.59 14.92 14.91 1.52 2.52
WINDOW 0.25 0.17 0.17 3.00 6.42
BEGIN: 20110413 20110913 20110913 19961113 19961113
END: 20110613 20111013 20111013 19991013 20030313
MOD DUR: 8.65 8.82 8.79 3.18 3.83
CONVEX: 1.04 1.09 1.08 0.14 0.19
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
<PAGE>
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 40208318 42552406 42372898 7939620 13338100
TOTAL PRIN: 35216414 35216414 35216414 0 0
PENALTY: 0 0 0 0 0
101.437500 7.68 7.54 7.57 -67.85 -31.57
101.500000 7.67 7.53 7.56 -67.87 -31.58
101.562500 7.67 7.52 7.56 -67.89 -31.60
101.625000 7.66 7.51 7.55 -67.91 -31.62
101.687500 7.65 7.51 7.54 -67.93 -31.63
101.750000 7.64 7.50 7.54 -67.94 -31.65
101.812500 7.64 7.49 7.53 -67.96 -31.67
* 101.875000 7.63 7.49 7.52 -67.98 -31.68
101.937500 7.62 7.48 7.52 -68.00 -31.70
102.000000 7.62 7.47 7.51 -68.02 -31.71
102.062500 7.61 7.47 7.50 -68.04 -31.73
102.125000 7.60 7.46 7.50 -68.06 -31.75
102.187500 7.59 7.45 7.49 -68.08 -31.76
102.250000 7.59 7.45 7.48 -68.10 -31.78
102.312500 7.58 7.44 7.47 -68.12 -31.79
WAL: 14.73 15.94 15.81 1.52 2.52
WINDOW 0.33 1.58 1.58 3.00 5.00
BEGIN: 20110613 20111013 20111013 19961113 19961113
END: 20110913 20130413 20130413 19991013 20011013
MOD DUR: 8.60 9.03 8.96 3.15 3.80
CONVEX: 1.04 1.16 1.15 0.14 0.19
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
<PAGE>
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 46377360 24106081 31050460 9062318 15222625
TOTAL PRIN: 39129349 12166196 15125150 0 0
PENALTY: 0 0 0 0 0
100.562500 7.99 -0.71 1.52 -66.70 -30.63
100.625000 7.99 -0.71 1.52 -66.72 -30.64
100.687500 7.98 -0.72 1.51 -66.74 -30.66
100.750000 7.97 -0.72 1.50 -66.76 -30.68
100.812500 7.96 -0.73 1.50 -66.78 -30.69
100.875000 7.96 -0.73 1.49 -66.80 -30.71
100.937500 7.95 -0.74 1.49 -66.82 -30.72
* 101.000000 7.94 -0.74 1.48 -66.84 -30.74
101.062500 7.94 -0.75 1.47 -66.86 -30.76
101.125000 7.93 -0.75 1.47 -66.88 -30.77
101.187500 7.92 -0.76 1.46 -66.90 -30.79
101.250000 7.91 -0.77 1.45 -66.92 -30.81
101.312500 7.91 -0.77 1.45 -66.94 -30.82
101.375000 7.90 -0.78 1.44 -66.96 -30.84
101.437500 7.89 -0.78 1.44 -66.98 -30.86
WAL: 14.89 18.91 18.44 1.52 2.52
WINDOW 0.08 8.17 8.17 3.00 5.00
BEGIN: 20110913 20130413 20130413 19961113 19961113
END: 20110913 20210513 20210513 19991013 20011013
MOD DUR: 8.51 11.74 10.12 3.11 3.76
CONVEX: 1.03 1.97 1.56 0.13 0.19
SCENARIO:
<PAGE>
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 19303512 3784950 6350103 3775048 6340281
TOTAL PRIN: 15651739 0 0 0 0
PENALTY: 0 0 0 0 0
99.562500 8.44 -64.90 -29.20 -65.05 -29.27
99.625000 8.44 -64.92 -29.21 -65.07 -29.28
99.687500 8.43 -64.94 -29.23 -65.09 -29.30
99.750000 8.42 -64.96 -29.25 -65.12 -29.32
99.812500 8.41 -64.98 -29.26 -65.14 -29.33
99.875000 8.41 -65.00 -29.28 -65.16 -29.35
99.937500 8.40 -65.02 -29.30 -65.18 -29.37
* 100.000000 8.39 -65.04 -29.31 -65.20 -29.39
100.062500 8.38 -65.06 -29.33 -65.22 -29.40
100.125000 8.38 -65.08 -29.35 -65.24 -29.42
100.187500 8.37 -65.10 -29.36 -65.26 -29.44
100.250000 8.36 -65.12 -29.38 -65.28 -29.45
100.312500 8.35 -65.15 -29.40 -65.30 -29.47
<PAGE>
100.375000 8.35 -65.17 -29.42 -65.32 -29.49
100.437500 8.34 -65.19 -29.43 -65.34 -29.50
WAL: 14.89 1.53 2.53 1.53 2.52
WINDOW 0.08 3.00 5.00 3.00 5.00
BEGIN: 20110913 19961113 19961113 19961113 19961113
END: 20110913 19991013 20011013 19991013 20011013
MOD DUR: 8.30 3.05 3.69 3.05 3.69
CONVEX: 0.99 0.13 0.18 0.13 0.18
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:50% MF 50% MHP 50% NURS 50% OFFC 50% INDU 50% RETL 50% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 16005423 7854016 13367972 7854016 13367972
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.37 6.63 6.37 6.63
101-04 6.67 6.33 6.61 6.33 6.61
101-06 6.65 6.29 6.58 6.29 6.58
101-08 6.63 6.25 6.56 6.25 6.56
101-10 6.61 6.22 6.54 6.22 6.54
101-12 6.59 6.18 6.51 6.18 6.51
101-14 6.57 6.14 6.49 6.14 6.49
* 101-16 6.55 6.10 6.46 6.10 6.46
101-18 6.53 6.06 6.44 6.06 6.44
101-20 6.50 6.02 6.42 6.02 6.42
101-22 6.48 5.98 6.39 5.98 6.39
101-24 6.46 5.94 6.37 5.94 6.37
101-26 6.44 5.91 6.34 5.91 6.34
101-28 6.42 5.87 6.32 5.87 6.32
101-30 6.40 5.83 6.30 5.83 6.30
WAL: 3.54 1.74 2.96 1.74 2.96
WINDOW 6.42 2.00 4.00 2.00 4.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 19981013 20001013 19981013 20001013
MOD DUR: 2.98 1.59 2.57 1.59 2.57
CONVEX: 0.14 0.04 0.10 0.04 0.10
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
<PAGE>
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 5174126 2532468 4321465 2532468 4321465
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 -39.13 4.20 -39.13 4.20
6.241212 11.55 -39.84 3.61 -39.84 3.61
6.303712 11.03 -40.54 3.03 -40.54 3.03
6.366212 10.53 -41.24 2.46 -41.24 2.46
6.428712 10.03 -41.92 1.91 -41.92 1.91
6.491212 9.54 -42.58 1.36 -42.58 1.36
6.553712 9.06 -43.24 0.82 -43.24 0.82
* 6.616212 8.59 -43.89 0.28 -43.89 0.28
6.678712 8.13 -44.53 -0.24 -44.53 -0.24
6.741212 7.67 -45.16 -0.76 -45.16 -0.76
6.803712 7.22 -45.78 -1.26 -45.78 -1.26
6.866212 6.78 -46.38 -1.76 -46.38 -1.76
6.928712 6.34 -46.98 -2.26 -46.98 -2.26
6.991212 5.91 -47.57 -2.74 -47.57 -2.74
7.053712 5.49 -48.16 -3.22 -48.16 -3.22
WAL: 2.30 0.99 1.80 0.99 1.80
WINDOW 6.42 2.00 4.00 2.00 4.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 19981013 20001013 19981013 20001013
MOD DUR: 2.02 1.47 1.79 1.47 1.79
CONVEX: 0.07 0.04 0.05 0.04 0.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
<PAGE>
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 78652586 32132699 52701905 27044117 48008865
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 6.87 7.02 6.79 6.99
101-04 7.08 6.84 7.00 6.76 6.98
101-06 7.07 6.82 6.98 6.73 6.96
101-08 7.06 6.79 6.97 6.71 6.94
101-10 7.05 6.77 6.95 6.68 6.92
101-12 7.04 6.74 6.94 6.65 6.91
101-14 7.02 6.72 6.92 6.62 6.89
* 101-16 7.01 6.70 6.91 6.59 6.87
101-18 7.00 6.67 6.89 6.56 6.86
101-20 6.99 6.65 6.87 6.54 6.84
101-22 6.98 6.62 6.86 6.51 6.82
101-24 6.97 6.60 6.84 6.48 6.81
101-26 6.96 6.58 6.83 6.45 6.79
101-28 6.95 6.55 6.81 6.42 6.77
101-30 6.93 6.53 6.80 6.40 6.75
WAL: 7.11 2.91 4.77 2.45 4.34
WINDOW 3.08 2.08 1.08 1.08 1.08
BEGIN: 20030313 19981013 20001013 19981013 20001013
END: 20060313 20001013 20011013 19991013 20011013
MOD DUR: 5.41 2.55 3.92 2.18 3.62
CONVEX: 0.37 0.08 0.19 0.06 0.16
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 240332117 205350192 204439533 112813975 140769601
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0
101-02 7.29 7.27 7.27 7.16 7.21
101-04 7.28 7.26 7.26 7.14 7.20
101-06 7.27 7.25 7.25 7.13 7.18
101-08 7.26 7.24 7.24 7.11 7.17
101-10 7.25 7.23 7.23 7.09 7.16
101-12 7.24 7.22 7.22 7.08 7.15
101-14 7.24 7.21 7.21 7.06 7.13
* 101-16 7.23 7.20 7.20 7.05 7.12
101-18 7.22 7.19 7.19 7.03 7.11
101-20 7.21 7.18 7.18 7.01 7.09
101-22 7.20 7.17 7.17 7.00 7.08
101-24 7.19 7.16 7.16 6.98 7.07
101-26 7.18 7.15 7.15 6.97 7.05
101-28 7.17 7.14 7.14 6.95 7.04
<PAGE>
101-30 7.16 7.13 7.13 6.93 7.03
WAL: 10.22 8.73 8.69 4.80 5.99
WINDOW 4.17 10.42 9.25 6.58 4.58
BEGIN: 20060313 20001013 20011013 19991013 20011013
END: 20100413 20110213 20101213 20060413 20060413
MOD DUR: 6.98 6.20 6.18 3.84 4.68
CONVEX: 0.64 0.51 0.51 0.21 0.28
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 118465921 92129624 99052427 52800910 69308236
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 4.04 5.75 -7.98 -2.06
12.097874 9.15 3.94 5.64 -8.07 -2.19
12.160374 9.03 3.83 5.52 -8.17 -2.31
12.222874 8.91 3.72 5.41 -8.27 -2.44
12.285374 8.80 3.61 5.29 -8.37 -2.57
<PAGE>
12.347874 8.68 3.51 5.18 -8.46 -2.69
12.410374 8.57 3.40 5.06 -8.55 -2.81
* 12.472874 8.45 3.30 4.95 -8.65 -2.94
12.535374 8.34 3.20 4.84 -8.74 -3.06
12.597874 8.23 3.10 4.73 -8.83 -3.18
12.660374 8.12 2.99 4.62 -8.92 -3.29
12.722874 8.01 2.89 4.52 -9.01 -3.41
12.785374 7.90 2.79 4.41 -9.10 -3.53
12.847874 7.79 2.70 4.30 -9.19 -3.64
12.910374 7.68 2.60 4.20 -9.28 -3.76
WAL: 5.57 5.41 5.27 3.71 3.75
WINDOW 14.92 16.50 16.50 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20130413 20130413 20210513 20210513
MOD DUR: 4.42 4.85 4.51 5.41 4.13
CONVEX: 0.31 0.39 0.34 0.55 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 20500978 21085344 21039296 14235960 14099675
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0
101-02 7.43 7.43 7.43 7.40 7.40
101-04 7.42 7.42 7.42 7.39 7.39
101-06 7.42 7.42 7.42 7.38 7.38
101-08 7.41 7.41 7.41 7.37 7.37
101-10 7.40 7.40 7.40 7.36 7.36
101-12 7.39 7.40 7.40 7.35 7.35
101-14 7.39 7.39 7.39 7.34 7.34
* 101-16 7.38 7.38 7.38 7.33 7.33
101-18 7.37 7.37 7.37 7.32 7.32
101-20 7.36 7.37 7.37 7.31 7.31
101-22 7.36 7.36 7.36 7.31 7.30
101-24 7.35 7.35 7.35 7.30 7.29
101-26 7.34 7.35 7.35 7.29 7.29
101-28 7.34 7.34 7.34 7.28 7.28
101-30 7.33 7.33 7.33 7.27 7.27
WAL: 14.08 14.49 14.45 9.78 9.69
WINDOW 1.08 0.33 0.50 0.50 0.50
BEGIN: 20100413 20110213 20101213 20060413 20060413
END: 20110413 20110513 20110513 20060913 20060913
MOD DUR: 8.50 8.63 8.62 6.76 6.71
CONVEX: 1.00 1.04 1.03 0.59 0.59
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
<PAGE>
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 43172519 42846059 42960429 38400096 36979119
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
101-02 7.53 7.39 7.43 7.38 7.44
101-04 7.52 7.38 7.42 7.37 7.43
101-06 7.51 7.38 7.41 7.37 7.42
101-08 7.51 7.37 7.40 7.36 7.41
101-10 7.50 7.36 7.40 7.35 7.40
101-12 7.49 7.35 7.39 7.34 7.40
101-14 7.49 7.35 7.38 7.34 7.39
* 101-16 7.48 7.34 7.38 7.33 7.38
101-18 7.47 7.33 7.37 7.32 7.37
101-20 7.46 7.33 7.36 7.31 7.37
101-22 7.46 7.32 7.35 7.31 7.36
101-24 7.45 7.31 7.35 7.30 7.35
101-26 7.44 7.31 7.34 7.29 7.34
101-28 7.44 7.30 7.33 7.28 7.33
101-30 7.43 7.29 7.33 7.28 7.33
WAL: 14.59 14.77 14.75 13.18 12.62
WINDOW 0.25 0.42 0.42 5.08 5.00
BEGIN: 20110413 20110513 20110513 20060913 20060913
END: 20110613 20110913 20110913 20110913 20110813
MOD DUR: 8.65 8.77 8.74 8.19 7.93
CONVEX: 1.04 1.07 1.07 0.93 0.87
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
<PAGE>
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 40208318 39873824 40016662 23630399 30334253
TOTAL PRIN: 35216414 35216414 35216414 11983137 16377643
PENALTY: 0 0 0 0 0
101-14 7.68 7.54 7.58 -0.03 2.64
101-16 7.67 7.53 7.57 -0.03 2.63
101-18 7.67 7.53 7.56 -0.04 2.62
101-20 7.66 7.52 7.56 -0.04 2.62
101-22 7.65 7.51 7.55 -0.05 2.61
101-24 7.64 7.51 7.54 -0.06 2.61
101-26 7.64 7.50 7.53 -0.06 2.60
* 101-28 7.63 7.49 7.53 -0.07 2.59
101-30 7.62 7.48 7.52 -0.07 2.59
102-00 7.62 7.48 7.51 -0.08 2.58
102-02 7.61 7.47 7.51 -0.08 2.57
102-04 7.60 7.46 7.50 -0.09 2.57
102-06 7.59 7.46 7.49 -0.10 2.56
102-08 7.59 7.45 7.49 -0.10 2.55
102-10 7.58 7.44 7.48 -0.11 2.55
WAL: 14.73 14.89 14.89 18.31 17.38
WINDOW 0.33 0.08 0.08 9.75 9.83
BEGIN: 20110613 20110913 20110913 20110913 20110813
END: 20110913 20110913 20110913 20210513 20210513
MOD DUR: 8.60 8.72 8.69 10.97 9.56
CONVEX: 1.04 1.07 1.06 1.76 1.38
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
<PAGE>
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 46377360 46511717 46460564 9062342 15222634
TOTAL PRIN: 39129349 39129349 39129349 0 0
PENALTY: 0 0 0 0 0
100.562500 7.99 7.85 7.89 -66.70 -30.63
100.625000 7.99 7.84 7.88 -66.72 -30.64
100.687500 7.98 7.84 7.87 -66.74 -30.66
100.750000 7.97 7.83 7.86 -66.76 -30.68
100.812500 7.96 7.82 7.86 -66.78 -30.69
100.875000 7.96 7.81 7.85 -66.80 -30.71
100.937500 7.95 7.81 7.84 -66.82 -30.72
* 101.000000 7.94 7.80 7.84 -66.84 -30.74
101.062500 7.94 7.79 7.83 -66.86 -30.76
101.125000 7.93 7.79 7.82 -66.88 -30.77
101.187500 7.92 7.78 7.81 -66.90 -30.79
101.250000 7.91 7.77 7.81 -66.92 -30.81
101.312500 7.91 7.76 7.80 -66.94 -30.82
101.375000 7.90 7.76 7.79 -66.96 -30.84
101.437500 7.89 7.75 7.79 -66.98 -30.86
WAL: 14.89 15.23 15.16 1.52 2.52
WINDOW 0.08 1.67 1.67 6.42 6.42
BEGIN: 20110913 20110913 20110913 19961113 19961113
END: 20110913 20130413 20130413 20030313 20030313
MOD DUR: 8.51 8.67 8.62 3.11 3.76
CONVEX: 1.03 1.07 1.06 0.13 0.19
SCENARIO:
<PAGE>
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-51 SCN-53 SCN-57 SCN-59
TOTAL INT: 19303512 20886768 20950252 3775048 6340281
TOTAL PRIN: 15651739 15651739 15651739 0 0
PENALTY: 0 0 0 0 0
99.562500 8.44 8.29 8.32 -65.05 -29.27
99.625000 8.44 8.28 8.31 -65.07 -29.28
99.687500 8.43 8.27 8.31 -65.09 -29.30
99.750000 8.42 8.26 8.30 -65.12 -29.32
99.812500 8.41 8.26 8.29 -65.14 -29.33
99.875000 8.41 8.25 8.28 -65.16 -29.35
99.937500 8.40 8.24 8.28 -65.18 -29.37
* 100.000000 8.39 8.24 8.27 -65.20 -29.39
100.062500 8.38 8.23 8.26 -65.22 -29.40
100.125000 8.38 8.22 8.26 -65.24 -29.42
100.187500 8.37 8.21 8.25 -65.26 -29.44
100.250000 8.36 8.21 8.24 -65.28 -29.45
100.312500 8.35 8.20 8.23 -65.30 -29.47
<PAGE>
100.375000 8.35 8.19 8.23 -65.32 -29.49
100.437500 8.34 8.19 8.22 -65.34 -29.50
WAL: 14.89 16.48 16.48 1.53 2.52
WINDOW 0.08 0.08 0.08 3.00 5.00
BEGIN: 20110913 20130413 20130413 19961113 19961113
END: 20110913 20130413 20130413 19991013 20011013
MOD DUR: 8.30 8.79 8.76 3.05 3.69
CONVEX: 0.99 1.13 1.13 0.13 0.18
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
51 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
53 Loans (35.39% of Cut-Off Balance,33.33% of Loans) default. DSCR
greater than or equal to:1.20MF 1.20MHP 1.40NURS 1.40OFFC 1.30INDU 1.40RETL
1.50HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
57 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :36 MF 36 MHP 24 NURS 24 OFFC 24 INDU 24 RETL 12
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
59 Loans (74.69% of Cut-Off Balance,65.79% of Loans) default. DSCR
greater than or equal to:1.35MF 1.35MHP 1.55NURS 1.55OFFC 1.45INDU 1.55RETL
1.65HOTL
in mo. :60 MF 60 MHP 48 NURS 48 OFFC 48 INDU 48 RETL 36
HOTL Recover:70% MF 70% MHP 70% NURS 70% OFFC 70% INDU 70% RETL 70% HOTL
in mo. :12 MF 12 MHP 12 NURS 12 OFFC 12 INDU 12 RETL 12
HOTL Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 16005423 11340682 14583783 12790411 15036097
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.57 6.66 6.61 6.67
101-04 6.67 6.54 6.64 6.59 6.65
101-06 6.65 6.51 6.62 6.56 6.63
101-08 6.63 6.48 6.60 6.54 6.61
101-10 6.61 6.45 6.57 6.51 6.58
101-12 6.59 6.43 6.55 6.49 6.56
101-14 6.57 6.40 6.53 6.46 6.54
* 101-16 6.55 6.37 6.51 6.44 6.52
101-18 6.53 6.34 6.48 6.41 6.50
101-20 6.50 6.32 6.46 6.39 6.48
101-22 6.48 6.29 6.44 6.36 6.45
101-24 6.46 6.26 6.42 6.34 6.43
101-26 6.44 6.23 6.39 6.31 6.41
101-28 6.42 6.20 6.37 6.29 6.39
101-30 6.40 6.18 6.35 6.26 6.37
WAL: 3.54 2.51 3.23 2.83 3.33
WINDOW 6.42 4.00 5.17 4.83 5.58
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20001013 20011213 20010813 20020513
MOD DUR: 2.98 2.22 2.76 2.46 2.83
CONVEX: 0.14 0.07 0.11 0.09 0.12
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
<PAGE>
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 5174126 3661413 4714396 4131677 4860587
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 -5.90 8.43 1.65 9.72
6.241212 11.55 -6.52 7.87 1.06 9.17
6.303712 11.03 -7.13 7.32 0.49 8.64
6.366212 10.53 -7.73 6.79 -0.07 8.11
6.428712 10.03 -8.32 6.26 -0.63 7.59
6.491212 9.54 -8.90 5.74 -1.17 7.08
6.553712 9.06 -9.47 5.23 -1.71 6.58
* 6.616212 8.59 -10.03 4.72 -2.24 6.09
6.678712 8.13 -10.58 4.23 -2.76 5.60
6.741212 7.67 -11.13 3.74 -3.27 5.13
6.803712 7.22 -11.66 3.26 -3.77 4.66
6.866212 6.78 -12.19 2.78 -4.27 4.19
6.928712 6.34 -12.71 2.32 -4.75 3.74
6.991212 5.91 -13.23 1.86 -5.23 3.29
7.053712 5.49 -13.73 1.41 -5.71 2.85
WAL: 2.30 1.51 2.01 1.76 2.10
WINDOW 6.42 4.00 5.17 4.83 5.58
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20001013 20011213 20010813 20020513
MOD DUR: 2.02 1.69 1.89 1.81 1.93
CONVEX: 0.07 0.05 0.06 0.06 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
<PAGE>
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 78652586 68467565 72840911 73047474 75190922
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 7.07 7.08 7.08 7.09
101-04 7.08 7.06 7.07 7.07 7.07
101-06 7.07 7.04 7.06 7.06 7.06
101-08 7.06 7.03 7.04 7.04 7.05
101-10 7.05 7.02 7.03 7.03 7.04
101-12 7.04 7.01 7.02 7.02 7.03
101-14 7.02 6.99 7.01 7.01 7.02
* 101-16 7.01 6.98 7.00 7.00 7.00
101-18 7.00 6.97 6.98 6.98 6.99
101-20 6.99 6.95 6.97 6.97 6.98
101-22 6.98 6.94 6.96 6.96 6.97
101-24 6.97 6.93 6.95 6.95 6.96
101-26 6.96 6.92 6.94 6.94 6.94
101-28 6.95 6.90 6.92 6.92 6.93
101-30 6.93 6.89 6.91 6.91 6.92
WAL: 7.11 6.19 6.59 6.60 6.80
WINDOW 3.08 3.08 2.08 2.83 2.50
BEGIN: 20030313 20001013 20011213 20010813 20020513
END: 20060313 20031013 20031213 20040513 20041013
MOD DUR: 5.41 4.84 5.10 5.11 5.23
CONVEX: 0.37 0.30 0.32 0.33 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
<PAGE>
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 240332117 234501870 234929059 237968814 238066374
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0
101-02 7.29 7.29 7.29 7.29 7.29
101-04 7.28 7.28 7.28 7.28 7.28
101-06 7.27 7.27 7.27 7.27 7.27
101-08 7.26 7.26 7.26 7.26 7.26
101-10 7.25 7.25 7.25 7.25 7.25
101-12 7.24 7.24 7.24 7.24 7.24
101-14 7.24 7.23 7.23 7.23 7.23
* 101-16 7.23 7.22 7.22 7.22 7.22
101-18 7.22 7.21 7.21 7.22 7.22
101-20 7.21 7.20 7.20 7.21 7.21
101-22 7.20 7.19 7.20 7.20 7.20
101-24 7.19 7.19 7.19 7.19 7.19
101-26 7.18 7.18 7.18 7.18 7.18
101-28 7.17 7.17 7.17 7.17 7.17
101-30 7.16 7.16 7.16 7.16 7.16
WAL: 10.22 9.97 9.99 10.12 10.12
WINDOW 4.17 7.50 6.75 6.50 5.67
BEGIN: 20060313 20031013 20031213 20040513 20041013
END: 20100413 20110313 20100813 20101013 20100513
MOD DUR: 6.98 6.84 6.86 6.93 6.93
CONVEX: 0.64 0.62 0.62 0.63 0.63
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
<PAGE>
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 118465921 114232289 115967343 116283867 116849723
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 8.48 8.82 8.90 9.02
12.097874 9.15 8.37 8.70 8.78 8.90
12.160374 9.03 8.25 8.59 8.66 8.78
12.222874 8.91 8.13 8.47 8.54 8.67
12.285374 8.80 8.02 8.35 8.43 8.55
12.347874 8.68 7.90 8.24 8.31 8.43
12.410374 8.57 7.79 8.12 8.20 8.32
* 12.472874 8.45 7.68 8.01 8.09 8.21
12.535374 8.34 7.56 7.90 7.97 8.09
12.597874 8.23 7.45 7.79 7.86 7.98
12.660374 8.12 7.34 7.68 7.75 7.87
12.722874 8.01 7.24 7.57 7.64 7.76
12.785374 7.90 7.13 7.46 7.53 7.65
12.847874 7.79 7.02 7.35 7.42 7.54
12.910374 7.68 6.91 7.24 7.32 7.43
WAL: 5.57 5.59 5.58 5.56 5.54
WINDOW 14.92 24.58 19.75 15.50 15.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20210513 20160713 20120413 20111013
MOD DUR: 4.42 4.47 4.44 4.43 4.42
CONVEX: 0.31 0.33 0.32 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
<PAGE>
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 20500978 21207088 20874511 20944904 20621360
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0
101-02 7.43 7.43 7.43 7.43 7.43
101-04 7.42 7.43 7.42 7.42 7.42
101-06 7.42 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41 7.41
101-10 7.40 7.40 7.40 7.40 7.40
101-12 7.39 7.40 7.40 7.40 7.39
101-14 7.39 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38 7.38
101-18 7.37 7.38 7.37 7.37 7.37
101-20 7.36 7.37 7.37 7.37 7.36
101-22 7.36 7.36 7.36 7.36 7.36
101-24 7.35 7.35 7.35 7.35 7.35
101-26 7.34 7.35 7.34 7.35 7.34
101-28 7.34 7.34 7.34 7.34 7.34
101-30 7.33 7.33 7.33 7.33 7.33
WAL: 14.08 14.57 14.34 14.39 14.17
WINDOW 1.08 0.33 0.83 0.67 1.08
BEGIN: 20100413 20110313 20100813 20101013 20100513
END: 20110413 20110613 20110513 20110513 20110513
MOD DUR: 8.50 8.66 8.59 8.60 8.53
CONVEX: 1.00 1.05 1.02 1.03 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
<PAGE>
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 43172519 43630925 43350693 43285690 43212344
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
101-02 7.53 7.52 7.52 7.52 7.53
101-04 7.52 7.51 7.51 7.52 7.52
101-06 7.51 7.50 7.51 7.51 7.51
101-08 7.51 7.50 7.50 7.50 7.50
101-10 7.50 7.49 7.49 7.50 7.50
101-12 7.49 7.48 7.49 7.49 7.49
101-14 7.49 7.48 7.48 7.48 7.48
* 101-16 7.48 7.47 7.47 7.47 7.48
101-18 7.47 7.46 7.46 7.47 7.47
101-20 7.46 7.45 7.46 7.46 7.46
101-22 7.46 7.45 7.45 7.45 7.45
101-24 7.45 7.44 7.44 7.45 7.45
101-26 7.44 7.43 7.44 7.44 7.44
101-28 7.44 7.43 7.43 7.43 7.43
101-30 7.43 7.42 7.42 7.42 7.43
WAL: 14.59 14.77 14.67 14.64 14.61
WINDOW 0.25 0.33 0.42 0.25 0.25
BEGIN: 20110413 20110613 20110513 20110513 20110513
END: 20110613 20110913 20110913 20110713 20110713
MOD DUR: 8.65 8.71 8.67 8.67 8.66
CONVEX: 1.04 1.06 1.05 1.05 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
<PAGE>
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 40208318 40640418 40599488 40559029 40468282
TOTAL PRIN: 35216414 35216414 35216414 35216414 35216414
PENALTY: 0 0 0 0 0
101-14 7.68 7.67 7.67 7.67 7.68
101-16 7.67 7.66 7.67 7.67 7.67
101-18 7.67 7.65 7.66 7.66 7.66
101-20 7.66 7.65 7.65 7.65 7.66
101-22 7.65 7.64 7.64 7.65 7.65
101-24 7.64 7.63 7.64 7.64 7.64
101-26 7.64 7.63 7.63 7.63 7.63
* 101-28 7.63 7.62 7.62 7.63 7.63
101-30 7.62 7.61 7.62 7.62 7.62
102-00 7.62 7.61 7.61 7.61 7.61
102-02 7.61 7.60 7.60 7.60 7.61
102-04 7.60 7.59 7.60 7.60 7.60
102-06 7.59 7.58 7.59 7.59 7.59
102-08 7.59 7.58 7.58 7.58 7.58
102-10 7.58 7.57 7.57 7.58 7.58
WAL: 14.73 14.92 14.89 14.87 14.83
WINDOW 0.33 0.17 0.08 0.25 0.25
BEGIN: 20110613 20110913 20110913 20110713 20110713
END: 20110913 20111013 20110913 20110913 20110913
MOD DUR: 8.60 8.66 8.65 8.65 8.64
CONVEX: 1.04 1.06 1.05 1.05 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
<PAGE>
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 46377360 50635604 47380396 46407599 46351481
TOTAL PRIN: 39129349 33609760 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
100-18 7.99 7.44 7.98 7.99 7.99
100-20 7.99 7.43 7.97 7.98 7.98
100-22 7.98 7.42 7.97 7.97 7.97
100-24 7.97 7.41 7.96 7.97 7.97
100-26 7.96 7.41 7.95 7.96 7.96
100-28 7.96 7.40 7.95 7.95 7.95
100-30 7.95 7.39 7.94 7.94 7.95
* 101-00 7.94 7.39 7.93 7.94 7.94
101-02 7.94 7.38 7.92 7.93 7.93
101-04 7.93 7.37 7.92 7.92 7.92
101-06 7.92 7.37 7.91 7.91 7.92
101-08 7.91 7.36 7.90 7.91 7.91
101-10 7.91 7.35 7.90 7.90 7.90
101-12 7.90 7.34 7.89 7.89 7.90
101-14 7.89 7.34 7.88 7.89 7.89
WAL: 14.89 16.67 15.25 14.92 14.89
WINDOW 0.08 9.67 1.67 0.17 0.17
BEGIN: 20110913 20111013 20110913 20110913 20110913
END: 20110913 20210513 20130413 20111013 20111013
MOD DUR: 8.51 8.85 8.61 8.52 8.51
CONVEX: 1.03 1.15 1.06 1.03 1.03
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 19303512 14561888 22611277 19437381 19395115
TOTAL PRIN: 15651739 0 15651739 15651739 15651739
PENALTY: 0 0 0 0 0
99-18 8.44 -1.16 8.41 8.44 8.44
99-20 8.44 -1.17 8.40 8.43 8.43
99-22 8.43 -1.18 8.40 8.42 8.43
99-24 8.42 -1.19 8.39 8.42 8.42
99-26 8.41 -1.20 8.38 8.41 8.41
99-28 8.41 -1.21 8.37 8.40 8.40
99-30 8.40 -1.22 8.37 8.39 8.39
* 100-00 8.39 -1.23 8.36 8.38 8.39
100-02 8.38 -1.24 8.35 8.38 8.38
100-04 8.38 -1.25 8.35 8.37 8.37
100-06 8.37 -1.26 8.34 8.36 8.36
100-08 8.36 -1.27 8.33 8.36 8.36
100-10 8.35 -1.28 8.33 8.35 8.35
100-12 8.35 -1.30 8.32 8.34 8.34
100-14 8.34 -1.31 8.31 8.33 8.34
WAL: 14.89 5.77 17.57 15.01 14.97
WINDOW 0.08 13.33 3.33 0.58 0.08
BEGIN: 20110913 19961113 20130413 20111013 20111013
END: 20110913 20100213 20160713 20120413 20111013
<PAGE>
MOD DUR: 8.30 5.95 8.97 8.34 8.33
CONVEX: 0.99 0.50 1.20 1.00 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 14.71%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 11.85%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 8.11%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 50% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 6.43%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 16005423 10659624 14367564 12074315 14817433
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.54 6.66 6.59 6.67
101-04 6.67 6.51 6.63 6.57 6.65
101-06 6.65 6.48 6.61 6.54 6.62
101-08 6.63 6.45 6.59 6.51 6.60
101-10 6.61 6.42 6.57 6.49 6.58
101-12 6.59 6.39 6.54 6.46 6.56
101-14 6.57 6.36 6.52 6.43 6.54
* 101-16 6.55 6.33 6.50 6.41 6.51
101-18 6.53 6.30 6.48 6.38 6.49
101-20 6.50 6.27 6.45 6.35 6.47
101-22 6.48 6.24 6.43 6.33 6.45
101-24 6.46 6.21 6.41 6.30 6.43
101-26 6.44 6.19 6.39 6.28 6.40
101-28 6.42 6.16 6.36 6.25 6.38
101-30 6.40 6.13 6.34 6.22 6.36
WAL: 3.54 2.36 3.18 2.68 3.28
WINDOW 6.42 3.58 4.92 4.42 5.42
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20000513 20010913 20010313 20020313
MOD DUR: 2.98 2.10 2.73 2.34 2.80
CONVEX: 0.14 0.06 0.11 0.08 0.12
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
<PAGE>
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 5174126 3440442 4644262 3900426 4790534
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 -10.42 7.76 -1.76 9.12
6.241212 11.55 -11.06 7.20 -2.36 8.57
6.303712 11.03 -11.69 6.64 -2.95 8.02
6.366212 10.53 -12.31 6.10 -3.53 7.49
6.428712 10.03 -12.92 5.57 -4.10 6.97
6.491212 9.54 -13.52 5.04 -4.66 6.45
6.553712 9.06 -14.11 4.52 -5.21 5.95
* 6.616212 8.59 -14.69 4.01 -5.76 5.45
6.678712 8.13 -15.26 3.51 -6.29 4.96
6.741212 7.67 -15.83 3.02 -6.82 4.48
6.803712 7.22 -16.38 2.54 -7.34 4.00
6.866212 6.78 -16.93 2.06 -7.85 3.54
6.928712 6.34 -17.46 1.59 -8.35 3.08
6.991212 5.91 -17.99 1.12 -8.85 2.62
7.053712 5.49 -18.52 0.67 -9.34 2.17
WAL: 2.30 1.40 1.97 1.64 2.06
WINDOW 6.42 3.58 4.92 4.42 5.42
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20000513 20010913 20010313 20020313
MOD DUR: 2.02 1.64 1.87 1.75 1.91
CONVEX: 0.07 0.04 0.06 0.05 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
<PAGE>
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 78652586 64002769 71176753 70934336 73962532
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 7.06 7.08 7.08 7.08
101-04 7.08 7.04 7.06 7.06 7.07
101-06 7.07 7.03 7.05 7.05 7.06
101-08 7.06 7.02 7.04 7.04 7.05
101-10 7.05 7.00 7.03 7.03 7.04
101-12 7.04 6.99 7.02 7.01 7.02
101-14 7.02 6.98 7.00 7.00 7.01
* 101-16 7.01 6.96 6.99 6.99 7.00
101-18 7.00 6.95 6.98 6.98 6.99
101-20 6.99 6.94 6.97 6.96 6.98
101-22 6.98 6.92 6.95 6.95 6.96
101-24 6.97 6.91 6.94 6.94 6.95
101-26 6.96 6.89 6.93 6.93 6.94
101-28 6.95 6.88 6.92 6.92 6.93
101-30 6.93 6.87 6.90 6.90 6.92
WAL: 7.11 5.79 6.44 6.41 6.69
WINDOW 3.08 3.50 2.17 2.67 2.17
BEGIN: 20030313 20000513 20010913 20010313 20020313
END: 20060313 20031013 20031013 20031013 20040413
MOD DUR: 5.41 4.58 5.00 4.99 5.16
CONVEX: 0.37 0.27 0.31 0.31 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
<PAGE>
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 240332117 217793163 223369721 229301315 232377542
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0
101-02 7.29 7.28 7.28 7.28 7.28
101-04 7.28 7.27 7.27 7.27 7.28
101-06 7.27 7.26 7.26 7.26 7.27
101-08 7.26 7.25 7.25 7.26 7.26
101-10 7.25 7.24 7.24 7.25 7.25
101-12 7.24 7.23 7.23 7.24 7.24
101-14 7.24 7.22 7.22 7.23 7.23
* 101-16 7.23 7.21 7.21 7.22 7.22
101-18 7.22 7.20 7.21 7.21 7.21
101-20 7.21 7.19 7.20 7.20 7.20
101-22 7.20 7.18 7.19 7.19 7.19
101-24 7.19 7.17 7.18 7.18 7.19
101-26 7.18 7.16 7.17 7.17 7.18
101-28 7.17 7.15 7.16 7.16 7.17
101-30 7.16 7.14 7.15 7.16 7.16
WAL: 10.22 9.26 9.49 9.75 9.88
WINDOW 4.17 5.33 5.50 5.58 5.08
BEGIN: 20060313 20031013 20031013 20031013 20040413
END: 20100413 20090113 20090313 20090413 20090413
MOD DUR: 6.98 6.51 6.63 6.76 6.82
CONVEX: 0.64 0.55 0.57 0.60 0.61
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
<PAGE>
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 118465921 106675391 110317094 112389637 114171722
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 7.44 8.12 8.39 8.69
12.097874 9.15 7.32 8.00 8.27 8.57
12.160374 9.03 7.20 7.88 8.15 8.45
12.222874 8.91 7.08 7.76 8.03 8.34
12.285374 8.80 6.96 7.64 7.92 8.22
12.347874 8.68 6.84 7.53 7.80 8.10
12.410374 8.57 6.73 7.41 7.68 7.99
* 12.472874 8.45 6.61 7.29 7.57 7.87
12.535374 8.34 6.50 7.18 7.45 7.76
12.597874 8.23 6.38 7.06 7.34 7.64
12.660374 8.12 6.27 6.95 7.23 7.53
12.722874 8.01 6.16 6.84 7.12 7.42
12.785374 7.90 6.05 6.73 7.01 7.31
12.847874 7.79 5.94 6.62 6.90 7.20
12.910374 7.68 5.83 6.51 6.79 7.09
WAL: 5.57 5.23 5.28 5.38 5.41
WINDOW 14.92 15.33 15.00 15.00 14.92
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20120213 20111013 20111013 20110913
MOD DUR: 4.42 4.36 4.34 4.38 4.38
CONVEX: 0.31 0.31 0.30 0.31 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
<PAGE>
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 20500978 18134590 18170147 18753268 18811454
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0
101-02 7.43 7.42 7.42 7.42 7.42
101-04 7.42 7.41 7.41 7.42 7.42
101-06 7.42 7.40 7.40 7.41 7.41
101-08 7.41 7.40 7.40 7.40 7.40
101-10 7.40 7.39 7.39 7.39 7.39
101-12 7.39 7.38 7.38 7.38 7.38
101-14 7.39 7.37 7.37 7.38 7.38
* 101-16 7.38 7.37 7.37 7.37 7.37
101-18 7.37 7.36 7.36 7.36 7.36
101-20 7.36 7.35 7.35 7.35 7.35
101-22 7.36 7.34 7.34 7.35 7.35
101-24 7.35 7.33 7.33 7.34 7.34
101-26 7.34 7.33 7.33 7.33 7.33
101-28 7.34 7.32 7.32 7.32 7.32
101-30 7.33 7.31 7.31 7.32 7.32
WAL: 14.08 12.46 12.48 12.88 12.92
WINDOW 1.08 0.50 0.33 1.17 1.17
BEGIN: 20100413 20090113 20090313 20090413 20090413
END: 20110413 20090613 20090613 20100513 20100513
MOD DUR: 8.50 7.90 7.91 8.06 8.08
CONVEX: 1.00 0.84 0.85 0.89 0.89
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
<PAGE>
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 43172519 41105479 41042462 42505011 42515264
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
101-02 7.53 7.51 7.51 7.52 7.52
101-04 7.52 7.50 7.51 7.51 7.52
101-06 7.51 7.49 7.50 7.51 7.51
101-08 7.51 7.49 7.49 7.50 7.50
101-10 7.50 7.48 7.48 7.49 7.49
101-12 7.49 7.47 7.48 7.48 7.49
101-14 7.49 7.47 7.47 7.48 7.48
* 101-16 7.48 7.46 7.46 7.47 7.47
101-18 7.47 7.45 7.45 7.46 7.46
101-20 7.46 7.44 7.45 7.46 7.46
101-22 7.46 7.44 7.44 7.45 7.45
101-24 7.45 7.43 7.43 7.44 7.44
101-26 7.44 7.42 7.42 7.43 7.44
101-28 7.44 7.41 7.42 7.43 7.43
101-30 7.43 7.41 7.41 7.42 7.42
WAL: 14.59 13.93 13.90 14.38 14.38
WINDOW 0.25 2.00 2.00 1.17 1.17
BEGIN: 20110413 20090613 20090613 20100513 20100513
END: 20110613 20110513 20110513 20110613 20110613
MOD DUR: 8.65 8.42 8.41 8.58 8.58
CONVEX: 1.04 0.98 0.98 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
<PAGE>
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 40208318 40085223 39997577 40123263 40088893
TOTAL PRIN: 35216414 35216414 35216414 35216414 35216414
PENALTY: 0 0 0 0 0
101-14 7.68 7.67 7.67 7.67 7.68
101-16 7.67 7.66 7.66 7.67 7.67
101-18 7.67 7.65 7.66 7.66 7.66
101-20 7.66 7.65 7.65 7.65 7.65
101-22 7.65 7.64 7.64 7.65 7.65
101-24 7.64 7.63 7.64 7.64 7.64
101-26 7.64 7.62 7.63 7.63 7.63
* 101-28 7.63 7.62 7.62 7.62 7.63
101-30 7.62 7.61 7.61 7.62 7.62
102-00 7.62 7.60 7.61 7.61 7.61
102-02 7.61 7.60 7.60 7.60 7.60
102-04 7.60 7.59 7.59 7.60 7.60
102-06 7.59 7.58 7.59 7.59 7.59
102-08 7.59 7.57 7.58 7.58 7.58
102-10 7.58 7.57 7.57 7.57 7.58
WAL: 14.73 14.71 14.67 14.71 14.69
WINDOW 0.33 0.42 0.33 0.33 0.25
BEGIN: 20110613 20110513 20110513 20110613 20110613
END: 20110913 20110913 20110813 20110913 20110813
MOD DUR: 8.60 8.60 8.59 8.60 8.59
CONVEX: 1.04 1.04 1.03 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
<PAGE>
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 46377360 46315111 46310640 46335243 46347166
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
100-18 7.99 7.98 7.99 7.99 7.99
100-20 7.99 7.97 7.98 7.98 7.98
100-22 7.98 7.97 7.97 7.97 7.97
100-24 7.97 7.96 7.96 7.97 7.97
100-26 7.96 7.95 7.96 7.96 7.96
100-28 7.96 7.95 7.95 7.95 7.95
100-30 7.95 7.94 7.94 7.94 7.95
* 101-00 7.94 7.93 7.93 7.94 7.94
101-02 7.94 7.92 7.93 7.93 7.93
101-04 7.93 7.92 7.92 7.92 7.92
101-06 7.92 7.91 7.91 7.91 7.92
101-08 7.91 7.90 7.91 7.91 7.91
101-10 7.91 7.89 7.90 7.90 7.90
101-12 7.90 7.89 7.89 7.89 7.90
101-14 7.89 7.88 7.88 7.89 7.89
WAL: 14.89 14.90 14.89 14.89 14.89
WINDOW 0.08 0.17 0.17 0.08 0.17
BEGIN: 20110913 20110913 20110813 20110913 20110813
END: 20110913 20111013 20110913 20110913 20110913
MOD DUR: 8.51 8.52 8.51 8.51 8.51
CONVEX: 1.03 1.03 1.03 1.03 1.03
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-61 SCN-63 SCN-64 SCN-66
TOTAL INT: 19303512 19389570 19343421 19299308 19291667
TOTAL PRIN: 15651739 15651739 15651739 15651739 15651739
PENALTY: 0 0 0 0 0
99-18 8.44 8.43 8.44 8.44 8.44
99-20 8.44 8.42 8.43 8.43 8.43
99-22 8.43 8.42 8.42 8.42 8.43
99-24 8.42 8.41 8.41 8.42 8.42
99-26 8.41 8.40 8.41 8.41 8.41
99-28 8.41 8.39 8.40 8.40 8.40
99-30 8.40 8.39 8.39 8.39 8.40
* 100-00 8.39 8.38 8.38 8.39 8.39
100-02 8.38 8.37 8.38 8.38 8.38
100-04 8.38 8.36 8.37 8.37 8.37
100-06 8.37 8.36 8.36 8.36 8.37
100-08 8.36 8.35 8.35 8.36 8.36
100-10 8.35 8.34 8.35 8.35 8.35
100-12 8.35 8.33 8.34 8.34 8.34
100-14 8.34 8.33 8.33 8.33 8.34
WAL: 14.89 14.99 14.94 14.90 14.89
WINDOW 0.08 0.42 0.17 0.17 0.08
BEGIN: 20110913 20111013 20110913 20110913 20110913
END: 20110913 20120213 20111013 20111013 20110913
<PAGE>
MOD DUR: 8.30 8.33 8.32 8.31 8.30
CONVEX: 0.99 1.00 1.00 0.99 0.99
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
61 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 8.82%. Cumulative Default 29.41%.
63 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 3.50MF 1.00MHP 4.30OFFC 3.80INDU 4.50RETL 4.50NURS 4.50CONG
5.10HOTL Servicer Advances.
Cumulative Loss 7.11%. Cumulative Default 23.70%.
64 Annual default rate after 24 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 4.87%. Cumulative Default 16.23%.
66 Annual default rate after 48 months. Recover 70% in 0 months.
CDRs: 1.75MF 0.50MHP 2.15OFFC 1.90INDU 2.25RETL 2.25NURS 2.25CONG
2.55HOTL Servicer Advances.
Cumulative Loss 3.86%. Cumulative Default 12.87%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3red
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 118465921 113179829 108276913 104453432
TOTAL PRIN: 0 0 0 0
12.222874 8.91 8.34 7.66 7.11
12.285374 8.80 8.22 7.54 6.98
12.347874 8.68 8.10 7.42 6.86
12.410374 8.57 7.99 7.30 6.74
* 12.472874 8.45 7.87 7.18 6.61
12.535374 8.34 7.75 7.06 6.49
12.597874 8.23 7.64 6.94 6.37
12.660374 8.12 7.52 6.83 6.25
12.722874 8.01 7.41 6.71 6.14
12.785374 7.90 7.30 6.60 6.02
WAL: 5.57 5.26 5.02 4.80
WINDOW 14.92 14.92 14.75 14.67
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110713 20110613
MOD DUR: 4.42 4.30 4.22 4.12
CONVEX: 0.31 0.29 0.28 0.27
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 100% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
30000000.0(16.1% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 100% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24500000.0(22.9% of Cut-Off Bal., 4% of Loans) default when DSCR less than
1.0, recovers 100% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 16005423 14073669 10934335 15424108 14453619
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.65 6.55 6.68 6.66
101-04 6.67 6.63 6.52 6.66 6.64
101-06 6.65 6.60 6.49 6.64 6.61
101-08 6.63 6.58 6.46 6.62 6.59
101-10 6.61 6.56 6.43 6.59 6.57
101-12 6.59 6.53 6.41 6.57 6.55
101-14 6.57 6.51 6.38 6.55 6.52
* 101-16 6.55 6.49 6.35 6.53 6.50
101-18 6.53 6.46 6.32 6.51 6.48
101-20 6.50 6.44 6.29 6.49 6.46
101-22 6.48 6.42 6.26 6.47 6.43
101-24 6.46 6.40 6.23 6.45 6.41
101-26 6.44 6.37 6.21 6.42 6.39
101-28 6.42 6.35 6.18 6.40 6.37
101-30 6.40 6.33 6.15 6.38 6.35
WAL: 3.54 3.12 2.42 3.42 3.20
WINDOW 6.42 5.50 3.75 5.92 5.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20020413 20000713 20020913 20011013
MOD DUR: 2.98 2.67 2.15 2.89 2.74
CONVEX: 0.14 0.11 0.07 0.13 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
<PAGE>
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 5174126 4548800 3530134 4985922 4672253
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 6.61 -8.50 10.72 8.03
6.241212 11.55 6.05 -9.13 10.18 7.47
6.303712 11.03 5.51 -9.75 9.66 6.92
6.366212 10.53 4.97 -10.36 9.14 6.38
6.428712 10.03 4.44 -10.96 8.63 5.85
6.491212 9.54 3.93 -11.55 8.13 5.32
6.553712 9.06 3.42 -12.14 7.64 4.81
* 6.616212 8.59 2.91 -12.71 7.15 4.30
6.678712 8.13 2.42 -13.27 6.68 3.80
6.741212 7.67 1.93 -13.83 6.21 3.31
6.803712 7.22 1.45 -14.38 5.75 2.83
6.866212 6.78 0.98 -14.91 5.29 2.35
6.928712 6.34 0.52 -15.44 4.85 1.88
6.991212 5.91 0.06 -15.97 4.40 1.42
7.053712 5.49 -0.39 -16.48 3.97 0.97
WAL: 2.30 1.97 1.45 2.18 1.99
WINDOW 6.42 5.50 3.75 5.92 5.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20020413 20000713 20020913 20011013
MOD DUR: 2.02 1.90 1.66 1.97 1.88
CONVEX: 0.07 0.06 0.05 0.07 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
<PAGE>
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 78652586 75811343 66361196 76832367 72013894
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 7.09 7.06 7.09 7.08
101-04 7.08 7.08 7.05 7.08 7.07
101-06 7.07 7.06 7.04 7.07 7.05
101-08 7.06 7.05 7.02 7.05 7.04
101-10 7.05 7.04 7.01 7.04 7.03
101-12 7.04 7.03 7.00 7.03 7.02
101-14 7.02 7.02 6.98 7.02 7.01
* 101-16 7.01 7.01 6.97 7.01 6.99
101-18 7.00 6.99 6.96 7.00 6.98
101-20 6.99 6.98 6.95 6.99 6.97
101-22 6.98 6.97 6.93 6.97 6.96
101-24 6.97 6.96 6.92 6.96 6.94
101-26 6.96 6.95 6.91 6.95 6.93
101-28 6.95 6.94 6.89 6.94 6.92
101-30 6.93 6.92 6.88 6.93 6.91
WAL: 7.11 6.85 6.00 6.95 6.51
WINDOW 3.08 3.00 3.33 2.83 2.08
BEGIN: 20030313 20020413 20000713 20020913 20011013
END: 20060313 20050313 20031013 20050613 20031013
MOD DUR: 5.41 5.26 4.72 5.31 5.05
CONVEX: 0.37 0.35 0.28 0.35 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
<PAGE>
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 240332117 240005727 235567123 239767225 235205277
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0
101-02 7.29 7.29 7.29 7.29 7.29
101-04 7.28 7.28 7.28 7.28 7.28
101-06 7.27 7.27 7.27 7.27 7.27
101-08 7.26 7.26 7.26 7.26 7.26
101-10 7.25 7.25 7.25 7.25 7.25
101-12 7.24 7.24 7.24 7.24 7.24
101-14 7.24 7.23 7.23 7.23 7.23
* 101-16 7.23 7.23 7.22 7.23 7.22
101-18 7.22 7.22 7.21 7.22 7.21
101-20 7.21 7.21 7.20 7.21 7.20
101-22 7.20 7.20 7.20 7.20 7.20
101-24 7.19 7.19 7.19 7.19 7.19
101-26 7.18 7.18 7.18 7.18 7.18
101-28 7.17 7.17 7.17 7.17 7.17
101-30 7.16 7.16 7.16 7.16 7.16
WAL: 10.22 10.20 10.01 10.19 10.00
WINDOW 4.17 5.42 7.67 5.00 7.33
BEGIN: 20060313 20050313 20031013 20050613 20031013
END: 20100413 20100713 20110513 20100513 20110113
MOD DUR: 6.98 6.97 6.85 6.97 6.86
CONVEX: 0.64 0.64 0.62 0.64 0.62
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
<PAGE>
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 118465921 117702696 112795040 117849411 115938286
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 9.14 8.28 9.17 8.80
12.097874 9.15 9.02 8.16 9.05 8.68
12.160374 9.03 8.90 8.04 8.93 8.56
12.222874 8.91 8.78 7.93 8.82 8.44
12.285374 8.80 8.66 7.81 8.70 8.33
12.347874 8.68 8.55 7.70 8.58 8.21
12.410374 8.57 8.43 7.58 8.47 8.10
* 12.472874 8.45 8.32 7.47 8.36 7.99
12.535374 8.34 8.21 7.36 8.24 7.87
12.597874 8.23 8.10 7.25 8.13 7.76
12.660374 8.12 7.98 7.14 8.02 7.65
12.722874 8.01 7.87 7.03 7.91 7.54
12.785374 7.90 7.77 6.92 7.80 7.43
12.847874 7.79 7.66 6.81 7.69 7.33
12.910374 7.68 7.55 6.71 7.59 7.22
WAL: 5.57 5.57 5.54 5.56 5.59
WINDOW 14.92 15.00 24.58 14.92 24.58
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20111013 20210513 20110913 20210513
MOD DUR: 4.42 4.43 4.46 4.42 4.45
CONVEX: 0.31 0.32 0.33 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
<PAGE>
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 20500978 20798301 21294879 20609919 21110385
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0
101-02 7.43 7.43 7.43 7.43 7.43
101-04 7.42 7.42 7.43 7.42 7.42
101-06 7.42 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41 7.41
101-10 7.40 7.40 7.40 7.40 7.40
101-12 7.39 7.39 7.40 7.39 7.40
101-14 7.39 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38 7.38
101-18 7.37 7.37 7.38 7.37 7.37
101-20 7.36 7.37 7.37 7.36 7.37
101-22 7.36 7.36 7.36 7.36 7.36
101-24 7.35 7.35 7.35 7.35 7.35
101-26 7.34 7.34 7.35 7.34 7.35
101-28 7.34 7.34 7.34 7.34 7.34
101-30 7.33 7.33 7.33 7.33 7.33
WAL: 14.08 14.29 14.63 14.16 14.50
WINDOW 1.08 0.92 0.25 1.00 0.50
BEGIN: 20100413 20100713 20110513 20100513 20110113
END: 20110413 20110513 20110713 20110413 20110613
MOD DUR: 8.50 8.57 8.68 8.52 8.64
CONVEX: 1.00 1.02 1.05 1.01 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
<PAGE>
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 43172519 43243206 43962593 43214891 43634440
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
101-02 7.53 7.53 7.53 7.53 7.53
101-04 7.52 7.52 7.52 7.52 7.52
101-06 7.51 7.51 7.52 7.51 7.52
101-08 7.51 7.51 7.51 7.51 7.51
101-10 7.50 7.50 7.50 7.50 7.50
101-12 7.49 7.49 7.50 7.49 7.49
101-14 7.49 7.49 7.49 7.49 7.49
* 101-16 7.48 7.48 7.48 7.48 7.48
101-18 7.47 7.47 7.47 7.47 7.47
101-20 7.46 7.46 7.47 7.46 7.47
101-22 7.46 7.46 7.46 7.46 7.46
101-24 7.45 7.45 7.45 7.45 7.45
101-26 7.44 7.44 7.45 7.44 7.45
101-28 7.44 7.44 7.44 7.44 7.44
101-30 7.43 7.43 7.43 7.43 7.43
WAL: 14.59 14.61 14.86 14.60 14.74
WINDOW 0.25 0.17 0.25 0.25 0.33
BEGIN: 20110413 20110513 20110713 20110413 20110613
END: 20110613 20110613 20110913 20110613 20110913
MOD DUR: 8.65 8.66 8.73 8.65 8.70
CONVEX: 1.04 1.05 1.07 1.04 1.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
<PAGE>
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 40208318 40448140 41284130 40367210 40665703
TOTAL PRIN: 35216414 35216414 35216414 35216414 35216414
PENALTY: 0 0 0 0 0
101-14 7.68 7.68 7.68 7.68 7.68
101-16 7.67 7.67 7.67 7.67 7.67
101-18 7.67 7.67 7.66 7.67 7.67
101-20 7.66 7.66 7.66 7.66 7.66
101-22 7.65 7.65 7.65 7.65 7.65
101-24 7.64 7.64 7.64 7.64 7.65
101-26 7.64 7.64 7.64 7.64 7.64
* 101-28 7.63 7.63 7.63 7.63 7.63
101-30 7.62 7.62 7.62 7.62 7.62
102-00 7.62 7.62 7.62 7.62 7.62
102-02 7.61 7.61 7.61 7.61 7.61
102-04 7.60 7.60 7.60 7.60 7.60
102-06 7.59 7.59 7.59 7.59 7.60
102-08 7.59 7.59 7.59 7.59 7.59
102-10 7.58 7.58 7.58 7.58 7.58
WAL: 14.73 14.82 15.13 14.79 14.90
WINDOW 0.33 0.33 1.67 0.33 0.17
BEGIN: 20110613 20110613 20110913 20110613 20110913
END: 20110913 20110913 20130413 20110913 20111013
MOD DUR: 8.60 8.63 8.73 8.62 8.65
CONVEX: 1.04 1.05 1.08 1.04 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
<PAGE>
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 46377360 46377360 42919039 46377360 49797359
TOTAL PRIN: 39129349 39129349 13422308 39129349 39129349
PENALTY: 0 0 0 0 0
100-18 7.99 7.99 3.98 7.99 7.98
100-20 7.99 7.99 3.98 7.99 7.98
100-22 7.98 7.98 3.97 7.98 7.97
100-24 7.97 7.97 3.96 7.97 7.96
100-26 7.96 7.96 3.95 7.96 7.96
100-28 7.96 7.96 3.95 7.96 7.95
100-30 7.95 7.95 3.94 7.95 7.94
* 101-00 7.94 7.94 3.93 7.94 7.93
101-02 7.94 7.94 3.92 7.94 7.93
101-04 7.93 7.93 3.92 7.93 7.92
101-06 7.92 7.92 3.91 7.92 7.91
101-08 7.91 7.91 3.90 7.91 7.91
101-10 7.91 7.91 3.89 7.91 7.90
101-12 7.90 7.90 3.89 7.90 7.89
101-14 7.89 7.89 3.88 7.89 7.89
WAL: 14.89 14.89 17.57 14.89 16.04
WINDOW 0.08 0.08 8.17 0.08 4.83
BEGIN: 20110913 20110913 20130413 20110913 20111013
END: 20110913 20110913 20210513 20110913 20160713
MOD DUR: 8.51 8.51 8.28 8.51 8.82
CONVEX: 1.03 1.03 1.05 1.03 1.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 3.22%. Cumulative Default 6.44%.
<PAGE>
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 19303512 19328658 11116266 19303512 17658274
TOTAL PRIN: 15651739 15651739 0 15651739 590778
PENALTY: 0 0 0 0 0
99-18 8.44 8.44 -7.17 8.44 2.18
99-20 8.44 8.44 -7.19 8.44 2.17
99-22 8.43 8.43 -7.20 8.43 2.16
99-24 8.42 8.42 -7.21 8.42 2.15
99-26 8.41 8.41 -7.22 8.41 2.14
99-28 8.41 8.41 -7.24 8.41 2.13
99-30 8.40 8.40 -7.25 8.40 2.12
* 100-00 8.39 8.39 -7.26 8.39 2.11
100-02 8.38 8.38 -7.27 8.38 2.10
100-04 8.38 8.38 -7.28 8.38 2.10
100-06 8.37 8.37 -7.30 8.37 2.09
100-08 8.36 8.36 -7.31 8.36 2.08
100-10 8.35 8.35 -7.32 8.35 2.07
100-12 8.35 8.35 -7.33 8.35 2.06
100-14 8.34 8.34 -7.35 8.34 2.05
WAL: 14.89 14.91 4.39 14.89 21.97
WINDOW 0.08 0.17 9.42 0.08 4.92
BEGIN: 20110913 20110913 19961113 20110913 20160713
END: 20110913 20111013 20060313 20110913 20210513
MOD DUR: 8.30 8.31 5.04 8.30 6.98
CONVEX: 0.99 0.99 0.35 0.99 0.75
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 4.12%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 17.28%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
<PAGE>
Cumulative Loss 3.22%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.92%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 16005423 13496146 10300732 15252815 14250896
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0
101-02 6.69 6.63 6.52 6.68 6.65
101-04 6.67 6.61 6.49 6.66 6.63
101-06 6.65 6.59 6.46 6.63 6.61
101-08 6.63 6.56 6.43 6.61 6.59
101-10 6.61 6.54 6.40 6.59 6.56
101-12 6.59 6.51 6.37 6.57 6.54
101-14 6.57 6.49 6.34 6.55 6.52
* 101-16 6.55 6.47 6.31 6.53 6.50
101-18 6.53 6.44 6.28 6.50 6.47
101-20 6.50 6.42 6.25 6.48 6.45
101-22 6.48 6.40 6.22 6.46 6.43
101-24 6.46 6.37 6.19 6.44 6.40
101-26 6.44 6.35 6.16 6.42 6.38
101-28 6.42 6.32 6.13 6.40 6.36
101-30 6.40 6.30 6.10 6.38 6.34
WAL: 3.54 2.99 2.28 3.38 3.16
WINDOW 6.42 5.25 3.42 5.75 4.83
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20020113 20000313 20020713 20010813
MOD DUR: 2.98 2.58 2.04 2.87 2.71
CONVEX: 0.14 0.10 0.06 0.12 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
<PAGE>
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 5174126 4361655 3324884 4930486 4606498
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
6.178712 12.07 4.55 -13.10 10.29 7.38
6.241212 11.55 3.98 -13.75 9.75 6.82
6.303712 11.03 3.42 -14.39 9.22 6.26
6.366212 10.53 2.87 -15.02 8.70 5.72
6.428712 10.03 2.33 -15.64 8.18 5.18
6.491212 9.54 1.80 -16.25 7.68 4.65
6.553712 9.06 1.28 -16.85 7.18 4.13
* 6.616212 8.59 0.77 -17.44 6.69 3.62
6.678712 8.13 0.26 -18.02 6.21 3.12
6.741212 7.67 -0.23 -18.60 5.74 2.62
6.803712 7.22 -0.72 -19.16 5.28 2.13
6.866212 6.78 -1.20 -19.72 4.82 1.65
6.928712 6.34 -1.68 -20.26 4.37 1.18
6.991212 5.91 -2.15 -20.80 3.92 0.71
7.053712 5.49 -2.61 -21.33 3.49 0.25
WAL: 2.30 1.87 1.35 2.14 1.95
WINDOW 6.42 5.25 3.42 5.75 4.83
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20030313 20020113 20000313 20020713 20010813
MOD DUR: 2.02 1.86 1.61 1.95 1.86
CONVEX: 0.07 0.06 0.04 0.07 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
<PAGE>
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 78652586 74429972 60753614 76001006 69965962
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0
101-02 7.09 7.08 7.05 7.09 7.07
101-04 7.08 7.07 7.03 7.08 7.06
101-06 7.07 7.06 7.02 7.06 7.05
101-08 7.06 7.05 7.00 7.05 7.04
101-10 7.05 7.04 6.99 7.04 7.02
101-12 7.04 7.02 6.98 7.03 7.01
101-14 7.02 7.01 6.96 7.02 7.00
* 101-16 7.01 7.00 6.95 7.01 6.99
101-18 7.00 6.99 6.93 6.99 6.97
101-20 6.99 6.98 6.92 6.98 6.96
101-22 6.98 6.97 6.91 6.97 6.95
101-24 6.97 6.95 6.89 6.96 6.94
101-26 6.96 6.94 6.88 6.95 6.92
101-28 6.95 6.93 6.86 6.94 6.91
101-30 6.93 6.92 6.85 6.92 6.90
WAL: 7.11 6.73 5.49 6.87 6.33
WINDOW 3.08 2.75 3.67 2.67 2.25
BEGIN: 20030313 20020113 20000313 20020713 20010813
END: 20060313 20040913 20031013 20050213 20031013
MOD DUR: 5.41 5.18 4.39 5.27 4.93
CONVEX: 0.37 0.34 0.25 0.35 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
<PAGE>
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 240332117 235998324 214820501 237030095 220945561
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0
101-02 7.29 7.29 7.28 7.29 7.28
101-04 7.28 7.28 7.27 7.28 7.27
101-06 7.27 7.27 7.26 7.27 7.26
101-08 7.26 7.26 7.25 7.26 7.25
101-10 7.25 7.25 7.24 7.25 7.24
101-12 7.24 7.24 7.23 7.24 7.23
101-14 7.24 7.23 7.22 7.23 7.22
* 101-16 7.23 7.22 7.21 7.22 7.21
101-18 7.22 7.21 7.20 7.22 7.20
101-20 7.21 7.21 7.19 7.21 7.19
101-22 7.20 7.20 7.18 7.20 7.19
101-24 7.19 7.19 7.17 7.19 7.18
101-26 7.18 7.18 7.16 7.18 7.17
101-28 7.17 7.17 7.15 7.17 7.16
101-30 7.16 7.16 7.14 7.16 7.15
WAL: 10.22 10.03 9.13 10.08 9.39
WINDOW 4.17 5.00 5.25 4.67 5.42
BEGIN: 20060313 20040913 20031013 20050213 20031013
END: 20100413 20090813 20081213 20090913 20090213
MOD DUR: 6.98 6.89 6.45 6.92 6.58
CONVEX: 0.64 0.62 0.54 0.63 0.57
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
<PAGE>
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 118465921 115795049 105372789 116527838 109463698
TOTAL PRIN: 0 0 0 0 0
PENALTY: 0 0 0 0 0
12.035374 9.27 8.90 7.18 9.02 7.98
12.097874 9.15 8.78 7.06 8.90 7.86
12.160374 9.03 8.66 6.94 8.78 7.74
12.222874 8.91 8.54 6.82 8.66 7.62
12.285374 8.80 8.43 6.70 8.54 7.50
12.347874 8.68 8.31 6.58 8.43 7.38
12.410374 8.57 8.19 6.47 8.31 7.26
* 12.472874 8.45 8.08 6.35 8.20 7.15
12.535374 8.34 7.97 6.24 8.08 7.03
12.597874 8.23 7.85 6.13 7.97 6.92
12.660374 8.12 7.74 6.01 7.86 6.80
12.722874 8.01 7.63 5.90 7.75 6.69
12.785374 7.90 7.52 5.79 7.64 6.58
12.847874 7.79 7.41 5.68 7.53 6.47
12.910374 7.68 7.31 5.57 7.42 6.36
WAL: 5.57 5.49 5.22 5.50 5.26
WINDOW 14.92 14.92 16.50 14.92 15.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
END: 20110913 20110913 20130413 20110913 20111013
MOD DUR: 4.42 4.40 4.37 4.40 4.33
CONVEX: 0.31 0.31 0.31 0.31 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
<PAGE>
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 20500978 19753309 18121948 19765321 18144004
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0
101-02 7.43 7.43 7.42 7.43 7.42
101-04 7.42 7.42 7.41 7.42 7.41
101-06 7.42 7.41 7.40 7.41 7.40
101-08 7.41 7.40 7.40 7.40 7.40
101-10 7.40 7.40 7.39 7.40 7.39
101-12 7.39 7.39 7.38 7.39 7.38
101-14 7.39 7.38 7.37 7.38 7.37
* 101-16 7.38 7.37 7.37 7.37 7.37
101-18 7.37 7.37 7.36 7.37 7.36
101-20 7.36 7.36 7.35 7.36 7.35
101-22 7.36 7.35 7.34 7.35 7.34
101-24 7.35 7.35 7.33 7.35 7.33
101-26 7.34 7.34 7.33 7.34 7.33
101-28 7.34 7.33 7.32 7.33 7.32
101-30 7.33 7.32 7.31 7.32 7.31
WAL: 14.08 13.57 12.45 13.58 12.47
WINDOW 1.08 1.58 0.58 1.50 0.33
BEGIN: 20100413 20090813 20081213 20090913 20090213
END: 20110413 20110213 20090613 20110213 20090513
MOD DUR: 8.50 8.32 7.90 8.32 7.91
CONVEX: 1.00 0.95 0.84 0.95 0.85
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
<PAGE>
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 43172519 43045938 41254441 43038037 40974268
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
101-02 7.53 7.53 7.52 7.53 7.52
101-04 7.52 7.52 7.51 7.52 7.51
101-06 7.51 7.51 7.51 7.51 7.50
101-08 7.51 7.51 7.50 7.51 7.50
101-10 7.50 7.50 7.49 7.50 7.49
101-12 7.49 7.49 7.48 7.49 7.48
101-14 7.49 7.49 7.48 7.49 7.48
* 101-16 7.48 7.48 7.47 7.48 7.47
101-18 7.47 7.47 7.46 7.47 7.46
101-20 7.46 7.46 7.45 7.46 7.45
101-22 7.46 7.46 7.45 7.46 7.45
101-24 7.45 7.45 7.44 7.45 7.44
101-26 7.44 7.44 7.43 7.44 7.43
101-28 7.44 7.44 7.43 7.44 7.42
101-30 7.43 7.43 7.42 7.43 7.42
WAL: 14.59 14.55 13.96 14.55 13.86
WINDOW 0.25 0.42 2.08 0.42 2.08
BEGIN: 20110413 20110213 20090613 20110213 20090513
END: 20110613 20110613 20110613 20110613 20110513
MOD DUR: 8.65 8.63 8.43 8.63 8.40
CONVEX: 1.04 1.04 0.98 1.04 0.97
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
<PAGE>
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 40208318 40201971 40266660 40175731 40118548
TOTAL PRIN: 35216414 35216414 35216414 35216414 35216414
PENALTY: 0 0 0 0 0
101-14 7.68 7.68 7.68 7.68 7.68
101-16 7.67 7.67 7.67 7.67 7.67
101-18 7.67 7.67 7.67 7.67 7.66
101-20 7.66 7.66 7.66 7.66 7.66
101-22 7.65 7.65 7.65 7.65 7.65
101-24 7.64 7.64 7.64 7.64 7.64
101-26 7.64 7.64 7.64 7.64 7.64
* 101-28 7.63 7.63 7.63 7.63 7.63
101-30 7.62 7.62 7.62 7.62 7.62
102-00 7.62 7.62 7.62 7.62 7.61
102-02 7.61 7.61 7.61 7.61 7.61
102-04 7.60 7.60 7.60 7.60 7.60
102-06 7.59 7.59 7.59 7.59 7.59
102-08 7.59 7.59 7.59 7.59 7.59
102-10 7.58 7.58 7.58 7.58 7.58
WAL: 14.73 14.73 14.75 14.72 14.70
WINDOW 0.33 0.33 0.33 0.33 0.42
BEGIN: 20110613 20110613 20110613 20110613 20110513
END: 20110913 20110913 20110913 20110913 20110913
MOD DUR: 8.60 8.60 8.61 8.60 8.59
CONVEX: 1.04 1.04 1.04 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
<PAGE>
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 46377360 46377360 46438103 46377360 46377360
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0
100-18 7.99 7.99 7.99 7.99 7.99
100-20 7.99 7.99 7.99 7.99 7.99
100-22 7.98 7.98 7.98 7.98 7.98
100-24 7.97 7.97 7.97 7.97 7.97
100-26 7.96 7.96 7.96 7.96 7.96
100-28 7.96 7.96 7.96 7.96 7.96
100-30 7.95 7.95 7.95 7.95 7.95
* 101-00 7.94 7.94 7.94 7.94 7.94
101-02 7.94 7.94 7.93 7.94 7.94
101-04 7.93 7.93 7.93 7.93 7.93
101-06 7.92 7.92 7.92 7.92 7.92
101-08 7.91 7.91 7.91 7.91 7.91
101-10 7.91 7.91 7.91 7.91 7.91
101-12 7.90 7.90 7.90 7.90 7.90
101-14 7.89 7.89 7.89 7.89 7.89
WAL: 14.89 14.89 14.91 14.89 14.89
WINDOW 0.08 0.08 0.17 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913 20110913
END: 20110913 20110913 20111013 20110913 20110913
MOD DUR: 8.51 8.51 8.52 8.51 8.51
CONVEX: 1.03 1.03 1.03 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-101 SCN-102 SCN-103 SCN-104
TOTAL INT: 19303512 19303512 20037589 19303512 19393142
TOTAL PRIN: 15651739 15651739 15651739 15651739 15651739
PENALTY: 0 0 0 0 0
99-18 8.44 8.44 8.44 8.44 8.44
99-20 8.44 8.44 8.43 8.44 8.44
99-22 8.43 8.43 8.42 8.43 8.43
99-24 8.42 8.42 8.41 8.42 8.42
99-26 8.41 8.41 8.41 8.41 8.41
99-28 8.41 8.41 8.40 8.41 8.41
99-30 8.40 8.40 8.39 8.40 8.40
* 100-00 8.39 8.39 8.38 8.39 8.39
100-02 8.38 8.38 8.38 8.38 8.38
100-04 8.38 8.38 8.37 8.38 8.38
100-06 8.37 8.37 8.36 8.37 8.37
100-08 8.36 8.36 8.36 8.36 8.36
100-10 8.35 8.35 8.35 8.35 8.35
100-12 8.35 8.35 8.34 8.35 8.35
100-14 8.34 8.34 8.33 8.34 8.34
WAL: 14.89 14.89 15.49 14.89 14.96
WINDOW 0.08 0.08 1.58 0.08 0.17
BEGIN: 20110913 20110913 20111013 20110913 20110913
END: 20110913 20110913 20130413 20110913 20111013
MOD DUR: 8.30 8.30 8.46 8.30 8.32
CONVEX: 0.99 0.99 1.04 0.99 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
101 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
102 5.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 10.37%. Cumulative Default 34.57%.
103 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
104 5.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 16005423 9984988 12220843 14013200 10917644 12779055
14286355 11852698 13343143 14570240
TOTAL PRIN: 64985025 64985025 64985025 64985025 64985025 64985025
64985025 64985025 64985025 64985025
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-02 6.69 6.51 6.60 6.65 6.55 6.62
6.66 6.58 6.63 6.66
101-04 6.67 6.47 6.57 6.63 6.52 6.59
6.63 6.56 6.61 6.64
101-06 6.65 6.44 6.55 6.60 6.49 6.56
6.61 6.53 6.58 6.62
101-08 6.63 6.41 6.52 6.58 6.46 6.54
6.59 6.50 6.56 6.59
101-10 6.61 6.38 6.49 6.56 6.43 6.51
6.56 6.48 6.53 6.57
101-12 6.59 6.35 6.47 6.53 6.40 6.49
6.54 6.45 6.51 6.55
101-14 6.57 6.32 6.44 6.51 6.38 6.46
6.52 6.42 6.49 6.53
* 101-16 6.55 6.29 6.42 6.49 6.35 6.44
6.50 6.40 6.46 6.51
101-18 6.53 6.26 6.39 6.46 6.32 6.42
6.47 6.37 6.44 6.48
101-20 6.50 6.23 6.36 6.44 6.29 6.39
6.45 6.34 6.41 6.46
101-22 6.48 6.19 6.34 6.42 6.26 6.37
6.43 6.32 6.39 6.44
101-24 6.46 6.16 6.31 6.40 6.23 6.34
6.41 6.29 6.37 6.42
101-26 6.44 6.13 6.29 6.37 6.20 6.32
6.38 6.26 6.34 6.39
101-28 6.42 6.10 6.26 6.35 6.18 6.29
6.36 6.24 6.32 6.37
101-30 6.40 6.07 6.23 6.33 6.15 6.27
6.34 6.21 6.29 6.35
WAL: 3.54 2.21 2.71 3.10 2.42 2.83
3.16 2.63 2.96 3.23
WINDOW 6.42 3.25 3.92 4.58 3.75 4.33
4.83 4.33 4.67 5.17
BEGIN: 19961113 19961113 19961113 19961113 19961113 19961113
19961113 19961113 19961113 19961113
END: 20030313 20000113 20000913 20010513 20000713 20010213
20010813 20010213 20010613 20011213
MOD DUR: 2.98 1.98 2.37 2.67 2.15 2.47
2.72 2.31 2.56 2.76
CONVEX: 0.14 0.06 0.08 0.10 0.07 0.09
<PAGE>
0.11 0.08 0.10 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 5174126 3221962 3948126 4530504 3524734 4130379
4617952 3829236 4312527 4710190
TOTAL PRIN: 0 0 0 0 0 0
0 0 0 0
PENALTY: 0 0 0 0 0 0
<PAGE>
0 0 0 0
6.178712 12.07 -15.69 -1.04 6.60 -8.61 1.67
7.50 -2.92 4.05 8.39
6.241212 11.55 -16.36 -1.65 6.03 -9.24 1.07
6.93 -3.52 3.47 7.83
6.303712 11.03 -17.01 -2.25 5.46 -9.86 0.48
6.38 -4.12 2.89 7.28
6.366212 10.53 -17.64 -2.85 4.91 -10.48 -0.09
5.83 -4.70 2.33 6.75
6.428712 10.03 -18.27 -3.43 4.37 -11.08 -0.66
5.30 -5.28 1.78 6.22
6.491212 9.54 -18.89 -4.01 3.84 -11.67 -1.22
4.77 -5.85 1.23 5.70
6.553712 9.06 -19.50 -4.57 3.31 -12.25 -1.77
4.25 -6.41 0.69 5.18
* 6.616212 8.59 -20.10 -5.13 2.79 -12.83 -2.32
3.74 -6.95 0.17 4.68
6.678712 8.13 -20.69 -5.68 2.28 -13.39 -2.85
3.24 -7.49 -0.35 4.18
6.741212 7.67 -21.27 -6.21 1.78 -13.95 -3.37
2.74 -8.03 -0.86 3.70
6.803712 7.22 -21.84 -6.75 1.29 -14.49 -3.89
2.26 -8.55 -1.37 3.22
6.866212 6.78 -22.41 -7.27 0.80 -15.03 -4.40
1.78 -9.07 -1.86 2.74
6.928712 6.34 -22.96 -7.78 0.32 -15.56 -4.90
1.30 -9.57 -2.35 2.28
6.991212 5.91 -23.51 -8.29 -0.15 -16.09 -5.40
0.84 -10.07 -2.83 1.82
7.053712 5.49 -24.05 -8.79 -0.61 -16.60 -5.88
0.38 -10.57 -3.31 1.36
WAL: 2.30 1.30 1.62 1.91 1.44 1.71
1.96 1.60 1.81 2.01
WINDOW 6.42 3.25 3.92 4.58 3.75 4.33
4.83 4.33 4.67 5.17
BEGIN: 19961113 19961113 19961113 19961113 19961113 19961113
19961113 19961113 19961113 19961113
END: 20030313 20000113 20000913 20010513 20000713 20010213
20010813 20010213 20010613 20011213
MOD DUR: 2.02 1.59 1.71 1.84 1.66 1.76
1.86 1.73 1.80 1.89
CONVEX: 0.07 0.04 0.05 0.06 0.05 0.05
0.06 0.05 0.05 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
<PAGE>
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 78652586 57263878 61519517 65944504 65979032 68181473
70470896 70438230 71561863 72791487
TOTAL PRIN: 154000000 154000000 154000000 154000000 154000000 154000000
154000000 154000000 154000000 154000000
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-02 7.09 7.03 7.05 7.06 7.06 7.07
7.08 7.07 7.08 7.08
101-04 7.08 7.02 7.03 7.05 7.05 7.06
7.06 7.06 7.07 7.07
101-06 7.07 7.00 7.02 7.04 7.04 7.04
7.05 7.05 7.05 7.06
101-08 7.06 6.99 7.01 7.02 7.02 7.03
7.04 7.04 7.04 7.04
101-10 7.05 6.97 6.99 7.01 7.01 7.02
7.03 7.02 7.03 7.03
101-12 7.04 6.96 6.98 7.00 7.00 7.00
7.01 7.01 7.02 7.02
101-14 7.02 6.94 6.97 6.98 6.98 6.99
7.00 7.00 7.00 7.01
<PAGE>
* 101-16 7.01 6.93 6.95 6.97 6.97 6.98
6.99 6.99 6.99 7.00
101-18 7.00 6.92 6.94 6.96 6.96 6.97
6.98 6.98 6.98 6.98
101-20 6.99 6.90 6.92 6.94 6.94 6.95
6.96 6.96 6.97 6.97
101-22 6.98 6.89 6.91 6.93 6.93 6.94
6.95 6.95 6.95 6.96
101-24 6.97 6.87 6.90 6.92 6.92 6.93
6.94 6.94 6.94 6.95
101-26 6.96 6.86 6.88 6.91 6.90 6.92
6.93 6.93 6.93 6.94
101-28 6.95 6.84 6.87 6.89 6.89 6.90
6.91 6.91 6.92 6.92
101-30 6.93 6.83 6.85 6.88 6.88 6.89
6.90 6.90 6.91 6.91
WAL: 7.11 5.18 5.56 5.96 5.97 6.16
6.37 6.37 6.47 6.58
WINDOW 3.08 3.50 3.00 2.50 3.33 2.75
2.25 2.75 2.50 2.17
BEGIN: 20030313 20000113 20000913 20010513 20000713 20010213
20010813 20010213 20010613 20011213
END: 20060313 20030613 20030813 20031013 20031013 20031013
20031013 20031013 20031113 20040113
MOD DUR: 5.41 4.18 4.44 4.70 4.70 4.83
4.96 4.96 5.02 5.09
CONVEX: 0.37 0.22 0.25 0.28 0.28 0.29
0.31 0.31 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
<PAGE>
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 240332117 210105103 210531979 211147217 226401268 226193552
226116045 237578673 236943206 236222116
TOTAL PRIN: 321000000 321000000 321000000 321000000 321000000 321000000
321000000 321000000 321000000 321000000
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-02 7.29 7.27 7.27 7.27 7.28 7.28
7.28 7.29 7.29 7.29
101-04 7.28 7.26 7.26 7.26 7.27 7.27
7.27 7.28 7.28 7.28
101-06 7.27 7.25 7.25 7.25 7.26 7.26
7.26 7.27 7.27 7.27
101-08 7.26 7.24 7.24 7.24 7.25 7.25
7.25 7.26 7.26 7.26
101-10 7.25 7.23 7.23 7.23 7.24 7.24
7.24 7.25 7.25 7.25
101-12 7.24 7.22 7.22 7.22 7.24 7.24
7.24 7.24 7.24 7.24
101-14 7.24 7.21 7.21 7.22 7.23 7.23
7.23 7.23 7.23 7.23
* 101-16 7.23 7.20 7.20 7.21 7.22 7.22
7.22 7.22 7.22 7.22
101-18 7.22 7.19 7.20 7.20 7.21 7.21
7.21 7.22 7.21 7.21
101-20 7.21 7.18 7.19 7.19 7.20 7.20
7.20 7.21 7.21 7.21
101-22 7.20 7.18 7.18 7.18 7.19 7.19
7.19 7.20 7.20 7.20
101-24 7.19 7.17 7.17 7.17 7.18 7.18
7.18 7.19 7.19 7.19
101-26 7.18 7.16 7.16 7.16 7.17 7.17
7.17 7.18 7.18 7.18
101-28 7.17 7.15 7.15 7.15 7.16 7.16
7.16 7.17 7.17 7.17
101-30 7.16 7.14 7.14 7.14 7.15 7.15
7.15 7.16 7.16 7.16
<PAGE>
WAL: 10.22 8.93 8.95 8.98 9.62 9.61
9.61 10.10 10.07 10.04
WINDOW 4.17 5.17 4.83 4.42 6.25 6.00
5.67 7.50 7.33 6.92
BEGIN: 20060313 20030613 20030813 20031013 20031013 20031013
20031013 20031013 20031113 20040113
END: 20100413 20080713 20080513 20080213 20091213 20090913
20090513 20110313 20110213 20101113
MOD DUR: 6.98 6.34 6.35 6.37 6.68 6.68
6.68 6.91 6.90 6.89
CONVEX: 0.64 0.52 0.53 0.53 0.59 0.59
0.59 0.63 0.63 0.62
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
<PAGE>
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 118465921 103216337 104297858 105395811 111596413 112013837
112432299 116398335 116480019 116557640
TOTAL PRIN: 0 0 0 0 0 0
0 0 0 0
PENALTY: 0 0 0 0 0 0
0 0 0 0
12.035374 9.27 6.75 7.02 7.28 8.12 8.23
8.34 8.82 8.86 8.90
12.097874 9.15 6.63 6.90 7.16 8.00 8.11
8.22 8.70 8.74 8.78
12.160374 9.03 6.51 6.78 7.04 7.89 7.99
8.10 8.58 8.62 8.66
12.222874 8.91 6.39 6.66 6.92 7.77 7.88
7.98 8.47 8.50 8.54
12.285374 8.80 6.28 6.54 6.80 7.65 7.76
7.87 8.35 8.39 8.43
12.347874 8.68 6.16 6.42 6.68 7.54 7.64
7.75 8.24 8.27 8.31
12.410374 8.57 6.04 6.30 6.56 7.42 7.53
7.63 8.12 8.16 8.20
* 12.472874 8.45 5.93 6.19 6.45 7.31 7.41
7.52 8.01 8.05 8.08
12.535374 8.34 5.82 6.07 6.33 7.20 7.30
7.41 7.90 7.94 7.97
12.597874 8.23 5.70 5.96 6.21 7.09 7.19
7.29 7.79 7.82 7.86
12.660374 8.12 5.59 5.85 6.10 6.98 7.08
7.18 7.68 7.71 7.75
12.722874 8.01 5.48 5.73 5.99 6.87 6.97
7.07 7.57 7.61 7.64
12.785374 7.90 5.37 5.62 5.88 6.76 6.86
6.96 7.46 7.50 7.53
12.847874 7.79 5.26 5.51 5.76 6.65 6.75
6.85 7.35 7.39 7.42
12.910374 7.68 5.15 5.40 5.65 6.54 6.64
6.75 7.25 7.28 7.32
WAL: 5.57 5.19 5.17 5.15 5.48 5.46
5.44 5.64 5.62 5.61
WINDOW 14.92 23.92 24.50 23.17 24.25 24.33
23.58 23.83 23.25 23.75
BEGIN: 19961113 19961113 19961113 19961113 19961113 19961113
19961113 19961113 19961113 19961113
END: 20110913 20200913 20210413 20191213 20210113 20210213
20200513 20200813 20200113 20200713
MOD DUR: 4.42 4.38 4.34 4.31 4.44 4.42
4.40 4.47 4.46 4.45
CONVEX: 0.31 0.31 0.31 0.30 0.32 0.32
0.31 0.33 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
<PAGE>
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 20500978 17906056 17705140 17395416 20205902 19863987
19405933 21175166 21123925 21026743
TOTAL PRIN: 19564674 19564674 19564674 19564674 19564674 19564674
19564674 19564674 19564674 19564674
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-02 7.43 7.42 7.42 7.42 7.43 7.43
7.43 7.43 7.43 7.43
101-04 7.42 7.41 7.41 7.41 7.42 7.42
7.42 7.42 7.42 7.42
<PAGE>
101-06 7.42 7.40 7.40 7.40 7.41 7.41
7.41 7.42 7.42 7.42
101-08 7.41 7.40 7.39 7.39 7.41 7.41
7.40 7.41 7.41 7.41
101-10 7.40 7.39 7.39 7.38 7.40 7.40
7.40 7.40 7.40 7.40
101-12 7.39 7.38 7.38 7.38 7.39 7.39
7.39 7.40 7.40 7.40
101-14 7.39 7.37 7.37 7.37 7.38 7.38
7.38 7.39 7.39 7.39
* 101-16 7.38 7.36 7.36 7.36 7.38 7.38
7.37 7.38 7.38 7.38
101-18 7.37 7.36 7.35 7.35 7.37 7.37
7.37 7.38 7.37 7.37
101-20 7.36 7.35 7.35 7.34 7.36 7.36
7.36 7.37 7.37 7.37
101-22 7.36 7.34 7.34 7.34 7.36 7.35
7.35 7.36 7.36 7.36
101-24 7.35 7.33 7.33 7.33 7.35 7.35
7.34 7.35 7.35 7.35
101-26 7.34 7.32 7.32 7.32 7.34 7.34
7.34 7.35 7.35 7.35
101-28 7.34 7.32 7.32 7.31 7.33 7.33
7.33 7.34 7.34 7.34
101-30 7.33 7.31 7.31 7.30 7.33 7.32
7.32 7.33 7.33 7.33
WAL: 14.08 12.30 12.16 11.95 13.88 13.65
13.33 14.55 14.51 14.45
WINDOW 1.08 0.83 1.00 1.25 1.42 1.58
1.67 0.33 0.42 0.58
BEGIN: 20100413 20080713 20080513 20080213 20091213 20090913
20090513 20110313 20110213 20101113
END: 20110413 20090413 20090413 20090413 20110413 20110313
20101213 20110613 20110613 20110513
MOD DUR: 8.50 7.84 7.79 7.70 8.43 8.34
8.23 8.66 8.64 8.62
CONVEX: 1.00 0.83 0.82 0.80 0.98 0.96
0.93 1.04 1.04 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
<PAGE>
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.39131
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 43172519 40717208 40093567 39327545 43295256 43212489
43075194 43609729 43568889 43502865
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349 39129349
39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-02 7.53 7.52 7.52 7.51 7.53 7.53
7.53 7.53 7.53 7.53
101-04 7.52 7.51 7.51 7.50 7.52 7.52
7.52 7.52 7.52 7.52
101-06 7.51 7.50 7.50 7.50 7.51 7.51
7.51 7.52 7.52 7.52
101-08 7.51 7.50 7.49 7.49 7.51 7.51
7.51 7.51 7.51 7.51
101-10 7.50 7.49 7.49 7.48 7.50 7.50
7.50 7.50 7.50 7.50
101-12 7.49 7.48 7.48 7.47 7.49 7.49
7.49 7.49 7.49 7.49
101-14 7.49 7.47 7.47 7.47 7.49 7.49
7.49 7.49 7.49 7.49
* 101-16 7.48 7.47 7.46 7.46 7.48 7.48
7.48 7.48 7.48 7.48
101-18 7.47 7.46 7.46 7.45 7.47 7.47
7.47 7.47 7.47 7.47
101-20 7.46 7.45 7.45 7.44 7.46 7.46
7.46 7.47 7.47 7.47
101-22 7.46 7.44 7.44 7.44 7.46 7.46
<PAGE>
7.46 7.46 7.46 7.46
101-24 7.45 7.44 7.43 7.43 7.45 7.45
7.45 7.45 7.45 7.45
101-26 7.44 7.43 7.43 7.42 7.44 7.44
7.44 7.44 7.44 7.44
101-28 7.44 7.42 7.42 7.41 7.44 7.44
7.44 7.44 7.44 7.44
101-30 7.43 7.42 7.41 7.41 7.43 7.43
7.43 7.43 7.43 7.43
WAL: 14.59 13.78 13.57 13.32 14.63 14.60
14.56 14.74 14.72 14.70
WINDOW 0.25 2.25 2.17 2.17 0.42 0.42
0.67 0.33 0.33 0.42
BEGIN: 20110413 20090413 20090413 20090413 20110413 20110313
20101213 20110613 20110613 20110513
END: 20110613 20110613 20110513 20110513 20110813 20110713
20110713 20110913 20110913 20110913
MOD DUR: 8.65 8.37 8.29 8.20 8.66 8.65
8.64 8.70 8.69 8.68
CONVEX: 1.04 0.97 0.95 0.92 1.05 1.04
1.04 1.06 1.06 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
<PAGE>
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.58031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 40208318 40299708 40223430 40119275 40631357 40607659
40567762 40654456 40654456 40654456
TOTAL PRIN: 35216414 35216414 35216414 35216414 35216414 35216414
35216414 35216414 35216414 35216414
PENALTY: 0 0 0 0 0 0
0 0 0 0
101-14 7.68 7.68 7.68 7.68 7.68 7.68
7.68 7.68 7.68 7.68
101-16 7.67 7.67 7.67 7.67 7.67 7.67
7.67 7.67 7.67 7.67
101-18 7.67 7.67 7.67 7.66 7.67 7.67
7.67 7.67 7.67 7.67
101-20 7.66 7.66 7.66 7.66 7.66 7.66
7.66 7.66 7.66 7.66
101-22 7.65 7.65 7.65 7.65 7.65 7.65
7.65 7.65 7.65 7.65
101-24 7.64 7.64 7.64 7.64 7.65 7.65
7.64 7.65 7.65 7.65
101-26 7.64 7.64 7.64 7.64 7.64 7.64
7.64 7.64 7.64 7.64
* 101-28 7.63 7.63 7.63 7.63 7.63 7.63
7.63 7.63 7.63 7.63
101-30 7.62 7.62 7.62 7.62 7.62 7.62
7.62 7.62 7.62 7.62
102-00 7.62 7.62 7.62 7.61 7.62 7.62
7.62 7.62 7.62 7.62
102-02 7.61 7.61 7.61 7.61 7.61 7.61
7.61 7.61 7.61 7.61
102-04 7.60 7.60 7.60 7.60 7.60 7.60
7.60 7.60 7.60 7.60
102-06 7.59 7.59 7.59 7.59 7.60 7.60
7.60 7.60 7.60 7.60
102-08 7.59 7.59 7.59 7.59 7.59 7.59
7.59 7.59 7.59 7.59
102-10 7.58 7.58 7.58 7.58 7.58 7.58
7.58 7.58 7.58 7.58
WAL: 14.73 14.76 14.73 14.70 14.88 14.87
14.86 14.89 14.89 14.89
WINDOW 0.33 0.33 0.42 0.42 0.17 0.25
0.25 0.08 0.08 0.08
BEGIN: 20110613 20110613 20110513 20110513 20110813 20110713
20110713 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913 20110913 20110913
<PAGE>
20110913 20110913 20110913 20110913
MOD DUR: 8.60 8.61 8.60 8.59 8.65 8.65
8.64 8.65 8.65 8.65
CONVEX: 1.04 1.04 1.04 1.04 1.05 1.05
1.05 1.05 1.05 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78731
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 46377360 46541652 46499282 46465897 47062805 46977007
<PAGE>
46862702 47435909 47352338 47266411
TOTAL PRIN: 39129349 39129349 39129349 39129349 39129349 39129349
39129349 39129349 39129349 39129349
PENALTY: 0 0 0 0 0 0
0 0 0 0
100-18 7.99 7.99 7.99 7.99 7.99 7.99
7.99 7.99 7.99 7.99
100-20 7.99 7.99 7.99 7.99 7.98 7.98
7.98 7.98 7.98 7.98
100-22 7.98 7.98 7.98 7.98 7.98 7.98
7.98 7.98 7.98 7.98
100-24 7.97 7.97 7.97 7.97 7.97 7.97
7.97 7.97 7.97 7.97
100-26 7.96 7.96 7.96 7.96 7.96 7.96
7.96 7.96 7.96 7.96
100-28 7.96 7.96 7.96 7.96 7.95 7.96
7.96 7.95 7.95 7.95
100-30 7.95 7.95 7.95 7.95 7.95 7.95
7.95 7.95 7.95 7.95
* 101-00 7.94 7.94 7.94 7.94 7.94 7.94
7.94 7.94 7.94 7.94
101-02 7.94 7.93 7.93 7.93 7.93 7.93
7.93 7.93 7.93 7.93
101-04 7.93 7.93 7.93 7.93 7.93 7.93
7.93 7.92 7.93 7.93
101-06 7.92 7.92 7.92 7.92 7.92 7.92
7.92 7.92 7.92 7.92
101-08 7.91 7.91 7.91 7.91 7.91 7.91
7.91 7.91 7.91 7.91
101-10 7.91 7.91 7.91 7.91 7.90 7.90
7.90 7.90 7.90 7.90
101-12 7.90 7.90 7.90 7.90 7.90 7.90
7.90 7.90 7.90 7.90
101-14 7.89 7.89 7.89 7.89 7.89 7.89
7.89 7.89 7.89 7.89
WAL: 14.89 14.95 14.93 14.92 15.12 15.09
15.06 15.25 15.22 15.19
WINDOW 0.08 0.83 0.58 0.25 1.67 1.67
1.67 1.67 1.67 1.67
BEGIN: 20110913 20110913 20110913 20110913 20110913 20110913
20110913 20110913 20110913 20110913
END: 20110913 20120613 20120313 20111113 20130413 20130413
20130413 20130413 20130413 20130413
MOD DUR: 8.51 8.53 8.52 8.52 8.58 8.57
8.56 8.61 8.60 8.60
CONVEX: 1.03 1.03 1.03 1.03 1.05 1.05
1.04 1.06 1.06 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
<PAGE>
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.11031
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- -------- --------
-------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144 SCN-145
SCN-146 SCN-147 SCN-148 SCN-149
TOTAL INT: 19303512 22140228 22041949 21805121 22603618 22542616
22420374 22803122 22700087 22669689
TOTAL PRIN: 15651739 15651739 15651739 15651739 15651739 15651739
15651739 15651739 15651739 15651739
PENALTY: 0 0 0 0 0 0
0 0 0 0
99-18 8.44 8.42 8.42 8.42 8.42 8.42
8.42 8.42 8.42 8.42
99-20 8.44 8.41 8.41 8.42 8.41 8.41
8.41 8.41 8.41 8.41
99-22 8.43 8.41 8.41 8.41 8.40 8.40
8.40 8.40 8.40 8.40
99-24 8.42 8.40 8.40 8.40 8.40 8.40
8.40 8.40 8.40 8.40
99-26 8.41 8.39 8.39 8.39 8.39 8.39
8.39 8.39 8.39 8.39
99-28 8.41 8.38 8.39 8.39 8.38 8.38
<PAGE>
8.38 8.38 8.38 8.38
99-30 8.40 8.38 8.38 8.38 8.38 8.38
8.38 8.37 8.38 8.38
* 100-00 8.39 8.37 8.37 8.37 8.37 8.37
8.37 8.37 8.37 8.37
100-02 8.38 8.36 8.36 8.37 8.36 8.36
8.36 8.36 8.36 8.36
100-04 8.38 8.36 8.36 8.36 8.35 8.35
8.36 8.35 8.35 8.35
100-06 8.37 8.35 8.35 8.35 8.35 8.35
8.35 8.35 8.35 8.35
100-08 8.36 8.34 8.34 8.34 8.34 8.34
8.34 8.34 8.34 8.34
100-10 8.35 8.34 8.34 8.34 8.33 8.33
8.33 8.33 8.33 8.33
100-12 8.35 8.33 8.33 8.33 8.33 8.33
8.33 8.33 8.33 8.33
100-14 8.34 8.32 8.32 8.32 8.32 8.32
8.32 8.32 8.32 8.32
WAL: 14.89 17.18 17.10 16.91 17.55 17.50
17.40 17.70 17.62 17.60
WINDOW 0.08 8.33 9.17 8.17 7.83 7.92
7.17 7.42 6.83 7.33
BEGIN: 20110913 20120613 20120313 20111113 20130413 20130413
20130413 20130413 20130413 20130413
END: 20110913 20200913 20210413 20191213 20210113 20210213
20200513 20200813 20200113 20200713
MOD DUR: 8.30 8.87 8.85 8.81 8.95 8.94
8.92 8.99 8.97 8.96
CONVEX: 0.99 1.17 1.17 1.15 1.20 1.20
1.19 1.21 1.21 1.20
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 6.04% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.98%.
142 6.87% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 40.00%.
143 7.94% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 39.96%.
144 4.19% annual default rate after 24.00 months (19981011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
145 4.75% annual default rate after 36.00 months (19991011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.00%. Cumulative Default 29.99%.
146 5.47% annual default rate after 48.00 months (20001011.00).
recover 60.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 29.97%.
147 3.21% annual default rate after 24.00 months (19981011.00).
recover 50.00% in 0.00 months.
<PAGE>
Servicer Advances.
Cumulative Loss 11.99%. Cumulative Default 23.97%.
148 3.63% annual default rate after 36.00 months (19991011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.95%.
149 4.18% annual default rate after 48.00 months (20001011.00).
recover 50.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 11.98%. Cumulative Default 23.97%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000
30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476
6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17260
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
6.178712 12.03 12.03
6.241212 11.51 11.51
6.303712 10.99 10.99
6.366212 10.49 10.49
6.428712 9.99 9.99
6.491212 9.50 9.50
6.553712 9.03 9.03
* 6.616212 8.55 8.55
6.678712 8.09 8.09
6.741212 7.63 7.63
6.803712 7.18 7.18
6.866212 6.74 6.74
6.928712 6.31 6.31
6.991212 5.88 5.88
7.053712 5.46 5.46
WAL: 2.30 2.30
WINDOW 6.42 6.42
BEGIN: 19961113 19961113
END: 20030313 20030313
MOD DUR: 2.02 2.02
CONVEX: 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
12.035374 9.25 12.27
<PAGE>
12.097874 9.13 12.16
12.160374 9.02 12.06
12.222874 8.90 11.95
12.285374 8.78 11.85
12.347874 8.67 11.75
12.410374 8.55 11.64
* 12.472874 8.44 11.54
12.535374 8.33 11.44
12.597874 8.21 11.34
12.660374 8.10 11.24
12.722874 7.99 11.15
12.785374 7.88 11.05
12.847874 7.77 10.95
12.910374 7.67 10.86
WAL: 5.57 7.33
WINDOW 14.92 19.33
BEGIN: 19961113 19961113
END: 20110913 20160213
MOD DUR: 4.43 4.96
CONVEX: 0.32 0.41
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 6.69 6.69
101-04 6.67 6.67
101-06 6.65 6.65
101-08 6.63 6.63
101-10 6.61 6.61
101-12 6.59 6.59
101-14 6.57 6.57
* 101-16 6.55 6.55
101-18 6.53 6.53
101-20 6.50 6.50
101-22 6.48 6.48
101-24 6.46 6.46
101-26 6.44 6.44
101-28 6.42 6.42
101-30 6.40 6.40
WAL: 3.54 3.54
WINDOW 6.42 6.42
BEGIN: 19961113 19961113
END: 20030313 20030313
MOD DUR: 2.98 2.98
CONVEX: 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Decrease NOI annually by 5%. If loans default, recovers 100%
in 12 mo.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.09 7.13
<PAGE>
101-04 7.08 7.12
101-06 7.07 7.11
101-08 7.06 7.10
101-10 7.05 7.09
101-12 7.04 7.08
101-14 7.02 7.07
* 101-16 7.01 7.06
101-18 7.00 7.05
101-20 6.99 7.04
101-22 6.98 7.03
101-24 6.97 7.02
101-26 6.96 7.02
101-28 6.95 7.01
101-30 6.93 7.00
WAL: 7.11 9.24
WINDOW 3.08 5.25
BEGIN: 20030313 20030313
END: 20060313 20080513
MOD DUR: 5.41 6.54
CONVEX: 0.37 0.56
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Decrease NOI annually by 5%. If loans default, recovers 100%
in 12 mo.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.29 7.32
101-04 7.28 7.31
101-06 7.27 7.31
101-08 7.26 7.30
101-10 7.25 7.29
101-12 7.24 7.28
101-14 7.24 7.28
* 101-16 7.23 7.27
101-18 7.22 7.26
101-20 7.21 7.26
101-22 7.20 7.25
101-24 7.19 7.24
<PAGE>
101-26 7.18 7.24
101-28 7.17 7.23
101-30 7.16 7.22
WAL: 10.22 14.68
WINDOW 4.17 5.00
BEGIN: 20060313 20080513
END: 20100413 20130413
MOD DUR: 6.98 8.74
CONVEX: 0.64 1.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Decrease NOI annually by 5%. If loans default, recovers 100%
in 12 mo.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: COLLATERAL
CUR BALANCE: $781,660,544
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 763543042 755511208 747677961 718222641
TOTAL PRIN: 781660544 775057272 768676486 745224189
PENALTY: 0 0 0 0
99.125000 9.54 9.48 9.42 9.18
99.187500 9.53 9.47 9.41 9.17
99.250000 9.52 9.46 9.40 9.16
99.312500 9.51 9.45 9.39 9.15
99.375000 9.50 9.44 9.37 9.14
99.437500 9.49 9.43 9.36 9.12
99.500000 9.48 9.42 9.35 9.11
99.562500 9.47 9.41 9.34 9.10
99.625000 9.46 9.40 9.33 9.09
99.687500 9.45 9.39 9.32 9.08
99.750000 9.44 9.38 9.31 9.07
99.812500 9.43 9.37 9.30 9.06
99.875000 9.42 9.36 9.29 9.05
99.937500 9.41 9.35 9.28 9.04
* 100.000000 9.40 9.34 9.27 9.03
100.062500 9.39 9.33 9.26 9.02
100.125000 9.38 9.32 9.25 9.01
100.187500 9.37 9.31 9.24 9.00
100.250000 9.36 9.30 9.23 8.99
100.312500 9.35 9.29 9.22 8.98
100.375000 9.34 9.28 9.21 8.97
100.437500 9.33 9.27 9.20 8.96
100.500000 9.32 9.26 9.19 8.95
100.562500 9.31 9.25 9.18 8.94
100.625000 9.30 9.24 9.17 8.93
100.687500 9.29 9.23 9.16 8.92
100.750000 9.28 9.22 9.15 8.91
100.812500 9.27 9.21 9.14 8.90
100.875000 9.26 9.20 9.13 8.89
100.937500 9.25 9.19 9.12 8.88
WAL: 10.57 10.47 10.38 10.01
WINDOW 24.58 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113
END: 20210513 20210513 20210513 20210513
MOD DUR: 6.25 6.22 6.18 6.05
CONVEX: 0.59 0.58 0.57 0.55
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 16887697 16724675 16605893 16342297
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.95
100-28 6.94 6.94 6.94 6.93
100-30 6.92 6.92 6.92 6.91
101-00 6.90 6.90 6.89 6.89
101-02 6.88 6.88 6.87 6.87
101-04 6.86 6.85 6.85 6.85
101-06 6.84 6.83 6.83 6.83
101-08 6.82 6.81 6.81 6.80
101-10 6.79 6.79 6.79 6.78
101-12 6.77 6.77 6.77 6.76
101-14 6.75 6.75 6.75 6.74
* 101-16 6.73 6.73 6.73 6.72
101-18 6.71 6.71 6.71 6.70
101-20 6.69 6.69 6.68 6.68
101-22 6.67 6.67 6.66 6.66
101-24 6.65 6.65 6.64 6.64
101-26 6.63 6.63 6.62 6.61
101-28 6.61 6.60 6.60 6.59
101-30 6.59 6.58 6.58 6.57
102-00 6.57 6.56 6.56 6.55
102-02 6.55 6.54 6.54 6.53
102-04 6.53 6.52 6.52 6.51
102-06 6.51 6.50 6.50 6.49
102-08 6.49 6.48 6.48 6.47
102-10 6.47 6.46 6.46 6.45
102-12 6.45 6.44 6.44 6.43
102-14 6.43 6.42 6.41 6.40
<PAGE>
WAL: 3.57 3.54 3.51 3.46
WINDOW 6.50 6.25 6.08 5.75
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030113 20021113 20020713
MOD DUR: 2.98 2.96 2.95 2.91
CONVEX: 0.14 0.13 0.13 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 4850913 4804161 4769898 4694187
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.01 16.79 16.27
5.204006 16.62 16.33 16.10 15.58
5.266506 15.96 15.67 15.44 14.91
5.329006 15.32 15.02 14.79 14.25
5.391506 14.69 14.38 14.15 13.60
5.454006 14.07 13.76 13.52 12.97
5.516506 13.46 13.15 12.91 12.35
5.579006 12.87 12.55 12.31 11.74
5.641506 12.29 11.96 11.72 11.15
5.704006 11.72 11.39 11.14 10.56
5.766506 11.16 10.83 10.57 9.99
5.829006 10.61 10.27 10.02 9.42
5.891506 10.07 9.73 9.47 8.87
5.954006 9.54 9.20 8.93 8.33
* 6.016506 9.02 8.67 8.41 7.80
6.079006 8.51 8.16 7.89 7.27
6.141506 8.01 7.65 7.38 6.76
6.204006 7.52 7.16 6.88 6.25
6.266506 7.03 6.67 6.39 5.75
6.329006 6.56 6.19 5.91 5.27
<PAGE>
6.391506 6.09 5.72 5.44 4.79
6.454006 5.63 5.25 4.97 4.31
6.516506 5.18 4.80 4.51 3.85
6.579006 4.73 4.35 4.06 3.39
6.641506 4.29 3.91 3.61 2.94
6.704006 3.86 3.47 3.18 2.50
6.766506 3.44 3.04 2.75 2.06
6.829006 3.02 2.62 2.32 1.63
6.891506 2.61 2.21 1.91 1.21
6.954006 2.20 1.80 1.49 0.79
WAL: 2.31 2.28 2.25 2.20
WINDOW 6.50 6.25 6.08 5.75
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030113 20021113 20020713
MOD DUR: 2.02 2.00 1.99 1.97
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 81200742 80095366 79185144 76737842
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.33
100-22 7.33 7.33 7.33 7.32
100-24 7.32 7.32 7.31 7.31
100-26 7.31 7.30 7.30 7.30
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.27
101-00 7.27 7.27 7.27 7.26
101-02 7.26 7.26 7.26 7.25
101-04 7.25 7.25 7.24 7.24
<PAGE>
101-06 7.24 7.23 7.23 7.23
101-08 7.22 7.22 7.22 7.21
101-10 7.21 7.21 7.21 7.20
101-12 7.20 7.20 7.20 7.19
101-14 7.19 7.19 7.19 7.18
* 101-16 7.18 7.18 7.17 7.17
101-18 7.17 7.16 7.16 7.15
101-20 7.16 7.15 7.15 7.14
101-22 7.14 7.14 7.14 7.13
101-24 7.13 7.13 7.13 7.12
101-26 7.12 7.12 7.12 7.11
101-28 7.11 7.11 7.10 7.10
101-30 7.10 7.10 7.09 7.08
102-00 7.09 7.08 7.08 7.07
102-02 7.08 7.07 7.07 7.06
102-04 7.07 7.06 7.06 7.05
102-06 7.05 7.05 7.05 7.04
102-08 7.04 7.04 7.03 7.02
102-10 7.03 7.03 7.02 7.01
102-12 7.02 7.02 7.01 7.00
102-14 7.01 7.00 7.00 6.99
WAL: 7.13 7.04 6.96 6.74
WINDOW 3.00 2.83 2.58 1.83
BEGIN: 20030413 20030113 20021113 20020713
END: 20060313 20051013 20050513 20040413
MOD DUR: 5.39 5.33 5.29 5.16
CONVEX: 0.37 0.36 0.35 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 242929602 241611678 240177156 233837281
TOTAL PRIN: 318000000 318000000 318000000 318000000
<PAGE>
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.50
100-22 7.50 7.50 7.49 7.49
100-24 7.49 7.49 7.49 7.48
100-26 7.48 7.48 7.48 7.47
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.43
101-06 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41
101-10 7.41 7.41 7.40 7.40
101-12 7.40 7.40 7.40 7.39
101-14 7.39 7.39 7.39 7.38
* 101-16 7.38 7.38 7.38 7.37
101-18 7.37 7.37 7.37 7.36
101-20 7.36 7.36 7.36 7.36
101-22 7.35 7.35 7.35 7.35
101-24 7.34 7.34 7.34 7.34
101-26 7.33 7.33 7.33 7.33
101-28 7.33 7.33 7.32 7.32
101-30 7.32 7.32 7.32 7.31
102-00 7.31 7.31 7.31 7.30
102-02 7.30 7.30 7.30 7.29
102-04 7.29 7.29 7.29 7.28
102-06 7.28 7.28 7.28 7.27
102-08 7.27 7.27 7.27 7.26
102-10 7.26 7.26 7.26 7.26
102-12 7.26 7.25 7.25 7.25
102-14 7.25 7.25 7.24 7.24
WAL: 10.21 10.16 10.10 9.83
WINDOW 4.08 4.17 4.33 5.08
BEGIN: 20060313 20051013 20050513 20040413
END: 20100313 20091113 20090813 20090413
MOD DUR: 6.93 6.90 6.88 6.75
CONVEX: 0.63 0.63 0.62 0.60
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 106965689 106233895 105515243 102817049
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.105148 11.09 11.00 10.90 10.52
10.167648 10.94 10.85 10.75 10.36
10.230148 10.80 10.70 10.60 10.22
10.292648 10.65 10.55 10.45 10.07
10.355148 10.50 10.41 10.31 9.92
10.417648 10.36 10.26 10.16 9.77
10.480148 10.22 10.12 10.02 9.63
10.542648 10.08 9.98 9.88 9.49
10.605148 9.94 9.84 9.74 9.35
10.667648 9.80 9.70 9.60 9.21
10.730148 9.66 9.56 9.46 9.07
10.792648 9.53 9.43 9.33 8.93
10.855148 9.39 9.29 9.19 8.79
10.917648 9.26 9.16 9.06 8.66
* 10.980148 9.13 9.03 8.93 8.53
11.042648 9.00 8.90 8.79 8.39
11.105148 8.87 8.77 8.66 8.26
11.167648 8.74 8.64 8.54 8.13
11.230148 8.61 8.51 8.41 8.00
11.292648 8.49 8.38 8.28 7.88
11.355148 8.36 8.26 8.16 7.75
11.417648 8.24 8.14 8.03 7.62
11.480148 8.12 8.01 7.91 7.50
11.542648 7.99 7.89 7.79 7.38
11.605148 7.87 7.77 7.67 7.25
11.667648 7.75 7.65 7.55 7.13
11.730148 7.64 7.53 7.43 7.01
11.792648 7.52 7.41 7.31 6.89
11.855148 7.40 7.30 7.19 6.78
11.917648 7.29 7.18 7.08 6.66
WAL: 5.56 5.53 5.50 5.38
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.33 4.32 4.28
CONVEX: 0.30 0.30 0.30 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 20767673 20403914 20004775 18823897
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.62
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.61 7.61
100-26 7.61 7.61 7.61 7.60
100-28 7.60 7.60 7.60 7.59
100-30 7.59 7.59 7.59 7.59
101-00 7.59 7.58 7.58 7.58
101-02 7.58 7.58 7.57 7.57
101-04 7.57 7.57 7.57 7.56
101-06 7.56 7.56 7.56 7.55
101-08 7.56 7.55 7.55 7.55
101-10 7.55 7.55 7.54 7.54
101-12 7.54 7.54 7.54 7.53
101-14 7.53 7.53 7.53 7.52
* 101-16 7.53 7.52 7.52 7.52
101-18 7.52 7.52 7.51 7.51
101-20 7.51 7.51 7.51 7.50
101-22 7.50 7.50 7.50 7.49
101-24 7.50 7.49 7.49 7.48
101-26 7.49 7.49 7.48 7.48
101-28 7.48 7.48 7.48 7.47
101-30 7.47 7.47 7.47 7.46
102-00 7.47 7.47 7.46 7.45
102-02 7.46 7.46 7.46 7.45
102-04 7.45 7.45 7.45 7.44
102-06 7.45 7.44 7.44 7.43
102-08 7.44 7.44 7.43 7.42
102-10 7.43 7.43 7.43 7.42
102-12 7.42 7.42 7.42 7.41
102-14 7.42 7.41 7.41 7.40
<PAGE>
WAL: 14.01 13.77 13.50 12.70
WINDOW 1.08 1.42 1.42 0.83
BEGIN: 20100313 20091113 20090813 20090413
END: 20110313 20110313 20101213 20100113
MOD DUR: 8.40 8.31 8.22 7.93
CONVEX: 0.98 0.96 0.93 0.86
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 43920457 43850510 43760669 42828031
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.73 7.72
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.71 7.70
100-28 7.70 7.70 7.70 7.69
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.68 7.67
101-04 7.67 7.67 7.67 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.65 7.65 7.65
101-10 7.65 7.65 7.65 7.64
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.63 7.62
101-18 7.62 7.62 7.62 7.61
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.60 7.59
101-26 7.59 7.59 7.59 7.59
<PAGE>
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.58 7.57
102-00 7.57 7.57 7.57 7.56
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.55 7.54
102-08 7.54 7.54 7.54 7.53
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.53 7.52
102-14 7.52 7.52 7.52 7.51
WAL: 14.58 14.56 14.53 14.23
WINDOW 0.33 0.33 0.58 1.50
BEGIN: 20110313 20110313 20101213 20100113
END: 20110613 20110613 20110613 20110613
MOD DUR: 8.57 8.56 8.55 8.45
CONVEX: 1.03 1.03 1.02 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 40881442 40858581 40839111 40789841
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.88 7.88
101-02 7.87 7.87 7.87 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.86 7.86
101-08 7.85 7.85 7.85 7.85
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.83 7.83
101-16 7.82 7.82 7.82 7.82
<PAGE>
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.80 7.80
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.78 7.78
101-30 7.77 7.77 7.77 7.77
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.75 7.75
102-06 7.74 7.74 7.74 7.74
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.73 7.73
102-12 7.72 7.72 7.72 7.72
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.70 7.70
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.68 7.68
102-26 7.67 7.67 7.67 7.67
WAL: 14.72 14.71 14.71 14.69
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110613 20110613
END: 20110913 20110913 20110813 20110813
MOD DUR: 8.52 8.52 8.52 8.51
CONVEX: 1.02 1.02 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 47153915 47153915 47152904 47141877
TOTAL PRIN: 39083027 39083027 39083027 39083027
<PAGE>
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.19 8.19
100-06 8.18 8.18 8.18 8.18
100-08 8.18 8.18 8.18 8.18
100-10 8.17 8.17 8.17 8.17
100-12 8.16 8.16 8.16 8.16
100-14 8.15 8.15 8.15 8.15
100-16 8.15 8.15 8.15 8.15
100-18 8.14 8.14 8.14 8.14
100-20 8.13 8.13 8.13 8.13
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.12 8.12
100-26 8.11 8.11 8.11 8.11
100-28 8.10 8.10 8.10 8.10
100-30 8.09 8.09 8.09 8.09
* 101-00 8.09 8.09 8.09 8.09
101-02 8.08 8.08 8.08 8.08
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.07 8.07
101-08 8.06 8.06 8.06 8.06
101-10 8.05 8.05 8.05 8.05
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.04 8.04
101-16 8.03 8.03 8.03 8.03
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.01 8.01
101-24 8.00 8.00 8.00 8.00
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.99 7.99
101-30 7.98 7.98 7.98 7.98
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.17 0.17
BEGIN: 20110913 20110913 20110813 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.43 8.43 8.43 8.43
CONVEX: 1.01 1.01 1.01 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 19611056 19611056 19611056 19611056
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.64 8.64
99-06 8.64 8.64 8.64 8.64
99-08 8.63 8.63 8.63 8.63
99-10 8.62 8.62 8.62 8.62
99-12 8.61 8.61 8.61 8.61
99-14 8.61 8.61 8.61 8.61
99-16 8.60 8.60 8.60 8.60
99-18 8.59 8.59 8.59 8.59
99-20 8.58 8.58 8.58 8.58
99-22 8.58 8.58 8.58 8.58
99-24 8.57 8.57 8.57 8.57
99-26 8.56 8.56 8.56 8.56
99-28 8.55 8.55 8.55 8.55
99-30 8.55 8.55 8.55 8.55
* 100-00 8.54 8.54 8.54 8.54
100-02 8.53 8.53 8.53 8.53
100-04 8.52 8.52 8.52 8.52
100-06 8.51 8.51 8.51 8.51
100-08 8.51 8.51 8.51 8.51
100-10 8.50 8.50 8.50 8.50
100-12 8.49 8.49 8.49 8.49
100-14 8.48 8.48 8.48 8.48
100-16 8.48 8.48 8.48 8.48
100-18 8.47 8.47 8.47 8.47
100-20 8.46 8.46 8.46 8.46
100-22 8.45 8.45 8.45 8.45
100-24 8.45 8.45 8.45 8.45
100-26 8.44 8.44 8.44 8.44
100-28 8.43 8.43 8.43 8.43
100-30 8.42 8.42 8.42 8.42
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.23 8.23
CONVEX: 0.98 0.98 0.98 0.98
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-1 BB
CUR BALANCE: $42,991,329
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 59614160 59635773 59657000 61342861
TOTAL PRIN: 42991329 42991329 42991329 42991329
PENALTY: 0 0 0 0
86-22 11.32 11.32 11.32 11.30
86-24 11.31 11.31 11.31 11.29
86-26 11.30 11.30 11.30 11.28
86-28 11.30 11.29 11.29 11.27
86-30 11.29 11.28 11.28 11.26
87-00 11.28 11.27 11.27 11.25
87-02 11.27 11.27 11.26 11.24
87-04 11.26 11.26 11.25 11.23
87-06 11.25 11.25 11.24 11.22
87-08 11.24 11.24 11.24 11.21
87-10 11.23 11.23 11.23 11.20
87-12 11.22 11.22 11.22 11.19
87-14 11.21 11.21 11.21 11.18
87-16 11.20 11.20 11.20 11.17
* 87-18 11.19 11.19 11.19 11.16
87-20 11.18 11.18 11.18 11.15
87-22 11.17 11.17 11.17 11.14
87-24 11.16 11.16 11.16 11.13
87-26 11.15 11.15 11.15 11.12
87-28 11.14 11.14 11.14 11.11
87-30 11.13 11.13 11.13 11.10
88-00 11.12 11.12 11.12 11.09
88-02 11.11 11.11 11.11 11.08
88-04 11.10 11.10 11.10 11.07
88-06 11.09 11.09 11.09 11.06
88-08 11.08 11.08 11.08 11.05
88-10 11.07 11.07 11.07 11.05
88-12 11.06 11.06 11.06 11.04
88-14 11.05 11.05 11.05 11.03
88-16 11.04 11.04 11.04 11.02
<PAGE>
WAL: 14.94 14.94 14.95 15.39
WINDOW 0.17 0.17 0.17 1.67
BEGIN: 20110913 20110913 20110913 20110913
END: 20111013 20111013 20111013 20130413
MOD DUR: 7.30 7.30 7.30 7.38
CONVEX: 0.82 0.82 0.82 0.84
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-2 B
CUR BALANCE: $27,358,119
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 39854289 40464916 41135798 38222653
TOTAL PRIN: 27358119 27358119 27358119 14371584
PENALTY: 0 0 0 0
73-16+ 13.62 13.59 13.56 11.34
73-18+ 13.60 13.57 13.55 11.33
73-20+ 13.59 13.56 13.53 11.31
73-22+ 13.58 13.55 13.52 11.30
73-24+ 13.56 13.54 13.51 11.29
73-26+ 13.55 13.52 13.50 11.28
73-28+ 13.54 13.51 13.48 11.26
73-30+ 13.53 13.50 13.47 11.25
74-00+ 13.51 13.49 13.46 11.24
74-02+ 13.50 13.47 13.45 11.22
74-04+ 13.49 13.46 13.43 11.21
74-06+ 13.48 13.45 13.42 11.20
74-08+ 13.46 13.44 13.41 11.18
74-10+ 13.45 13.42 13.40 11.17
* 74-12+ 13.44 13.41 13.38 11.16
74-14+ 13.43 13.40 13.37 11.15
74-16+ 13.41 13.39 13.36 11.13
74-18+ 13.40 13.38 13.35 11.12
74-20+ 13.39 13.36 13.33 11.11
74-22+ 13.38 13.35 13.32 11.09
<PAGE>
74-24+ 13.37 13.34 13.31 11.08
74-26+ 13.35 13.33 13.30 11.07
74-28+ 13.34 13.31 13.29 11.06
74-30+ 13.33 13.30 13.27 11.04
75-00+ 13.32 13.29 13.26 11.03
75-02+ 13.30 13.28 13.25 11.02
75-04+ 13.29 13.27 13.24 11.00
75-06+ 13.28 13.25 13.23 10.99
75-08+ 13.27 13.24 13.21 10.98
75-10+ 13.25 13.23 13.20 10.97
WAL: 15.73 15.98 16.25 18.08
WINDOW 1.58 1.58 2.50 8.17
BEGIN: 20111013 20111013 20111013 20130413
END: 20130413 20130413 20140313 20210513
MOD DUR: 6.76 6.79 6.83 6.51
CONVEX: 0.74 0.76 0.77 0.73
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-3 B-
CUR BALANCE: $7,816,605
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 11908847 12257578 13577252 6063731
TOTAL PRIN: 7816605 7816605 7816605 0
PENALTY: 0 0 0 0
59.265625 16.95 16.89 16.68 6.71
59.328125 16.93 16.87 16.66 6.68
59.390625 16.91 16.85 16.64 6.65
59.453125 16.90 16.83 16.62 6.62
59.515625 16.88 16.81 16.61 6.60
59.578125 16.86 16.80 16.59 6.57
59.640625 16.84 16.78 16.57 6.54
59.703125 16.82 16.76 16.55 6.51
59.765625 16.81 16.74 16.54 6.48
<PAGE>
59.828125 16.79 16.73 16.52 6.46
59.890625 16.77 16.71 16.50 6.43
59.953125 16.75 16.69 16.48 6.40
60.015625 16.74 16.67 16.47 6.37
60.078125 16.72 16.66 16.45 6.35
* 60.140625 16.70 16.64 16.43 6.32
60.203125 16.68 16.62 16.41 6.29
60.265625 16.66 16.60 16.40 6.26
60.328125 16.65 16.59 16.38 6.24
60.390625 16.63 16.57 16.36 6.21
60.453125 16.61 16.55 16.35 6.18
60.515625 16.59 16.53 16.33 6.16
60.578125 16.58 16.52 16.31 6.13
60.640625 16.56 16.50 16.29 6.10
60.703125 16.54 16.48 16.28 6.07
60.765625 16.53 16.46 16.26 6.05
60.828125 16.51 16.45 16.24 6.02
60.890625 16.49 16.43 16.23 5.99
60.953125 16.47 16.41 16.21 5.97
61.015625 16.46 16.40 16.19 5.94
61.078125 16.44 16.38 16.18 5.91
WAL: 16.48 16.97 18.82 4.28
WINDOW 0.08 1.92 2.25 9.25
BEGIN: 20130413 20130413 20140313 19961113
END: 20130413 20150213 20160513 20060113
MOD DUR: 5.90 5.93 6.03 3.79
CONVEX: 0.62 0.63 0.67 0.22
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4A UR
CUR BALANCE: $15,632,214
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 26994831 21803796 15685057 8969463
TOTAL PRIN: 15632214 9029365 2648987 0
<PAGE>
PENALTY: 0 0 0 0
38.593750 25.57 23.52 20.85 13.75
38.656250 25.53 23.48 20.80 13.69
38.718750 25.49 23.43 20.75 13.63
38.781250 25.45 23.39 20.70 13.56
38.843750 25.40 23.35 20.65 13.50
38.906250 25.36 23.30 20.61 13.44
38.968750 25.32 23.26 20.56 13.38
39.031250 25.28 23.22 20.51 13.32
39.093750 25.24 23.17 20.46 13.25
39.156250 25.20 23.13 20.42 13.19
39.218750 25.16 23.09 20.37 13.13
39.281250 25.12 23.05 20.32 13.07
39.343750 25.08 23.00 20.27 13.01
39.406250 25.04 22.96 20.23 12.95
* 39.468750 25.00 22.92 20.18 12.89
39.531250 24.97 22.88 20.13 12.83
39.593750 24.93 22.84 20.09 12.77
39.656250 24.89 22.80 20.04 12.71
39.718750 24.85 22.76 19.99 12.65
39.781250 24.81 22.71 19.95 12.59
39.843750 24.77 22.67 19.90 12.53
39.906250 24.73 22.63 19.86 12.47
39.968750 24.69 22.59 19.81 12.41
40.031250 24.66 22.55 19.76 12.35
40.093750 24.62 22.51 19.72 12.29
40.156250 24.58 22.47 19.67 12.23
40.218750 24.54 22.43 19.63 12.17
40.281250 24.50 22.39 19.58 12.11
40.343750 24.47 22.35 19.54 12.05
40.406250 24.43 22.31 19.49 12.00
WAL: 18.71 19.67 20.75 3.21
WINDOW 8.17 6.33 5.08 7.67
BEGIN: 20130413 20150213 20160513 19961113
END: 20210513 20210513 20210513 20040613
MOD DUR: 4.03 3.79 3.39 2.61
CONVEX: 0.33 0.30 0.23 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4B UR H
CUR BALANCE: $1,001
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 1728 1396 1004 574
TOTAL PRIN: 1001 578 170 0
PENALTY: 0 0 0 0
38.593750 25.57 23.52 20.85 13.75
38.656250 25.53 23.48 20.80 13.69
38.718750 25.49 23.43 20.75 13.63
38.781250 25.45 23.39 20.70 13.56
38.843750 25.40 23.35 20.65 13.50
38.906250 25.36 23.30 20.61 13.44
38.968750 25.32 23.26 20.56 13.38
39.031250 25.28 23.22 20.51 13.32
39.093750 25.24 23.17 20.46 13.25
39.156250 25.20 23.13 20.42 13.19
39.218750 25.16 23.09 20.37 13.13
39.281250 25.12 23.05 20.32 13.07
39.343750 25.08 23.00 20.27 13.01
39.406250 25.04 22.96 20.23 12.95
* 39.468750 25.00 22.92 20.18 12.89
39.531250 24.97 22.88 20.13 12.83
39.593750 24.93 22.84 20.09 12.77
39.656250 24.89 22.80 20.04 12.71
39.718750 24.85 22.76 19.99 12.65
39.781250 24.81 22.71 19.95 12.59
39.843750 24.77 22.67 19.90 12.53
39.906250 24.73 22.63 19.86 12.47
39.968750 24.69 22.59 19.81 12.41
40.031250 24.66 22.55 19.76 12.35
40.093750 24.62 22.51 19.72 12.29
40.156250 24.58 22.47 19.67 12.23
40.218750 24.54 22.43 19.63 12.17
40.281250 24.50 22.39 19.58 12.11
40.343750 24.47 22.35 19.54 12.05
40.406250 24.43 22.31 19.49 12.00
WAL: 18.71 19.67 20.75 3.21
WINDOW 8.17 6.33 5.08 7.67
BEGIN: 20130413 20150213 20160513 19961113
END: 20210513 20210513 20210513 20040613
MOD DUR: 4.03 3.79 3.39 2.61
CONVEX: 0.33 0.30 0.23 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: RESID
CUR BALANCE: $0
CUR COUPON: 0.00000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 46 54 62 95
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
99.125000 -17.52 -13.24 -9.90 -0.86
99.187500 -17.53 -13.25 -9.91 -0.87
99.250000 -17.54 -13.27 -9.92 -0.88
99.312500 -17.56 -13.28 -9.93 -0.90
99.375000 -17.57 -13.29 -9.95 -0.91
99.437500 -17.58 -13.30 -9.96 -0.92
99.500000 -17.59 -13.32 -9.97 -0.93
99.562500 -17.61 -13.33 -9.98 -0.95
99.625000 -17.62 -13.34 -10.00 -0.96
99.687500 -17.63 -13.35 -10.01 -0.97
99.750000 -17.64 -13.37 -10.02 -0.99
99.812500 -17.66 -13.38 -10.03 -1.00
99.875000 -17.67 -13.39 -10.05 -1.01
99.937500 -17.68 -13.40 -10.06 -1.02
* 100.000000 -17.69 -13.42 -10.07 -1.04
100.062500 -17.71 -13.43 -10.08 -1.05
100.125000 -17.72 -13.44 -10.10 -1.06
100.187500 -17.73 -13.45 -10.11 -1.07
100.250000 -17.74 -13.47 -10.12 -1.09
100.312500 -17.76 -13.48 -10.13 -1.10
100.375000 -17.77 -13.49 -10.15 -1.11
100.437500 -17.78 -13.50 -10.16 -1.12
100.500000 -17.79 -13.52 -10.17 -1.14
100.562500 -17.81 -13.53 -10.18 -1.15
100.625000 -17.82 -13.54 -10.20 -1.16
100.687500 -17.83 -13.55 -10.21 -1.17
100.750000 -17.84 -13.57 -10.22 -1.19
100.812500 -17.86 -13.58 -10.23 -1.20
100.875000 -17.87 -13.59 -10.25 -1.21
100.937500 -17.88 -13.60 -10.26 -1.22
<PAGE>
WAL: 3.81 4.13 4.36 4.88
WINDOW 6.08 6.08 6.08 6.08
BEGIN: 19970313 19970313 19970313 19970313
END: 20030313 20030313 20030313 20030313
MOD DUR: 4.98 5.00 5.00 4.94
CONVEX: 0.32 0.32 0.31 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 16887697 16884918 16881115 16876279
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.96
100-28 6.94 6.94 6.94 6.94
100-30 6.92 6.92 6.92 6.92
101-00 6.90 6.90 6.90 6.90
101-02 6.88 6.88 6.88 6.88
101-04 6.86 6.86 6.86 6.86
101-06 6.84 6.84 6.84 6.84
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
101-28 6.61 6.61 6.61 6.61
101-30 6.59 6.59 6.59 6.59
102-00 6.57 6.57 6.57 6.57
102-02 6.55 6.55 6.55 6.55
102-04 6.53 6.53 6.53 6.53
102-06 6.51 6.51 6.51 6.51
102-08 6.49 6.49 6.49 6.49
102-10 6.47 6.47 6.47 6.47
102-12 6.45 6.45 6.45 6.45
102-14 6.43 6.43 6.43 6.43
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.42 6.42
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030313 20030313
MOD DUR: 2.98 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
<PAGE>
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 4850913 4850138 4849097 4847856
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.29 17.29 17.28
5.204006 16.62 16.62 16.61 16.60
5.266506 15.96 15.96 15.95 15.95
5.329006 15.32 15.31 15.31 15.30
5.391506 14.69 14.68 14.68 14.67
5.454006 14.07 14.06 14.06 14.05
5.516506 13.46 13.46 13.45 13.44
5.579006 12.87 12.86 12.86 12.85
5.641506 12.29 12.28 12.28 12.27
5.704006 11.72 11.71 11.70 11.70
5.766506 11.16 11.15 11.14 11.14
5.829006 10.61 10.60 10.60 10.59
5.891506 10.07 10.06 10.06 10.05
5.954006 9.54 9.53 9.53 9.52
* 6.016506 9.02 9.01 9.01 9.00
6.079006 8.51 8.50 8.50 8.49
6.141506 8.01 8.00 7.99 7.99
6.204006 7.52 7.51 7.50 7.49
6.266506 7.03 7.03 7.02 7.01
6.329006 6.56 6.55 6.54 6.53
6.391506 6.09 6.08 6.07 6.06
6.454006 5.63 5.62 5.61 5.60
6.516506 5.18 5.17 5.16 5.15
6.579006 4.73 4.72 4.72 4.71
6.641506 4.29 4.29 4.28 4.27
6.704006 3.86 3.86 3.85 3.84
6.766506 3.44 3.43 3.42 3.41
6.829006 3.02 3.01 3.01 2.99
6.891506 2.61 2.60 2.59 2.58
6.954006 2.20 2.20 2.19 2.18
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.42 6.42
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030313 20030313
MOD DUR: 2.02 2.02 2.02 2.02
<PAGE>
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 81200742 81167813 81118076 81017613
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.34
100-22 7.33 7.33 7.33 7.33
100-24 7.32 7.32 7.32 7.32
100-26 7.31 7.31 7.31 7.30
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.28
101-00 7.27 7.27 7.27 7.27
101-02 7.26 7.26 7.26 7.26
101-04 7.25 7.25 7.25 7.25
101-06 7.24 7.24 7.24 7.24
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
101-12 7.20 7.20 7.20 7.20
101-14 7.19 7.19 7.19 7.19
* 101-16 7.18 7.18 7.18 7.18
101-18 7.17 7.17 7.17 7.17
101-20 7.16 7.16 7.16 7.16
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.13 7.13
101-26 7.12 7.12 7.12 7.12
101-28 7.11 7.11 7.11 7.11
101-30 7.10 7.10 7.10 7.10
102-00 7.09 7.09 7.09 7.09
102-02 7.08 7.08 7.08 7.08
102-04 7.07 7.06 7.06 7.06
102-06 7.05 7.05 7.05 7.05
102-08 7.04 7.04 7.04 7.04
102-10 7.03 7.03 7.03 7.03
<PAGE>
102-12 7.02 7.02 7.02 7.02
102-14 7.01 7.01 7.01 7.01
WAL: 7.13 7.13 7.13 7.12
WINDOW 3.00 3.00 3.00 2.92
BEGIN: 20030413 20030413 20030313 20030313
END: 20060313 20060313 20060213 20060113
MOD DUR: 5.39 5.38 5.38 5.38
CONVEX: 0.37 0.37 0.37 0.37
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 242929602 242865518 242750971 242502772
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.50
100-22 7.50 7.50 7.50 7.50
100-24 7.49 7.49 7.49 7.49
100-26 7.48 7.48 7.48 7.48
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.43
101-06 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41
101-10 7.41 7.41 7.41 7.41
101-12 7.40 7.40 7.40 7.40
101-14 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38
101-18 7.37 7.37 7.37 7.37
101-20 7.36 7.36 7.36 7.36
101-22 7.35 7.35 7.35 7.35
101-24 7.34 7.34 7.34 7.34
101-26 7.33 7.33 7.33 7.33
101-28 7.33 7.33 7.33 7.33
<PAGE>
101-30 7.32 7.32 7.32 7.32
102-00 7.31 7.31 7.31 7.31
102-02 7.30 7.30 7.30 7.30
102-04 7.29 7.29 7.29 7.29
102-06 7.28 7.28 7.28 7.28
102-08 7.27 7.27 7.27 7.27
102-10 7.26 7.26 7.26 7.26
102-12 7.26 7.26 7.26 7.26
102-14 7.25 7.25 7.25 7.25
WAL: 10.21 10.21 10.21 10.20
WINDOW 4.08 4.08 4.17 4.25
BEGIN: 20060313 20060313 20060213 20060113
END: 20100313 20100313 20100313 20100313
MOD DUR: 6.93 6.93 6.93 6.92
CONVEX: 0.63 0.63 0.63 0.63
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 106965689 106938386 106892426 106795119
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.105148 11.09 11.09 11.08 11.07
10.167648 10.94 10.94 10.93 10.92
10.230148 10.80 10.79 10.79 10.77
10.292648 10.65 10.65 10.64 10.63
10.355148 10.50 10.50 10.49 10.48
10.417648 10.36 10.36 10.35 10.34
10.480148 10.22 10.21 10.21 10.20
10.542648 10.08 10.07 10.07 10.05
10.605148 9.94 9.93 9.93 9.92
10.667648 9.80 9.80 9.79 9.78
10.730148 9.66 9.66 9.65 9.64
10.792648 9.53 9.52 9.52 9.50
10.855148 9.39 9.39 9.38 9.37
10.917648 9.26 9.26 9.25 9.24
* 10.980148 9.13 9.12 9.12 9.11
<PAGE>
11.042648 9.00 8.99 8.99 8.97
11.105148 8.87 8.86 8.86 8.85
11.167648 8.74 8.74 8.73 8.72
11.230148 8.61 8.61 8.60 8.59
11.292648 8.49 8.48 8.48 8.46
11.355148 8.36 8.36 8.35 8.34
11.417648 8.24 8.24 8.23 8.22
11.480148 8.12 8.11 8.11 8.09
11.542648 7.99 7.99 7.98 7.97
11.605148 7.87 7.87 7.86 7.85
11.667648 7.75 7.75 7.74 7.73
11.730148 7.64 7.63 7.63 7.61
11.792648 7.52 7.51 7.51 7.49
11.855148 7.40 7.40 7.39 7.38
11.917648 7.29 7.28 7.28 7.26
WAL: 5.56 5.56 5.56 5.55
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.34 4.34 4.34
CONVEX: 0.30 0.30 0.30 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 20767673 20764357 20758748 20746838
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.63
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.61 7.61
100-26 7.61 7.61 7.61 7.61
100-28 7.60 7.60 7.60 7.60
100-30 7.59 7.59 7.59 7.59
101-00 7.59 7.59 7.58 7.58
101-02 7.58 7.58 7.58 7.58
<PAGE>
101-04 7.57 7.57 7.57 7.57
101-06 7.56 7.56 7.56 7.56
101-08 7.56 7.56 7.56 7.56
101-10 7.55 7.55 7.55 7.55
101-12 7.54 7.54 7.54 7.54
101-14 7.53 7.53 7.53 7.53
* 101-16 7.53 7.53 7.53 7.53
101-18 7.52 7.52 7.52 7.52
101-20 7.51 7.51 7.51 7.51
101-22 7.50 7.50 7.50 7.50
101-24 7.50 7.50 7.50 7.50
101-26 7.49 7.49 7.49 7.49
101-28 7.48 7.48 7.48 7.48
101-30 7.47 7.47 7.47 7.47
102-00 7.47 7.47 7.47 7.47
102-02 7.46 7.46 7.46 7.46
102-04 7.45 7.45 7.45 7.45
102-06 7.45 7.45 7.45 7.45
102-08 7.44 7.44 7.44 7.44
102-10 7.43 7.43 7.43 7.43
102-12 7.42 7.42 7.42 7.42
102-14 7.42 7.42 7.42 7.42
WAL: 14.01 14.01 14.01 14.00
WINDOW 1.08 1.08 1.08 1.08
BEGIN: 20100313 20100313 20100313 20100313
END: 20110313 20110313 20110313 20110313
MOD DUR: 8.40 8.40 8.39 8.39
CONVEX: 0.98 0.98 0.98 0.98
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 43920457 43907689 43886206 43841075
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.73 7.73
<PAGE>
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.71 7.71
100-28 7.70 7.70 7.70 7.70
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.68 7.68
101-04 7.67 7.67 7.67 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.66 7.66 7.66
101-10 7.65 7.65 7.65 7.65
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.63 7.63
101-18 7.62 7.62 7.62 7.62
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.60 7.60
101-26 7.59 7.59 7.59 7.59
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.58 7.58
102-00 7.57 7.57 7.57 7.57
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.55 7.55
102-08 7.54 7.54 7.54 7.54
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.53 7.53
102-14 7.52 7.52 7.52 7.52
WAL: 14.58 14.58 14.57 14.56
WINDOW 0.33 0.33 0.33 0.33
BEGIN: 20110313 20110313 20110313 20110313
END: 20110613 20110613 20110613 20110613
MOD DUR: 8.57 8.56 8.56 8.56
CONVEX: 1.03 1.03 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 40881442 40869046 40853734 40827971
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.88 7.88
101-02 7.87 7.87 7.87 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.86 7.86
101-08 7.85 7.85 7.85 7.85
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.83 7.83
101-16 7.82 7.82 7.82 7.82
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.80 7.80
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.78 7.78
101-30 7.77 7.77 7.77 7.77
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.75 7.75
102-06 7.74 7.74 7.74 7.74
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.73 7.73
102-12 7.72 7.72 7.72 7.72
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.70 7.70
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.68 7.68
102-26 7.67 7.67 7.67 7.67
WAL: 14.72 14.72 14.71 14.70
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110613 20110613
END: 20110913 20110913 20110813 20110813
MOD DUR: 8.52 8.52 8.52 8.51
CONVEX: 1.02 1.02 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
<PAGE>
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 47153915 47153965 47148326 47129773
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.19 8.19
100-06 8.18 8.18 8.18 8.18
100-08 8.18 8.18 8.18 8.18
100-10 8.17 8.17 8.17 8.17
100-12 8.16 8.16 8.16 8.16
100-14 8.15 8.15 8.15 8.15
100-16 8.15 8.15 8.15 8.15
100-18 8.14 8.14 8.14 8.14
100-20 8.13 8.13 8.13 8.13
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.12 8.12
100-26 8.11 8.11 8.11 8.11
100-28 8.10 8.10 8.10 8.10
100-30 8.09 8.10 8.10 8.10
* 101-00 8.09 8.09 8.09 8.09
101-02 8.08 8.08 8.08 8.08
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.07 8.07
101-08 8.06 8.06 8.06 8.06
101-10 8.05 8.05 8.05 8.05
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.04 8.04
101-16 8.03 8.03 8.03 8.03
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.01 8.01
101-24 8.00 8.00 8.00 8.00
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.99 7.99
101-30 7.98 7.98 7.98 7.98
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.17 0.17
BEGIN: 20110913 20110913 20110813 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.43 8.43 8.43 8.43
CONVEX: 1.01 1.01 1.01 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
<PAGE>
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 19611056 19611076 19611109 19611179
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.64 8.64
99-06 8.64 8.64 8.64 8.64
99-08 8.63 8.63 8.63 8.63
99-10 8.62 8.62 8.62 8.62
99-12 8.61 8.61 8.61 8.61
99-14 8.61 8.61 8.61 8.61
99-16 8.60 8.60 8.60 8.60
99-18 8.59 8.59 8.59 8.59
99-20 8.58 8.58 8.58 8.58
99-22 8.58 8.58 8.58 8.58
99-24 8.57 8.57 8.57 8.57
99-26 8.56 8.56 8.56 8.56
99-28 8.55 8.55 8.55 8.55
99-30 8.55 8.55 8.55 8.55
* 100-00 8.54 8.54 8.54 8.54
100-02 8.53 8.53 8.53 8.53
100-04 8.52 8.52 8.52 8.52
100-06 8.51 8.51 8.51 8.52
100-08 8.51 8.51 8.51 8.51
100-10 8.50 8.50 8.50 8.50
100-12 8.49 8.49 8.49 8.49
100-14 8.48 8.48 8.48 8.48
100-16 8.48 8.48 8.48 8.48
100-18 8.47 8.47 8.47 8.47
100-20 8.46 8.46 8.46 8.46
100-22 8.45 8.45 8.45 8.45
100-24 8.45 8.45 8.45 8.45
100-26 8.44 8.44 8.44 8.44
100-28 8.43 8.43 8.43 8.43
100-30 8.42 8.42 8.42 8.42
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.23 8.23
CONVEX: 0.98 0.98 0.98 0.98
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.43 7.44
101-04 7.42 7.43
101-06 7.42 7.43
101-08 7.41 7.42
101-10 7.40 7.41
101-12 7.39 7.41
101-14 7.39 7.40
* 101-16 7.38 7.39
101-18 7.37 7.39
101-20 7.36 7.38
101-22 7.36 7.37
101-24 7.35 7.37
101-26 7.34 7.36
101-28 7.34 7.35
101-30 7.33 7.35
WAL: 14.08 16.58
WINDOW 1.08 0.25
BEGIN: 20100413 20130413
END: 20110413 20130613
MOD DUR: 8.50 9.28
CONVEX: 1.00 1.23
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Decrease NOI annually by 5%. If loans default, recovers 100%
in 12 mo.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
6.178712 12.07
6.241212 11.55
6.303712 11.03
6.366212 10.53
6.428712 10.03
6.491212 9.54
6.553712 9.06
* 6.616212 8.59
6.678712 8.13
6.741212 7.67
6.803712 7.22
6.866212 6.78
6.928712 6.34
6.991212 5.91
7.053712 5.49
WAL: 2.30
WINDOW 6.42
BEGIN: 19961113
END: 20030313
MOD DUR: 2.02
CONVEX: 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
12.035374 9.27
12.097874 9.15
12.160374 9.03
12.222874 8.91
12.285374 8.80
<PAGE>
12.347874 8.68
12.410374 8.57
* 12.472874 8.45
12.535374 8.34
12.597874 8.23
12.660374 8.12
12.722874 8.01
12.785374 7.90
12.847874 7.79
12.910374 7.68
WAL: 5.57
WINDOW 14.92
BEGIN: 19961113
END: 20110913
MOD DUR: 4.42
CONVEX: 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL ASC 1996-D3
SETTLE: Jan-21-1997
DATED: Jan-11-1997
NEXT PAY: Feb-13-1997
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $63,201,412
CUR COUPON: 2.35517
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
5.938741 12.34
6.001241 11.77
6.063741 11.22
6.126241 10.67
6.188741 10.14
6.251241 9.61
6.313741 9.10
* 6.376241 8.59
6.438741 8.09
6.501241 7.60
6.563741 7.12
6.626241 6.64
6.688741 6.17
6.751241 5.72
6.813741 5.26
WAL: 2.19
WINDOW 6.17
BEGIN: 19970213
END: 20030313
MOD DUR: 1.93
CONVEX: 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Jan-21-1997
DATED: Jan-11-1997
NEXT PAY: Feb-13-1997
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.91045
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
11.836858 9.30
11.899358 9.18
11.961858 9.05
12.024358 8.93
12.086858 8.81
<PAGE>
12.149358 8.69
12.211858 8.57
* 12.274358 8.46
12.336858 8.34
12.399358 8.22
12.461858 8.11
12.524358 7.99
12.586858 7.88
12.649358 7.77
12.711858 7.66
WAL: 5.44
WINDOW 14.67
BEGIN: 19970213
END: 20110913
MOD DUR: 4.33
CONVEX: 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Apr-21-1997
DATED: Apr-11-1997
NEXT PAY: May-13-1997
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $61,131,464
CUR COUPON: 2.17419
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
5.742152 12.63
5.804652 12.02
5.867152 11.42
5.929652 10.83
5.992152 10.26
6.054652 9.69
6.117152 9.13
* 6.179652 8.59
6.242152 8.05
6.304652 7.52
6.367152 7.01
6.429652 6.50
6.492152 6.00
6.554652 5.50
6.617152 5.02
WAL: 2.10
WINDOW 5.92
BEGIN: 19970513
END: 20030313
MOD DUR: 1.85
CONVEX: 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Apr-21-1997
DATED: Apr-11-1997
NEXT PAY: May-13-1997
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76694
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
11.652739 9.33
11.715239 9.20
11.777739 9.07
11.840239 8.95
11.902739 8.82
<PAGE>
11.965239 8.70
12.027739 8.58
* 12.090239 8.46
12.152739 8.33
12.215239 8.21
12.277739 8.10
12.340239 7.98
12.402739 7.86
12.465239 7.74
12.527739 7.63
WAL: 5.32
WINDOW 14.42
BEGIN: 19970513
END: 20110913
MOD DUR: 4.24
CONVEX: 0.29
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-225
12.035374 9.25 8.20
12.097874 9.13 8.08
12.160374 9.02 7.96
12.222874 8.90 7.85
12.285374 8.78 7.73
12.347874 8.67 7.61
12.410374 8.55 7.50
* 12.472874 8.44 7.38
12.535374 8.33 7.27
12.597874 8.21 7.16
12.660374 8.10 7.05
12.722874 7.99 6.94
12.785374 7.88 6.83
12.847874 7.77 6.72
12.910374 7.67 6.61
WAL: 5.57 5.42
WINDOW 14.92 15.00
BEGIN: 19961113 19961113
END: 20110913 20111013
MOD DUR: 4.43 4.41
CONVEX: 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
225 1010 Northern Blvd Defaults month 36 recovers 70% in 12 months.
Lee Park Defaults month 48 recovers 70% in 12 months.
Sacramento Defaults month 60 recovers 70% in 12 months.
All other loans, 3% CDR starting in month 48, 70% recovery in 0
months, until lockout
25% CPR from lockout to Aticipated Repayment Date or Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
# DEAL: ASC 1996-D3
BOND: AAAIO
# Scenario: See Price/Yield Table
# TOTAL (since settlement date):
# 111712136 0 111712136
0
S_DATE S_IO S_PO S_PI
S_RB S_PEN S_COUPON
19961022.0000000 0.0000000 0.0000000 0.0000000
623691525.0000000 0.0000000 0.0000000
19961113.0000000 581208.3012375 0.0000000 581208.3012375
623691525.0000000 0.0000000 1.7656754
19961213.0000000 917684.4718663 0.0000000 917684.4718663
623691525.0000000 0.0000000 1.7656507
19970113.0000000 992240.2701259 0.0000000 992240.2701259
623691525.0000000 0.0000000 1.9090981
19970213.0000000 992236.6582548 0.0000000 992236.6582548
623691525.0000000 0.0000000 1.9090912
19970313.0000000 768490.2570645 0.0000000 768490.2570645
623691525.0000000 0.0000000 1.4785968
19970413.0000000 994450.3736361 0.0000000 994450.3736361
623691525.0000000 0.0000000 1.9133504
19970513.0000000 917646.4598178 0.0000000 917646.4598178
623691525.0000000 0.0000000 1.7655775
19970613.0000000 994442.8801751 0.0000000 994442.8801751
623691525.0000000 0.0000000 1.9133360
19970713.0000000 917625.6138128 0.0000000 917625.6138128
623691525.0000000 0.0000000 1.7655374
19970813.0000000 994434.8291060 0.0000000 994434.8291060
623691525.0000000 0.0000000 1.9133205
19970913.0000000 994430.7061047 0.0000000 994430.7061047
623691525.0000000 0.0000000 1.9133126
19971013.0000000 917589.1312947 0.0000000 917589.1312947
623691525.0000000 0.0000000 1.7654672
19971113.0000000 994421.8030641 0.0000000 994421.8030641
623691525.0000000 0.0000000 1.9132955
19971213.0000000 917566.1124792 0.0000000 917566.1124792
623691525.0000000 0.0000000 1.7654230
19980113.0000000 992186.6547407 0.0000000 992186.6547407
623691525.0000000 0.0000000 1.9089950
19980213.0000000 992181.2490450 0.0000000 992181.2490450
623691525.0000000 0.0000000 1.9089846
19980313.0000000 768227.3851798 0.0000000 768227.3851798
623691525.0000000 0.0000000 1.4780911
19980413.0000000 994396.4938262 0.0000000 994396.4938262
623691525.0000000 0.0000000 1.9132468
19980513.0000000 917515.5084954 0.0000000 917515.5084954
623691525.0000000 0.0000000 1.7653256
19980613.0000000 994385.3308173 0.0000000 994385.3308173
623691525.0000000 0.0000000 1.9132253
19980713.0000000 917489.3688709 0.0000000 917489.3688709
623691525.0000000 0.0000000 1.7652753
19980813.0000000 994373.4896565 0.0000000 994373.4896565
623691525.0000000 0.0000000 1.9132025
19980913.0000000 994367.4323747 0.0000000 994367.4323747
623691525.0000000 0.0000000 1.9131908
19981013.0000000 917444.6539380 0.0000000 917444.6539380
623691525.0000000 0.0000000 1.7651893
19981113.0000000 994354.5518121 0.0000000 994354.5518121
623691525.0000000 0.0000000 1.9131661
19981213.0000000 917415.9327176 0.0000000 917415.9327176
623691525.0000000 0.0000000 1.7651340
19990113.0000000 992109.3878988 0.0000000 992109.3878988
623691525.0000000 0.0000000 1.9088463
19990213.0000000 992101.8073141 0.0000000 992101.8073141
<PAGE>
623691525.0000000 0.0000000 1.9088317
19990313.0000000 767913.5425983 0.0000000 767913.5425983
623691525.0000000 0.0000000 1.4774872
19990413.0000000 994318.6965933 0.0000000 994318.6965933
623691525.0000000 0.0000000 1.9130971
19990513.0000000 917350.2766247 0.0000000 917350.2766247
623691525.0000000 0.0000000 1.7650077
19990613.0000000 994303.0805141 0.0000000 994303.0805141
623691525.0000000 0.0000000 1.9130670
19990713.0000000 917317.8075921 0.0000000 917317.8075921
623691525.0000000 0.0000000 1.7649452
19990813.0000000 994286.6409712 0.0000000 994286.6409712
623691525.0000000 0.0000000 1.9130354
19990913.0000000 994278.2369962 0.0000000 994278.2369962
623691525.0000000 0.0000000 1.9130192
19991013.0000000 917263.2475009 0.0000000 917263.2475009
623691525.0000000 0.0000000 1.7648402
19991113.0000000 994260.5318994 0.0000000 994260.5318994
623691525.0000000 0.0000000 1.9129852
19991213.0000000 917227.7055003 0.0000000 917227.7055003
623691525.0000000 0.0000000 1.7647719
20000113.0000000 994241.9354571 0.0000000 994241.9354571
623691525.0000000 0.0000000 1.9129494
20000213.0000000 991993.2487659 0.0000000 991993.2487659
623691525.0000000 0.0000000 1.9086229
20000313.0000000 842353.9331195 0.0000000 842353.9331195
623691525.0000000 0.0000000 1.6207126
20000413.0000000 994212.1759327 0.0000000 994212.1759327
623691525.0000000 0.0000000 1.9128921
20000513.0000000 917136.7769635 0.0000000 917136.7769635
623691525.0000000 0.0000000 1.7645969
20000613.0000000 994191.2018715 0.0000000 994191.2018715
623691525.0000000 0.0000000 1.9128518
20000713.0000000 917096.6406402 0.0000000 917096.6406402
623691525.0000000 0.0000000 1.7645197
20000813.0000000 994169.2299145 0.0000000 994169.2299145
623691525.0000000 0.0000000 1.9128095
20000913.0000000 994158.0027808 0.0000000 994158.0027808
623691525.0000000 0.0000000 1.9127879
20001013.0000000 917030.1539006 0.0000000 917030.1539006
623691525.0000000 0.0000000 1.7643918
20001113.0000000 992589.6825385 0.0000000 992589.6825385
623691525.0000000 0.0000000 1.9097704
20001213.0000000 916758.4627455 0.0000000 916758.4627455
623691525.0000000 0.0000000 1.7638690
20010113.0000000 990293.7745926 0.0000000 990293.7745926
623691525.0000000 0.0000000 1.9053530
20010213.0000000 990297.4389062 0.0000000 990297.4389062
623691525.0000000 0.0000000 1.9053601
20010313.0000000 769548.1026685 0.0000000 769548.1026685
623691525.0000000 0.0000000 1.4806321
20010413.0000000 992610.1889575 0.0000000 992610.1889575
623691525.0000000 0.0000000 1.9098099
20010513.0000000 916704.1079888 0.0000000 916704.1079888
623691525.0000000 0.0000000 1.7637644
20010613.0000000 992616.6169069 0.0000000 992616.6169069
622693245.3861110 0.0000000 1.9098222
20010713.0000000 915060.5376196 0.0000000 915060.5376196
620538989.2943807 0.0000000 1.7634247
20010813.0000000 987038.2984971 0.0000000 987038.2984971
618492113.4963229 0.0000000 1.9087374
20010913.0000000 983415.2586344 0.0000000 983415.2586344
616444985.4307978 0.0000000 1.9080248
20011013.0000000 904904.2110263 0.0000000 904904.2110263
598303135.5440111 0.0000000 1.7615279
<PAGE>
20011113.0000000 943905.4116811 0.0000000 943905.4116811
596280181.5237707 0.0000000 1.8931649
20011213.0000000 870216.0784990 0.0000000 870216.0784990
594156657.2408020 0.0000000 1.7512896
20020113.0000000 934329.6062072 0.0000000 934329.6062072
592132782.1316446 0.0000000 1.8870369
20020213.0000000 930761.1218073 0.0000000 930761.1218073
590108707.0964701 0.0000000 1.8862549
20020313.0000000 726188.5579057 0.0000000 726188.5579057
587786366.0925534 0.0000000 1.4767216
20020413.0000000 925318.5989447 0.0000000 925318.5989447
585759986.1348174 0.0000000 1.8890917
20020513.0000000 853145.0527304 0.0000000 853145.0527304
583634744.9738784 0.0000000 1.7477706
20020613.0000000 917979.0571015 0.0000000 917979.0571015
581607143.1444414 0.0000000 1.8874388
20020713.0000000 846399.6374330 0.0000000 846399.6374330
579481348.5453112 0.0000000 1.7463327
20020813.0000000 910635.3634723 0.0000000 910635.3634723
577452406.9829677 0.0000000 1.8857595
20020913.0000000 907047.2283804 0.0000000 907047.2283804
575423047.3239421 0.0000000 1.8849288
20021013.0000000 836348.8746544 0.0000000 836348.8746544
562646745.5483354 0.0000000 1.7441405
20021113.0000000 877485.8871542 0.0000000 877485.8871542
560635479.4607906 0.0000000 1.8714817
20021213.0000000 810186.9934463 0.0000000 810186.9934463
558531822.6437893 0.0000000 1.7341471
20030113.0000000 868085.7720314 0.0000000 868085.7720314
556513143.5732200 0.0000000 1.8650735
20030213.0000000 864530.2727637 0.0000000 864530.2727637
554494081.0537859 0.0000000 1.8641722
20030313.0000000 678698.8488760 0.0000000 678698.8488760
552200034.4208567 0.0000000 1.4687959
20030413.0000000 859045.8594812 0.0000000 859045.8594812
528321495.2457875 0.0000000 1.8668145
20030513.0000000 771292.2656721 0.0000000 771292.2656721
526284516.4636699 0.0000000 1.7518703
20030613.0000000 826770.1099204 0.0000000 826770.1099204
522217840.4642461 0.0000000 1.8851479
20030713.0000000 761407.0782048 0.0000000 761407.0782048
520138002.0204011 0.0000000 1.7496309
20030813.0000000 816133.1927791 0.0000000 816133.1927791
518143704.5543033 0.0000000 1.8828846
20030913.0000000 812545.8481428 0.0000000 812545.8481428
508692896.3832584 0.0000000 1.8818235
20031013.0000000 740868.1123686 0.0000000 740868.1123686
447794676.8994948 0.0000000 1.7476983
20031113.0000000 710850.6408122 0.0000000 710850.6408122
446028586.5972208 0.0000000 1.9049373
20031213.0000000 663149.2949341 0.0000000 663149.2949341
444190732.2498263 0.0000000 1.7841438
20040113.0000000 704589.9244090 0.0000000 704589.9244090
442422499.3107841 0.0000000 1.9034794
20040213.0000000 701518.4801205 0.0000000 701518.4801205
440653370.9038013 0.0000000 1.9027563
20040313.0000000 610641.1302554 0.0000000 610641.1302554
438743223.2931139 0.0000000 1.6629156
20040413.0000000 695125.0637076 0.0000000 695125.0637076
436971360.7899728 0.0000000 1.9012261
20040513.0000000 648653.2553157 0.0000000 648653.2553157
435129076.0550628 0.0000000 1.7813156
20040613.0000000 688845.2282126 0.0000000 688845.2282126
433354796.8679013 0.0000000 1.8996990
20040713.0000000 642863.1380610 0.0000000 642863.1380610
<PAGE>
431510627.5727601 0.0000000 1.7801482
20040813.0000000 682557.3622058 0.0000000 682557.3622058
429733821.6465480 0.0000000 1.8981429
20040913.0000000 679470.0321475 0.0000000 679470.0321475
427955920.8628179 0.0000000 1.8973699
20041013.0000000 634216.3823937 0.0000000 634216.3823937
426108918.8902562 0.0000000 1.7783599
20041113.0000000 673170.1228811 0.0000000 673170.1228811
424328327.0739159 0.0000000 1.8957692
20041213.0000000 628407.2087866 0.0000000 628407.2087866
422479163.9706845 0.0000000 1.7771348
20050113.0000000 666861.2209666 0.0000000 666861.2209666
420695769.1517677 0.0000000 1.8941371
20050213.0000000 663761.7367555 0.0000000 663761.7367555
418911136.1451603 0.0000000 1.8933256
20050313.0000000 537867.3975710 0.0000000 537867.3975710
416925679.3747801 0.0000000 1.5407585
20050413.0000000 657206.2609951 0.0000000 657206.2609951
415137256.9673643 0.0000000 1.8915782
20050513.0000000 613692.4907266 0.0000000 613692.4907266
413281606.7354269 0.0000000 1.7739458
20050613.0000000 650871.0417192 0.0000000 650871.0417192
411490091.4063629 0.0000000 1.8898621
20050713.0000000 607850.0974537 0.0000000 607850.0974537
409631875.6373652 0.0000000 1.7726311
20050813.0000000 644525.4257502 0.0000000 644525.4257502
407837152.5204753 0.0000000 1.8881111
20050913.0000000 641405.2411826 0.0000000 641405.2411826
406040981.3586315 0.0000000 1.8872393
20051013.0000000 599118.1825237 0.0000000 599118.1825237
404178892.2305272 0.0000000 1.7706139
20051113.0000000 635043.9679512 0.0000000 635043.9679512
402379341.5324188 0.0000000 1.8854343
20051213.0000000 593251.2737805 0.0000000 593251.2737805
400502250.2470085 0.0000000 1.7692298
20060113.0000000 628650.2232869 0.0000000 628650.2232869
398676031.5295196 0.0000000 1.8835856
20060213.0000000 625474.6643447 0.0000000 625474.6643447
396843080.2748727 0.0000000 1.8826554
20060313.0000000 508560.6218450 0.0000000 508560.6218450
379118691.9414793 0.0000000 1.5378188
20060413.0000000 598985.2442594 0.0000000 598985.2442594
358561932.3653601 0.0000000 1.8959295
20060513.0000000 534599.1269392 0.0000000 534599.1269392
350009807.2009654 0.0000000 1.7891441
20060613.0000000 551694.7718400 0.0000000 551694.7718400
320337821.1820514 0.0000000 1.8914719
20060713.0000000 472362.5080750 0.0000000 472362.5080750
286940251.9708123 0.0000000 1.7694914
20060813.0000000 438349.5903171 0.0000000 438349.5903171
264922859.8101685 0.0000000 1.8332022
20060913.0000000 398102.0503950 0.0000000 398102.0503950
237029167.2410721 0.0000000 1.8032512
20061013.0000000 334663.7562503 0.0000000 334663.7562503
209619088.8999509 0.0000000 1.6942915
20061113.0000000 304097.6983238 0.0000000 304097.6983238
208469424.0744086 0.0000000 1.7408588
20061213.0000000 288644.2229305 0.0000000 288644.2229305
207275430.1617604 0.0000000 1.6615054
20070113.0000000 299860.7928357 0.0000000 299860.7928357
206122755.3277404 0.0000000 1.7360135
20070213.0000000 297776.4093856 0.0000000 297776.4093856
204968676.4616929 0.0000000 1.7335868
20070313.0000000 257288.4546536 0.0000000 257288.4546536
203686180.7747554 0.0000000 1.5063089
<PAGE>
20070413.0000000 293370.6607803 0.0000000 293370.6607803
202528452.0546566 0.0000000 1.7283686
20070513.0000000 278880.2288285 0.0000000 278880.2288285
201327372.8340648 0.0000000 1.6523914
20070613.0000000 289103.7282287 0.0000000 289103.7282287
200166429.0405690 0.0000000 1.7231858
20070713.0000000 274996.0138590 0.0000000 274996.0138590
198962520.1904355 0.0000000 1.6486042
20070813.0000000 284824.7707214 0.0000000 284824.7707214
197798279.7905326 0.0000000 1.7178598
20070913.0000000 282717.6249925 0.0000000 282717.6249925
196632486.5930261 0.0000000 1.7151876
20071013.0000000 269182.5687419 0.0000000 269182.5687419
195424301.4548935 0.0000000 1.6427554
20071113.0000000 278420.4741771 0.0000000 278420.4741771
194255089.4713210 0.0000000 1.7096368
20071213.0000000 265271.2904011 0.0000000 265271.2904011
193043870.3571911 0.0000000 1.6386986
20080113.0000000 274110.4733973 0.0000000 274110.4733973
191871156.4257245 0.0000000 1.7039265
20080213.0000000 271986.5757314 0.0000000 271986.5757314
190696783.1644371 0.0000000 1.7010576
20080313.0000000 248970.8809548 0.0000000 248970.8809548
189441220.7416081 0.0000000 1.5667021
20080413.0000000 267585.3764416 0.0000000 267585.3764416
188262146.5662532 0.0000000 1.6949978
20080513.0000000 255409.1197432 0.0000000 255409.1197432
187042038.2098743 0.0000000 1.6280009
20080613.0000000 263238.3100804 0.0000000 263238.3100804
185859264.7249870 0.0000000 1.6888501
20080713.0000000 251453.2538040 0.0000000 251453.2538040
183584140.9174206 0.0000000 1.6235075
20080813.0000000 256839.6559617 0.0000000 256839.6559617
182407361.3652586 0.0000000 1.6788356
20080913.0000000 254709.2173401 0.0000000 254709.2173401
181228793.0526486 0.0000000 1.6756509
20081013.0000000 243666.0281805 0.0000000 243666.0281805
180010164.3530272 0.0000000 1.6134259
20081113.0000000 250368.4993044 0.0000000 250368.4993044
178827718.4778157 0.0000000 1.6690291
20081213.0000000 239719.4412994 0.0000000 239719.4412994
177605596.5510231 0.0000000 1.6086059
20090113.0000000 246012.9850320 0.0000000 246012.9850320
176419186.6781592 0.0000000 1.6621975
20090213.0000000 243863.3459525 0.0000000 243863.3459525
175230877.3701118 0.0000000 1.6587539
20090313.0000000 217996.0498608 0.0000000 217996.0498608
173929099.1034717 0.0000000 1.4928605
20090413.0000000 239350.9174947 0.0000000 239350.9174947
154694945.8865772 0.0000000 1.6513689
20090513.0000000 201444.5093848 0.0000000 201444.5093848
153538704.6588348 0.0000000 1.5626458
20090613.0000000 203514.7299878 0.0000000 203514.7299878
152412723.1694136 0.0000000 1.5905936
20090713.0000000 197560.3094416 0.0000000 197560.3094416
151252744.6113024 0.0000000 1.5554631
20090813.0000000 199249.4795643 0.0000000 199249.4795643
150122595.9947534 0.0000000 1.5807936
20090913.0000000 197139.8733876 0.0000000 197139.8733876
148990430.2544917 0.0000000 1.5758310
20091013.0000000 191732.2860900 0.0000000 191732.2860900
147824780.9657241 0.0000000 1.5442518
20091113.0000000 192928.0476523 0.0000000 192928.0476523
146688320.1399724 0.0000000 1.5661356
20091213.0000000 187993.3131462 0.0000000 187993.3131462
<PAGE>
145518720.5102480 0.0000000 1.5379001
20100113.0000000 188830.0096695 0.0000000 188830.0096695
144377877.6746357 0.0000000 1.5571606
20100213.0000000 186801.6189382 0.0000000 186801.6189382
143234906.6051616 0.0000000 1.5526059
20100313.0000000 177727.9378003 0.0000000 177727.9378003
141998361.1420849 0.0000000 1.4889773
20100413.0000000 182568.4878881 0.0000000 182568.4878881
140850497.3976287 0.0000000 1.5428501
20100513.0000000 178572.7804150 0.0000000 178572.7804150
139670367.2937999 0.0000000 1.5213815
20100613.0000000 178423.9889365 0.0000000 178423.9889365
138517897.8800050 0.0000000 1.5329579
20100713.0000000 174804.8005158 0.0000000 174804.8005158
137333507.2819093 0.0000000 1.5143585
20100813.0000000 174260.5075189 0.0000000 174260.5075189
136176342.5812476 0.0000000 1.5226627
20100913.0000000 172197.6251035 0.0000000 172197.6251035
135016887.7462312 0.0000000 1.5174233
20101013.0000000 169145.2146407 0.0000000 169145.2146407
133826026.4449957 0.0000000 1.5033250
20101113.0000000 168005.1107986 0.0000000 168005.1107986
132661741.4135782 0.0000000 1.5064793
20101213.0000000 165335.1193241 0.0000000 165335.1193241
131463695.3616544 0.0000000 1.4955491
20110113.0000000 163787.5769361 0.0000000 163787.5769361
130289989.4969410 0.0000000 1.4950522
20110213.0000000 161690.7502771 0.0000000 161690.7502771
129104696.9620901 0.0000000 1.4892080
20110313.0000000 159579.7144308 0.0000000 159579.7144308
124342221.2364326 0.0000000 1.4832586
20110413.0000000 152666.1871691 0.0000000 152666.1871691
120904170.6540018 0.0000000 1.4733485
20110513.0000000 147675.2837402 0.0000000 147675.2837402
107965424.5284578 0.0000000 1.4657091
20110613.0000000 128892.5372813 0.0000000 128892.5372813
85766215.0748167 0.0000000 1.4325979
20110713.0000000 97333.1125818 0.0000000 97333.1125818
76560604.1869203 0.0000000 1.3618385
20110813.0000000 85419.5178244 0.0000000 85419.5178244
70609179.0536492 0.0000000 1.3388533
20110913.0000000 77717.3817978 0.0000000 77717.3817978
15468658.8228774 0.0000000 1.3208036
20111013.0000000 13187.0316465 0.0000000 13187.0316465
0.0000000 0.0000000 1.0230000
20111113.0000000 0.0000000 0.0000000 0.0000000
0.0000000 0.0000000 0.0000000
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-225
12.035374 9.25 8.20
12.097874 9.13 8.08
12.160374 9.02 7.96
12.222874 8.90 7.85
12.285374 8.78 7.73
12.347874 8.67 7.61
12.410374 8.55 7.50
* 12.472874 8.44 7.38
12.535374 8.33 7.27
12.597874 8.21 7.16
12.660374 8.10 7.05
12.722874 7.99 6.94
12.785374 7.88 6.83
12.847874 7.77 6.72
12.910374 7.67 6.61
WAL: 5.57 5.42
WINDOW 14.92 15.00
BEGIN: 19961113 19961113
END: 20110913 20111013
MOD DUR: 4.43 4.41
CONVEX: 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
225 1010 Northern Blvd Defaults month 36 recovers 70% in 12 months.
Lee Park Defaults month 48 recovers 70% in 12 months.
Sacramento Defaults month 60 recovers 70% in 12 months.
All other loans, 3% CDR starting in month 48, 70% recovery in 0
months, until lockout.
25% CPR from lockout to Aticipated Repayment Date or Maturity.
Cumulative Loss 7.17%. Cumulative Default 23.92%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 6.69 6.69
101-04 6.67 6.67
101-06 6.65 6.65
101-08 6.63 6.63
101-10 6.61 6.61
101-12 6.59 6.59
101-14 6.57 6.57
* 101-16 6.55 6.55
101-18 6.53 6.53
101-20 6.50 6.50
101-22 6.48 6.48
101-24 6.46 6.46
101-26 6.44 6.44
101-28 6.42 6.42
101-30 6.40 6.40
WAL: 3.54 3.54
WINDOW: 6.42 6.42
BEGIN: 19961113 19961113
END: 20030313 20030313
MOD DUR: 2.98 2.98
CONVEX: 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.09 7.13
<PAGE>
101-04 7.08 7.12
101-06 7.07 7.11
101-08 7.06 7.10
101-10 7.05 7.09
101-12 7.04 7.08
101-14 7.02 7.07
* 101-16 7.01 7.06
101-18 7.00 7.05
101-20 6.99 7.04
101-22 6.98 7.03
101-24 6.97 7.02
101-26 6.96 7.01
101-28 6.95 7.00
101-30 6.93 6.99
WAL: 7.11 9.15
WINDOW: 3.08 4.92
BEGIN: 20030313 20030313
END: 20060313 20080113
MOD DUR: 5.41 6.49
CONVEX: 0.37 0.55
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.29 7.32
101-04 7.28 7.31
101-06 7.27 7.30
101-08 7.26 7.30
101-10 7.25 7.29
101-12 7.24 7.28
101-14 7.24 7.28
* 101-16 7.23 7.27
101-18 7.22 7.26
101-20 7.21 7.25
101-22 7.20 7.25
101-24 7.19 7.24
<PAGE>
101-26 7.18 7.23
101-28 7.17 7.23
101-30 7.16 7.22
WAL: 10.22 14.41
WINDOW: 4.17 5.75
BEGIN: 20060313 20080113
END: 20100413 20130913
MOD DUR: 6.98 8.64
CONVEX: 0.64 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.44300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.43 7.44
101-04 7.42 7.44
101-06 7.42 7.43
101-08 7.41 7.42
101-10 7.40 7.42
101-12 7.39 7.41
101-14 7.39 7.40
* 101-16 7.38 7.40
101-18 7.37 7.39
101-20 7.36 7.38
101-22 7.36 7.38
101-24 7.35 7.37
101-26 7.34 7.36
101-28 7.34 7.36
101-30 7.33 7.35
WAL: 14.08 17.05
WINDOW 1.08 0.42
BEGIN: 20100413 20130913
END: 20110413 20140113
MOD DUR: 8.50 9.42
CONVEX: 1.00 1.28
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.38960
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-33
101-02 7.53 7.48
<PAGE>
101-04 7.52 7.48
101-06 7.51 7.47
101-08 7.51 7.46
101-10 7.50 7.46
101-12 7.49 7.45
101-14 7.48 7.45
* 101-16 7.48 7.44
101-18 7.47 7.43
101-20 7.46 7.43
101-22 7.46 7.42
101-24 7.45 7.41
101-26 7.44 7.41
101-28 7.43 7.40
101-30 7.43 7.39
WAL: 14.59 17.47
WINDOW 0.25 0.58
BEGIN: 20110413 20140113
END: 20110613 20140713
MOD DUR: 8.65 9.51
CONVEX: 1.04 1.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
33 Every Cashtrap Loan (89% of Cut-Off Balance,71% of Loans) extends
with cashtrap Constant NOI.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: COLLATERAL
CUR BALANCE: $781,660,544
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 763543042 778060349 791627790 811012073
TOTAL PRIN: 781660544 781660544 781660544 781660544
PENALTY: 0 0 0 0
99.125000 9.54 9.54 9.53 9.53
99.187500 9.53 9.53 9.52 9.52
99.250000 9.52 9.52 9.51 9.51
99.312500 9.51 9.51 9.50 9.50
99.375000 9.50 9.50 9.49 9.49
99.437500 9.49 9.49 9.48 9.48
99.500000 9.48 9.48 9.47 9.47
99.562500 9.47 9.47 9.46 9.46
99.625000 9.46 9.46 9.45 9.45
99.687500 9.45 9.45 9.44 9.44
99.750000 9.44 9.44 9.43 9.43
99.812500 9.43 9.43 9.42 9.42
99.875000 9.42 9.42 9.41 9.41
99.937500 9.41 9.41 9.40 9.40
* 100.000000 9.40 9.40 9.40 9.39
100.062500 9.39 9.39 9.39 9.38
100.125000 9.38 9.38 9.38 9.38
100.187500 9.37 9.37 9.37 9.37
100.250000 9.36 9.36 9.36 9.36
100.312500 9.35 9.35 9.35 9.35
100.375000 9.34 9.34 9.34 9.34
100.437500 9.33 9.33 9.33 9.33
100.500000 9.32 9.32 9.32 9.32
100.562500 9.31 9.31 9.31 9.31
100.625000 9.30 9.30 9.30 9.30
100.687500 9.29 9.29 9.29 9.29
100.750000 9.28 9.28 9.28 9.28
100.812500 9.27 9.27 9.27 9.27
100.875000 9.26 9.26 9.26 9.26
100.937500 9.25 9.25 9.25 9.25
WAL: 10.57 10.77 10.97 11.24
WINDOW 24.58 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113
END: 20210513 20210513 20210513 20210513
MOD DUR: 6.25 6.29 6.33 6.40
CONVEX: 0.59 0.60 0.61 0.63
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 16887697 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.96
100-28 6.94 6.94 6.94 6.94
100-30 6.92 6.92 6.92 6.92
101-00 6.90 6.90 6.90 6.90
101-02 6.88 6.88 6.88 6.88
101-04 6.86 6.86 6.86 6.86
101-06 6.84 6.84 6.84 6.84
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
101-28 6.61 6.61 6.61 6.61
101-30 6.59 6.59 6.59 6.59
102-00 6.57 6.57 6.57 6.57
102-02 6.55 6.55 6.55 6.55
102-04 6.53 6.53 6.53 6.53
102-06 6.51 6.51 6.51 6.51
102-08 6.49 6.49 6.49 6.49
102-10 6.47 6.47 6.47 6.47
102-12 6.45 6.45 6.45 6.45
102-14 6.43 6.43 6.43 6.43
<PAGE>
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 4850913 4850913 4850913 4850913
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.30 17.30 17.30
5.204006 16.62 16.62 16.62 16.62
5.266506 15.96 15.96 15.96 15.96
5.329006 15.32 15.32 15.32 15.32
5.391506 14.69 14.69 14.69 14.69
5.454006 14.07 14.07 14.07 14.07
5.516506 13.46 13.46 13.46 13.46
5.579006 12.87 12.87 12.87 12.87
5.641506 12.29 12.29 12.29 12.29
5.704006 11.72 11.72 11.72 11.72
5.766506 11.16 11.16 11.16 11.16
5.829006 10.61 10.61 10.61 10.61
5.891506 10.07 10.07 10.07 10.07
5.954006 9.54 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02 9.02
6.079006 8.51 8.51 8.51 8.51
6.141506 8.01 8.01 8.01 8.01
6.204006 7.52 7.52 7.52 7.52
6.266506 7.03 7.03 7.03 7.03
6.329006 6.56 6.56 6.56 6.56
<PAGE>
6.391506 6.09 6.09 6.09 6.09
6.454006 5.63 5.63 5.63 5.63
6.516506 5.18 5.18 5.18 5.18
6.579006 4.73 4.73 4.73 4.73
6.641506 4.29 4.29 4.29 4.29
6.704006 3.86 3.86 3.86 3.86
6.766506 3.44 3.44 3.44 3.44
6.829006 3.02 3.02 3.02 3.02
6.891506 2.61 2.61 2.61 2.61
6.954006 2.20 2.20 2.20 2.20
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 81200742 81200742 81200742 81200742
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.34
100-22 7.33 7.33 7.33 7.33
100-24 7.32 7.32 7.32 7.32
100-26 7.31 7.31 7.31 7.31
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.28
101-00 7.27 7.27 7.27 7.27
101-02 7.26 7.26 7.26 7.26
101-04 7.25 7.25 7.25 7.25
<PAGE>
101-06 7.24 7.24 7.24 7.24
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
101-12 7.20 7.20 7.20 7.20
101-14 7.19 7.19 7.19 7.19
* 101-16 7.18 7.18 7.18 7.18
101-18 7.17 7.17 7.17 7.17
101-20 7.16 7.16 7.16 7.16
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.13 7.13
101-26 7.12 7.12 7.12 7.12
101-28 7.11 7.11 7.11 7.11
101-30 7.10 7.10 7.10 7.10
102-00 7.09 7.09 7.09 7.09
102-02 7.08 7.08 7.08 7.08
102-04 7.07 7.07 7.07 7.07
102-06 7.05 7.05 7.05 7.05
102-08 7.04 7.04 7.04 7.04
102-10 7.03 7.03 7.03 7.03
102-12 7.02 7.02 7.02 7.02
102-14 7.01 7.01 7.01 7.01
WAL: 7.13 7.13 7.13 7.13
WINDOW 3.00 3.00 3.00 3.00
BEGIN: 20030413 20030413 20030413 20030413
END: 20060313 20060313 20060313 20060313
MOD DUR: 5.39 5.39 5.39 5.39
CONVEX: 0.37 0.37 0.37 0.37
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 242929602 242929602 245502719 251429525
TOTAL PRIN: 318000000 318000000 318000000 318000000
<PAGE>
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.51
100-22 7.50 7.50 7.50 7.50
100-24 7.49 7.49 7.49 7.49
100-26 7.48 7.48 7.48 7.48
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.44
101-06 7.42 7.42 7.42 7.43
101-08 7.41 7.41 7.42 7.42
101-10 7.41 7.41 7.41 7.41
101-12 7.40 7.40 7.40 7.40
101-14 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38
101-18 7.37 7.37 7.37 7.37
101-20 7.36 7.36 7.36 7.37
101-22 7.35 7.35 7.35 7.36
101-24 7.34 7.34 7.35 7.35
101-26 7.33 7.33 7.34 7.34
101-28 7.33 7.33 7.33 7.33
101-30 7.32 7.32 7.32 7.32
102-00 7.31 7.31 7.31 7.31
102-02 7.30 7.30 7.30 7.31
102-04 7.29 7.29 7.29 7.30
102-06 7.28 7.28 7.28 7.29
102-08 7.27 7.27 7.28 7.28
102-10 7.26 7.26 7.27 7.27
102-12 7.26 7.26 7.26 7.26
102-14 7.25 7.25 7.25 7.25
WAL: 10.21 10.21 10.32 10.57
WINDOW 4.08 4.08 5.08 5.25
BEGIN: 20060313 20060313 20060313 20060313
END: 20100313 20100313 20110313 20110513
MOD DUR: 6.93 6.93 6.97 7.07
CONVEX: 0.63 0.63 0.64 0.67
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 106965689 106990812 108008526 110144275
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.105148 11.09 11.09 11.18 11.38
10.167648 10.94 10.95 11.03 11.23
10.230148 10.80 10.80 10.89 11.09
10.292648 10.65 10.65 10.74 10.94
10.355148 10.50 10.51 10.60 10.80
10.417648 10.36 10.36 10.45 10.66
10.480148 10.22 10.22 10.31 10.52
10.542648 10.08 10.08 10.17 10.38
10.605148 9.94 9.94 10.03 10.24
10.667648 9.80 9.80 9.90 10.11
10.730148 9.66 9.67 9.76 9.97
10.792648 9.53 9.53 9.63 9.84
10.855148 9.39 9.40 9.49 9.71
10.917648 9.26 9.26 9.36 9.58
* 10.980148 9.13 9.13 9.23 9.45
11.042648 9.00 9.00 9.10 9.32
11.105148 8.87 8.87 8.97 9.19
11.167648 8.74 8.74 8.84 9.07
11.230148 8.61 8.62 8.72 8.94
11.292648 8.49 8.49 8.59 8.82
11.355148 8.36 8.36 8.47 8.70
11.417648 8.24 8.24 8.35 8.57
11.480148 8.12 8.12 8.22 8.45
11.542648 7.99 8.00 8.10 8.33
11.605148 7.87 7.88 7.98 8.22
11.667648 7.75 7.76 7.87 8.10
11.730148 7.64 7.64 7.75 7.98
11.792648 7.52 7.52 7.63 7.87
11.855148 7.40 7.40 7.52 7.75
11.917648 7.29 7.29 7.40 7.64
WAL: 5.56 5.56 5.64 5.79
WINDOW 14.92 15.00 16.08 17.33
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20111013 20121113 20140213
MOD DUR: 4.34 4.34 4.37 4.42
CONVEX: 0.30 0.30 0.31 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 20767673 20767673 21543859 21646739
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.63
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.62 7.62
100-26 7.61 7.61 7.61 7.61
100-28 7.60 7.60 7.60 7.60
100-30 7.59 7.59 7.59 7.60
101-00 7.59 7.59 7.59 7.59
101-02 7.58 7.58 7.58 7.58
101-04 7.57 7.57 7.57 7.57
101-06 7.56 7.56 7.57 7.57
101-08 7.56 7.56 7.56 7.56
101-10 7.55 7.55 7.55 7.55
101-12 7.54 7.54 7.54 7.54
101-14 7.53 7.53 7.54 7.54
* 101-16 7.53 7.53 7.53 7.53
101-18 7.52 7.52 7.52 7.52
101-20 7.51 7.51 7.52 7.52
101-22 7.50 7.50 7.51 7.51
101-24 7.50 7.50 7.50 7.50
101-26 7.49 7.49 7.49 7.49
101-28 7.48 7.48 7.49 7.49
101-30 7.47 7.47 7.48 7.48
102-00 7.47 7.47 7.47 7.47
102-02 7.46 7.46 7.47 7.47
102-04 7.45 7.45 7.46 7.46
102-06 7.45 7.45 7.45 7.45
102-08 7.44 7.44 7.44 7.44
102-10 7.43 7.43 7.44 7.44
102-12 7.42 7.42 7.43 7.43
102-14 7.42 7.42 7.42 7.42
<PAGE>
WAL: 14.01 14.01 14.53 14.60
WINDOW 1.08 1.08 0.25 0.17
BEGIN: 20100313 20100313 20110313 20110513
END: 20110313 20110313 20110513 20110613
MOD DUR: 8.40 8.40 8.57 8.60
CONVEX: 0.98 0.98 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 43920457 43920457 44083214 44218911
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.72 7.72
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.70 7.70
100-28 7.70 7.70 7.69 7.69
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.67 7.67
101-04 7.67 7.67 7.66 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.66 7.65 7.65
101-10 7.65 7.65 7.64 7.64
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.62 7.62
101-18 7.62 7.62 7.61 7.62
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.59 7.59
101-26 7.59 7.59 7.59 7.59
<PAGE>
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.57 7.57
102-00 7.57 7.57 7.56 7.57
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.54 7.54
102-08 7.54 7.54 7.54 7.54
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.52 7.52
102-14 7.52 7.52 7.51 7.52
WAL: 14.58 14.58 14.65 14.70
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110313 20110313 20110513 20110613
END: 20110613 20110613 20110713 20110813
MOD DUR: 8.57 8.57 8.59 8.60
CONVEX: 1.03 1.03 1.03 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 40881442 40881442 41173287 41338064
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.87 7.87
101-02 7.87 7.87 7.86 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.85 7.85
101-08 7.85 7.85 7.84 7.84
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.82 7.82
101-16 7.82 7.82 7.81 7.81
<PAGE>
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.79 7.79
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.77 7.77
101-30 7.77 7.77 7.76 7.76
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.74 7.74
102-06 7.74 7.74 7.74 7.74
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.72 7.72
102-12 7.72 7.72 7.71 7.71
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.69 7.69
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.67 7.67
102-26 7.67 7.67 7.66 7.67
WAL: 14.72 14.72 14.84 14.90
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110713 20110813
END: 20110913 20110913 20110913 20111013
MOD DUR: 8.52 8.52 8.56 8.58
CONVEX: 1.02 1.02 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 47153915 47245710 47312692 49656182
TOTAL PRIN: 39083027 39083027 39083027 39083027
<PAGE>
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.18 8.18
100-06 8.18 8.18 8.18 8.17
100-08 8.18 8.18 8.17 8.17
100-10 8.17 8.17 8.16 8.16
100-12 8.16 8.16 8.15 8.15
100-14 8.15 8.15 8.15 8.14
100-16 8.15 8.15 8.14 8.14
100-18 8.14 8.14 8.13 8.13
100-20 8.13 8.13 8.13 8.12
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.11 8.11
100-26 8.11 8.11 8.10 8.10
100-28 8.10 8.10 8.10 8.09
100-30 8.09 8.09 8.09 8.09
* 101-00 8.09 8.09 8.08 8.08
101-02 8.08 8.08 8.07 8.07
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.06 8.06
101-08 8.06 8.06 8.05 8.05
101-10 8.05 8.05 8.04 8.04
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.03 8.03
101-16 8.03 8.03 8.02 8.02
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.00 8.00
101-24 8.00 8.00 7.99 7.99
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.98 7.98
101-30 7.98 7.98 7.97 7.97
WAL: 14.89 14.92 14.97 15.73
WINDOW 0.08 0.17 0.25 1.75
BEGIN: 20110913 20110913 20110913 20111013
END: 20110913 20111013 20111113 20130613
MOD DUR: 8.43 8.44 8.45 8.67
CONVEX: 1.01 1.02 1.02 1.08
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 19611056 19717167 20464866 22293386
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.63 8.62
99-06 8.64 8.64 8.62 8.61
99-08 8.63 8.63 8.62 8.60
99-10 8.62 8.62 8.61 8.60
99-12 8.61 8.61 8.60 8.59
99-14 8.61 8.61 8.59 8.58
99-16 8.60 8.60 8.59 8.58
99-18 8.59 8.59 8.58 8.57
99-20 8.58 8.58 8.57 8.56
99-22 8.58 8.57 8.56 8.55
99-24 8.57 8.57 8.56 8.55
99-26 8.56 8.56 8.55 8.54
99-28 8.55 8.55 8.54 8.53
99-30 8.55 8.54 8.53 8.53
* 100-00 8.54 8.54 8.53 8.52
100-02 8.53 8.53 8.52 8.51
100-04 8.52 8.52 8.51 8.50
100-06 8.51 8.51 8.50 8.50
100-08 8.51 8.51 8.50 8.49
100-10 8.50 8.50 8.49 8.48
100-12 8.49 8.49 8.48 8.48
100-14 8.48 8.48 8.48 8.47
100-16 8.48 8.48 8.47 8.46
100-18 8.47 8.47 8.46 8.45
100-20 8.46 8.46 8.45 8.45
100-22 8.45 8.45 8.45 8.44
100-24 8.45 8.45 8.44 8.43
100-26 8.44 8.44 8.43 8.43
100-28 8.43 8.43 8.42 8.42
100-30 8.42 8.42 8.42 8.41
WAL: 14.89 14.98 15.58 17.01
WINDOW 0.08 0.08 1.08 0.75
BEGIN: 20110913 20111013 20111113 20130613
END: 20110913 20111013 20121113 20140213
MOD DUR: 8.23 8.25 8.41 8.76
CONVEX: 0.98 0.98 1.03 1.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-1 BB
CUR BALANCE: $42,991,329
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 59614160 64025464 68658476 72140206
TOTAL PRIN: 42991329 42991329 42991329 42991329
PENALTY: 0 0 0 0
86-22 11.32 11.26 11.20 11.16
86-24 11.31 11.25 11.19 11.15
86-26 11.30 11.25 11.18 11.14
86-28 11.30 11.24 11.17 11.13
86-30 11.29 11.23 11.16 11.12
87-00 11.28 11.22 11.15 11.11
87-02 11.27 11.21 11.14 11.10
87-04 11.26 11.20 11.13 11.10
87-06 11.25 11.19 11.12 11.09
87-08 11.24 11.18 11.11 11.08
87-10 11.23 11.17 11.11 11.07
87-12 11.22 11.16 11.10 11.06
87-14 11.21 11.15 11.09 11.05
87-16 11.20 11.14 11.08 11.04
* 87-18 11.19 11.13 11.07 11.03
87-20 11.18 11.12 11.06 11.02
87-22 11.17 11.11 11.05 11.01
87-24 11.16 11.10 11.04 11.00
87-26 11.15 11.09 11.03 11.00
87-28 11.14 11.08 11.02 10.99
87-30 11.13 11.07 11.01 10.98
88-00 11.12 11.06 11.00 10.97
88-02 11.11 11.05 10.99 10.96
88-04 11.10 11.05 10.99 10.95
88-06 11.09 11.04 10.98 10.94
88-08 11.08 11.03 10.97 10.93
88-10 11.07 11.02 10.96 10.92
88-12 11.06 11.01 10.95 10.91
88-14 11.05 11.00 10.94 10.91
88-16 11.04 10.99 10.93 10.90
<PAGE>
WAL: 14.94 16.06 17.28 18.18
WINDOW 0.17 1.83 2.42 1.75
BEGIN: 20110913 20111013 20121113 20140213
END: 20111013 20130713 20150313 20151013
MOD DUR: 7.30 7.51 7.71 7.84
CONVEX: 0.82 0.88 0.95 0.99
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-2 B
CUR BALANCE: $27,358,119
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 39854289 45473755 47856520 49090431
TOTAL PRIN: 27358119 27358119 27358119 27358119
PENALTY: 0 0 0 0
73-16+ 13.62 13.43 13.34 13.30
73-18+ 13.60 13.41 13.33 13.29
73-20+ 13.59 13.40 13.32 13.28
73-22+ 13.58 13.39 13.30 13.27
73-24+ 13.56 13.38 13.29 13.26
73-26+ 13.55 13.37 13.28 13.24
73-28+ 13.54 13.35 13.27 13.23
73-30+ 13.53 13.34 13.26 13.22
74-00+ 13.51 13.33 13.24 13.21
74-02+ 13.50 13.32 13.23 13.20
74-04+ 13.49 13.31 13.22 13.19
74-06+ 13.48 13.29 13.21 13.17
74-08+ 13.46 13.28 13.20 13.16
74-10+ 13.45 13.27 13.18 13.15
* 74-12+ 13.44 13.26 13.17 13.14
74-14+ 13.43 13.25 13.16 13.13
74-16+ 13.41 13.23 13.15 13.11
74-18+ 13.40 13.22 13.14 13.10
74-20+ 13.39 13.21 13.13 13.09
74-22+ 13.38 13.20 13.11 13.08
<PAGE>
74-24+ 13.37 13.19 13.10 13.07
74-26+ 13.35 13.17 13.09 13.06
74-28+ 13.34 13.16 13.08 13.04
74-30+ 13.33 13.15 13.07 13.03
75-00+ 13.32 13.14 13.06 13.02
75-02+ 13.30 13.13 13.04 13.01
75-04+ 13.29 13.12 13.03 13.00
75-06+ 13.28 13.10 13.02 12.99
75-08+ 13.27 13.09 13.01 12.98
75-10+ 13.25 13.08 13.00 12.96
WAL: 15.73 17.94 18.96 19.48
WINDOW 1.58 2.42 1.17 1.25
BEGIN: 20111013 20130713 20150313 20151013
END: 20130413 20151113 20160413 20161213
MOD DUR: 6.76 7.02 7.12 7.16
CONVEX: 0.74 0.83 0.87 0.89
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-3 B-
CUR BALANCE: $7,816,605
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 11908847 13988173 14186939 14624983
TOTAL PRIN: 7816605 7816605 7816605 7816605
PENALTY: 0 0 0 0
59-08+ 16.95 16.64 16.59 16.54
59-10+ 16.93 16.62 16.57 16.52
59-12+ 16.91 16.61 16.56 16.50
59-14+ 16.90 16.59 16.54 16.48
59-16+ 16.88 16.57 16.52 16.47
59-18+ 16.86 16.55 16.50 16.45
59-20+ 16.84 16.54 16.49 16.43
59-22+ 16.82 16.52 16.47 16.41
59-24+ 16.81 16.50 16.45 16.40
<PAGE>
59-26+ 16.79 16.48 16.43 16.38
59-28+ 16.77 16.47 16.42 16.36
59-30+ 16.75 16.45 16.40 16.34
60-00+ 16.74 16.43 16.38 16.33
60-02+ 16.72 16.41 16.37 16.31
* 60-04+ 16.70 16.40 16.35 16.29
60-06+ 16.68 16.38 16.33 16.28
60-08+ 16.66 16.36 16.31 16.26
60-10+ 16.65 16.35 16.30 16.24
60-12+ 16.63 16.33 16.28 16.22
60-14+ 16.61 16.31 16.26 16.21
60-16+ 16.59 16.30 16.25 16.19
60-18+ 16.58 16.28 16.23 16.17
60-20+ 16.56 16.26 16.21 16.16
60-22+ 16.54 16.24 16.20 16.14
60-24+ 16.53 16.23 16.18 16.12
60-26+ 16.51 16.21 16.16 16.11
60-28+ 16.49 16.19 16.15 16.09
60-30+ 16.47 16.18 16.13 16.07
61-00+ 16.46 16.16 16.11 16.06
61-02+ 16.44 16.14 16.10 16.04
WAL: 16.48 19.32 19.69 20.34
WINDOW 0.08 0.50 0.50 0.50
BEGIN: 20130413 20151113 20160413 20161213
END: 20130413 20160413 20160913 20170513
MOD DUR: 5.90 6.05 6.06 6.08
CONVEX: 0.62 0.68 0.68 0.69
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4A UR
CUR BALANCE: $15,632,214
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 26994831 29178872 29895427 31488004
TOTAL PRIN: 15632214 15632214 15632214 15632214
<PAGE>
PENALTY: 0 0 0 0
38-19 25.57 25.42 25.36 25.28
38-21 25.53 25.38 25.32 25.24
38-23 25.49 25.33 25.27 25.20
38-25 25.45 25.29 25.23 25.16
38-27 25.40 25.25 25.19 25.12
38-29 25.36 25.21 25.15 25.08
38-31 25.32 25.17 25.11 25.03
39-01 25.28 25.13 25.07 24.99
39-03 25.24 25.09 25.03 24.95
39-05 25.20 25.05 24.99 24.91
39-07 25.16 25.01 24.95 24.87
39-09 25.12 24.97 24.91 24.83
39-11 25.08 24.93 24.87 24.79
39-13 25.04 24.89 24.83 24.75
* 39-15 25.00 24.85 24.79 24.71
39-17 24.97 24.81 24.75 24.67
39-19 24.93 24.77 24.71 24.63
39-21 24.89 24.73 24.67 24.59
39-23 24.85 24.69 24.63 24.56
39-25 24.81 24.66 24.59 24.52
39-27 24.77 24.62 24.56 24.48
39-29 24.73 24.58 24.52 24.44
39-31 24.69 24.54 24.48 24.40
40-01 24.66 24.50 24.44 24.36
40-03 24.62 24.46 24.40 24.32
40-05 24.58 24.43 24.36 24.28
40-07 24.54 24.39 24.33 24.25
40-09 24.50 24.35 24.29 24.21
40-11 24.47 24.31 24.25 24.17
40-13 24.43 24.27 24.21 24.13
WAL: 18.71 20.15 20.78 21.98
WINDOW 8.17 5.17 4.75 4.08
BEGIN: 20130413 20160413 20160913 20170513
END: 20210513 20210513 20210513 20210513
MOD DUR: 4.03 4.02 4.01 3.99
CONVEX: 0.33 0.34 0.34 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4B UR H
CUR BALANCE: $1,001
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 1728 1868 1913 2015
TOTAL PRIN: 1001 1001 1001 1001
PENALTY: 0 0 0 0
38-19 25.57 25.42 25.36 25.28
38-21 25.53 25.38 25.32 25.24
38-23 25.49 25.33 25.27 25.20
38-25 25.45 25.29 25.23 25.16
38-27 25.40 25.25 25.19 25.12
38-29 25.36 25.21 25.15 25.08
38-31 25.32 25.17 25.11 25.03
39-01 25.28 25.13 25.07 24.99
39-03 25.24 25.09 25.03 24.95
39-05 25.20 25.05 24.99 24.91
39-07 25.16 25.01 24.95 24.87
39-09 25.12 24.97 24.91 24.83
39-11 25.08 24.93 24.87 24.79
39-13 25.04 24.89 24.83 24.75
* 39-15 25.00 24.85 24.79 24.71
39-17 24.97 24.81 24.75 24.67
39-19 24.93 24.77 24.71 24.63
39-21 24.89 24.73 24.67 24.59
39-23 24.85 24.69 24.63 24.56
39-25 24.81 24.66 24.59 24.52
39-27 24.77 24.62 24.56 24.48
39-29 24.73 24.58 24.52 24.44
39-31 24.69 24.54 24.48 24.40
40-01 24.66 24.50 24.44 24.36
40-03 24.62 24.46 24.40 24.32
40-05 24.58 24.43 24.36 24.28
40-07 24.54 24.39 24.33 24.25
40-09 24.50 24.35 24.29 24.21
40-11 24.47 24.31 24.25 24.17
40-13 24.43 24.27 24.21 24.13
WAL: 18.71 20.15 20.78 21.98
WINDOW 8.17 5.17 4.75 4.08
BEGIN: 20130413 20160413 20160913 20170513
END: 20210513 20210513 20210513 20210513
MOD DUR: 4.03 4.02 4.01 3.99
CONVEX: 0.33 0.34 0.34 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: RESID
CUR BALANCE: $0
CUR COUPON: 0.00000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 46 46 46 46
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
99.125000 -17.52 -17.52 -17.52 -17.52
99.187500 -17.53 -17.53 -17.53 -17.53
99.250000 -17.54 -17.54 -17.54 -17.54
99.312500 -17.56 -17.56 -17.56 -17.56
99.375000 -17.57 -17.57 -17.57 -17.57
99.437500 -17.58 -17.58 -17.58 -17.58
99.500000 -17.59 -17.59 -17.59 -17.59
99.562500 -17.61 -17.61 -17.61 -17.61
99.625000 -17.62 -17.62 -17.62 -17.62
99.687500 -17.63 -17.63 -17.63 -17.63
99.750000 -17.64 -17.64 -17.64 -17.64
99.812500 -17.66 -17.66 -17.66 -17.66
99.875000 -17.67 -17.67 -17.67 -17.67
99.937500 -17.68 -17.68 -17.68 -17.68
* 100.000000 -17.69 -17.69 -17.69 -17.69
100.062500 -17.71 -17.71 -17.71 -17.71
100.125000 -17.72 -17.72 -17.72 -17.72
100.187500 -17.73 -17.73 -17.73 -17.73
100.250000 -17.74 -17.74 -17.74 -17.74
100.312500 -17.76 -17.76 -17.76 -17.76
100.375000 -17.77 -17.77 -17.77 -17.77
100.437500 -17.78 -17.78 -17.78 -17.78
100.500000 -17.79 -17.79 -17.79 -17.79
100.562500 -17.81 -17.81 -17.81 -17.81
100.625000 -17.82 -17.82 -17.82 -17.82
100.687500 -17.83 -17.83 -17.83 -17.83
100.750000 -17.84 -17.84 -17.84 -17.84
100.812500 -17.86 -17.86 -17.86 -17.86
100.875000 -17.87 -17.87 -17.87 -17.87
100.937500 -17.88 -17.88 -17.88 -17.88
<PAGE>
WAL: 3.81 3.81 3.81 3.81
WINDOW 6.08 6.08 6.08 6.08
BEGIN: 19970313 19970313 19970313 19970313
END: 20030313 20030313 20030313 20030313
MOD DUR: 4.98 4.98 4.98 4.98
CONVEX: 0.32 0.32 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
--------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143 SCN-144
SCN-145
101-02 7.29 7.28 7.28 7.27 7.29
7.27
101-04 7.28 7.27 7.27 7.26 7.28
7.26
101-06 7.27 7.26 7.26 7.25 7.27
7.25
101-08 7.26 7.25 7.25 7.24 7.26
7.24
101-10 7.25 7.24 7.24 7.23 7.25
7.23
101-12 7.24 7.24 7.23 7.22 7.24
7.22
101-14 7.24 7.23 7.22 7.21 7.23
7.21
* 101-16 7.23 7.22 7.21 7.20 7.22
7.20
101-18 7.22 7.21 7.20 7.19 7.22
7.19
101-20 7.21 7.20 7.19 7.18 7.21
7.18
101-22 7.20 7.19 7.18 7.17 7.20
7.18
101-24 7.19 7.18 7.17 7.16 7.19
7.17
101-26 7.18 7.17 7.16 7.15 7.18
7.16
101-28 7.17 7.16 7.15 7.14 7.17
7.15
101-30 7.16 7.15 7.14 7.13 7.16
7.14
WAL: 10.22 9.64 9.26 8.77 10.05
8.93
WINDOW 4.17 5.58 5.33 4.67 4.83
4.83
BEGIN: 20060313 20031013 20031013 20030613 20041213
20030813
END: 20100413 20090413 20090113 20080113 20090913
20080513
MOD DUR: 6.98 6.70 6.51 6.26 6.91
6.34
CONVEX: 0.64 0.59 0.55 0.51 0.63
0.52
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
141 3.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 6.09%. Cumulative Default 20.30%.
142 5.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 9.38%. Cumulative Default 31.26%.
143 8.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.40%. Cumulative Default 44.66%.
144 1.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 2.20%. Cumulative Default 7.34%.
145 7.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 12.17%. Cumulative Default 40.56%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 16887697 16724675 16605893 16342297
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.95
100-28 6.94 6.94 6.94 6.93
100-30 6.92 6.92 6.92 6.91
101-00 6.90 6.90 6.89 6.89
101-02 6.88 6.88 6.87 6.87
101-04 6.86 6.85 6.85 6.85
101-06 6.84 6.83 6.83 6.83
101-08 6.82 6.81 6.81 6.80
101-10 6.79 6.79 6.79 6.78
101-12 6.77 6.77 6.77 6.76
101-14 6.75 6.75 6.75 6.74
* 101-16 6.73 6.73 6.73 6.72
101-18 6.71 6.71 6.71 6.70
101-20 6.69 6.69 6.68 6.68
101-22 6.67 6.67 6.66 6.66
101-24 6.65 6.65 6.64 6.64
101-26 6.63 6.63 6.62 6.61
101-28 6.61 6.60 6.60 6.59
101-30 6.59 6.58 6.58 6.57
102-00 6.57 6.56 6.56 6.55
102-02 6.55 6.54 6.54 6.53
102-04 6.53 6.52 6.52 6.51
102-06 6.51 6.50 6.50 6.49
102-08 6.49 6.48 6.48 6.47
102-10 6.47 6.46 6.46 6.45
102-12 6.45 6.44 6.44 6.43
102-14 6.43 6.42 6.41 6.40
WAL: 3.57 3.54 3.51 3.46
WINDOW 6.50 6.25 6.08 5.75
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030113 20021113 20020713
MOD DUR: 2.98 2.96 2.95 2.91
CONVEX: 0.14 0.13 0.13 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 4850913 4804161 4769898 4694187
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.01 16.79 16.27
5.204006 16.62 16.33 16.10 15.58
5.266506 15.96 15.67 15.44 14.91
5.329006 15.32 15.02 14.79 14.25
5.391506 14.69 14.38 14.15 13.60
5.454006 14.07 13.76 13.52 12.97
5.516506 13.46 13.15 12.91 12.35
5.579006 12.87 12.55 12.31 11.74
5.641506 12.29 11.96 11.72 11.15
5.704006 11.72 11.39 11.14 10.56
5.766506 11.16 10.83 10.57 9.99
5.829006 10.61 10.27 10.02 9.42
5.891506 10.07 9.73 9.47 8.87
5.954006 9.54 9.20 8.93 8.33
* 6.016506 9.02 8.67 8.41 7.80
6.079006 8.51 8.16 7.89 7.27
6.141506 8.01 7.65 7.38 6.76
6.204006 7.52 7.16 6.88 6.25
6.266506 7.03 6.67 6.39 5.75
6.329006 6.56 6.19 5.91 5.27
6.391506 6.09 5.72 5.44 4.79
6.454006 5.63 5.25 4.97 4.31
6.516506 5.18 4.80 4.51 3.85
6.579006 4.73 4.35 4.06 3.39
6.641506 4.29 3.91 3.61 2.94
6.704006 3.86 3.47 3.18 2.50
6.766506 3.44 3.04 2.75 2.06
6.829006 3.02 2.62 2.32 1.63
6.891506 2.61 2.21 1.91 1.21
6.954006 2.20 1.80 1.49 0.79
<PAGE>
WAL: 2.31 2.28 2.25 2.20
WINDOW 6.50 6.25 6.08 5.75
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030113 20021113 20020713
MOD DUR: 2.02 2.00 1.99 1.97
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 81200742 80095366 79185144 76737842
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.33
100-22 7.33 7.33 7.33 7.32
100-24 7.32 7.32 7.31 7.31
100-26 7.31 7.30 7.30 7.30
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.27
101-00 7.27 7.27 7.27 7.26
101-02 7.26 7.26 7.26 7.25
101-04 7.25 7.25 7.24 7.24
101-06 7.24 7.23 7.23 7.23
101-08 7.22 7.22 7.22 7.21
101-10 7.21 7.21 7.21 7.20
101-12 7.20 7.20 7.20 7.19
101-14 7.19 7.19 7.19 7.18
* 101-16 7.18 7.18 7.17 7.17
101-18 7.17 7.16 7.16 7.15
101-20 7.16 7.15 7.15 7.14
101-22 7.14 7.14 7.14 7.13
101-24 7.13 7.13 7.13 7.12
101-26 7.12 7.12 7.12 7.11
<PAGE>
101-28 7.11 7.11 7.10 7.10
101-30 7.10 7.10 7.09 7.08
102-00 7.09 7.08 7.08 7.07
102-02 7.08 7.07 7.07 7.06
102-04 7.07 7.06 7.06 7.05
102-06 7.05 7.05 7.05 7.04
102-08 7.04 7.04 7.03 7.02
102-10 7.03 7.03 7.02 7.01
102-12 7.02 7.02 7.01 7.00
102-14 7.01 7.00 7.00 6.99
WAL: 7.13 7.04 6.96 6.74
WINDOW 3.00 2.83 2.58 1.83
BEGIN: 20030413 20030113 20021113 20020713
END: 20060313 20051013 20050513 20040413
MOD DUR: 5.39 5.33 5.29 5.16
CONVEX: 0.37 0.36 0.35 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 242929602 241611678 240177156 233837281
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.50
100-22 7.50 7.50 7.49 7.49
100-24 7.49 7.49 7.49 7.48
100-26 7.48 7.48 7.48 7.47
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.43
<PAGE>
101-06 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41
101-10 7.41 7.41 7.40 7.40
101-12 7.40 7.40 7.40 7.39
101-14 7.39 7.39 7.39 7.38
* 101-16 7.38 7.38 7.38 7.37
101-18 7.37 7.37 7.37 7.36
101-20 7.36 7.36 7.36 7.36
101-22 7.35 7.35 7.35 7.35
101-24 7.34 7.34 7.34 7.34
101-26 7.33 7.33 7.33 7.33
101-28 7.33 7.33 7.32 7.32
101-30 7.32 7.32 7.32 7.31
102-00 7.31 7.31 7.31 7.30
102-02 7.30 7.30 7.30 7.29
102-04 7.29 7.29 7.29 7.28
102-06 7.28 7.28 7.28 7.27
102-08 7.27 7.27 7.27 7.26
102-10 7.26 7.26 7.26 7.26
102-12 7.26 7.25 7.25 7.25
102-14 7.25 7.25 7.24 7.24
WAL: 10.21 10.16 10.10 9.83
WINDOW 4.08 4.17 4.33 5.08
BEGIN: 20060313 20051013 20050513 20040413
END: 20100313 20091113 20090813 20090413
MOD DUR: 6.93 6.90 6.88 6.75
CONVEX: 0.63 0.63 0.62 0.60
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 106965689 106233895 105515243 102817049
TOTAL PRIN: 0 0 0 0
<PAGE>
PENALTY: 0 0 0 0
10.105148 11.09 11.00 10.90 10.52
10.167648 10.94 10.85 10.75 10.36
10.230148 10.80 10.70 10.60 10.22
10.292648 10.65 10.55 10.45 10.07
10.355148 10.50 10.41 10.31 9.92
10.417648 10.36 10.26 10.16 9.77
10.480148 10.22 10.12 10.02 9.63
10.542648 10.08 9.98 9.88 9.49
10.605148 9.94 9.84 9.74 9.35
10.667648 9.80 9.70 9.60 9.21
10.730148 9.66 9.56 9.46 9.07
10.792648 9.53 9.43 9.33 8.93
10.855148 9.39 9.29 9.19 8.79
10.917648 9.26 9.16 9.06 8.66
* 10.980148 9.13 9.03 8.93 8.53
11.042648 9.00 8.90 8.79 8.39
11.105148 8.87 8.77 8.66 8.26
11.167648 8.74 8.64 8.54 8.13
11.230148 8.61 8.51 8.41 8.00
11.292648 8.49 8.38 8.28 7.88
11.355148 8.36 8.26 8.16 7.75
11.417648 8.24 8.14 8.03 7.62
11.480148 8.12 8.01 7.91 7.50
11.542648 7.99 7.89 7.79 7.38
11.605148 7.87 7.77 7.67 7.25
11.667648 7.75 7.65 7.55 7.13
11.730148 7.64 7.53 7.43 7.01
11.792648 7.52 7.41 7.31 6.89
11.855148 7.40 7.30 7.19 6.78
11.917648 7.29 7.18 7.08 6.66
WAL: 5.56 5.53 5.50 5.38
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.33 4.32 4.28
CONVEX: 0.30 0.30 0.30 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 20767673 20403914 20004775 18823897
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.62
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.61 7.61
100-26 7.61 7.61 7.61 7.60
100-28 7.60 7.60 7.60 7.59
100-30 7.59 7.59 7.59 7.59
101-00 7.59 7.58 7.58 7.58
101-02 7.58 7.58 7.57 7.57
101-04 7.57 7.57 7.57 7.56
101-06 7.56 7.56 7.56 7.55
101-08 7.56 7.55 7.55 7.55
101-10 7.55 7.55 7.54 7.54
101-12 7.54 7.54 7.54 7.53
101-14 7.53 7.53 7.53 7.52
* 101-16 7.53 7.52 7.52 7.52
101-18 7.52 7.52 7.51 7.51
101-20 7.51 7.51 7.51 7.50
101-22 7.50 7.50 7.50 7.49
101-24 7.50 7.49 7.49 7.48
101-26 7.49 7.49 7.48 7.48
101-28 7.48 7.48 7.48 7.47
101-30 7.47 7.47 7.47 7.46
102-00 7.47 7.47 7.46 7.45
102-02 7.46 7.46 7.46 7.45
102-04 7.45 7.45 7.45 7.44
102-06 7.45 7.44 7.44 7.43
102-08 7.44 7.44 7.43 7.42
102-10 7.43 7.43 7.43 7.42
102-12 7.42 7.42 7.42 7.41
102-14 7.42 7.41 7.41 7.40
WAL: 14.01 13.77 13.50 12.70
WINDOW 1.08 1.42 1.42 0.83
BEGIN: 20100313 20091113 20090813 20090413
END: 20110313 20110313 20101213 20100113
MOD DUR: 8.40 8.31 8.22 7.93
CONVEX: 0.98 0.96 0.93 0.86
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 43920457 43850510 43760669 42828031
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.73 7.72
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.71 7.70
100-28 7.70 7.70 7.70 7.69
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.68 7.67
101-04 7.67 7.67 7.67 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.65 7.65 7.65
101-10 7.65 7.65 7.65 7.64
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.63 7.62
101-18 7.62 7.62 7.62 7.61
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.60 7.59
101-26 7.59 7.59 7.59 7.59
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.58 7.57
102-00 7.57 7.57 7.57 7.56
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.55 7.54
102-08 7.54 7.54 7.54 7.53
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.53 7.52
102-14 7.52 7.52 7.52 7.51
<PAGE>
WAL: 14.58 14.56 14.53 14.23
WINDOW 0.33 0.33 0.58 1.50
BEGIN: 20110313 20110313 20101213 20100113
END: 20110613 20110613 20110613 20110613
MOD DUR: 8.57 8.56 8.55 8.45
CONVEX: 1.03 1.03 1.02 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 40881442 40858581 40839111 40789841
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.88 7.88
101-02 7.87 7.87 7.87 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.86 7.86
101-08 7.85 7.85 7.85 7.85
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.83 7.83
101-16 7.82 7.82 7.82 7.82
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.80 7.80
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.78 7.78
101-30 7.77 7.77 7.77 7.77
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.75 7.75
102-06 7.74 7.74 7.74 7.74
<PAGE>
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.73 7.73
102-12 7.72 7.72 7.72 7.72
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.70 7.70
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.68 7.68
102-26 7.67 7.67 7.67 7.67
WAL: 14.72 14.71 14.71 14.69
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110613 20110613
END: 20110913 20110913 20110813 20110813
MOD DUR: 8.52 8.52 8.52 8.51
CONVEX: 1.02 1.02 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 47153915 47153915 47152904 47141877
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.19 8.19
100-06 8.18 8.18 8.18 8.18
100-08 8.18 8.18 8.18 8.18
100-10 8.17 8.17 8.17 8.17
100-12 8.16 8.16 8.16 8.16
100-14 8.15 8.15 8.15 8.15
100-16 8.15 8.15 8.15 8.15
100-18 8.14 8.14 8.14 8.14
100-20 8.13 8.13 8.13 8.13
<PAGE>
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.12 8.12
100-26 8.11 8.11 8.11 8.11
100-28 8.10 8.10 8.10 8.10
100-30 8.09 8.09 8.09 8.09
* 101-00 8.09 8.09 8.09 8.09
101-02 8.08 8.08 8.08 8.08
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.07 8.07
101-08 8.06 8.06 8.06 8.06
101-10 8.05 8.05 8.05 8.05
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.04 8.04
101-16 8.03 8.03 8.03 8.03
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.01 8.01
101-24 8.00 8.00 8.00 8.00
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.99 7.99
101-30 7.98 7.98 7.98 7.98
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.17 0.17
BEGIN: 20110913 20110913 20110813 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.43 8.43 8.43 8.43
CONVEX: 1.01 1.01 1.01 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 19611056 19611056 19611056 19611056
TOTAL PRIN: 15633210 15633210 15633210 15633210
<PAGE>
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.64 8.64
99-06 8.64 8.64 8.64 8.64
99-08 8.63 8.63 8.63 8.63
99-10 8.62 8.62 8.62 8.62
99-12 8.61 8.61 8.61 8.61
99-14 8.61 8.61 8.61 8.61
99-16 8.60 8.60 8.60 8.60
99-18 8.59 8.59 8.59 8.59
99-20 8.58 8.58 8.58 8.58
99-22 8.58 8.58 8.58 8.58
99-24 8.57 8.57 8.57 8.57
99-26 8.56 8.56 8.56 8.56
99-28 8.55 8.55 8.55 8.55
99-30 8.55 8.55 8.55 8.55
* 100-00 8.54 8.54 8.54 8.54
100-02 8.53 8.53 8.53 8.53
100-04 8.52 8.52 8.52 8.52
100-06 8.51 8.51 8.51 8.51
100-08 8.51 8.51 8.51 8.51
100-10 8.50 8.50 8.50 8.50
100-12 8.49 8.49 8.49 8.49
100-14 8.48 8.48 8.48 8.48
100-16 8.48 8.48 8.48 8.48
100-18 8.47 8.47 8.47 8.47
100-20 8.46 8.46 8.46 8.46
100-22 8.45 8.45 8.45 8.45
100-24 8.45 8.45 8.45 8.45
100-26 8.44 8.44 8.44 8.44
100-28 8.43 8.43 8.43 8.43
100-30 8.42 8.42 8.42 8.42
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.23 8.23
CONVEX: 0.98 0.98 0.98 0.98
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 0.84%. Cumulative Default
2.82%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 1.66%. Cumulative Default
5.54%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances. Cumulative Loss 4.66%. Cumulative Default
15.54%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-5
101-02 6.69 6.69
101-04 6.67 6.67
101-06 6.65 6.65
101-08 6.63 6.63
101-10 6.61 6.61
101-12 6.59 6.59
101-14 6.57 6.57
* 101-16 6.55 6.55
101-18 6.53 6.52
101-20 6.50 6.50
101-22 6.48 6.48
101-24 6.46 6.46
101-26 6.44 6.44
101-28 6.42 6.42
101-30 6.40 6.40
WAL: 3.54 3.54
WINDOW 6.42 6.25
BEGIN: 19961113 19961113
END: 20030313 20030113
MOD DUR: 2.98 2.98
CONVEX: 0.14 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
5 100% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-5
101-02 7.09 7.09
101-04 7.08 7.08
<PAGE>
101-06 7.07 7.07
101-08 7.06 7.06
101-10 7.05 7.04
101-12 7.04 7.03
101-14 7.02 7.02
* 101-16 7.01 7.01
101-18 7.00 7.00
101-20 6.99 6.99
101-22 6.98 6.97
101-24 6.97 6.96
101-26 6.96 6.95
101-28 6.95 6.94
101-30 6.93 6.93
WAL: 7.11 6.97
WINDOW 3.08 3.00
BEGIN: 20030313 20030113
END: 20060313 20051213
MOD DUR: 5.41 5.32
CONVEX: 0.37 0.36
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
5 100% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-5
101-02 7.29 7.29
101-04 7.28 7.28
101-06 7.27 7.27
101-08 7.26 7.26
101-10 7.25 7.25
101-12 7.24 7.24
101-14 7.24 7.23
* 101-16 7.23 7.22
101-18 7.22 7.22
101-20 7.21 7.21
101-22 7.20 7.20
101-24 7.19 7.19
101-26 7.18 7.18
101-28 7.17 7.17
101-30 7.16 7.16
WAL: 10.22 10.06
<PAGE>
WINDOW 4.17 4.42
BEGIN: 20060313 20051213
END: 20100413 20100413
MOD DUR: 6.98 6.90
CONVEX: 0.64 0.63
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
5 100% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
DATED: Oct-11-1996
SETTLE: Oct-22-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield is total return to maturity assuming
reinvestment in similar instruments.
(i.e. same term and same spread.)
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
101-02 7.09 7.09 7.09 7.09
101-04 7.08 7.08 7.08 7.08
101-06 7.07 7.07 7.07 7.06
101-08 7.06 7.06 7.06 7.05
101-10 7.05 7.05 7.04 7.04
101-12 7.04 7.03 7.03 7.03
101-14 7.02 7.02 7.02 7.02
* 101-16 7.01 7.01 7.01 7.00
101-18 7.00 7.00 7.00 6.99
101-20 6.99 6.99 6.99 6.98
101-22 6.98 6.98 6.97 6.97
101-24 6.97 6.96 6.96 6.96
101-26 6.96 6.95 6.95 6.95
101-28 6.95 6.94 6.94 6.93
101-30 6.93 6.93 6.93 6.92
WAL: 7.11 6.97 6.87 6.64
WINDOW 3.08 2.58 2.25 1.50
BEGIN: 20030313 20021213 20021013 20020513
END: 20060313 20050613 20041213 20031013
MOD DUR: 5.41 5.33 5.27 5.13
CONVEX: 0.37 0.36 0.35 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield is total return to maturity assuming
reinvestment in similar instruments.
(i.e. same term and same spread.)
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
101-02 7.71 7.72 7.72 7.74
101-04 7.69 7.70 7.71 7.73
101-06 7.68 7.69 7.70 7.72
101-08 7.67 7.68 7.69 7.71
101-10 7.66 7.67 7.68 7.70
101-12 7.65 7.66 7.67 7.68
101-14 7.64 7.65 7.65 7.67
* 101-16 7.62 7.63 7.64 7.66
101-18 7.61 7.62 7.63 7.65
101-20 7.60 7.61 7.62 7.64
101-22 7.59 7.60 7.61 7.63
101-24 7.58 7.59 7.60 7.61
101-26 7.57 7.58 7.58 7.60
101-28 7.56 7.57 7.57 7.59
101-30 7.54 7.55 7.56 7.58
WAL: 7.11 6.97 6.87 6.64
WINDOW 3.08 2.58 2.25 1.50
BEGIN: 20030313 20021213 20021013 20020513
END: 20060313 20050613 20041213 20031013
MOD DUR: 5.41 5.33 5.27 5.13
CONVEX: 0.37 0.36 0.35 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date. Treasury yield
curve shifts 150 bp.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield is total return to maturity assuming
reinvestment in similar instruments.
(i.e. same term and same spread.)
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
101-02 6.49 6.48 6.46 6.44
101-04 6.48 6.46 6.45 6.43
101-06 6.47 6.45 6.44 6.41
101-08 6.46 6.44 6.43 6.40
101-10 6.45 6.43 6.42 6.39
101-12 6.43 6.42 6.41 6.38
101-14 6.42 6.41 6.40 6.37
* 101-16 6.41 6.40 6.38 6.36
101-18 6.40 6.38 6.37 6.34
101-20 6.39 6.37 6.36 6.33
101-22 6.38 6.36 6.35 6.32
101-24 6.37 6.35 6.34 6.31
101-26 6.36 6.34 6.33 6.30
101-28 6.34 6.33 6.32 6.29
101-30 6.33 6.32 6.30 6.27
WAL: 7.11 6.97 6.87 6.64
WINDOW 3.08 2.58 2.25 1.50
BEGIN: 20030313 20021213 20021013 20020513
END: 20060313 20050613 20041213 20031013
MOD DUR: 5.41 5.33 5.27 5.13
CONVEX: 0.37 0.36 0.35 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date. Treasury yield
curve shifts -150 bp.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-351 SCN-352
101-02 7.09 7.07 7.08
101-04 7.08 7.06 7.07
101-06 7.07 7.05 7.05
101-08 7.06 7.04 7.04
101-10 7.05 7.02 7.03
101-12 7.04 7.01 7.02
101-14 7.02 7.00 7.01
* 101-16 7.01 6.99 6.99
101-18 7.00 6.98 6.98
101-20 6.99 6.96 6.97
101-22 6.98 6.95 6.96
101-24 6.97 6.94 6.95
101-26 6.96 6.93 6.93
101-28 6.95 6.91 6.92
101-30 6.93 6.90 6.91
WAL: 7.11 6.35 6.53
WINDOW 3.08 1.08 2.08
BEGIN: 20030313 20021013 20021013
END: 20060313 20031013 20041013
MOD DUR: 5.41 4.96 5.06
CONVEX: 0.37 0.31 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
351 Hyatt Riverwalk defaults in month 60 recover 60% in 12
months.
Pacific Properties defaults in month 60 recover 60% in 12
months.
Mariner's Village defaults in month 72 recover 60% in 12
months.
Anchorage Shopping Ce defaults in month 72 recover 60% in 12
months.
Lee Park defaults in month 84 recover 60% in 12 months.
352 See description under 351
Other Loans extend with Cashtrap (maintain constant NOI).
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
<PAGE>
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-351 SCN-352
101-02 7.29 7.28 7.31
101-04 7.28 7.27 7.30
101-06 7.27 7.26 7.29
101-08 7.26 7.25 7.29
101-10 7.25 7.24 7.28
101-12 7.24 7.24 7.27
101-14 7.24 7.23 7.26
* 101-16 7.23 7.22 7.26
101-18 7.22 7.21 7.25
101-20 7.21 7.20 7.24
101-22 7.20 7.19 7.23
101-24 7.19 7.18 7.23
101-26 7.18 7.17 7.22
101-28 7.17 7.16 7.21
101-30 7.16 7.15 7.20
WAL: 10.22 9.64 13.11
WINDOW 4.17 7.50 9.25
BEGIN: 20060313 20031013 20041013
END: 20100413 20110313 20131213
MOD DUR: 6.98 6.70 8.11
CONVEX: 0.64 0.59 0.92
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
351 Hyatt Riverwalk defaults in month 60 recover 60% in 12
months.
Pacific Properties defaults in month 60 recover 60% in 12
months.
Mariner's Village defaults in month 72 recover 60% in 12
months.
Anchorage Shopping Ce defaults in month 72 recover 60% in 12
months.
Lee Park defaults in month 84 recover 60% in 12 months.
352 See description under 351
Other Loans extend with Cashtrap (maintain constant NOI).
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-341 SCN-342
101-02 7.09 7.06 7.08
101-04 7.08 7.05 7.07
101-06 7.07 7.04 7.06
101-08 7.06 7.03 7.04
101-10 7.05 7.01 7.03
101-12 7.04 7.00 7.02
101-14 7.02 6.99 7.01
* 101-16 7.01 6.97 6.99
101-18 7.00 6.96 6.98
101-20 6.99 6.95 6.97
101-22 6.98 6.93 6.96
101-24 6.97 6.92 6.95
101-26 6.96 6.91 6.93
101-28 6.95 6.90 6.92
101-30 6.93 6.88 6.91
WAL: 7.11 6.01 6.61
WINDOW 3.08 2.25 4.83
BEGIN: 20030313 20010813 20010813
END: 20060313 20031013 20060513
MOD DUR: 5.41 4.73 5.07
CONVEX: 0.37 0.28 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
341 Retail Loans with DSCR less than 1.35 Default in yrs 3, 4, 5 (18%,
45%, 37% of Cut-off Bal respectively)
Hotel Loans with DSCR less than 1.55 Default in yrs 3, 4, 5 (25%
39% 36% of Cut-off Bal respectively)
Each recovers 60% in 12 months.
Servicer Advances.
342 Retail Loans with DSCR less than 1.35 Default in yrs 3, 4, 5 (18%,
45%, 37% of Cut-off Bal respectively)
Hotel Loans with DSCR less than 1.55 Default in yrs 3, 4, 5 (25%
39% 36% of Cut-off Bal respectively)
Each recovers 60% in 12 months.
Other Loans extend with Cashtrap (maintain constant NOI).
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
<PAGE>
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-341 SCN-342
101-02 7.29 7.28 7.31
101-04 7.28 7.27 7.31
101-06 7.27 7.26 7.30
101-08 7.26 7.25 7.29
101-10 7.25 7.24 7.28
101-12 7.24 7.23 7.28
101-14 7.24 7.22 7.27
* 101-16 7.23 7.21 7.26
101-18 7.22 7.21 7.25
101-20 7.21 7.20 7.25
101-22 7.20 7.19 7.24
101-24 7.19 7.18 7.23
101-26 7.18 7.17 7.22
101-28 7.17 7.16 7.22
101-30 7.16 7.15 7.21
WAL: 10.22 9.51 13.55
WINDOW 4.17 5.67 7.42
BEGIN: 20060313 20031013 20060513
END: 20100413 20090513 20130913
MOD DUR: 6.98 6.62 8.31
CONVEX: 0.64 0.58 0.96
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
341 Retail Loans with DSCR less than 1.35 Default in yrs 3, 4, 5 (18%,
45%, 37% of Cut-off Bal respectively)
Hotel Loans with DSCR less than 1.55 Default in yrs 3, 4, 5 (25%
39% 36% of Cut-off Bal respectively)
Each recovers 60% in 12 months.
Servicer Advances.
342 Retail Loans with DSCR less than 1.35 Default in yrs 3, 4, 5 (18%,
45%, 37% of Cut-off Bal respectively)
Hotel Loans with DSCR less than 1.55 Default in yrs 3, 4, 5 (25%
39% 36% of Cut-off Bal respectively)
Each recovers 60% in 12 months.
Other Loans extend with Cashtrap (maintain constant NOI).
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-225 SCN-226
12.035374 9.25 8.20 7.85
12.097874 9.13 8.08 7.74
12.160374 9.02 7.96 7.62
12.222874 8.90 7.85 7.50
12.285374 8.78 7.73 7.38
12.347874 8.67 7.61 7.27
12.410374 8.55 7.50 7.15
* 12.472874 8.44 7.38 7.04
12.535374 8.33 7.27 6.93
12.597874 8.21 7.16 6.81
12.660374 8.10 7.05 6.70
12.722874 7.99 6.94 6.59
12.785374 7.88 6.83 6.48
12.847874 7.77 6.72 6.38
12.910374 7.67 6.61 6.27
WAL: 5.57 5.42 5.41
WINDOW 14.92 15.00 15.00
BEGIN: 19961113 19961113 19961113
END: 20110913 20111013 20111013
MOD DUR: 4.43 4.41 4.43
CONVEX: 0.32 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
225 1010 Northern Blvd Defaults month 36 recovers 70% in 12 months.
Lee Park Defaults month 48 recovers 70% in 12 months.
Sacramento Defaults month 60 recovers 70% in 12 months.
All other loans, 3% CDR starting in month 48, 70% recovery in 0
months, until lockout.
25% CPR from lockout to Aticipated Repayment Date or Maturity.
Cumulative Loss 7.18%. Cumulative Default 23.93%.
226 1010 Northern Blvd Defaults month 24 recovers 70% in 12 months.
Lee Park Defaults month 36 recovers 70% in 12 months.
Sacramento Defaults month 48 recovers 70% in 12 months.
All other loans, 3% CDR starting in month 36, 70% recovery in 0
months, until lockout.
Cumulative Loss 7.85%. Cumulative Default 26.17%.
25% CPR from lockout to Aticipated Repayment Date or Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-365
101-02 6.69 6.69
101-04 6.67 6.67
101-06 6.65 6.64
101-08 6.63 6.62
101-10 6.61 6.60
101-12 6.59 6.58
101-14 6.57 6.56
* 101-16 6.55 6.54
101-18 6.53 6.52
101-20 6.50 6.50
101-22 6.48 6.48
101-24 6.46 6.46
101-26 6.44 6.43
101-28 6.42 6.41
101-30 6.40 6.39
WAL: 3.54 3.48
WINDOW 6.42 6.00
BEGIN: 19961113 19961113
END: 20030313 20021013
MOD DUR: 2.98 2.94
CONVEX: 0.14 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 100% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00)
recover 100.00% in 12.00 months.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- --------
SCENARIO: SCN-1 SCN-365
101-02 7.09 7.09
101-04 7.08 7.07
101-06 7.07 7.06
101-08 7.06 7.05
101-10 7.05 7.04
101-12 7.04 7.03
101-14 7.02 7.02
* 101-16 7.01 7.00
101-18 7.00 6.99
101-20 6.99 6.98
101-22 6.98 6.97
101-24 6.97 6.96
101-26 6.96 6.95
101-28 6.95 6.93
101-30 6.93 6.92
WAL: 7.11 6.80
WINDOW 3.08 1.08
BEGIN: 20030313 20021013
END: 20060313 20031013
MOD DUR: 5.41 5.23
CONVEX: 0.37 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 100% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00).
recover 100.00% in 12.00 months.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-365
12.035374 9.25 7.20
12.097874 9.13 7.07
12.160374 9.02 6.95
12.222874 8.90 6.82
12.285374 8.78 6.69
12.347874 8.67 6.57
<PAGE>
12.410374 8.55 6.45
* 12.472874 8.44 6.32
12.535374 8.33 6.20
12.597874 8.21 6.08
12.660374 8.10 5.96
12.722874 7.99 5.84
12.785374 7.88 5.72
12.847874 7.77 5.60
12.910374 7.67 5.49
WAL: 5.57 4.72
WINDOW 14.92 14.67
BEGIN: 19961113 19961113
END: 20110913 20110613
MOD DUR: 4.43 4.09
CONVEX: 0.32 0.26
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 100% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00).
recover 100.00% in 12.00 months.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: COLLATERAL
CUR BALANCE: $781,660,544
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 763543042 763378538 763101686 762519794
TOTAL PRIN: 781660544 781660544 781660544 781660544
PENALTY: 0 0 0 0
99.125000 9.54 9.54 9.54 9.54
99.187500 9.53 9.53 9.53 9.53
99.250000 9.52 9.52 9.52 9.52
99.312500 9.51 9.51 9.51 9.51
99.375000 9.50 9.50 9.50 9.50
99.437500 9.49 9.49 9.49 9.49
99.500000 9.48 9.48 9.48 9.48
99.562500 9.47 9.47 9.47 9.47
99.625000 9.46 9.46 9.46 9.46
99.687500 9.45 9.45 9.45 9.45
99.750000 9.44 9.44 9.44 9.44
99.812500 9.43 9.43 9.43 9.43
99.875000 9.42 9.42 9.42 9.42
99.937500 9.41 9.41 9.41 9.41
* 100.000000 9.40 9.40 9.40 9.40
100.062500 9.39 9.39 9.39 9.39
100.125000 9.38 9.38 9.38 9.38
100.187500 9.37 9.37 9.37 9.37
100.250000 9.36 9.36 9.36 9.36
100.312500 9.35 9.35 9.35 9.35
100.375000 9.34 9.34 9.34 9.34
100.437500 9.33 9.33 9.33 9.33
100.500000 9.32 9.32 9.32 9.32
100.562500 9.31 9.31 9.31 9.31
100.625000 9.30 9.30 9.30 9.30
100.687500 9.29 9.29 9.29 9.29
100.750000 9.28 9.28 9.28 9.28
100.812500 9.27 9.27 9.27 9.27
100.875000 9.26 9.26 9.26 9.26
100.937500 9.25 9.25 9.25 9.25
WAL: 10.57 10.57 10.56 10.55
WINDOW 24.58 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113 19961113
END: 20210513 20210513 20210513 20210513
MOD DUR: 6.25 6.25 6.25 6.25
CONVEX: 0.59 0.59 0.59 0.59
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
<PAGE>
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 16887697 16884918 16881115 16876279
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.96
100-28 6.94 6.94 6.94 6.94
100-30 6.92 6.92 6.92 6.92
101-00 6.90 6.90 6.90 6.90
101-02 6.88 6.88 6.88 6.88
101-04 6.86 6.86 6.86 6.86
101-06 6.84 6.84 6.84 6.84
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
101-28 6.61 6.61 6.61 6.61
101-30 6.59 6.59 6.59 6.59
102-00 6.57 6.57 6.57 6.57
102-02 6.55 6.55 6.55 6.55
102-04 6.53 6.53 6.53 6.53
102-06 6.51 6.51 6.51 6.51
102-08 6.49 6.49 6.49 6.49
102-10 6.47 6.47 6.47 6.47
102-12 6.45 6.45 6.45 6.45
102-14 6.43 6.43 6.43 6.43
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.42 6.42
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030313 20030313
MOD DUR: 2.98 2.98 2.98 2.98
<PAGE>
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 4850913 4850138 4849097 4847856
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.29 17.29 17.28
5.204006 16.62 16.62 16.61 16.60
5.266506 15.96 15.96 15.95 15.95
5.329006 15.32 15.31 15.31 15.30
5.391506 14.69 14.68 14.68 14.67
5.454006 14.07 14.06 14.06 14.05
5.516506 13.46 13.46 13.45 13.44
5.579006 12.87 12.86 12.86 12.85
5.641506 12.29 12.28 12.28 12.27
5.704006 11.72 11.71 11.70 11.70
5.766506 11.16 11.15 11.14 11.14
5.829006 10.61 10.60 10.60 10.59
5.891506 10.07 10.06 10.06 10.05
5.954006 9.54 9.53 9.53 9.52
* 6.016506 9.02 9.01 9.01 9.00
6.079006 8.51 8.50 8.50 8.49
6.141506 8.01 8.00 7.99 7.99
6.204006 7.52 7.51 7.50 7.49
6.266506 7.03 7.03 7.02 7.01
6.329006 6.56 6.55 6.54 6.53
6.391506 6.09 6.08 6.07 6.06
6.454006 5.63 5.62 5.61 5.60
6.516506 5.18 5.17 5.16 5.15
6.579006 4.73 4.72 4.72 4.71
6.641506 4.29 4.29 4.28 4.27
6.704006 3.86 3.86 3.85 3.84
6.766506 3.44 3.43 3.42 3.41
6.829006 3.02 3.01 3.01 2.99
<PAGE>
6.891506 2.61 2.60 2.59 2.58
6.954006 2.20 2.20 2.19 2.18
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.42 6.42
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030313 20030313
MOD DUR: 2.02 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 81200742 81167813 81118076 81017613
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.34
100-22 7.33 7.33 7.33 7.33
100-24 7.32 7.32 7.32 7.32
100-26 7.31 7.31 7.31 7.30
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.28
101-00 7.27 7.27 7.27 7.27
101-02 7.26 7.26 7.26 7.26
101-04 7.25 7.25 7.25 7.25
101-06 7.24 7.24 7.24 7.24
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
101-12 7.20 7.20 7.20 7.20
101-14 7.19 7.19 7.19 7.19
* 101-16 7.18 7.18 7.18 7.18
101-18 7.17 7.17 7.17 7.17
101-20 7.16 7.16 7.16 7.16
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.13 7.13
101-26 7.12 7.12 7.12 7.12
101-28 7.11 7.11 7.11 7.11
<PAGE>
101-30 7.10 7.10 7.10 7.10
102-00 7.09 7.09 7.09 7.09
102-02 7.08 7.08 7.08 7.08
102-04 7.07 7.06 7.06 7.06
102-06 7.05 7.05 7.05 7.05
102-08 7.04 7.04 7.04 7.04
102-10 7.03 7.03 7.03 7.03
102-12 7.02 7.02 7.02 7.02
102-14 7.01 7.01 7.01 7.01
WAL: 7.13 7.13 7.13 7.12
WINDOW 3.00 3.00 3.00 2.92
BEGIN: 20030413 20030413 20030313 20030313
END: 20060313 20060313 20060213 20060113
MOD DUR: 5.39 5.38 5.38 5.38
CONVEX: 0.37 0.37 0.37 0.37
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 242929602 242865518 242750971 242502772
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.50
100-22 7.50 7.50 7.50 7.50
100-24 7.49 7.49 7.49 7.49
100-26 7.48 7.48 7.48 7.48
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.43
101-06 7.42 7.42 7.42 7.42
101-08 7.41 7.41 7.41 7.41
101-10 7.41 7.41 7.41 7.41
101-12 7.40 7.40 7.40 7.40
101-14 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38
<PAGE>
101-18 7.37 7.37 7.37 7.37
101-20 7.36 7.36 7.36 7.36
101-22 7.35 7.35 7.35 7.35
101-24 7.34 7.34 7.34 7.34
101-26 7.33 7.33 7.33 7.33
101-28 7.33 7.33 7.33 7.33
101-30 7.32 7.32 7.32 7.32
102-00 7.31 7.31 7.31 7.31
102-02 7.30 7.30 7.30 7.30
102-04 7.29 7.29 7.29 7.29
102-06 7.28 7.28 7.28 7.28
102-08 7.27 7.27 7.27 7.27
102-10 7.26 7.26 7.26 7.26
102-12 7.26 7.26 7.26 7.26
102-14 7.25 7.25 7.25 7.25
WAL: 10.21 10.21 10.21 10.20
WINDOW 4.08 4.08 4.17 4.25
BEGIN: 20060313 20060313 20060213 20060113
END: 20100313 20100313 20100313 20100313
MOD DUR: 6.93 6.93 6.93 6.92
CONVEX: 0.63 0.63 0.63 0.63
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 106965689 106938386 106892426 106795119
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.105148 11.09 11.09 11.08 11.07
10.167648 10.94 10.94 10.93 10.92
10.230148 10.80 10.79 10.79 10.77
10.292648 10.65 10.65 10.64 10.63
10.355148 10.50 10.50 10.49 10.48
10.417648 10.36 10.36 10.35 10.34
10.480148 10.22 10.21 10.21 10.20
10.542648 10.08 10.07 10.07 10.05
<PAGE>
10.605148 9.94 9.93 9.93 9.92
10.667648 9.80 9.80 9.79 9.78
10.730148 9.66 9.66 9.65 9.64
10.792648 9.53 9.52 9.52 9.50
10.855148 9.39 9.39 9.38 9.37
10.917648 9.26 9.26 9.25 9.24
* 10.980148 9.13 9.12 9.12 9.11
11.042648 9.00 8.99 8.99 8.97
11.105148 8.87 8.86 8.86 8.85
11.167648 8.74 8.74 8.73 8.72
11.230148 8.61 8.61 8.60 8.59
11.292648 8.49 8.48 8.48 8.46
11.355148 8.36 8.36 8.35 8.34
11.417648 8.24 8.24 8.23 8.22
11.480148 8.12 8.11 8.11 8.09
11.542648 7.99 7.99 7.98 7.97
11.605148 7.87 7.87 7.86 7.85
11.667648 7.75 7.75 7.74 7.73
11.730148 7.64 7.63 7.63 7.61
11.792648 7.52 7.51 7.51 7.49
11.855148 7.40 7.40 7.39 7.38
11.917648 7.29 7.28 7.28 7.26
WAL: 5.56 5.56 5.56 5.55
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.34 4.34 4.34
CONVEX: 0.30 0.30 0.30 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 20767673 20764357 20758748 20746838
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.63
<PAGE>
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.61 7.61
100-26 7.61 7.61 7.61 7.61
100-28 7.60 7.60 7.60 7.60
100-30 7.59 7.59 7.59 7.59
101-00 7.59 7.59 7.58 7.58
101-02 7.58 7.58 7.58 7.58
101-04 7.57 7.57 7.57 7.57
101-06 7.56 7.56 7.56 7.56
101-08 7.56 7.56 7.56 7.56
101-10 7.55 7.55 7.55 7.55
101-12 7.54 7.54 7.54 7.54
101-14 7.53 7.53 7.53 7.53
* 101-16 7.53 7.53 7.53 7.53
101-18 7.52 7.52 7.52 7.52
101-20 7.51 7.51 7.51 7.51
101-22 7.50 7.50 7.50 7.50
101-24 7.50 7.50 7.50 7.50
101-26 7.49 7.49 7.49 7.49
101-28 7.48 7.48 7.48 7.48
101-30 7.47 7.47 7.47 7.47
102-00 7.47 7.47 7.47 7.47
102-02 7.46 7.46 7.46 7.46
102-04 7.45 7.45 7.45 7.45
102-06 7.45 7.45 7.45 7.45
102-08 7.44 7.44 7.44 7.44
102-10 7.43 7.43 7.43 7.43
102-12 7.42 7.42 7.42 7.42
102-14 7.42 7.42 7.42 7.42
WAL: 14.01 14.01 14.01 14.00
WINDOW 1.08 1.08 1.08 1.08
BEGIN: 20100313 20100313 20100313 20100313
END: 20110313 20110313 20110313 20110313
MOD DUR: 8.40 8.40 8.39 8.39
CONVEX: 0.98 0.98 0.98 0.98
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 43920457 43907689 43886206 43841075
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.73 7.73
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.71 7.71
100-28 7.70 7.70 7.70 7.70
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.68 7.68
101-04 7.67 7.67 7.67 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.66 7.66 7.66
101-10 7.65 7.65 7.65 7.65
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.63 7.63
101-18 7.62 7.62 7.62 7.62
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.60 7.60
101-26 7.59 7.59 7.59 7.59
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.58 7.58
102-00 7.57 7.57 7.57 7.57
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.55 7.55
102-08 7.54 7.54 7.54 7.54
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.53 7.53
102-14 7.52 7.52 7.52 7.52
WAL: 14.58 14.58 14.57 14.56
WINDOW 0.33 0.33 0.33 0.33
BEGIN: 20110313 20110313 20110313 20110313
END: 20110613 20110613 20110613 20110613
MOD DUR: 8.57 8.56 8.56 8.56
CONVEX: 1.03 1.03 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
<PAGE>
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 40881442 40869046 40853734 40827971
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.88 7.88
101-02 7.87 7.87 7.87 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.86 7.86
101-08 7.85 7.85 7.85 7.85
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.83 7.83
101-16 7.82 7.82 7.82 7.82
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.80 7.80
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.78 7.78
101-30 7.77 7.77 7.77 7.77
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.75 7.75
102-06 7.74 7.74 7.74 7.74
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.73 7.73
102-12 7.72 7.72 7.72 7.72
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.70 7.70
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.68 7.68
102-26 7.67 7.67 7.67 7.67
WAL: 14.72 14.72 14.71 14.70
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110613 20110613
END: 20110913 20110913 20110813 20110813
MOD DUR: 8.52 8.52 8.52 8.51
CONVEX: 1.02 1.02 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
<PAGE>
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 47153915 47153965 47148326 47129773
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.19 8.19
100-06 8.18 8.18 8.18 8.18
100-08 8.18 8.18 8.18 8.18
100-10 8.17 8.17 8.17 8.17
100-12 8.16 8.16 8.16 8.16
100-14 8.15 8.15 8.15 8.15
100-16 8.15 8.15 8.15 8.15
100-18 8.14 8.14 8.14 8.14
100-20 8.13 8.13 8.13 8.13
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.12 8.12
100-26 8.11 8.11 8.11 8.11
100-28 8.10 8.10 8.10 8.10
100-30 8.09 8.10 8.10 8.10
* 101-00 8.09 8.09 8.09 8.09
101-02 8.08 8.08 8.08 8.08
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.07 8.07
101-08 8.06 8.06 8.06 8.06
101-10 8.05 8.05 8.05 8.05
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.04 8.04
101-16 8.03 8.03 8.03 8.03
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.01 8.01
101-24 8.00 8.00 8.00 8.00
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.99 7.99
101-30 7.98 7.98 7.98 7.98
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.17 0.17
BEGIN: 20110913 20110913 20110813 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.43 8.43 8.43 8.43
CONVEX: 1.01 1.01 1.01 1.01
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 19611056 19611076 19611109 19611179
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.64 8.64
99-06 8.64 8.64 8.64 8.64
99-08 8.63 8.63 8.63 8.63
99-10 8.62 8.62 8.62 8.62
99-12 8.61 8.61 8.61 8.61
99-14 8.61 8.61 8.61 8.61
99-16 8.60 8.60 8.60 8.60
99-18 8.59 8.59 8.59 8.59
99-20 8.58 8.58 8.58 8.58
99-22 8.58 8.58 8.58 8.58
99-24 8.57 8.57 8.57 8.57
99-26 8.56 8.56 8.56 8.56
99-28 8.55 8.55 8.55 8.55
99-30 8.55 8.55 8.55 8.55
* 100-00 8.54 8.54 8.54 8.54
100-02 8.53 8.53 8.53 8.53
100-04 8.52 8.52 8.52 8.52
100-06 8.51 8.51 8.51 8.52
100-08 8.51 8.51 8.51 8.51
100-10 8.50 8.50 8.50 8.50
100-12 8.49 8.49 8.49 8.49
100-14 8.48 8.48 8.48 8.48
100-16 8.48 8.48 8.48 8.48
100-18 8.47 8.47 8.47 8.47
100-20 8.46 8.46 8.46 8.46
100-22 8.45 8.45 8.45 8.45
100-24 8.45 8.45 8.45 8.45
100-26 8.44 8.44 8.44 8.44
100-28 8.43 8.43 8.43 8.43
<PAGE>
100-30 8.42 8.42 8.42 8.42
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.23 8.23
CONVEX: 0.98 0.98 0.98 0.98
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-1 BB
CUR BALANCE: $42,991,329
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 59614160 59608099 59597985 59577091
TOTAL PRIN: 42991329 42991329 42991329 42991329
PENALTY: 0 0 0 0
86-22 11.32 11.32 11.33 11.33
86-24 11.31 11.32 11.32 11.32
86-26 11.30 11.31 11.31 11.31
86-28 11.30 11.30 11.30 11.30
86-30 11.29 11.29 11.29 11.29
87-00 11.28 11.28 11.28 11.28
87-02 11.27 11.27 11.27 11.27
87-04 11.26 11.26 11.26 11.26
87-06 11.25 11.25 11.25 11.25
87-08 11.24 11.24 11.24 11.24
87-10 11.23 11.23 11.23 11.23
87-12 11.22 11.22 11.22 11.22
87-14 11.21 11.21 11.21 11.21
87-16 11.20 11.20 11.20 11.20
* 87-18 11.19 11.19 11.19 11.19
87-20 11.18 11.18 11.18 11.18
87-22 11.17 11.17 11.17 11.17
87-24 11.16 11.16 11.16 11.16
87-26 11.15 11.15 11.15 11.15
87-28 11.14 11.14 11.14 11.14
87-30 11.13 11.13 11.13 11.13
88-00 11.12 11.12 11.12 11.12
<PAGE>
88-02 11.11 11.11 11.11 11.11
88-04 11.10 11.10 11.10 11.10
88-06 11.09 11.09 11.09 11.09
88-08 11.08 11.08 11.08 11.08
88-10 11.07 11.07 11.07 11.07
88-12 11.06 11.06 11.06 11.06
88-14 11.05 11.05 11.05 11.05
88-16 11.04 11.04 11.04 11.04
WAL: 14.94 14.94 14.93 14.93
WINDOW 0.17 0.17 0.17 0.17
BEGIN: 20110913 20110913 20110913 20110913
END: 20111013 20111013 20111013 20111013
MOD DUR: 7.30 7.30 7.29 7.29
CONVEX: 0.82 0.82 0.82 0.82
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-2 B
CUR BALANCE: $27,358,119
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 39854289 39854293 39854299 39854305
TOTAL PRIN: 27358119 27358119 27358119 27358119
PENALTY: 0 0 0 0
73-16+ 13.62 13.62 13.62 13.62
73-18+ 13.60 13.60 13.60 13.60
73-20+ 13.59 13.59 13.59 13.59
73-22+ 13.58 13.58 13.58 13.58
73-24+ 13.56 13.56 13.56 13.56
73-26+ 13.55 13.55 13.55 13.55
73-28+ 13.54 13.54 13.54 13.54
73-30+ 13.53 13.53 13.53 13.53
74-00+ 13.51 13.51 13.51 13.51
74-02+ 13.50 13.50 13.50 13.50
74-04+ 13.49 13.49 13.49 13.49
74-06+ 13.48 13.48 13.48 13.48
74-08+ 13.46 13.46 13.46 13.46
74-10+ 13.45 13.45 13.45 13.45
* 74-12+ 13.44 13.44 13.44 13.44
74-14+ 13.43 13.43 13.43 13.43
<PAGE>
74-16+ 13.41 13.41 13.41 13.41
74-18+ 13.40 13.40 13.40 13.40
74-20+ 13.39 13.39 13.39 13.39
74-22+ 13.38 13.38 13.38 13.38
74-24+ 13.37 13.37 13.37 13.37
74-26+ 13.35 13.35 13.35 13.35
74-28+ 13.34 13.34 13.34 13.34
74-30+ 13.33 13.33 13.33 13.33
75-00+ 13.32 13.32 13.32 13.32
75-02+ 13.30 13.30 13.30 13.30
75-04+ 13.29 13.29 13.29 13.29
75-06+ 13.28 13.28 13.28 13.28
75-08+ 13.27 13.27 13.27 13.27
75-10+ 13.25 13.25 13.25 13.25
WAL: 15.73 15.73 15.73 15.73
WINDOW 1.58 1.58 1.58 1.58
BEGIN: 20111013 20111013 20111013 20111013
END: 20130413 20130413 20130413 20130413
MOD DUR: 6.76 6.76 6.76 6.76
CONVEX: 0.74 0.74 0.74 0.74
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-3 B-
CUR BALANCE: $7,816,605
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 11908847 11908848 11908849 11908851
TOTAL PRIN: 7816605 7816605 7816605 7816605
PENALTY: 0 0 0 0
59-08+ 16.95 16.95 16.95 16.95
59-10+ 16.93 16.93 16.93 16.93
59-12+ 16.91 16.91 16.91 16.91
59-14+ 16.90 16.90 16.90 16.90
59-16+ 16.88 16.88 16.88 16.88
59-18+ 16.86 16.86 16.86 16.86
59-20+ 16.84 16.84 16.84 16.84
59-22+ 16.82 16.82 16.82 16.82
59-24+ 16.81 16.81 16.81 16.81
<PAGE>
59-26+ 16.79 16.79 16.79 16.79
59-28+ 16.77 16.77 16.77 16.77
59-30+ 16.75 16.75 16.75 16.75
60-00+ 16.74 16.74 16.74 16.74
60-02+ 16.72 16.72 16.72 16.72
* 60-04+ 16.70 16.70 16.70 16.70
60-06+ 16.68 16.68 16.68 16.68
60-08+ 16.66 16.66 16.66 16.67
60-10+ 16.65 16.65 16.65 16.65
60-12+ 16.63 16.63 16.63 16.63
60-14+ 16.61 16.61 16.61 16.61
60-16+ 16.59 16.59 16.59 16.60
60-18+ 16.58 16.58 16.58 16.58
60-20+ 16.56 16.56 16.56 16.56
60-22+ 16.54 16.54 16.54 16.54
60-24+ 16.53 16.53 16.53 16.53
60-26+ 16.51 16.51 16.51 16.51
60-28+ 16.49 16.49 16.49 16.49
60-30+ 16.47 16.47 16.47 16.47
61-00+ 16.46 16.46 16.46 16.46
61-02+ 16.44 16.44 16.44 16.44
WAL: 16.48 16.48 16.48 16.48
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20130413 20130413 20130413 20130413
END: 20130413 20130413 20130413 20130413
MOD DUR: 5.90 5.90 5.90 5.90
CONVEX: 0.62 0.62 0.62 0.62
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4A UR
CUR BALANCE: $15,632,214
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 26994831 26992665 26989019 26981346
TOTAL PRIN: 15632214 15632214 15632214 15632214
PENALTY: 0 0 0 0
38-19 25.57 25.57 25.57 25.57
38-21 25.53 25.53 25.53 25.53
<PAGE>
38-23 25.49 25.49 25.49 25.49
38-25 25.45 25.45 25.45 25.45
38-27 25.40 25.40 25.41 25.41
38-29 25.36 25.36 25.36 25.37
38-31 25.32 25.32 25.32 25.32
39-01 25.28 25.28 25.28 25.28
39-03 25.24 25.24 25.24 25.24
39-05 25.20 25.20 25.20 25.20
39-07 25.16 25.16 25.16 25.16
39-09 25.12 25.12 25.12 25.12
39-11 25.08 25.08 25.08 25.08
39-13 25.04 25.04 25.04 25.05
* 39-15 25.00 25.01 25.01 25.01
39-17 24.97 24.97 24.97 24.97
39-19 24.93 24.93 24.93 24.93
39-21 24.89 24.89 24.89 24.89
39-23 24.85 24.85 24.85 24.85
39-25 24.81 24.81 24.81 24.81
39-27 24.77 24.77 24.77 24.77
39-29 24.73 24.73 24.73 24.73
39-31 24.69 24.69 24.69 24.70
40-01 24.66 24.66 24.66 24.66
40-03 24.62 24.62 24.62 24.62
40-05 24.58 24.58 24.58 24.58
40-07 24.54 24.54 24.54 24.54
40-09 24.50 24.50 24.50 24.51
40-11 24.47 24.47 24.47 24.47
40-13 24.43 24.43 24.43 24.43
WAL: 18.71 18.71 18.71 18.70
WINDOW 8.17 8.17 8.17 8.17
BEGIN: 20130413 20130413 20130413 20130413
END: 20210513 20210513 20210513 20210513
MOD DUR: 4.03 4.03 4.03 4.03
CONVEX: 0.33 0.33 0.33 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4B UR H
CUR BALANCE: $1,001
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 1728 1728 1727 1727
TOTAL PRIN: 1001 1001 1001 1001
PENALTY: 0 0 0 0
38-19 25.57 25.57 25.57 25.57
38-21 25.53 25.53 25.53 25.53
38-23 25.49 25.49 25.49 25.49
38-25 25.45 25.45 25.45 25.45
38-27 25.40 25.40 25.41 25.41
38-29 25.36 25.36 25.36 25.37
38-31 25.32 25.32 25.32 25.32
39-01 25.28 25.28 25.28 25.28
39-03 25.24 25.24 25.24 25.24
39-05 25.20 25.20 25.20 25.20
39-07 25.16 25.16 25.16 25.16
39-09 25.12 25.12 25.12 25.12
39-11 25.08 25.08 25.08 25.08
39-13 25.04 25.04 25.04 25.05
* 39-15 25.00 25.01 25.01 25.01
39-17 24.97 24.97 24.97 24.97
39-19 24.93 24.93 24.93 24.93
39-21 24.89 24.89 24.89 24.89
39-23 24.85 24.85 24.85 24.85
39-25 24.81 24.81 24.81 24.81
39-27 24.77 24.77 24.77 24.77
39-29 24.73 24.73 24.73 24.73
39-31 24.69 24.69 24.69 24.70
40-01 24.66 24.66 24.66 24.66
40-03 24.62 24.62 24.62 24.62
40-05 24.58 24.58 24.58 24.58
40-07 24.54 24.54 24.54 24.54
40-09 24.50 24.50 24.50 24.51
40-11 24.47 24.47 24.47 24.47
40-13 24.43 24.43 24.43 24.43
WAL: 18.71 18.71 18.71 18.70
WINDOW 8.17 8.17 8.17 8.17
BEGIN: 20130413 20130413 20130413 20130413
END: 20210513 20210513 20210513 20210513
MOD DUR: 4.03 4.03 4.03 4.03
CONVEX: 0.33 0.33 0.33 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
<PAGE>
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: RESID
CUR BALANCE: $0
CUR COUPON: 0.00000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-201 SCN-202 SCN-203
TOTAL INT: 46 46 46 46
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
99.125000 -17.52 -17.52 -17.52 -17.52
99.187500 -17.53 -17.53 -17.53 -17.53
99.250000 -17.54 -17.54 -17.54 -17.54
99.312500 -17.56 -17.56 -17.56 -17.56
99.375000 -17.57 -17.57 -17.57 -17.57
99.437500 -17.58 -17.58 -17.58 -17.58
99.500000 -17.59 -17.59 -17.59 -17.59
99.562500 -17.61 -17.61 -17.61 -17.61
99.625000 -17.62 -17.62 -17.62 -17.62
99.687500 -17.63 -17.63 -17.63 -17.63
99.750000 -17.64 -17.64 -17.64 -17.64
99.812500 -17.66 -17.66 -17.66 -17.66
99.875000 -17.67 -17.67 -17.67 -17.67
99.937500 -17.68 -17.68 -17.68 -17.68
* 100.000000 -17.69 -17.69 -17.69 -17.69
100.062500 -17.71 -17.71 -17.71 -17.71
100.125000 -17.72 -17.72 -17.72 -17.72
100.187500 -17.73 -17.73 -17.73 -17.73
100.250000 -17.74 -17.74 -17.74 -17.74
100.312500 -17.76 -17.76 -17.76 -17.76
100.375000 -17.77 -17.77 -17.77 -17.77
100.437500 -17.78 -17.78 -17.78 -17.78
100.500000 -17.79 -17.79 -17.79 -17.79
100.562500 -17.81 -17.81 -17.81 -17.81
100.625000 -17.82 -17.82 -17.82 -17.82
100.687500 -17.83 -17.83 -17.83 -17.83
100.750000 -17.84 -17.84 -17.84 -17.84
100.812500 -17.86 -17.86 -17.86 -17.86
100.875000 -17.87 -17.87 -17.87 -17.87
100.937500 -17.88 -17.88 -17.88 -17.88
WAL: 3.81 3.81 3.81 3.81
WINDOW 6.08 6.08 6.08 6.08
BEGIN: 19970313 19970313 19970313 19970313
END: 20030313 20030313 20030313 20030313
MOD DUR: 4.98 4.98 4.98 4.98
CONVEX: 0.32 0.32 0.32 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
201 10% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
202 25% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
203 50% CPR after lock-out, till Anticipated Repayment Date or
Maturity.
<PAGE>
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-365
101-02 6.69 6.69
101-04 6.67 6.67
101-06 6.65 6.65
101-08 6.63 6.62
101-10 6.61 6.60
101-12 6.59 6.58
101-14 6.57 6.56
* 101-16 6.55 6.54
101-18 6.53 6.52
101-20 6.50 6.50
101-22 6.48 6.48
101-24 6.46 6.46
101-26 6.44 6.44
101-28 6.42 6.42
101-30 6.40 6.39
WAL: 3.54 3.50
WINDOW 6.42 6.17
BEGIN: 19961113 19961113
END: 20030313 20021213
MOD DUR: 2.98 2.95
CONVEX: 0.14 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 70% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00).
recover 70.00% in 12.00 months.
Cumulative Loss 7.23%. Cumulative Default 24.11%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- --------
SCENARIO: SCN-1 SCN-365
101-02 7.09 7.09
101-04 7.08 7.07
101-06 7.07 7.06
101-08 7.06 7.05
101-10 7.05 7.04
101-12 7.04 7.03
101-14 7.02 7.02
* 101-16 7.01 7.00
101-18 7.00 6.99
101-20 6.99 6.98
101-22 6.98 6.97
101-24 6.97 6.96
101-26 6.96 6.95
101-28 6.95 6.93
101-30 6.93 6.92
WAL: 7.11 6.82
WINDOW 3.08 0.92
BEGIN: 20030313 20021213
END: 20060313 20031013
MOD DUR: 5.41 5.24
CONVEX: 0.37 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 70% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00).
recover 70.00% in 12.00 months.
Cumulative Loss 7.23%. Cumulative Default 24.11%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-365
12.035374 9.25 8.02
12.097874 9.13 7.90
12.160374 9.02 7.78
12.222874 8.90 7.65
12.285374 8.78 7.53
12.347874 8.67 7.41
<PAGE>
12.410374 8.55 7.29
* 12.472874 8.44 7.17
12.535374 8.33 7.05
12.597874 8.21 6.94
12.660374 8.10 6.82
12.722874 7.99 6.71
12.785374 7.88 6.59
12.847874 7.77 6.48
12.910374 7.67 6.37
WAL: 5.57 5.07
WINDOW 14.92 14.92
BEGIN: 19961113 19961113
END: 20110913 20110913
MOD DUR: 4.43 4.24
CONVEX: 0.32 0.28
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
365 Loans with Balances greater than 24500000.0(22.9% of Cut-Off Bal.,
4% of Loans) decrease NOI 5 %/yr.
Default when DSCR less than 1.0, recovers 70% in 12 mo.
Remaining loans: 1.00% annual default rate after 48.00 months
(20001011.00).
recover 70.00% in 12.00 months.
Cumulative Loss 7.23%. Cumulative Default 24.11%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-124 SCN-125 SCN-126
12.035374 9.25 9.10 8.94 8.27
12.097874 9.13 8.98 8.82 8.15
12.160374 9.02 8.87 8.71 8.03
12.222874 8.90 8.75 8.59 7.91
12.285374 8.78 8.63 8.47 7.80
12.347874 8.67 8.51 8.35 7.68
12.410374 8.55 8.40 8.24 7.56
* 12.472874 8.44 8.29 8.12 7.45
12.535374 8.33 8.17 8.01 7.33
12.597874 8.21 8.06 7.90 7.22
12.660374 8.10 7.95 7.79 7.11
12.722874 7.99 7.84 7.68 7.00
12.785374 7.88 7.73 7.57 6.89
12.847874 7.77 7.62 7.46 6.78
12.910374 7.67 7.51 7.35 6.67
WAL: 5.57 5.53 5.50 5.35
WINDOW 14.92 14.92 14.92 15.00
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20111013
MOD DUR: 4.43 4.41 4.40 4.37
CONVEX: 0.32 0.31 0.31 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
124 0.50% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.12%. Cumulative Default 3.75%.
125 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 2.20%. Cumulative Default 7.34%.
126 3.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.09%. Cumulative Default 20.30%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
<PAGE>
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78560
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-124 SCN-125 SCN-126
100-18 7.99 7.99 7.99 7.99
100-20 7.98 7.98 7.98 7.98
100-22 7.98 7.98 7.98 7.98
100-24 7.97 7.97 7.97 7.97
100-26 7.96 7.96 7.96 7.96
100-28 7.96 7.96 7.96 7.96
100-30 7.95 7.95 7.95 7.95
* 101-00 7.94 7.94 7.94 7.94
101-02 7.93 7.93 7.93 7.93
101-04 7.93 7.93 7.93 7.93
101-06 7.92 7.92 7.92 7.92
101-08 7.91 7.91 7.91 7.91
101-10 7.90 7.90 7.90 7.90
101-12 7.90 7.90 7.90 7.90
101-14 7.89 7.89 7.89 7.89
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.51 8.51 8.51 8.51
CONVEX: 1.03 1.03 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
124 0.50% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.12%. Cumulative Default 3.75%.
125 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 2.20%. Cumulative Default 7.34%.
126 3.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.09%. Cumulative Default 20.30%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.10860
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-124 SCN-125 SCN-126
99-18 8.44 8.44 8.44 8.44
99-20 8.44 8.44 8.44 8.44
99-22 8.43 8.43 8.43 8.43
99-24 8.42 8.42 8.42 8.42
99-26 8.41 8.41 8.41 8.41
99-28 8.41 8.41 8.41 8.41
99-30 8.40 8.40 8.40 8.40
* 100-00 8.39 8.39 8.39 8.39
100-02 8.38 8.38 8.38 8.38
100-04 8.38 8.38 8.38 8.37
100-06 8.37 8.37 8.37 8.37
100-08 8.36 8.36 8.36 8.36
100-10 8.35 8.35 8.35 8.35
100-12 8.35 8.35 8.35 8.34
100-14 8.34 8.34 8.34 8.34
WAL: 14.89 14.89 14.89 14.92
WINDOW 0.08 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20111013
MOD DUR: 8.30 8.30 8.30 8.31
CONVEX: 0.99 0.99 0.99 0.99
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
124 0.50% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.12%. Cumulative Default 3.75%.
125 1.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 2.20%. Cumulative Default 7.34%.
126 3.00% annual default rate after 24.00 months (19981011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.09%. Cumulative Default 20.30%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 16887697 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
100-20 7.02 7.02 7.02 7.02
100-22 7.00 7.00 7.00 7.00
100-24 6.98 6.98 6.98 6.98
100-26 6.96 6.96 6.96 6.96
100-28 6.94 6.94 6.94 6.94
100-30 6.92 6.92 6.92 6.92
101-00 6.90 6.90 6.90 6.90
101-02 6.88 6.88 6.88 6.88
101-04 6.86 6.86 6.86 6.86
101-06 6.84 6.84 6.84 6.84
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
101-28 6.61 6.61 6.61 6.61
101-30 6.59 6.59 6.59 6.59
102-00 6.57 6.57 6.57 6.57
102-02 6.55 6.55 6.55 6.55
102-04 6.53 6.53 6.53 6.53
102-06 6.51 6.51 6.51 6.51
102-08 6.49 6.49 6.49 6.49
102-10 6.47 6.47 6.47 6.47
102-12 6.45 6.45 6.45 6.45
102-14 6.43 6.43 6.43 6.43
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 4850913 4850913 4850913 4850913
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.141506 17.30 17.30 17.30 17.30
5.204006 16.62 16.62 16.62 16.62
5.266506 15.96 15.96 15.96 15.96
5.329006 15.32 15.32 15.32 15.32
5.391506 14.69 14.69 14.69 14.69
5.454006 14.07 14.07 14.07 14.07
5.516506 13.46 13.46 13.46 13.46
5.579006 12.87 12.87 12.87 12.87
5.641506 12.29 12.29 12.29 12.29
5.704006 11.72 11.72 11.72 11.72
5.766506 11.16 11.16 11.16 11.16
5.829006 10.61 10.61 10.61 10.61
5.891506 10.07 10.07 10.07 10.07
5.954006 9.54 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02 9.02
6.079006 8.51 8.51 8.51 8.51
6.141506 8.01 8.01 8.01 8.01
6.204006 7.52 7.52 7.52 7.52
6.266506 7.03 7.03 7.03 7.03
6.329006 6.56 6.56 6.56 6.56
6.391506 6.09 6.09 6.09 6.09
6.454006 5.63 5.63 5.63 5.63
6.516506 5.18 5.18 5.18 5.18
6.579006 4.73 4.73 4.73 4.73
6.641506 4.29 4.29 4.29 4.29
6.704006 3.86 3.86 3.86 3.86
6.766506 3.44 3.44 3.44 3.44
6.829006 3.02 3.02 3.02 3.02
6.891506 2.61 2.61 2.61 2.61
6.954006 2.20 2.20 2.20 2.20
<PAGE>
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 81200742 81200742 81200742 81200742
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
100-20 7.34 7.34 7.34 7.34
100-22 7.33 7.33 7.33 7.33
100-24 7.32 7.32 7.32 7.32
100-26 7.31 7.31 7.31 7.31
100-28 7.29 7.29 7.29 7.29
100-30 7.28 7.28 7.28 7.28
101-00 7.27 7.27 7.27 7.27
101-02 7.26 7.26 7.26 7.26
101-04 7.25 7.25 7.25 7.25
101-06 7.24 7.24 7.24 7.24
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
101-12 7.20 7.20 7.20 7.20
101-14 7.19 7.19 7.19 7.19
* 101-16 7.18 7.18 7.18 7.18
101-18 7.17 7.17 7.17 7.17
101-20 7.16 7.16 7.16 7.16
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.13 7.13
101-26 7.12 7.12 7.12 7.12
<PAGE>
101-28 7.11 7.11 7.11 7.11
101-30 7.10 7.10 7.10 7.10
102-00 7.09 7.09 7.09 7.09
102-02 7.08 7.08 7.08 7.08
102-04 7.07 7.07 7.07 7.07
102-06 7.05 7.05 7.05 7.05
102-08 7.04 7.04 7.04 7.04
102-10 7.03 7.03 7.03 7.03
102-12 7.02 7.02 7.02 7.02
102-14 7.01 7.01 7.01 7.01
WAL: 7.13 7.13 7.13 7.13
WINDOW 3.00 3.00 3.00 3.00
BEGIN: 20030413 20030413 20030413 20030413
END: 20060313 20060313 20060313 20060313
MOD DUR: 5.39 5.39 5.39 5.39
CONVEX: 0.37 0.37 0.37 0.37
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 242929602 242929602 245502719 251429525
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
100-20 7.50 7.50 7.50 7.51
100-22 7.50 7.50 7.50 7.50
100-24 7.49 7.49 7.49 7.49
100-26 7.48 7.48 7.48 7.48
100-28 7.47 7.47 7.47 7.47
100-30 7.46 7.46 7.46 7.46
101-00 7.45 7.45 7.45 7.45
101-02 7.44 7.44 7.44 7.44
101-04 7.43 7.43 7.43 7.44
<PAGE>
101-06 7.42 7.42 7.42 7.43
101-08 7.41 7.41 7.42 7.42
101-10 7.41 7.41 7.41 7.41
101-12 7.40 7.40 7.40 7.40
101-14 7.39 7.39 7.39 7.39
* 101-16 7.38 7.38 7.38 7.38
101-18 7.37 7.37 7.37 7.37
101-20 7.36 7.36 7.36 7.37
101-22 7.35 7.35 7.35 7.36
101-24 7.34 7.34 7.35 7.35
101-26 7.33 7.33 7.34 7.34
101-28 7.33 7.33 7.33 7.33
101-30 7.32 7.32 7.32 7.32
102-00 7.31 7.31 7.31 7.31
102-02 7.30 7.30 7.30 7.31
102-04 7.29 7.29 7.29 7.30
102-06 7.28 7.28 7.28 7.29
102-08 7.27 7.27 7.28 7.28
102-10 7.26 7.26 7.27 7.27
102-12 7.26 7.26 7.26 7.26
102-14 7.25 7.25 7.25 7.25
WAL: 10.21 10.21 10.32 10.57
WINDOW 4.08 4.08 5.08 5.25
BEGIN: 20060313 20060313 20060313 20060313
END: 20100313 20100313 20110313 20110513
MOD DUR: 6.93 6.93 6.97 7.07
CONVEX: 0.63 0.63 0.64 0.67
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 106965689 106990812 108008526 110144275
TOTAL PRIN: 0 0 0 0
<PAGE>
PENALTY: 0 0 0 0
10.105148 11.09 11.09 11.18 11.38
10.167648 10.94 10.95 11.03 11.23
10.230148 10.80 10.80 10.89 11.09
10.292648 10.65 10.65 10.74 10.94
10.355148 10.50 10.51 10.60 10.80
10.417648 10.36 10.36 10.45 10.66
10.480148 10.22 10.22 10.31 10.52
10.542648 10.08 10.08 10.17 10.38
10.605148 9.94 9.94 10.03 10.24
10.667648 9.80 9.80 9.90 10.11
10.730148 9.66 9.67 9.76 9.97
10.792648 9.53 9.53 9.63 9.84
10.855148 9.39 9.40 9.49 9.71
10.917648 9.26 9.26 9.36 9.58
* 10.980148 9.13 9.13 9.23 9.45
11.042648 9.00 9.00 9.10 9.32
11.105148 8.87 8.87 8.97 9.19
11.167648 8.74 8.74 8.84 9.07
11.230148 8.61 8.62 8.72 8.94
11.292648 8.49 8.49 8.59 8.82
11.355148 8.36 8.36 8.47 8.70
11.417648 8.24 8.24 8.35 8.57
11.480148 8.12 8.12 8.22 8.45
11.542648 7.99 8.00 8.10 8.33
11.605148 7.87 7.88 7.98 8.22
11.667648 7.75 7.76 7.87 8.10
11.730148 7.64 7.64 7.75 7.98
11.792648 7.52 7.52 7.63 7.87
11.855148 7.40 7.40 7.52 7.75
11.917648 7.29 7.29 7.40 7.64
WAL: 5.56 5.56 5.64 5.79
WINDOW 14.92 15.00 16.08 17.33
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20111013 20121113 20140213
MOD DUR: 4.34 4.34 4.37 4.42
CONVEX: 0.30 0.30 0.31 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 20767673 20767673 21543859 21646739
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
100-20 7.63 7.63 7.63 7.63
100-22 7.62 7.62 7.62 7.62
100-24 7.61 7.61 7.62 7.62
100-26 7.61 7.61 7.61 7.61
100-28 7.60 7.60 7.60 7.60
100-30 7.59 7.59 7.59 7.60
101-00 7.59 7.59 7.59 7.59
101-02 7.58 7.58 7.58 7.58
101-04 7.57 7.57 7.57 7.57
101-06 7.56 7.56 7.57 7.57
101-08 7.56 7.56 7.56 7.56
101-10 7.55 7.55 7.55 7.55
101-12 7.54 7.54 7.54 7.54
101-14 7.53 7.53 7.54 7.54
* 101-16 7.53 7.53 7.53 7.53
101-18 7.52 7.52 7.52 7.52
101-20 7.51 7.51 7.52 7.52
101-22 7.50 7.50 7.51 7.51
101-24 7.50 7.50 7.50 7.50
101-26 7.49 7.49 7.49 7.49
101-28 7.48 7.48 7.49 7.49
101-30 7.47 7.47 7.48 7.48
102-00 7.47 7.47 7.47 7.47
102-02 7.46 7.46 7.47 7.47
102-04 7.45 7.45 7.46 7.46
102-06 7.45 7.45 7.45 7.45
102-08 7.44 7.44 7.44 7.44
102-10 7.43 7.43 7.44 7.44
102-12 7.42 7.42 7.43 7.43
102-14 7.42 7.42 7.42 7.42
WAL: 14.01 14.01 14.53 14.60
WINDOW 1.08 1.08 0.25 0.17
BEGIN: 20100313 20100313 20110313 20110513
END: 20110313 20110313 20110513 20110613
MOD DUR: 8.40 8.40 8.57 8.60
CONVEX: 0.98 0.98 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
<PAGE>
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 43920457 43920457 44083214 44218911
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-20 7.73 7.73 7.72 7.72
100-22 7.72 7.72 7.72 7.72
100-24 7.71 7.71 7.71 7.71
100-26 7.71 7.71 7.70 7.70
100-28 7.70 7.70 7.69 7.69
100-30 7.69 7.69 7.69 7.69
101-00 7.68 7.68 7.68 7.68
101-02 7.68 7.68 7.67 7.67
101-04 7.67 7.67 7.66 7.67
101-06 7.66 7.66 7.66 7.66
101-08 7.66 7.66 7.65 7.65
101-10 7.65 7.65 7.64 7.64
101-12 7.64 7.64 7.64 7.64
101-14 7.63 7.63 7.63 7.63
* 101-16 7.63 7.63 7.62 7.62
101-18 7.62 7.62 7.61 7.62
101-20 7.61 7.61 7.61 7.61
101-22 7.60 7.60 7.60 7.60
101-24 7.60 7.60 7.59 7.59
101-26 7.59 7.59 7.59 7.59
101-28 7.58 7.58 7.58 7.58
101-30 7.58 7.58 7.57 7.57
102-00 7.57 7.57 7.56 7.57
102-02 7.56 7.56 7.56 7.56
102-04 7.55 7.55 7.55 7.55
102-06 7.55 7.55 7.54 7.54
102-08 7.54 7.54 7.54 7.54
102-10 7.53 7.53 7.53 7.53
102-12 7.53 7.53 7.52 7.52
102-14 7.52 7.52 7.51 7.52
<PAGE>
WAL: 14.58 14.58 14.65 14.70
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110313 20110313 20110513 20110613
END: 20110613 20110613 20110713 20110813
MOD DUR: 8.57 8.57 8.59 8.60
CONVEX: 1.03 1.03 1.03 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 40881442 40881442 41173287 41338064
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-00 7.88 7.88 7.87 7.87
101-02 7.87 7.87 7.86 7.87
101-04 7.86 7.86 7.86 7.86
101-06 7.86 7.86 7.85 7.85
101-08 7.85 7.85 7.84 7.84
101-10 7.84 7.84 7.84 7.84
101-12 7.83 7.83 7.83 7.83
101-14 7.83 7.83 7.82 7.82
101-16 7.82 7.82 7.81 7.81
101-18 7.81 7.81 7.81 7.81
101-20 7.80 7.80 7.80 7.80
101-22 7.80 7.80 7.79 7.79
101-24 7.79 7.79 7.79 7.79
101-26 7.78 7.78 7.78 7.78
* 101-28 7.78 7.78 7.77 7.77
101-30 7.77 7.77 7.76 7.76
102-00 7.76 7.76 7.76 7.76
102-02 7.75 7.75 7.75 7.75
102-04 7.75 7.75 7.74 7.74
102-06 7.74 7.74 7.74 7.74
<PAGE>
102-08 7.73 7.73 7.73 7.73
102-10 7.73 7.73 7.72 7.72
102-12 7.72 7.72 7.71 7.71
102-14 7.71 7.71 7.71 7.71
102-16 7.70 7.70 7.70 7.70
102-18 7.70 7.70 7.69 7.69
102-20 7.69 7.69 7.69 7.69
102-22 7.68 7.68 7.68 7.68
102-24 7.68 7.68 7.67 7.67
102-26 7.67 7.67 7.66 7.67
WAL: 14.72 14.72 14.84 14.90
WINDOW 0.33 0.33 0.25 0.25
BEGIN: 20110613 20110613 20110713 20110813
END: 20110913 20110913 20110913 20111013
MOD DUR: 8.52 8.52 8.56 8.58
CONVEX: 1.02 1.02 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 47153915 47245710 47312692 49656182
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-04 8.19 8.19 8.18 8.18
100-06 8.18 8.18 8.18 8.17
100-08 8.18 8.18 8.17 8.17
100-10 8.17 8.17 8.16 8.16
100-12 8.16 8.16 8.15 8.15
100-14 8.15 8.15 8.15 8.14
100-16 8.15 8.15 8.14 8.14
100-18 8.14 8.14 8.13 8.13
100-20 8.13 8.13 8.13 8.12
<PAGE>
100-22 8.12 8.12 8.12 8.12
100-24 8.12 8.12 8.11 8.11
100-26 8.11 8.11 8.10 8.10
100-28 8.10 8.10 8.10 8.09
100-30 8.09 8.09 8.09 8.09
* 101-00 8.09 8.09 8.08 8.08
101-02 8.08 8.08 8.07 8.07
101-04 8.07 8.07 8.07 8.07
101-06 8.07 8.07 8.06 8.06
101-08 8.06 8.06 8.05 8.05
101-10 8.05 8.05 8.04 8.04
101-12 8.04 8.04 8.04 8.04
101-14 8.04 8.04 8.03 8.03
101-16 8.03 8.03 8.02 8.02
101-18 8.02 8.02 8.02 8.02
101-20 8.01 8.01 8.01 8.01
101-22 8.01 8.01 8.00 8.00
101-24 8.00 8.00 7.99 7.99
101-26 7.99 7.99 7.99 7.99
101-28 7.99 7.99 7.98 7.98
101-30 7.98 7.98 7.97 7.97
WAL: 14.89 14.92 14.97 15.73
WINDOW 0.08 0.17 0.25 1.75
BEGIN: 20110913 20110913 20110913 20111013
END: 20110913 20111013 20111113 20130613
MOD DUR: 8.43 8.44 8.45 8.67
CONVEX: 1.01 1.02 1.02 1.08
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: ASC 1996-D3
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-301 SCN-302 SCN-303
TOTAL INT: 19611056 19717167 20464866 22293386
TOTAL PRIN: 15633210 15633210 15633210 15633210
<PAGE>
PENALTY: 0 0 0 0
99-04 8.64 8.64 8.63 8.62
99-06 8.64 8.64 8.62 8.61
99-08 8.63 8.63 8.62 8.60
99-10 8.62 8.62 8.61 8.60
99-12 8.61 8.61 8.60 8.59
99-14 8.61 8.61 8.59 8.58
99-16 8.60 8.60 8.59 8.58
99-18 8.59 8.59 8.58 8.57
99-20 8.58 8.58 8.57 8.56
99-22 8.58 8.57 8.56 8.55
99-24 8.57 8.57 8.56 8.55
99-26 8.56 8.56 8.55 8.54
99-28 8.55 8.55 8.54 8.53
99-30 8.55 8.54 8.53 8.53
* 100-00 8.54 8.54 8.53 8.52
100-02 8.53 8.53 8.52 8.51
100-04 8.52 8.52 8.51 8.50
100-06 8.51 8.51 8.50 8.50
100-08 8.51 8.51 8.50 8.49
100-10 8.50 8.50 8.49 8.48
100-12 8.49 8.49 8.48 8.48
100-14 8.48 8.48 8.48 8.47
100-16 8.48 8.48 8.47 8.46
100-18 8.47 8.47 8.46 8.45
100-20 8.46 8.46 8.45 8.45
100-22 8.45 8.45 8.45 8.44
100-24 8.45 8.45 8.44 8.43
100-26 8.44 8.44 8.43 8.43
100-28 8.43 8.43 8.42 8.42
100-30 8.42 8.42 8.42 8.41
WAL: 14.89 14.98 15.58 17.01
WINDOW 0.08 0.08 1.08 0.75
BEGIN: 20110913 20111013 20111113 20130613
END: 20110913 20111013 20121113 20140213
MOD DUR: 8.23 8.25 8.41 8.76
CONVEX: 0.98 0.98 1.03 1.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
301 Top 1 Cash Trap Loan(s) (9% of Cut-Off Balance,1% of Loans) extend
with cashtra Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
302 Top 3 Cash Trap Loan(s) (20% of Cut-Off Balance,2% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
303 Top 5 Cash Trap Loan(s) (26% of Cut-Off Balance,3% of Loans)
extend with cashtr Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-127 SCN-128 SCN-129
12.035374 9.25 9.13 9.00 8.48
12.097874 9.13 9.01 8.88 8.36
12.160374 9.02 8.89 8.76 8.24
12.222874 8.90 8.77 8.64 8.12
12.285374 8.78 8.66 8.53 8.00
12.347874 8.67 8.54 8.41 7.88
12.410374 8.55 8.42 8.29 7.77
* 12.472874 8.44 8.31 8.18 7.65
12.535374 8.33 8.20 8.07 7.54
12.597874 8.21 8.09 7.95 7.42
12.660374 8.10 7.97 7.84 7.31
12.722874 7.99 7.86 7.73 7.20
12.785374 7.88 7.75 7.62 7.09
12.847874 7.77 7.65 7.51 6.98
12.910374 7.67 7.54 7.41 6.87
WAL: 5.57 5.54 5.50 5.37
WINDOW 14.92 14.92 14.92 15.00
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20111013
MOD DUR: 4.43 4.42 4.40 4.37
CONVEX: 0.32 0.31 0.31 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
127 0.50% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.98%. Cumulative Default 3.28%.
128 1.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
129 3.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 5.39%. Cumulative Default 17.95%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
<PAGE>
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.78560
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-127 SCN-128 SCN-129
100-18 7.99 7.99 7.99 7.99
100-20 7.98 7.98 7.98 7.98
100-22 7.98 7.98 7.98 7.98
100-24 7.97 7.97 7.97 7.97
100-26 7.96 7.96 7.96 7.96
100-28 7.96 7.96 7.96 7.96
100-30 7.95 7.95 7.95 7.95
* 101-00 7.94 7.94 7.94 7.94
101-02 7.93 7.93 7.93 7.93
101-04 7.93 7.93 7.93 7.93
101-06 7.92 7.92 7.92 7.92
101-08 7.91 7.91 7.91 7.91
101-10 7.90 7.90 7.90 7.90
101-12 7.90 7.90 7.90 7.90
101-14 7.89 7.89 7.89 7.89
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.08
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.51 8.51 8.51 8.51
CONVEX: 1.03 1.03 1.03 1.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
127 0.50% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.98%. Cumulative Default 3.28%.
128 1.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
129 3.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 5.39%. Cumulative Default 17.95%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.10860
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-127 SCN-128 SCN-129
99-18 8.44 8.44 8.44 8.44
99-20 8.44 8.44 8.44 8.44
99-22 8.43 8.43 8.43 8.43
99-24 8.42 8.42 8.42 8.42
99-26 8.41 8.41 8.41 8.41
99-28 8.41 8.41 8.41 8.41
99-30 8.40 8.40 8.40 8.40
* 100-00 8.39 8.39 8.39 8.39
100-02 8.38 8.38 8.38 8.38
100-04 8.38 8.38 8.38 8.38
100-06 8.37 8.37 8.37 8.37
100-08 8.36 8.36 8.36 8.36
100-10 8.35 8.35 8.35 8.35
100-12 8.35 8.35 8.35 8.35
100-14 8.34 8.34 8.34 8.34
WAL: 14.89 14.89 14.89 14.90
WINDOW 0.08 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913 20110913
END: 20110913 20110913 20110913 20111013
MOD DUR: 8.30 8.30 8.30 8.30
CONVEX: 0.99 0.99 0.99 0.99
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
127 0.50% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.98%. Cumulative Default 3.28%.
128 1.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.93%. Cumulative Default 6.44%.
129 3.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 5.39%. Cumulative Default 17.95%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 6.95900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-175
TOTAL INT: 16005423 5825865
TOTAL PRIN: 64985025 64985025
PENALTY: 0 0
101-02 6.69 6.12
101-04 6.67 6.07
101-06 6.65 6.02
101-08 6.63 5.97
101-10 6.61 5.91
101-12 6.59 5.86
101-14 6.57 5.81
* 101-16 6.55 5.76
101-18 6.53 5.71
101-20 6.50 5.65
101-22 6.48 5.60
101-24 6.46 5.55
101-26 6.44 5.50
101-28 6.42 5.45
101-30 6.40 5.39
WAL: 3.54 1.29
WINDOW 6.42 3.92
BEGIN: 19961113 19961113
END: 20030313 20000913
MOD DUR: 2.98 1.18
CONVEX: 0.14 0.03
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
175 Select Loans (4% of Cut-Off Balance,2% of Loans) defaults in month
6 recovers 100% immediately.
Servicer Advances. Others prepay by Optional Prepay Date.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17260
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-175
TOTAL INT: 5170186 1880423
TOTAL PRIN: 0 0
PENALTY: 0 0
6.178712 12.03 -46.10
6.241212 11.51 -46.55
6.303712 10.99 -46.99
6.366212 10.49 -47.42
6.428712 9.99 -47.85
6.491212 9.50 -48.27
6.553712 9.03 -48.68
* 6.616212 8.55 -49.09
6.678712 8.09 -49.49
6.741212 7.63 -49.89
6.803712 7.18 -50.28
6.866212 6.74 -50.66
6.928712 6.31 -51.04
6.991212 5.88 -51.41
7.053712 5.46 -51.77
WAL: 2.30 1.19
WINDOW 6.42 3.92
BEGIN: 19961113 19961113
END: 20030313 20000913
MOD DUR: 2.02 2.34
CONVEX: 0.07 0.09
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
175 Select Loans (4% of Cut-Off Balance,2% of Loans) defaults in month
6 recovers 1
Servicer Advances. Others prepay by Optional Prepay Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-175
TOTAL INT: 78652586 72241038
TOTAL PRIN: 154000000 154000000
PENALTY: 0 0
101-02 7.09 7.08
101-04 7.08 7.07
101-06 7.07 7.05
101-08 7.06 7.04
101-10 7.05 7.03
101-12 7.04 7.02
<PAGE>
101-14 7.02 7.01
* 101-16 7.01 6.99
101-18 7.00 6.98
101-20 6.99 6.97
101-22 6.98 6.96
101-24 6.97 6.95
101-26 6.96 6.93
101-28 6.95 6.92
101-30 6.93 6.91
WAL: 7.11 6.53
WINDOW 3.08 3.92
BEGIN: 20030313 20000913
END: 20060313 20040713
MOD DUR: 5.41 5.06
CONVEX: 0.37 0.32
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
175 Select Loans (4% of Cut-Off Balance,2% of Loans) defaults in month
6 recovers 100% immediately.
Servicer Advances. Others prepay by Optional Prepay Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-175
TOTAL INT: 240332117 233403622
TOTAL PRIN: 321000000 321000000
PENALTY: 0 0
101-02 7.29 7.29
101-04 7.28 7.28
101-06 7.27 7.27
101-08 7.26 7.26
101-10 7.25 7.25
101-12 7.24 7.24
101-14 7.24 7.23
* 101-16 7.23 7.22
101-18 7.22 7.21
101-20 7.21 7.20
101-22 7.20 7.20
101-24 7.19 7.19
101-26 7.18 7.18
101-28 7.17 7.17
101-30 7.16 7.16
<PAGE>
WAL: 10.22 9.92
WINDOW 4.17 4.83
BEGIN: 20060313 20040713
END: 20100413 20090413
MOD DUR: 6.98 6.85
CONVEX: 0.64 0.61
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
175 Select Loans (4% of Cut-Off Balance,2% of Loans) defaults in month
6 recovers 100% immediately.
Servicer Advances. Others prepay by Optional Prepay Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 16887697 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775 66345775
PENALTY: 0 0 0 0
101-08 6.82 6.82 6.82 6.82
101-10 6.79 6.79 6.79 6.79
101-12 6.77 6.77 6.77 6.77
101-14 6.75 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73 6.73
101-18 6.71 6.71 6.71 6.71
101-20 6.69 6.69 6.69 6.69
101-22 6.67 6.67 6.67 6.67
101-24 6.65 6.65 6.65 6.65
101-26 6.63 6.63 6.63 6.63
WAL: 3.57 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 4850913 4850913 4850913 4850913
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
5.766506 11.16 11.16 11.16 11.16
5.829006 10.61 10.61 10.61 10.61
5.891506 10.07 10.07 10.07 10.07
5.954006 9.54 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02 9.02
6.079006 8.51 8.51 8.51 8.51
6.141506 8.01 8.01 8.01 8.01
6.204006 7.52 7.52 7.52 7.52
6.266506 7.03 7.03 7.03 7.03
6.329006 6.56 6.56 6.56 6.56
WAL: 2.31 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113 19961113
END: 20030413 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 81200742 81200742 77964103 77964103
TOTAL PRIN: 155000000 155000000 155000000 155000000
PENALTY: 0 0 0 0
101-08 7.22 7.22 7.22 7.22
101-10 7.21 7.21 7.21 7.21
<PAGE>
101-12 7.20 7.20 7.19 7.19
101-14 7.19 7.19 7.18 7.18
* 101-16 7.18 7.18 7.17 7.17
101-18 7.17 7.17 7.16 7.16
101-20 7.16 7.16 7.15 7.15
101-22 7.14 7.14 7.14 7.14
101-24 7.13 7.13 7.12 7.12
101-26 7.12 7.12 7.11 7.11
WAL: 7.13 7.13 6.85 6.85
WINDOW 3.00 3.00 0.58 0.58
BEGIN: 20030413 20030413 20030413 20030413
END: 20060313 20060313 20031013 20031013
MOD DUR: 5.39 5.39 5.23 5.23
CONVEX: 0.37 0.37 0.34 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 242929602 235157669 226082000 221708656
TOTAL PRIN: 318000000 318000000 318000000 318000000
PENALTY: 0 0 0 0
101-08 7.41 7.41 7.41 7.40
101-10 7.41 7.40 7.40 7.39
101-12 7.40 7.39 7.39 7.38
101-14 7.39 7.38 7.38 7.37
* 101-16 7.38 7.37 7.37 7.37
101-18 7.37 7.37 7.36 7.36
101-20 7.36 7.36 7.35 7.35
101-22 7.35 7.35 7.34 7.34
101-24 7.34 7.34 7.33 7.33
101-26 7.33 7.33 7.32 7.32
<PAGE>
WAL: 10.21 9.89 9.51 9.32
WINDOW 4.08 2.92 3.08 3.08
BEGIN: 20060313 20060313 20031013 20031013
END: 20100313 20090113 20061013 20061013
MOD DUR: 6.93 6.79 6.60 6.51
CONVEX: 0.63 0.60 0.57 0.55
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 106965689 103701705 99860858 98203741
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
10.730148 9.66 9.29 8.71 8.45
10.792648 9.53 9.15 8.57 8.31
10.855148 9.39 9.02 8.43 8.17
10.917648 9.26 8.88 8.30 8.03
* 10.980148 9.13 8.75 8.16 7.89
11.042648 9.00 8.61 8.02 7.76
11.105148 8.87 8.48 7.89 7.62
11.167648 8.74 8.35 7.76 7.49
11.230148 8.61 8.22 7.63 7.35
11.292648 8.49 8.09 7.50 7.22
WAL: 5.56 5.35 5.17 5.09
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.34 4.26 4.20 4.17
CONVEX: 0.30 0.29 0.28 0.28
SCENARIO:
<PAGE>
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 20767673 18470046 14792269 14786911
TOTAL PRIN: 19541513 19541513 19541513 19541513
PENALTY: 0 0 0 0
101-08 7.56 7.54 7.52 7.52
101-10 7.55 7.54 7.51 7.51
101-12 7.54 7.53 7.50 7.50
101-14 7.53 7.52 7.49 7.49
* 101-16 7.53 7.51 7.48 7.48
101-18 7.52 7.51 7.47 7.47
101-20 7.51 7.50 7.47 7.47
101-22 7.50 7.49 7.46 7.46
101-24 7.50 7.48 7.45 7.45
101-26 7.49 7.47 7.44 7.44
WAL: 14.01 12.46 9.98 9.98
WINDOW 1.08 0.33 0.25 0.08
BEGIN: 20100313 20090113 20061013 20061013
END: 20110313 20090413 20061213 20061013
MOD DUR: 8.40 7.84 6.80 6.80
CONVEX: 0.98 0.84 0.61 0.61
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
<PAGE>
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 43920457 40858931 38525296 35778766
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
101-08 7.66 7.65 7.68 7.67
101-10 7.65 7.64 7.67 7.66
101-12 7.64 7.63 7.66 7.65
101-14 7.63 7.62 7.65 7.65
* 101-16 7.63 7.62 7.65 7.64
101-18 7.62 7.61 7.64 7.63
101-20 7.61 7.60 7.63 7.62
101-22 7.60 7.59 7.62 7.61
101-24 7.60 7.59 7.62 7.60
101-26 7.59 7.58 7.61 7.60
WAL: 14.58 13.57 12.71 11.80
WINDOW 0.33 2.17 4.33 4.42
BEGIN: 20110313 20090413 20061213 20061013
END: 20110613 20110513 20110313 20110213
MOD DUR: 8.57 8.22 7.89 7.54
CONVEX: 1.03 0.93 0.85 0.77
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
<PAGE>
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 40881442 40614495 40967256 41056483
TOTAL PRIN: 35174724 35174724 35174724 35174724
PENALTY: 0 0 0 0
101-20 7.80 7.81 7.87 7.89
101-22 7.80 7.80 7.86 7.89
101-24 7.79 7.80 7.85 7.88
101-26 7.78 7.79 7.84 7.87
* 101-28 7.78 7.78 7.84 7.87
101-30 7.77 7.77 7.83 7.86
102-00 7.76 7.77 7.82 7.85
102-02 7.75 7.76 7.81 7.84
102-04 7.75 7.75 7.81 7.84
102-06 7.74 7.74 7.80 7.83
WAL: 14.72 14.61 14.59 14.54
WINDOW 0.33 0.17 0.33 0.42
BEGIN: 20110613 20110513 20110313 20110213
END: 20110913 20110613 20110613 20110613
MOD DUR: 8.52 8.49 8.47 8.46
CONVEX: 1.02 1.01 1.01 1.01
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
<PAGE>
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 47153915 46774166 47160900 47300997
TOTAL PRIN: 39083027 39083027 39083027 39083027
PENALTY: 0 0 0 0
100-24 8.12 8.12 8.18 8.21
100-26 8.11 8.11 8.17 8.20
100-28 8.10 8.11 8.16 8.19
100-30 8.09 8.10 8.16 8.19
* 101-00 8.09 8.09 8.15 8.18
101-02 8.08 8.09 8.14 8.17
101-04 8.07 8.08 8.13 8.16
101-06 8.07 8.07 8.13 8.16
101-08 8.06 8.06 8.12 8.15
101-10 8.05 8.06 8.11 8.14
WAL: 14.89 14.76 14.74 14.70
WINDOW 0.08 0.33 0.33 0.25
BEGIN: 20110913 20110613 20110613 20110613
END: 20110913 20110913 20110913 20110813
MOD DUR: 8.43 8.39 8.38 8.37
CONVEX: 1.01 1.00 1.00 1.00
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-241 SCN-242 SCN-243
TOTAL INT: 19611056 19631108 19814013 19919409
TOTAL PRIN: 15633210 15633210 15633210 15633210
PENALTY: 0 0 0 0
99-24 8.57 8.57 8.63 8.66
<PAGE>
99-26 8.56 8.57 8.62 8.65
99-28 8.55 8.56 8.61 8.65
99-30 8.55 8.55 8.61 8.64
* 100-00 8.54 8.54 8.60 8.63
100-02 8.53 8.54 8.59 8.62
100-04 8.52 8.53 8.58 8.61
100-06 8.51 8.52 8.58 8.61
100-08 8.51 8.51 8.57 8.60
100-10 8.50 8.51 8.56 8.59
WAL: 14.89 14.89 14.89 14.89
WINDOW 0.08 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913 20110813
END: 20110913 20110913 20110913 20110913
MOD DUR: 8.23 8.23 8.22 8.22
CONVEX: 0.98 0.98 0.98 0.97
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
241 NOI decreases 5.0 %/yr. Loans with Balances greater than
70000000.0(9.1% of Cut-Off Bal., 1% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
242 NOI decreases 5.0 %/yr. Loans with Balances greater than
28000000.0(19.7% of Cut-Off Bal., 2% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
243 NOI decreases 5.0 %/yr. Loans with Balances greater than
24000000.0(26.0% of Cut-Off Bal., 3% of Loans) default when DSCR less than
1.0, recovers 70% in 12 mo.
Servicer Advances.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.65453
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
-------- --------
SCENARIO: SCN-1 SCN-100 SCN-101 SCN-102 SCN-103
SCN-104 SCN-105
11.268048 9.33 8.42 8.54 8.61 7.91
8.07 8.28
11.299298 9.27 8.36 8.47 8.54 7.85
8.01 8.21
11.330548 9.21 8.30 8.41 8.48 7.78
7.94 8.15
11.361798 9.14 8.23 8.34 8.41 7.72
7.88 8.08
11.393048 9.08 8.17 8.28 8.35 7.65
7.81 8.02
11.424298 9.02 8.10 8.22 8.28 7.59
7.75 7.95
11.455548 8.95 8.04 8.15 8.22 7.52
7.68 7.89
11.486798 8.89 7.98 8.09 8.15 7.46
7.62 7.82
11.518048 8.83 7.91 8.03 8.09 7.40
7.56 7.76
11.549298 8.77 7.85 7.96 8.03 7.33
7.49 7.70
11.580548 8.71 7.79 7.90 7.97 7.27
7.43 7.63
11.611798 8.64 7.73 7.84 7.90 7.21
7.37 7.57
* 11.643048 8.58 7.66 7.78 7.84 7.14
7.30 7.51
11.674298 8.52 7.60 7.71 7.78 7.08
7.24 7.44
11.705548 8.46 7.54 7.65 7.72 7.02
7.18 7.38
11.736798 8.40 7.48 7.59 7.66 6.96
7.12 7.32
11.768048 8.34 7.42 7.53 7.59 6.90
7.06 7.26
11.799298 8.28 7.36 7.47 7.53 6.84
6.99 7.20
11.830548 8.22 7.30 7.41 7.47 6.78
6.93 7.14
11.861798 8.16 7.24 7.35 7.41 6.71
6.87 7.07
11.893048 8.11 7.18 7.29 7.35 6.65
6.81 7.01
11.924298 8.05 7.12 7.23 7.29 6.59
6.75 6.95
11.955548 7.99 7.06 7.17 7.23 6.53
6.69 6.89
<PAGE>
11.986798 7.93 7.00 7.11 7.17 6.48
6.63 6.83
12.018048 7.87 6.94 7.05 7.11 6.42
6.57 6.77
WAL: 5.57 5.34 5.34 5.32 5.23
5.21 5.21
WINDOW 14.92 15.00 15.00 15.00 15.00
15.00 15.00
BEGIN: 19961113 19961113 19961113 19961113 19961113
19961113 19961113
END: 20110913 20111013 20111013 20111013 20111013
20111013 20111013
MOD DUR: 4.41 4.34 4.33 4.32 4.31
4.29 4.28
CONVEX: 0.31 0.30 0.30 0.30 0.30
0.30 0.29
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
100 3.50% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.17%. Cumulative Default 20.57%.
101 4.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.03%. Cumulative Default 20.10%.
102 5.00% annual default rate after 60.00 months (20011011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 6.21%. Cumulative Default 20.70%.
103 5.50% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 9.03%. Cumulative Default 30.10%.
104 6.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 9.05%. Cumulative Default 30.16%.
105 7.50% annual default rate after 60.00 months (20011011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.67%. Cumulative Default 28.91%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.188 5.050 5.307 5.579 5.974
6.135 6.334 6.586 6.824
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.17431
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-107 SCN-108 SCN-109
6.241212 11.55 7.58 3.98 -6.91
6.272462 11.29 7.31 3.70 -7.22
6.303712 11.03 7.04 3.42 -7.53
6.334962 10.78 6.78 3.15 -7.83
6.366212 10.53 6.51 2.87 -8.13
6.397462 10.28 6.25 2.60 -8.43
6.428712 10.03 5.99 2.33 -8.72
6.459962 9.79 5.74 2.07 -9.01
6.491212 9.54 5.48 1.80 -9.30
6.522462 9.30 5.23 1.54 -9.59
6.553712 9.06 4.98 1.28 -9.88
6.584962 8.83 4.73 1.02 -10.16
* 6.616212 8.59 4.49 0.77 -10.44
6.647462 8.36 4.24 0.52 -10.72
6.678712 8.13 4.00 0.26 -10.99
6.709962 7.90 3.76 0.01 -11.27
6.741212 7.67 3.52 -0.23 -11.54
6.772462 7.44 3.29 -0.48 -11.81
6.803712 7.22 3.05 -0.72 -12.08
6.834962 7.00 2.82 -0.96 -12.35
6.866212 6.78 2.59 -1.20 -12.61
6.897462 6.56 2.36 -1.44 -12.87
6.928712 6.34 2.13 -1.68 -13.13
6.959962 6.13 1.91 -1.91 -13.39
6.991212 5.91 1.68 -2.15 -13.65
WAL: 2.30 2.05 1.87 1.50
WINDOW 6.42 5.75 5.25 4.00
BEGIN: 19961113 19961113 19961113 19961113
END: 20030313 20020713 20020113 20001013
MOD DUR: 2.02 1.93 1.86 1.69
CONVEX: 0.07 0.06 0.06 0.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
107 0.50% annual default rate after 12.00 months (19971011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.26%. Cumulative Default 4.22%.
108 1.00% annual default rate after 12.00 months (19971011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 2.47%. Cumulative Default 8.24%.
109 3.00% annual default rate after 12.00 months (19971011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
<PAGE>
Cumulative Loss 6.78%. Cumulative Default 22.61%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: d3red
SETTLE: Jan-21-1997
DATED: Jan-11-1997
NEXT PAY: Feb-13-1997
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $63,201,412
CUR COUPON: 2.35517
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
6.123013 10.70
6.185513 10.16
6.248013 9.64
6.310513 9.12
* 6.373013 8.61
6.435513 8.11
6.498013 7.62
6.560513 7.14
6.623013 6.67
6.685513 6.20
WAL: 2.19
WINDOW 6.17
BEGIN: 19970213
END: 20030313
MOD DUR: 1.93
CONVEX: 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3red
SETTLE: Jan-21-1997
DATED: Jan-11-1997
NEXT PAY: Feb-13-1997
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.91045
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
12.012099 8.96
12.074599 8.83
12.137099 8.71
12.199599 8.60
* 12.262099 8.48
12.324599 8.36
12.387099 8.25
12.449599 8.13
12.512099 8.02
12.574599 7.90
WAL: 5.44
WINDOW 14.67
BEGIN: 19970213
END: 20110913
MOD DUR: 4.32
CONVEX: 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: COLLATERAL
CUR BALANCE: $781,660,544
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 763543042 794193517 834014261
TOTAL PRIN: 781660544 781660544 781660544
PENALTY: 0 0 0
99.125000 9.54 9.53 9.52
99.187500 9.53 9.52 9.51
99.250000 9.52 9.51 9.50
99.312500 9.51 9.50 9.50
99.375000 9.50 9.49 9.49
99.437500 9.49 9.48 9.48
99.500000 9.48 9.47 9.47
99.562500 9.47 9.46 9.46
99.625000 9.46 9.45 9.45
99.687500 9.45 9.44 9.44
99.750000 9.44 9.43 9.43
99.812500 9.43 9.42 9.42
99.875000 9.42 9.41 9.41
99.937500 9.41 9.40 9.40
* 100.000000 9.40 9.39 9.39
100.062500 9.39 9.38 9.38
100.125000 9.38 9.37 9.37
100.187500 9.37 9.36 9.36
100.250000 9.36 9.36 9.35
100.312500 9.35 9.35 9.34
100.375000 9.34 9.34 9.33
100.437500 9.33 9.33 9.32
100.500000 9.32 9.32 9.31
100.562500 9.31 9.31 9.30
100.625000 9.30 9.30 9.30
100.687500 9.29 9.29 9.29
100.750000 9.28 9.28 9.28
100.812500 9.27 9.27 9.27
100.875000 9.26 9.26 9.26
100.937500 9.25 9.25 9.25
WAL: 10.57 11.00 11.56
WINDOW 24.58 24.58 24.58
BEGIN: 19961113 19961113 19961113
END: 20210513 20210513 20210513
MOD DUR: 6.25 6.39 6.57
CONVEX: 0.59 0.62 0.66
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
<PAGE>
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775
PENALTY: 0 0 0
100-20 7.02 7.02 7.02
100-22 7.00 7.00 7.00
100-24 6.98 6.98 6.98
100-26 6.96 6.96 6.96
100-28 6.94 6.94 6.94
100-30 6.92 6.92 6.92
101-00 6.90 6.90 6.90
101-02 6.88 6.88 6.88
101-04 6.86 6.86 6.86
101-06 6.84 6.84 6.84
101-08 6.82 6.82 6.82
101-10 6.79 6.79 6.79
101-12 6.77 6.77 6.77
101-14 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73
101-18 6.71 6.71 6.71
101-20 6.69 6.69 6.69
101-22 6.67 6.67 6.67
101-24 6.65 6.65 6.65
101-26 6.63 6.63 6.63
101-28 6.61 6.61 6.61
101-30 6.59 6.59 6.59
102-00 6.57 6.57 6.57
102-02 6.55 6.55 6.55
102-04 6.53 6.53 6.53
102-06 6.51 6.51 6.51
102-08 6.49 6.49 6.49
102-10 6.47 6.47 6.47
102-12 6.45 6.45 6.45
102-14 6.43 6.43 6.43
WAL: 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50
<PAGE>
BEGIN: 19961113 19961113 19961113
END: 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 4850913 4850913 4850913
TOTAL PRIN: 0 0 0
PENALTY: 0 0 0
5.141506 17.30 17.30 17.30
5.204006 16.62 16.62 16.62
5.266506 15.96 15.96 15.96
5.329006 15.32 15.32 15.32
5.391506 14.69 14.69 14.69
5.454006 14.07 14.07 14.07
5.516506 13.46 13.46 13.46
5.579006 12.87 12.87 12.87
5.641506 12.29 12.29 12.29
5.704006 11.72 11.72 11.72
5.766506 11.16 11.16 11.16
5.829006 10.61 10.61 10.61
5.891506 10.07 10.07 10.07
5.954006 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02
6.079006 8.51 8.51 8.51
6.141506 8.01 8.01 8.01
6.204006 7.52 7.52 7.52
6.266506 7.03 7.03 7.03
6.329006 6.56 6.56 6.56
6.391506 6.09 6.09 6.09
6.454006 5.63 5.63 5.63
6.516506 5.18 5.18 5.18
<PAGE>
6.579006 4.73 4.73 4.73
6.641506 4.29 4.29 4.29
6.704006 3.86 3.86 3.86
6.766506 3.44 3.44 3.44
6.829006 3.02 3.02 3.02
6.891506 2.61 2.61 2.61
6.954006 2.20 2.20 2.20
WAL: 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113
END: 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 81200742 84911713 89597794
TOTAL PRIN: 155000000 155000000 155000000
PENALTY: 0 0 0
100-20 7.34 7.34 7.35
100-22 7.33 7.33 7.34
100-24 7.32 7.32 7.33
100-26 7.31 7.31 7.32
100-28 7.29 7.30 7.31
100-30 7.28 7.29 7.29
101-00 7.27 7.28 7.28
101-02 7.26 7.27 7.27
101-04 7.25 7.25 7.26
101-06 7.24 7.24 7.25
101-08 7.22 7.23 7.24
101-10 7.21 7.22 7.23
101-12 7.20 7.21 7.22
101-14 7.19 7.20 7.21
<PAGE>
* 101-16 7.18 7.19 7.20
101-18 7.17 7.18 7.19
101-20 7.16 7.17 7.18
101-22 7.14 7.15 7.17
101-24 7.13 7.14 7.16
101-26 7.12 7.13 7.15
101-28 7.11 7.12 7.13
101-30 7.10 7.11 7.12
102-00 7.09 7.10 7.11
102-02 7.08 7.09 7.10
102-04 7.07 7.08 7.09
102-06 7.05 7.07 7.08
102-08 7.04 7.06 7.07
102-10 7.03 7.04 7.06
102-12 7.02 7.03 7.05
102-14 7.01 7.02 7.04
WAL: 7.13 7.46 7.87
WINDOW 3.00 3.08 3.17
BEGIN: 20030413 20030413 20030413
END: 20060313 20060413 20060513
MOD DUR: 5.39 5.56 5.78
CONVEX: 0.37 0.40 0.43
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 242929602 257047429 277597387
TOTAL PRIN: 318000000 318000000 318000000
PENALTY: 0 0 0
100-20 7.50 7.51 7.51
100-22 7.50 7.50 7.50
100-24 7.49 7.49 7.50
100-26 7.48 7.48 7.49
100-28 7.47 7.47 7.48
<PAGE>
100-30 7.46 7.46 7.47
101-00 7.45 7.46 7.46
101-02 7.44 7.45 7.45
101-04 7.43 7.44 7.45
101-06 7.42 7.43 7.44
101-08 7.41 7.42 7.43
101-10 7.41 7.41 7.42
101-12 7.40 7.40 7.41
101-14 7.39 7.40 7.40
* 101-16 7.38 7.39 7.40
101-18 7.37 7.38 7.39
101-20 7.36 7.37 7.38
101-22 7.35 7.36 7.37
101-24 7.34 7.35 7.36
101-26 7.33 7.34 7.36
101-28 7.33 7.34 7.35
101-30 7.32 7.33 7.34
102-00 7.31 7.32 7.33
102-02 7.30 7.31 7.32
102-04 7.29 7.30 7.32
102-06 7.28 7.29 7.31
102-08 7.27 7.28 7.30
102-10 7.26 7.28 7.29
102-12 7.26 7.27 7.28
102-14 7.25 7.26 7.27
WAL: 10.21 10.81 11.67
WINDOW 4.08 5.17 5.25
BEGIN: 20060313 20060413 20060513
END: 20100313 20110513 20110713
MOD DUR: 6.93 7.17 7.52
CONVEX: 0.63 0.69 0.77
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 106965689 111503671 117662129
TOTAL PRIN: 0 0 0
PENALTY: 0 0 0
10.105148 11.09 11.60 12.22
10.167648 10.94 11.45 12.08
10.230148 10.80 11.30 11.94
10.292648 10.65 11.16 11.80
10.355148 10.50 11.02 11.66
10.417648 10.36 10.88 11.52
10.480148 10.22 10.74 11.38
10.542648 10.08 10.60 11.25
10.605148 9.94 10.46 11.11
10.667648 9.80 10.33 10.98
10.730148 9.66 10.19 10.85
10.792648 9.53 10.06 10.72
10.855148 9.39 9.93 10.59
10.917648 9.26 9.80 10.46
* 10.980148 9.13 9.67 10.34
11.042648 9.00 9.54 10.21
11.105148 8.87 9.41 10.09
11.167648 8.74 9.29 9.96
11.230148 8.61 9.16 9.84
11.292648 8.49 9.04 9.72
11.355148 8.36 8.92 9.60
11.417648 8.24 8.79 9.48
11.480148 8.12 8.67 9.36
11.542648 7.99 8.55 9.25
11.605148 7.87 8.44 9.13
11.667648 7.75 8.32 9.02
11.730148 7.64 8.20 8.90
11.792648 7.52 8.09 8.79
11.855148 7.40 7.97 8.68
11.917648 7.29 7.86 8.57
WAL: 5.56 5.80 6.10
WINDOW 14.92 15.00 15.75
BEGIN: 19961113 19961113 19961113
END: 20110913 20111013 20120713
MOD DUR: 4.34 4.42 4.52
CONVEX: 0.30 0.32 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 20767673 21658439 21870547
TOTAL PRIN: 19541513 19541513 19541513
PENALTY: 0 0 0
100-20 7.63 7.63 7.63
100-22 7.62 7.62 7.62
100-24 7.61 7.62 7.62
100-26 7.61 7.61 7.61
100-28 7.60 7.60 7.60
100-30 7.59 7.60 7.60
101-00 7.59 7.59 7.59
101-02 7.58 7.58 7.58
101-04 7.57 7.57 7.57
101-06 7.56 7.57 7.57
101-08 7.56 7.56 7.56
101-10 7.55 7.55 7.55
101-12 7.54 7.54 7.55
101-14 7.53 7.54 7.54
* 101-16 7.53 7.53 7.53
101-18 7.52 7.52 7.52
101-20 7.51 7.52 7.52
101-22 7.50 7.51 7.51
101-24 7.50 7.50 7.50
101-26 7.49 7.49 7.50
101-28 7.48 7.49 7.49
101-30 7.47 7.48 7.48
102-00 7.47 7.47 7.47
102-02 7.46 7.47 7.47
102-04 7.45 7.46 7.46
102-06 7.45 7.45 7.45
102-08 7.44 7.44 7.45
102-10 7.43 7.44 7.44
102-12 7.42 7.43 7.43
102-14 7.42 7.42 7.43
WAL: 14.01 14.61 14.75
WINDOW 1.08 0.17 0.17
BEGIN: 20100313 20110513 20110713
END: 20110313 20110613 20110813
MOD DUR: 8.40 8.60 8.64
CONVEX: 0.98 1.04 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
<PAGE>
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 43920457 44200646 44670381
TOTAL PRIN: 39083027 39083027 39083027
PENALTY: 0 0 0
100-20 7.73 7.72 7.71
100-22 7.72 7.71 7.70
100-24 7.71 7.70 7.69
100-26 7.71 7.69 7.68
100-28 7.70 7.69 7.68
100-30 7.69 7.68 7.67
101-00 7.68 7.67 7.66
101-02 7.68 7.67 7.66
101-04 7.67 7.66 7.65
101-06 7.66 7.65 7.64
101-08 7.66 7.64 7.63
101-10 7.65 7.64 7.63
101-12 7.64 7.63 7.62
101-14 7.63 7.62 7.61
* 101-16 7.63 7.62 7.61
101-18 7.62 7.61 7.60
101-20 7.61 7.60 7.59
101-22 7.60 7.59 7.58
101-24 7.60 7.59 7.58
101-26 7.59 7.58 7.57
101-28 7.58 7.57 7.56
101-30 7.58 7.57 7.56
102-00 7.57 7.56 7.55
102-02 7.56 7.55 7.54
102-04 7.55 7.54 7.54
102-06 7.55 7.54 7.53
102-08 7.54 7.53 7.52
102-10 7.53 7.52 7.51
102-12 7.53 7.52 7.51
102-14 7.52 7.51 7.50
WAL: 14.58 14.70 14.89
<PAGE>
WINDOW 0.33 0.25 0.17
BEGIN: 20110313 20110613 20110813
END: 20110613 20110813 20110913
MOD DUR: 8.57 8.61 8.67
CONVEX: 1.03 1.04 1.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 40881442 41277653 41204687
TOTAL PRIN: 35174724 35174724 35174724
PENALTY: 0 0 0
101-00 7.88 7.87 7.86
101-02 7.87 7.86 7.85
101-04 7.86 7.85 7.84
101-06 7.86 7.84 7.83
101-08 7.85 7.84 7.83
101-10 7.84 7.83 7.82
101-12 7.83 7.82 7.81
101-14 7.83 7.82 7.80
101-16 7.82 7.81 7.80
101-18 7.81 7.80 7.79
101-20 7.80 7.79 7.78
101-22 7.80 7.79 7.78
101-24 7.79 7.78 7.77
101-26 7.78 7.77 7.76
* 101-28 7.78 7.77 7.75
101-30 7.77 7.76 7.75
102-00 7.76 7.75 7.74
102-02 7.75 7.74 7.73
102-04 7.75 7.74 7.73
102-06 7.74 7.73 7.72
102-08 7.73 7.72 7.71
102-10 7.73 7.72 7.70
<PAGE>
102-12 7.72 7.71 7.70
102-14 7.71 7.70 7.69
102-16 7.70 7.69 7.68
102-18 7.70 7.69 7.68
102-20 7.69 7.68 7.67
102-22 7.68 7.67 7.66
102-24 7.68 7.67 7.65
102-26 7.67 7.66 7.65
WAL: 14.72 14.89 14.89
WINDOW 0.33 0.17 0.08
BEGIN: 20110613 20110813 20110913
END: 20110913 20110913 20110913
MOD DUR: 8.52 8.58 8.58
CONVEX: 1.02 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 47153915 47065853 47194509
TOTAL PRIN: 39083027 39083027 39083027
PENALTY: 0 0 0
100-04 8.19 8.18 8.17
100-06 8.18 8.17 8.16
100-08 8.18 8.16 8.15
100-10 8.17 8.16 8.15
100-12 8.16 8.15 8.14
100-14 8.15 8.14 8.13
100-16 8.15 8.13 8.12
100-18 8.14 8.13 8.12
100-20 8.13 8.12 8.11
100-22 8.12 8.11 8.10
100-24 8.12 8.11 8.09
100-26 8.11 8.10 8.09
100-28 8.10 8.09 8.08
<PAGE>
100-30 8.09 8.08 8.07
* 101-00 8.09 8.08 8.06
101-02 8.08 8.07 8.06
101-04 8.07 8.06 8.05
101-06 8.07 8.05 8.04
101-08 8.06 8.05 8.04
101-10 8.05 8.04 8.03
101-12 8.04 8.03 8.02
101-14 8.04 8.02 8.01
101-16 8.03 8.02 8.01
101-18 8.02 8.01 8.00
101-20 8.01 8.00 7.99
101-22 8.01 8.00 7.98
101-24 8.00 7.99 7.98
101-26 7.99 7.98 7.97
101-28 7.99 7.97 7.96
101-30 7.98 7.97 7.96
WAL: 14.89 14.89 14.97
WINDOW 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913
END: 20110913 20110913 20111013
MOD DUR: 8.43 8.44 8.46
CONVEX: 1.01 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 19611056 19659388 20175390
TOTAL PRIN: 15633210 15633210 15633210
PENALTY: 0 0 0
99-04 8.64 8.63 8.62
99-06 8.64 8.62 8.61
99-08 8.63 8.62 8.60
99-10 8.62 8.61 8.60
<PAGE>
99-12 8.61 8.60 8.59
99-14 8.61 8.59 8.58
99-16 8.60 8.59 8.57
99-18 8.59 8.58 8.57
99-20 8.58 8.57 8.56
99-22 8.58 8.56 8.55
99-24 8.57 8.56 8.54
99-26 8.56 8.55 8.54
99-28 8.55 8.54 8.53
99-30 8.55 8.53 8.52
* 100-00 8.54 8.53 8.51
100-02 8.53 8.52 8.51
100-04 8.52 8.51 8.50
100-06 8.51 8.50 8.49
100-08 8.51 8.50 8.48
100-10 8.50 8.49 8.48
100-12 8.49 8.48 8.47
100-14 8.48 8.47 8.46
100-16 8.48 8.47 8.45
100-18 8.47 8.46 8.45
100-20 8.46 8.45 8.44
100-22 8.45 8.44 8.43
100-24 8.45 8.44 8.42
100-26 8.44 8.43 8.42
100-28 8.43 8.42 8.41
100-30 8.42 8.41 8.40
WAL: 14.89 14.96 15.39
WINDOW 0.08 0.17 0.83
BEGIN: 20110913 20110913 20111013
END: 20110913 20111013 20120713
MOD DUR: 8.23 8.25 8.36
CONVEX: 0.98 0.98 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-1 BB
CUR BALANCE: $42,991,329
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
<PAGE>
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 59614160 61508135 65053325
TOTAL PRIN: 42991329 42991329 42991329
PENALTY: 0 0 0
86-22 11.32 11.29 11.23
86-24 11.31 11.28 11.22
86-26 11.30 11.27 11.21
86-28 11.30 11.26 11.20
86-30 11.29 11.25 11.19
87-00 11.28 11.24 11.18
87-02 11.27 11.23 11.17
87-04 11.26 11.22 11.16
87-06 11.25 11.21 11.15
87-08 11.24 11.20 11.14
87-10 11.23 11.19 11.13
87-12 11.22 11.18 11.12
87-14 11.21 11.17 11.11
87-16 11.20 11.16 11.10
* 87-18 11.19 11.15 11.10
87-20 11.18 11.14 11.09
87-22 11.17 11.13 11.08
87-24 11.16 11.12 11.07
87-26 11.15 11.11 11.06
87-28 11.14 11.10 11.05
87-30 11.13 11.09 11.04
88-00 11.12 11.08 11.03
88-02 11.11 11.07 11.02
88-04 11.10 11.06 11.01
88-06 11.09 11.05 11.00
88-08 11.08 11.04 10.99
88-10 11.07 11.03 10.98
88-12 11.06 11.02 10.97
88-14 11.05 11.02 10.96
88-16 11.04 11.01 10.96
WAL: 14.94 15.45 16.37
WINDOW 0.17 1.58 1.17
BEGIN: 20110913 20111013 20120713
END: 20111013 20130413 20130813
MOD DUR: 7.30 7.39 7.57
CONVEX: 0.82 0.85 0.90
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
<PAGE>
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-2 B
CUR BALANCE: $27,358,119
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 39854289 42342669 44388330
TOTAL PRIN: 27358119 27358119 27358119
PENALTY: 0 0 0
73-16+ 13.62 13.51 13.43
73-18+ 13.60 13.50 13.42
73-20+ 13.59 13.49 13.41
73-22+ 13.58 13.47 13.40
73-24+ 13.56 13.46 13.39
73-26+ 13.55 13.45 13.37
73-28+ 13.54 13.44 13.36
73-30+ 13.53 13.42 13.35
74-00+ 13.51 13.41 13.34
74-02+ 13.50 13.40 13.32
74-04+ 13.49 13.39 13.31
74-06+ 13.48 13.37 13.30
74-08+ 13.46 13.36 13.29
74-10+ 13.45 13.35 13.28
* 74-12+ 13.44 13.34 13.26
74-14+ 13.43 13.33 13.25
74-16+ 13.41 13.31 13.24
74-18+ 13.40 13.30 13.23
74-20+ 13.39 13.29 13.22
74-22+ 13.38 13.28 13.20
74-24+ 13.37 13.27 13.19
74-26+ 13.35 13.25 13.18
74-28+ 13.34 13.24 13.17
74-30+ 13.33 13.23 13.16
75-00+ 13.32 13.22 13.15
75-02+ 13.30 13.20 13.13
75-04+ 13.29 13.19 13.12
75-06+ 13.28 13.18 13.11
75-08+ 13.27 13.17 13.10
75-10+ 13.25 13.16 13.09
WAL: 15.73 16.72 17.55
WINDOW 1.58 1.25 1.75
BEGIN: 20111013 20130413 20130813
END: 20130413 20140613 20150413
MOD DUR: 6.76 6.89 6.99
CONVEX: 0.74 0.79 0.82
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
<PAGE>
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-3 B-
CUR BALANCE: $7,816,605
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 11908847 13034693 13599393
TOTAL PRIN: 7816605 7816605 7816605
PENALTY: 0 0 0
59-08+ 16.95 16.76 16.67
59-10+ 16.93 16.74 16.65
59-12+ 16.91 16.72 16.63
59-14+ 16.90 16.71 16.61
59-16+ 16.88 16.69 16.60
59-18+ 16.86 16.67 16.58
59-20+ 16.84 16.65 16.56
59-22+ 16.82 16.64 16.54
59-24+ 16.81 16.62 16.53
59-26+ 16.79 16.60 16.51
59-28+ 16.77 16.58 16.49
59-30+ 16.75 16.57 16.47
60-00+ 16.74 16.55 16.46
60-02+ 16.72 16.53 16.44
* 60-04+ 16.70 16.51 16.42
60-06+ 16.68 16.50 16.41
60-08+ 16.66 16.48 16.39
60-10+ 16.65 16.46 16.37
60-12+ 16.63 16.44 16.35
60-14+ 16.61 16.43 16.34
60-16+ 16.59 16.41 16.32
60-18+ 16.58 16.39 16.30
60-20+ 16.56 16.38 16.29
60-22+ 16.54 16.36 16.27
60-24+ 16.53 16.34 16.25
60-26+ 16.51 16.32 16.23
60-28+ 16.49 16.31 16.22
60-30+ 16.47 16.29 16.20
61-00+ 16.46 16.27 16.18
61-02+ 16.44 16.26 16.17
<PAGE>
WAL: 16.48 18.01 18.81
WINDOW 0.08 0.92 0.75
BEGIN: 20130413 20140613 20150413
END: 20130413 20150413 20151213
MOD DUR: 5.90 5.99 6.03
CONVEX: 0.62 0.65 0.67
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4A UR
CUR BALANCE: $15,632,214
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 26994831 28242811 29259907
TOTAL PRIN: 15632214 15632214 15632214
PENALTY: 0 0 0
38-19 25.57 25.46 25.39
38-21 25.53 25.42 25.35
38-23 25.49 25.38 25.31
38-25 25.45 25.34 25.27
38-27 25.40 25.30 25.23
38-29 25.36 25.26 25.19
38-31 25.32 25.22 25.15
39-01 25.28 25.18 25.11
39-03 25.24 25.14 25.06
39-05 25.20 25.10 25.02
39-07 25.16 25.06 24.98
39-09 25.12 25.02 24.94
39-11 25.08 24.98 24.90
39-13 25.04 24.94 24.87
* 39-15 25.00 24.90 24.83
39-17 24.97 24.86 24.79
39-19 24.93 24.82 24.75
39-21 24.89 24.78 24.71
39-23 24.85 24.74 24.67
39-25 24.81 24.70 24.63
39-27 24.77 24.67 24.59
<PAGE>
39-29 24.73 24.63 24.55
39-31 24.69 24.59 24.51
40-01 24.66 24.55 24.48
40-03 24.62 24.51 24.44
40-05 24.58 24.47 24.40
40-07 24.54 24.44 24.36
40-09 24.50 24.40 24.32
40-11 24.47 24.36 24.29
40-13 24.43 24.32 24.25
WAL: 18.71 19.51 20.23
WINDOW 8.17 6.17 5.50
BEGIN: 20130413 20150413 20151213
END: 20210513 20210513 20210513
MOD DUR: 4.03 4.02 4.02
CONVEX: 0.33 0.34 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: B-4B UR H
CUR BALANCE: $1,001
CUR COUPON: 9.12684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 1728 1808 1873
TOTAL PRIN: 1001 1001 1001
PENALTY: 0 0 0
38-19 25.57 25.46 25.39
38-21 25.53 25.42 25.35
38-23 25.49 25.38 25.31
38-25 25.45 25.34 25.27
38-27 25.40 25.30 25.23
38-29 25.36 25.26 25.19
38-31 25.32 25.22 25.15
39-01 25.28 25.18 25.11
39-03 25.24 25.14 25.06
39-05 25.20 25.10 25.02
39-07 25.16 25.06 24.98
39-09 25.12 25.02 24.94
<PAGE>
39-11 25.08 24.98 24.90
39-13 25.04 24.94 24.87
* 39-15 25.00 24.90 24.83
39-17 24.97 24.86 24.79
39-19 24.93 24.82 24.75
39-21 24.89 24.78 24.71
39-23 24.85 24.74 24.67
39-25 24.81 24.70 24.63
39-27 24.77 24.67 24.59
39-29 24.73 24.63 24.55
39-31 24.69 24.59 24.51
40-01 24.66 24.55 24.48
40-03 24.62 24.51 24.44
40-05 24.58 24.47 24.40
40-07 24.54 24.44 24.36
40-09 24.50 24.40 24.32
40-11 24.47 24.36 24.29
40-13 24.43 24.32 24.25
WAL: 18.71 19.51 20.23
WINDOW 8.17 6.17 5.50
BEGIN: 20130413 20150413 20151213
END: 20210513 20210513 20210513
MOD DUR: 4.03 4.02 4.02
CONVEX: 0.33 0.34 0.34
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: RESID
CUR BALANCE: $0
CUR COUPON: 0.00000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 46 211 211
TOTAL PRIN: 0 0 0
PENALTY: 0 0 0
99.125000 -17.52 8.58 8.58
99.187500 -17.53 8.57 8.57
99.250000 -17.54 8.56 8.56
<PAGE>
99.312500 -17.56 8.55 8.55
99.375000 -17.57 8.54 8.54
99.437500 -17.58 8.54 8.54
99.500000 -17.59 8.53 8.53
99.562500 -17.61 8.52 8.52
99.625000 -17.62 8.51 8.51
99.687500 -17.63 8.50 8.50
99.750000 -17.64 8.50 8.50
99.812500 -17.66 8.49 8.49
99.875000 -17.67 8.48 8.48
99.937500 -17.68 8.47 8.47
* 100.000000 -17.69 8.47 8.47
100.062500 -17.71 8.46 8.46
100.125000 -17.72 8.45 8.45
100.187500 -17.73 8.44 8.44
100.250000 -17.74 8.43 8.43
100.312500 -17.76 8.43 8.43
100.375000 -17.77 8.42 8.42
100.437500 -17.78 8.41 8.41
100.500000 -17.79 8.40 8.40
100.562500 -17.81 8.39 8.39
100.625000 -17.82 8.39 8.39
100.687500 -17.83 8.38 8.38
100.750000 -17.84 8.37 8.37
100.812500 -17.86 8.36 8.36
100.875000 -17.87 8.36 8.36
100.937500 -17.88 8.35 8.35
WAL: 3.81 9.60 9.60
WINDOW 6.08 14.08 14.08
BEGIN: 19970313 19970313 19970313
END: 20030313 20110313 20110313
MOD DUR: 4.98 8.00 8.00
CONVEX: 0.32 0.83 0.83
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3red
SETTLE: Apr-21-1997
DATED: Apr-11-1997
NEXT PAY: May-13-1997
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $61,131,464
CUR COUPON: 2.17419
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
5.928152 10.85
5.990652 10.27
6.053152 9.70
6.115652 9.15
* 6.178152 8.60
6.240652 8.06
6.303152 7.54
6.365652 7.02
6.428152 6.51
6.490652 6.01
WAL: 2.10
WINDOW 5.92
BEGIN: 19970513
END: 20030313
MOD DUR: 1.85
CONVEX: 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3red
SETTLE: Apr-21-1997
DATED: Apr-11-1997
NEXT PAY: May-13-1997
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76694
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
11.833035 8.96
11.895535 8.84
11.958035 8.71
12.020535 8.59
* 12.083035 8.47
12.145535 8.35
12.208035 8.23
12.270535 8.11
12.333035 7.99
12.395535 7.87
WAL: 5.32
WINDOW 14.42
BEGIN: 19970513
END: 20110913
MOD DUR: 4.24
CONVEX: 0.29
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-106
101-04 7.08 7.12
101-05 7.08 7.11
101-06 7.07 7.11
101-07 7.06 7.10
101-08 7.06 7.10
101-09 7.05 7.09
101-10 7.05 7.09
101-11 7.04 7.08
101-12 7.04 7.08
101-13 7.03 7.07
101-14 7.02 7.07
101-15 7.02 7.06
* 101-16 7.01 7.06
101-17 7.01 7.06
101-18 7.00 7.05
101-19 7.00 7.05
101-20 6.99 7.04
101-21 6.98 7.04
101-22 6.98 7.03
101-23 6.97 7.03
101-24 6.97 7.02
101-25 6.96 7.02
101-26 6.96 7.01
101-27 6.95 7.01
101-28 6.95 7.00
WAL: 7.11 9.09
WINDOW 3.08 3.67
BEGIN: 20030313 20030313
END: 20060313 20061013
MOD DUR: 5.41 6.48
CONVEX: 0.37 0.54
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
106 ARD Loan extends via cashtrap and Balloon Loans extend for 36
mths. Constant NOI with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-106
101-04 7.28 7.30
101-05 7.27 7.30
101-06 7.27 7.29
101-07 7.27 7.29
101-08 7.26 7.28
101-09 7.26 7.28
101-10 7.25 7.28
101-11 7.25 7.27
101-12 7.24 7.27
101-13 7.24 7.26
101-14 7.24 7.26
101-15 7.23 7.26
* 101-16 7.23 7.25
101-17 7.22 7.25
101-18 7.22 7.24
101-19 7.21 7.24
101-20 7.21 7.24
101-21 7.20 7.23
101-22 7.20 7.23
101-23 7.20 7.23
101-24 7.19 7.22
101-25 7.19 7.22
101-26 7.18 7.21
101-27 7.18 7.21
101-28 7.17 7.21
WAL: 10.22 12.41
WINDOW 4.17 4.83
BEGIN: 20060313 20061013
END: 20100413 20110713
MOD DUR: 6.98 7.92
CONVEX: 0.64 0.85
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
106 ARD Loan extends via cashtrap and Balloon Loans extend for 36
mths. Constant NOI with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76568
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143
11.347874 10.64 8.74 7.37 5.27
11.472874 10.38 8.47 7.09 4.98
11.597874 10.12 8.20 6.82 4.69
11.722874 9.87 7.94 6.55 4.41
11.847874 9.62 7.68 6.28 4.14
11.972874 9.37 7.42 6.02 3.87
12.097874 9.13 7.18 5.77 3.60
12.222874 8.90 6.93 5.52 3.34
12.347874 8.67 6.69 5.27 3.08
* 12.472874 8.44 6.45 5.03 2.83
12.597874 8.21 6.22 4.79 2.58
12.722874 7.99 5.99 4.55 2.33
12.847874 7.77 5.76 4.32 2.09
12.972874 7.56 5.54 4.09 1.85
13.097874 7.35 5.32 3.86 1.62
13.222874 7.14 5.10 3.64 1.39
13.347874 6.94 4.89 3.42 1.16
13.472874 6.74 4.68 3.21 0.93
13.597874 6.54 4.47 2.99 0.71
13.722874 6.34 4.27 2.79 0.49
WAL: 5.57 5.03 4.70 4.25
WINDOW 14.92 14.92 14.75 14.00
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110713 20101013
MOD DUR: 4.43 4.25 4.15 3.98
CONVEX: 0.32 0.29 0.27 0.25
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 3.00% annual default rate after 36.00 months (19991011.00).
recover 100.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
142 5.00% annual default rate after 36.00 months (19991011.00).
recover 100.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
143 8.00% annual default rate after 36.00 months (19991011.00).
recover 100.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $66,345,775
CUR COUPON: 7.14000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 16887697 16887697 16887697
TOTAL PRIN: 66345775 66345775 66345775
PENALTY: 0 0 0
100-20 7.02 7.02 7.02
100-22 7.00 7.00 7.00
100-24 6.98 6.98 6.98
100-26 6.96 6.96 6.96
100-28 6.94 6.94 6.94
100-30 6.92 6.92 6.92
101-00 6.90 6.90 6.90
101-02 6.88 6.88 6.88
101-04 6.86 6.86 6.86
101-06 6.84 6.84 6.84
101-08 6.82 6.82 6.82
101-10 6.79 6.79 6.79
101-12 6.77 6.77 6.77
101-14 6.75 6.75 6.75
* 101-16 6.73 6.73 6.73
101-18 6.71 6.71 6.71
101-20 6.69 6.69 6.69
101-22 6.67 6.67 6.67
101-24 6.65 6.65 6.65
101-26 6.63 6.63 6.63
101-28 6.61 6.61 6.61
101-30 6.59 6.59 6.59
102-00 6.57 6.57 6.57
102-02 6.55 6.55 6.55
102-04 6.53 6.53 6.53
102-06 6.51 6.51 6.51
102-08 6.49 6.49 6.49
102-10 6.47 6.47 6.47
102-12 6.45 6.45 6.45
102-14 6.43 6.43 6.43
WAL: 3.57 3.57 3.57
WINDOW 6.50 6.50 6.50
BEGIN: 19961113 19961113 19961113
END: 20030413 20030413 20030413
MOD DUR: 2.98 2.98 2.98
CONVEX: 0.14 0.14 0.14
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
<PAGE>
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $66,345,775
CUR COUPON: 1.98684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 4850913 4850913 4850913
TOTAL PRIN: 0 0 0
PENALTY: 0 0 0
5.141506 17.30 17.30 17.30
5.204006 16.62 16.62 16.62
5.266506 15.96 15.96 15.96
5.329006 15.32 15.32 15.32
5.391506 14.69 14.69 14.69
5.454006 14.07 14.07 14.07
5.516506 13.46 13.46 13.46
5.579006 12.87 12.87 12.87
5.641506 12.29 12.29 12.29
5.704006 11.72 11.72 11.72
5.766506 11.16 11.16 11.16
5.829006 10.61 10.61 10.61
5.891506 10.07 10.07 10.07
5.954006 9.54 9.54 9.54
* 6.016506 9.02 9.02 9.02
6.079006 8.51 8.51 8.51
6.141506 8.01 8.01 8.01
6.204006 7.52 7.52 7.52
6.266506 7.03 7.03 7.03
6.329006 6.56 6.56 6.56
6.391506 6.09 6.09 6.09
6.454006 5.63 5.63 5.63
6.516506 5.18 5.18 5.18
6.579006 4.73 4.73 4.73
6.641506 4.29 4.29 4.29
6.704006 3.86 3.86 3.86
6.766506 3.44 3.44 3.44
6.829006 3.02 3.02 3.02
6.891506 2.61 2.61 2.61
6.954006 2.20 2.20 2.20
WAL: 2.31 2.31 2.31
WINDOW 6.50 6.50 6.50
<PAGE>
BEGIN: 19961113 19961113 19961113
END: 20030413 20030413 20030413
MOD DUR: 2.02 2.02 2.02
CONVEX: 0.07 0.07 0.07
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $155,000,000
CUR COUPON: 7.35000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 81200742 84911713 89597794
TOTAL PRIN: 155000000 155000000 155000000
PENALTY: 0 0 0
100-20 7.34 7.34 7.35
100-22 7.33 7.33 7.34
100-24 7.32 7.32 7.33
100-26 7.31 7.31 7.32
100-28 7.29 7.30 7.31
100-30 7.28 7.29 7.29
101-00 7.27 7.28 7.28
101-02 7.26 7.27 7.27
101-04 7.25 7.25 7.26
101-06 7.24 7.24 7.25
101-08 7.22 7.23 7.24
101-10 7.21 7.22 7.23
101-12 7.20 7.21 7.22
101-14 7.19 7.20 7.21
* 101-16 7.18 7.19 7.20
101-18 7.17 7.18 7.19
101-20 7.16 7.17 7.18
101-22 7.14 7.15 7.17
101-24 7.13 7.14 7.16
101-26 7.12 7.13 7.15
101-28 7.11 7.12 7.13
101-30 7.10 7.11 7.12
102-00 7.09 7.10 7.11
<PAGE>
102-02 7.08 7.09 7.10
102-04 7.07 7.08 7.09
102-06 7.05 7.07 7.08
102-08 7.04 7.06 7.07
102-10 7.03 7.04 7.06
102-12 7.02 7.03 7.05
102-14 7.01 7.02 7.04
WAL: 7.13 7.46 7.87
WINDOW 3.00 3.08 3.17
BEGIN: 20030413 20030413 20030413
END: 20060313 20060413 20060513
MOD DUR: 5.39 5.56 5.78
CONVEX: 0.37 0.40 0.43
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $318,000,000
CUR COUPON: 7.48300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 242929602 257047429 277597387
TOTAL PRIN: 318000000 318000000 318000000
PENALTY: 0 0 0
100-20 7.50 7.51 7.51
100-22 7.50 7.50 7.50
100-24 7.49 7.49 7.50
100-26 7.48 7.48 7.49
100-28 7.47 7.47 7.48
100-30 7.46 7.46 7.47
101-00 7.45 7.46 7.46
101-02 7.44 7.45 7.45
101-04 7.43 7.44 7.45
101-06 7.42 7.43 7.44
101-08 7.41 7.42 7.43
101-10 7.41 7.41 7.42
101-12 7.40 7.40 7.41
101-14 7.39 7.40 7.40
<PAGE>
* 101-16 7.38 7.39 7.40
101-18 7.37 7.38 7.39
101-20 7.36 7.37 7.38
101-22 7.35 7.36 7.37
101-24 7.34 7.35 7.36
101-26 7.33 7.34 7.36
101-28 7.33 7.34 7.35
101-30 7.32 7.33 7.34
102-00 7.31 7.32 7.33
102-02 7.30 7.31 7.32
102-04 7.29 7.30 7.32
102-06 7.28 7.29 7.31
102-08 7.27 7.28 7.30
102-10 7.26 7.28 7.29
102-12 7.26 7.27 7.28
102-14 7.25 7.26 7.27
WAL: 10.21 10.81 11.67
WINDOW 4.08 5.17 5.25
BEGIN: 20060313 20060413 20060513
END: 20100313 20110513 20110713
MOD DUR: 6.93 7.17 7.52
CONVEX: 0.63 0.69 0.77
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $621,515,501
CUR COUPON: 1.60650
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 106965689 111503671 117662129
TOTAL PRIN: 0 0 0
PENALTY: 0 0 0
10.105148 11.09 11.60 12.22
10.167648 10.94 11.45 12.08
10.230148 10.80 11.30 11.94
10.292648 10.65 11.16 11.80
10.355148 10.50 11.02 11.66
<PAGE>
10.417648 10.36 10.88 11.52
10.480148 10.22 10.74 11.38
10.542648 10.08 10.60 11.25
10.605148 9.94 10.46 11.11
10.667648 9.80 10.33 10.98
10.730148 9.66 10.19 10.85
10.792648 9.53 10.06 10.72
10.855148 9.39 9.93 10.59
10.917648 9.26 9.80 10.46
* 10.980148 9.13 9.67 10.34
11.042648 9.00 9.54 10.21
11.105148 8.87 9.41 10.09
11.167648 8.74 9.29 9.96
11.230148 8.61 9.16 9.84
11.292648 8.49 9.04 9.72
11.355148 8.36 8.92 9.60
11.417648 8.24 8.79 9.48
11.480148 8.12 8.67 9.36
11.542648 7.99 8.55 9.25
11.605148 7.87 8.44 9.13
11.667648 7.75 8.32 9.02
11.730148 7.64 8.20 8.90
11.792648 7.52 8.09 8.79
11.855148 7.40 7.97 8.68
11.917648 7.29 7.86 8.57
WAL: 5.56 5.80 6.10
WINDOW 14.92 15.00 15.75
BEGIN: 19961113 19961113 19961113
END: 20110913 20111013 20120713
MOD DUR: 4.34 4.42 4.52
CONVEX: 0.30 0.32 0.33
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,541,513
CUR COUPON: 7.58800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
<PAGE>
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 20767673 21658439 21870547
TOTAL PRIN: 19541513 19541513 19541513
PENALTY: 0 0 0
100-20 7.63 7.63 7.63
100-22 7.62 7.62 7.62
100-24 7.61 7.62 7.62
100-26 7.61 7.61 7.61
100-28 7.60 7.60 7.60
100-30 7.59 7.60 7.60
101-00 7.59 7.59 7.59
101-02 7.58 7.58 7.58
101-04 7.57 7.57 7.57
101-06 7.56 7.57 7.57
101-08 7.56 7.56 7.56
101-10 7.55 7.55 7.55
101-12 7.54 7.54 7.55
101-14 7.53 7.54 7.54
* 101-16 7.53 7.53 7.53
101-18 7.52 7.52 7.52
101-20 7.51 7.52 7.52
101-22 7.50 7.51 7.51
101-24 7.50 7.50 7.50
101-26 7.49 7.49 7.50
101-28 7.48 7.49 7.49
101-30 7.47 7.48 7.48
102-00 7.47 7.47 7.47
102-02 7.46 7.47 7.47
102-04 7.45 7.46 7.46
102-06 7.45 7.45 7.45
102-08 7.44 7.44 7.45
102-10 7.43 7.44 7.44
102-12 7.42 7.43 7.43
102-14 7.42 7.42 7.43
WAL: 14.01 14.61 14.75
WINDOW 1.08 0.17 0.17
BEGIN: 20100313 20110513 20110713
END: 20110313 20110613 20110813
MOD DUR: 8.40 8.60 8.64
CONVEX: 0.98 1.04 1.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,083,027
CUR COUPON: 7.54984
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 43920457 44200646 44670381
TOTAL PRIN: 39083027 39083027 39083027
PENALTY: 0 0 0
100-20 7.73 7.72 7.71
100-22 7.72 7.71 7.70
100-24 7.71 7.70 7.69
100-26 7.71 7.69 7.68
100-28 7.70 7.69 7.68
100-30 7.69 7.68 7.67
101-00 7.68 7.67 7.66
101-02 7.68 7.67 7.66
101-04 7.67 7.66 7.65
101-06 7.66 7.65 7.64
101-08 7.66 7.64 7.63
101-10 7.65 7.64 7.63
101-12 7.64 7.63 7.62
101-14 7.63 7.62 7.61
* 101-16 7.63 7.62 7.61
101-18 7.62 7.61 7.60
101-20 7.61 7.60 7.59
101-22 7.60 7.59 7.58
101-24 7.60 7.59 7.58
101-26 7.59 7.58 7.57
101-28 7.58 7.57 7.56
101-30 7.58 7.57 7.56
102-00 7.57 7.56 7.55
102-02 7.56 7.55 7.54
102-04 7.55 7.54 7.54
102-06 7.55 7.54 7.53
102-08 7.54 7.53 7.52
102-10 7.53 7.52 7.51
102-12 7.53 7.52 7.51
102-14 7.52 7.51 7.50
WAL: 14.58 14.70 14.89
WINDOW 0.33 0.25 0.17
BEGIN: 20110313 20110613 20110813
END: 20110613 20110813 20110913
MOD DUR: 8.57 8.61 8.67
CONVEX: 1.03 1.04 1.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
<PAGE>
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,174,724
CUR COUPON: 7.73784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 40881442 41277653 41204687
TOTAL PRIN: 35174724 35174724 35174724
PENALTY: 0 0 0
101-00 7.88 7.87 7.86
101-02 7.87 7.86 7.85
101-04 7.86 7.85 7.84
101-06 7.86 7.84 7.83
101-08 7.85 7.84 7.83
101-10 7.84 7.83 7.82
101-12 7.83 7.82 7.81
101-14 7.83 7.82 7.80
101-16 7.82 7.81 7.80
101-18 7.81 7.80 7.79
101-20 7.80 7.79 7.78
101-22 7.80 7.79 7.78
101-24 7.79 7.78 7.77
101-26 7.78 7.77 7.76
* 101-28 7.78 7.77 7.75
101-30 7.77 7.76 7.75
102-00 7.76 7.75 7.74
102-02 7.75 7.74 7.73
102-04 7.75 7.74 7.73
102-06 7.74 7.73 7.72
102-08 7.73 7.72 7.71
102-10 7.73 7.72 7.70
102-12 7.72 7.71 7.70
102-14 7.71 7.70 7.69
102-16 7.70 7.69 7.68
102-18 7.70 7.69 7.68
102-20 7.69 7.68 7.67
102-22 7.68 7.67 7.66
102-24 7.68 7.67 7.65
102-26 7.67 7.66 7.65
WAL: 14.72 14.89 14.89
<PAGE>
WINDOW 0.33 0.17 0.08
BEGIN: 20110613 20110813 20110913
END: 20110913 20110913 20110913
MOD DUR: 8.52 8.58 8.58
CONVEX: 1.02 1.04 1.04
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,083,027
CUR COUPON: 7.94284
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 47153915 47065853 47194509
TOTAL PRIN: 39083027 39083027 39083027
PENALTY: 0 0 0
100-04 8.19 8.18 8.17
100-06 8.18 8.17 8.16
100-08 8.18 8.16 8.15
100-10 8.17 8.16 8.15
100-12 8.16 8.15 8.14
100-14 8.15 8.14 8.13
100-16 8.15 8.13 8.12
100-18 8.14 8.13 8.12
100-20 8.13 8.12 8.11
100-22 8.12 8.11 8.10
100-24 8.12 8.11 8.09
100-26 8.11 8.10 8.09
100-28 8.10 8.09 8.08
100-30 8.09 8.08 8.07
* 101-00 8.09 8.08 8.06
101-02 8.08 8.07 8.06
101-04 8.07 8.06 8.05
101-06 8.07 8.05 8.04
101-08 8.06 8.05 8.04
101-10 8.05 8.04 8.03
101-12 8.04 8.03 8.02
101-14 8.04 8.02 8.01
<PAGE>
101-16 8.03 8.02 8.01
101-18 8.02 8.01 8.00
101-20 8.01 8.00 7.99
101-22 8.01 8.00 7.98
101-24 8.00 7.99 7.98
101-26 7.99 7.98 7.97
101-28 7.99 7.97 7.96
101-30 7.98 7.97 7.96
WAL: 14.89 14.89 14.97
WINDOW 0.08 0.08 0.17
BEGIN: 20110913 20110913 20110913
END: 20110913 20110913 20111013
MOD DUR: 8.43 8.44 8.46
CONVEX: 1.01 1.02 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
DEAL: d3fix
SETTLE: Oct-21-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,633,210
CUR COUPON: 8.26484
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- --------
SCENARIO: SCN-1 SCN-31 SCN-32
TOTAL INT: 19611056 19659388 20175390
TOTAL PRIN: 15633210 15633210 15633210
PENALTY: 0 0 0
99-04 8.64 8.63 8.62
99-06 8.64 8.62 8.61
99-08 8.63 8.62 8.60
99-10 8.62 8.61 8.60
99-12 8.61 8.60 8.59
99-14 8.61 8.59 8.58
99-16 8.60 8.59 8.57
99-18 8.59 8.58 8.57
99-20 8.58 8.57 8.56
99-22 8.58 8.56 8.55
99-24 8.57 8.56 8.54
99-26 8.56 8.55 8.54
99-28 8.55 8.54 8.53
<PAGE>
99-30 8.55 8.53 8.52
* 100-00 8.54 8.53 8.51
100-02 8.53 8.52 8.51
100-04 8.52 8.51 8.50
100-06 8.51 8.50 8.49
100-08 8.51 8.50 8.48
100-10 8.50 8.49 8.48
100-12 8.49 8.48 8.47
100-14 8.48 8.47 8.46
100-16 8.48 8.47 8.45
100-18 8.47 8.46 8.45
100-20 8.46 8.45 8.44
100-22 8.45 8.44 8.43
100-24 8.45 8.44 8.42
100-26 8.44 8.43 8.42
100-28 8.43 8.42 8.41
100-30 8.42 8.41 8.40
WAL: 14.89 14.96 15.39
WINDOW 0.08 0.17 0.83
BEGIN: 20110913 20110913 20111013
END: 20110913 20111013 20120713
MOD DUR: 8.23 8.25 8.36
CONVEX: 0.98 0.98 1.02
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
31 Every 10th Loan (10% of Cut-Off Balance,10% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
32 Every 5th Loan (21% of Cut-Off Balance,19% of Loans) extend with
cashtrap. Constant NOI.
Treasury yield curve shifts 0 bp. Others prepay by Optional Prepay
Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.625 5.093 5.329 5.624 6.017
6.183 6.379 6.629 6.863
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-141 SCN-142 SCN-143
TOTAL INT: 118465921 111651248 107490409 102100199
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
11.597874 10.14 9.17 8.49 7.51
11.660374 10.01 9.04 8.36 7.38
11.722874 9.88 8.91 8.23 7.25
11.785374 9.76 8.78 8.11 7.12
11.847874 9.63 8.66 7.98 7.00
11.910374 9.51 8.54 7.86 6.87
11.972874 9.39 8.41 7.73 6.75
12.035374 9.27 8.29 7.61 6.62
12.097874 9.15 8.17 7.49 6.50
12.160374 9.03 8.05 7.37 6.38
12.222874 8.91 7.93 7.25 6.26
12.285374 8.80 7.81 7.13 6.14
12.347874 8.68 7.69 7.01 6.02
12.410374 8.57 7.58 6.89 5.91
* 12.472874 8.45 7.46 6.78 5.79
12.535374 8.34 7.35 6.66 5.67
12.597874 8.23 7.24 6.55 5.56
12.660374 8.12 7.12 6.44 5.45
12.722874 8.01 7.01 6.32 5.33
12.785374 7.90 6.90 6.21 5.22
12.847874 7.79 6.79 6.10 5.11
12.910374 7.68 6.68 5.99 5.00
12.972874 7.58 6.57 5.88 4.89
13.035374 7.47 6.47 5.78 4.78
13.097874 7.36 6.36 5.67 4.68
13.160374 7.26 6.25 5.56 4.57
13.222874 7.16 6.15 5.46 4.46
13.285374 7.05 6.05 5.35 4.36
13.347874 6.95 5.94 5.25 4.26
13.410374 6.85 5.84 5.15 4.15
WAL: 5.57 5.35 5.23 5.09
WINDOW 14.92 15.00 15.33 24.58
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20111013 20120213 20210513
MOD DUR: 4.42 4.37 4.34 4.33
CONVEX: 0.31 0.31 0.31 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
141 3.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
<PAGE>
Servicer Advances.
Cumulative Loss 6.09%. Cumulative Default 20.30%.
142 5.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 9.38%. Cumulative Default 31.26%.
143 8.00% annual default rate after 36.00 months (19991011.00).
recover 70.00% in 0.00 months.
Servicer Advances.
Cumulative Loss 13.40%. Cumulative Default 44.66%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-121 SCN-122 SCN-123
TOTAL INT: 118465921 117658648 116866357 113890025
TOTAL PRIN: 0 0 0 0
PENALTY: 0 0 0 0
11.597874 10.14 10.04 9.94 9.55
11.660374 10.01 9.91 9.81 9.42
11.722874 9.88 9.78 9.68 9.29
11.785374 9.76 9.66 9.56 9.17
11.847874 9.63 9.53 9.43 9.04
11.910374 9.51 9.41 9.31 8.92
11.972874 9.39 9.29 9.19 8.79
12.035374 9.27 9.17 9.07 8.67
12.097874 9.15 9.05 8.95 8.55
12.160374 9.03 8.93 8.83 8.43
12.222874 8.91 8.81 8.71 8.31
12.285374 8.80 8.70 8.59 8.19
12.347874 8.68 8.58 8.48 8.08
12.410374 8.57 8.47 8.36 7.96
* 12.472874 8.45 8.35 8.25 7.84
12.535374 8.34 8.24 8.14 7.73
12.597874 8.23 8.13 8.02 7.62
12.660374 8.12 8.01 7.91 7.50
12.722874 8.01 7.90 7.80 7.39
12.785374 7.90 7.79 7.69 7.28
12.847874 7.79 7.69 7.58 7.17
12.910374 7.68 7.58 7.47 7.06
12.972874 7.58 7.47 7.37 6.96
13.035374 7.47 7.37 7.26 6.85
13.097874 7.36 7.26 7.15 6.74
13.160374 7.26 7.16 7.05 6.64
13.222874 7.16 7.05 6.95 6.53
13.285374 7.05 6.95 6.84 6.43
13.347874 6.95 6.85 6.74 6.32
13.410374 6.85 6.74 6.64 6.22
WAL: 5.57 5.54 5.51 5.39
WINDOW 14.92 14.92 14.92 14.92
BEGIN: 19961113 19961113 19961113 19961113
END: 20110913 20110913 20110913 20110913
MOD DUR: 4.42 4.41 4.40 4.37
CONVEX: 0.31 0.31 0.31 0.31
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
121 0.50% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.85%. Cumulative Default 2.82%.
<PAGE>
122 1.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 1.67%. Cumulative Default 5.55%.
123 3.00% annual default rate after 48.00 months (20001011.00).
recover 70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 4.67%. Cumulative Default 15.58%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.76703
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
-------- --------
SCENARIO: SCN-1 SCN-100 SCN-101 SCN-102 SCN-103
SCN-104 SCN-105
12.097874 9.15 7.36 7.61 7.77 6.32
6.68 7.13
12.129124 9.09 7.30 7.55 7.70 6.25
6.61 7.07
12.160374 9.03 7.24 7.49 7.64 6.19
6.55 7.00
12.191624 8.97 7.18 7.42 7.58 6.13
6.49 6.94
12.222874 8.91 7.12 7.36 7.52 6.06
6.42 6.88
12.254124 8.86 7.06 7.30 7.46 6.00
6.36 6.82
12.285374 8.80 6.99 7.24 7.40 5.94
6.30 6.75
12.316624 8.74 6.93 7.18 7.34 5.88
6.24 6.69
12.347874 8.68 6.87 7.12 7.28 5.82
6.17 6.63
12.379124 8.62 6.81 7.06 7.22 5.75
6.11 6.57
12.410374 8.57 6.75 7.00 7.16 5.69
6.05 6.51
12.441624 8.51 6.69 6.94 7.10 5.63
5.99 6.45
* 12.472874 8.45 6.64 6.88 7.04 5.57
5.93 6.39
12.504124 8.40 6.58 6.82 6.98 5.51
5.87 6.32
12.535374 8.34 6.52 6.76 6.92 5.45
5.81 6.26
12.566624 8.28 6.46 6.71 6.86 5.39
5.75 6.20
12.597874 8.23 6.40 6.65 6.80 5.33
5.69 6.15
12.629124 8.17 6.34 6.59 6.74 5.27
5.63 6.09
12.660374 8.12 6.29 6.53 6.69 5.21
5.57 6.03
12.691624 8.06 6.23 6.47 6.63 5.15
5.51 5.97
12.722874 8.01 6.17 6.42 6.57 5.09
5.45 5.91
12.754124 7.95 6.11 6.36 6.51 5.04
5.39 5.85
12.785374 7.90 6.06 6.30 6.46 4.98
5.33 5.79
<PAGE>
12.816624 7.84 6.00 6.25 6.40 4.92
5.28 5.73
12.847874 7.79 5.94 6.19 6.34 4.86
5.22 5.68
WAL: 5.57 5.02 5.04 5.04 4.74
4.76 4.81
WINDOW 14.92 14.92 14.92 14.92 14.75
14.67 14.67
BEGIN: 19961113 19961113 19961113 19961113 19961113
19961113 19961113
END: 20110913 20110913 20110913 20110913 20110713
20110613 20110613
MOD DUR: 4.42 4.24 4.24 4.23 4.14
4.13 4.14
CONVEX: 0.31 0.29 0.29 0.28 0.27
0.27 0.27
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
100 3.50% annual default rate after 36.00 months (19991011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
101 4.00% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss -0.00%. Cumulative Default 0.00%.
102 5.00% annual default rate after 60.00 months (20011011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
103 5.50% annual default rate after 36.00 months (19991011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
104 6.50% annual default rate after 48.00 months (20001011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
105 7.50% annual default rate after 60.00 months (20011011.00).
recover 100.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838
5.996 6.205 6.476 6.739
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 7.06000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-110 SCN-111 SCN-112
101-04 6.77 6.77 6.77 6.77
101-05 6.76 6.76 6.76 6.76
101-06 6.75 6.75 6.75 6.75
101-07 6.74 6.74 6.74 6.74
101-08 6.73 6.73 6.73 6.73
101-09 6.72 6.72 6.72 6.72
101-10 6.71 6.71 6.71 6.71
101-11 6.70 6.70 6.70 6.70
101-12 6.69 6.69 6.69 6.69
101-13 6.68 6.68 6.68 6.68
101-14 6.67 6.67 6.67 6.67
101-15 6.66 6.66 6.66 6.66
* 101-16 6.65 6.65 6.65 6.65
101-17 6.64 6.64 6.64 6.64
101-18 6.63 6.63 6.63 6.63
101-19 6.62 6.62 6.62 6.62
101-20 6.61 6.61 6.61 6.61
101-21 6.60 6.60 6.60 6.60
101-22 6.59 6.59 6.59 6.59
101-23 6.58 6.58 6.58 6.58
101-24 6.57 6.57 6.57 6.57
101-25 6.56 6.56 6.56 6.56
101-26 6.54 6.54 6.54 6.54
101-27 6.53 6.53 6.53 6.53
101-28 6.52 6.52 6.52 6.52
WAL: 3.54 3.54 3.54 3.54
WINDOW 6.42 6.42 6.42 6.42
BEGIN: 19961113 19961113 19961113 19961113
END: 20030313 20030313 20030313 20030313
MOD DUR: 2.97 2.97 2.97 2.97
CONVEX: 0.13 0.13 0.13 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
110 26% of ARD Loan (26% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
111 51% of ARD Loan (47% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
112 100% of ARD Loan (89% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
<PAGE>
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.28700
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-110 SCN-111 SCN-112
101-04 7.18 7.18 7.18 7.22
101-05 7.18 7.18 7.18 7.22
101-06 7.17 7.17 7.17 7.21
101-07 7.17 7.17 7.17 7.21
101-08 7.16 7.16 7.16 7.20
101-09 7.15 7.15 7.16 7.20
101-10 7.15 7.15 7.15 7.20
101-11 7.14 7.14 7.14 7.19
101-12 7.14 7.14 7.14 7.19
101-13 7.13 7.13 7.13 7.18
101-14 7.13 7.13 7.13 7.18
101-15 7.12 7.12 7.12 7.17
* 101-16 7.11 7.11 7.12 7.17
101-17 7.11 7.11 7.11 7.16
101-18 7.10 7.10 7.10 7.16
101-19 7.10 7.10 7.10 7.15
101-20 7.09 7.09 7.09 7.15
101-21 7.09 7.09 7.09 7.14
101-22 7.08 7.08 7.08 7.14
101-23 7.07 7.07 7.08 7.14
101-24 7.07 7.07 7.07 7.13
101-25 7.06 7.06 7.06 7.13
101-26 7.06 7.06 7.06 7.12
101-27 7.05 7.05 7.05 7.12
101-28 7.05 7.05 7.05 7.11
WAL: 7.11 7.11 7.15 9.54
WINDOW 3.08 3.08 3.08 5.92
BEGIN: 20030313 20030313 20030313 20030313
END: 20060313 20060313 20060313 20090113
MOD DUR: 5.39 5.39 5.41 6.64
CONVEX: 0.37 0.37 0.37 0.58
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
110 26% of ARD Loan (26% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
111 51% of ARD Loan (47% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
<PAGE>
112 100% of ARD Loan (89% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.43000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-110 SCN-111 SCN-112
101-04 7.38 7.39 7.39 7.42
101-05 7.37 7.38 7.39 7.41
101-06 7.37 7.38 7.39 7.41
101-07 7.37 7.38 7.38 7.41
101-08 7.36 7.37 7.38 7.40
101-09 7.36 7.37 7.37 7.40
101-10 7.35 7.36 7.37 7.40
101-11 7.35 7.36 7.37 7.39
101-12 7.34 7.35 7.36 7.39
101-13 7.34 7.35 7.36 7.39
101-14 7.33 7.35 7.35 7.38
101-15 7.33 7.34 7.35 7.38
* 101-16 7.33 7.34 7.35 7.38
101-17 7.32 7.33 7.34 7.37
101-18 7.32 7.33 7.34 7.37
101-19 7.31 7.33 7.33 7.37
101-20 7.31 7.32 7.33 7.36
101-21 7.30 7.32 7.33 7.36
101-22 7.30 7.31 7.32 7.36
101-23 7.29 7.31 7.32 7.35
101-24 7.29 7.30 7.31 7.35
101-25 7.29 7.30 7.31 7.35
101-26 7.28 7.30 7.31 7.34
101-27 7.28 7.29 7.30 7.34
101-28 7.27 7.29 7.30 7.34
WAL: 10.21 11.25 12.09 16.02
WINDOW 4.17 5.33 5.75 7.08
BEGIN: 20060313 20060313 20060313 20090113
END: 20100413 20110613 20111113 20160113
MOD DUR: 6.95 7.36 7.70 9.09
CONVEX: 0.64 0.73 0.81 1.18
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
110 26% of ARD Loan (26% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
111 51% of ARD Loan (47% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
112 100% of ARD Loan (89% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.53900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-110 SCN-111 SCN-112
101-04 7.52 7.52 7.53 7.54
101-05 7.52 7.52 7.52 7.54
101-06 7.51 7.52 7.52 7.53
101-07 7.51 7.51 7.52 7.53
101-08 7.51 7.51 7.51 7.53
101-09 7.50 7.51 7.51 7.53
101-10 7.50 7.50 7.51 7.52
101-11 7.49 7.50 7.50 7.52
101-12 7.49 7.50 7.50 7.52
101-13 7.49 7.49 7.50 7.51
101-14 7.48 7.49 7.49 7.51
101-15 7.48 7.48 7.49 7.51
* 101-16 7.48 7.48 7.49 7.50
101-17 7.47 7.48 7.48 7.50
101-18 7.47 7.47 7.48 7.50
101-19 7.47 7.47 7.48 7.49
101-20 7.46 7.47 7.47 7.49
101-21 7.46 7.46 7.47 7.49
101-22 7.45 7.46 7.46 7.49
101-23 7.45 7.46 7.46 7.48
101-24 7.45 7.45 7.46 7.48
101-25 7.44 7.45 7.45 7.48
101-26 7.44 7.45 7.45 7.47
101-27 7.44 7.44 7.45 7.47
101-28 7.43 7.44 7.44 7.47
WAL: 14.08 14.69 15.45 19.38
WINDOW 1.08 0.17 0.83 0.42
BEGIN: 20100413 20110613 20111113 20160113
END: 20110413 20110713 20120813 20160513
<PAGE>
MOD DUR: 8.45 8.65 8.89 9.94
CONVEX: 0.99 1.05 1.12 1.47
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
110 26% of ARD Loan (26% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
111 51% of ARD Loan (47% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
112 100% of ARD Loan (89% balance) extends via cashtrap. Using NOI of
1.15 DSCR with 100% recovery.
Treasury yield curve shifts 0 bp.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A AAA
CUR BALANCE: $64,985,025
CUR COUPON: 7.06000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-04 6.77 6.73
101-05 6.76 6.72
101-06 6.75 6.71
101-07 6.74 6.70
101-08 6.73 6.69
101-09 6.72 6.68
101-10 6.71 6.67
101-11 6.70 6.65
101-12 6.69 6.64
101-13 6.68 6.63
101-14 6.67 6.62
101-15 6.66 6.61
* 101-16 6.65 6.60
101-17 6.64 6.59
101-18 6.63 6.57
101-19 6.62 6.56
101-20 6.61 6.55
101-21 6.60 6.54
101-22 6.59 6.53
101-23 6.58 6.52
101-24 6.57 6.51
101-25 6.56 6.50
101-26 6.54 6.48
101-27 6.53 6.47
101-28 6.52 6.46
WAL: 3.54 3.16
WINDOW 6.42 4.83
BEGIN: 19961113 19961113
END: 20030313 20010813
MOD DUR: 2.97 2.70
CONVEX: 0.13 0.11
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
<PAGE>
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,985,025
CUR COUPON: 2.06684
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
5.923269 11.69 6.98
5.954519 11.42 6.69
5.985769 11.15 6.40
6.017019 10.88 6.11
6.048269 10.61 5.82
6.079519 10.35 5.53
6.110769 10.09 5.25
6.142019 9.83 4.97
6.173269 9.58 4.70
6.204519 9.32 4.42
6.235769 9.07 4.15
6.267019 8.82 3.88
* 6.298269 8.58 3.61
6.329519 8.33 3.35
6.360769 8.09 3.08
6.392019 7.85 2.82
6.423269 7.61 2.56
6.454519 7.37 2.31
6.485769 7.14 2.05
6.517019 6.91 1.80
6.548269 6.67 1.55
6.579519 6.45 1.30
6.610769 6.22 1.05
6.642019 5.99 0.81
6.673269 5.77 0.57
WAL: 2.30 1.95
WINDOW 6.42 4.83
BEGIN: 19961113 19961113
END: 20030313 20010813
MOD DUR: 2.02 1.86
CONVEX: 0.07 0.06
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
<PAGE>
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.28700
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-04 7.18 7.16
101-05 7.18 7.16
101-06 7.17 7.15
101-07 7.17 7.14
101-08 7.16 7.14
101-09 7.15 7.13
101-10 7.15 7.12
101-11 7.14 7.12
101-12 7.14 7.11
101-13 7.13 7.11
101-14 7.13 7.10
101-15 7.12 7.09
* 101-16 7.11 7.09
101-17 7.11 7.08
101-18 7.10 7.07
101-19 7.10 7.07
101-20 7.09 7.06
101-21 7.09 7.06
101-22 7.08 7.05
101-23 7.07 7.04
101-24 7.07 7.04
101-25 7.06 7.03
101-26 7.06 7.02
101-27 7.05 7.02
101-28 7.05 7.01
WAL: 7.11 6.33
WINDOW 3.08 2.25
BEGIN: 20030313 20010813
END: 20060313 20031013
MOD DUR: 5.39 4.92
CONVEX: 0.37 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
<PAGE>
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
CUR COUPON: 7.43000
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-04 7.38 7.37
101-05 7.37 7.36
101-06 7.37 7.36
101-07 7.37 7.35
101-08 7.36 7.35
101-09 7.36 7.34
101-10 7.35 7.34
101-11 7.35 7.34
101-12 7.34 7.33
101-13 7.34 7.33
101-14 7.33 7.32
101-15 7.33 7.32
* 101-16 7.33 7.31
101-17 7.32 7.31
101-18 7.32 7.30
101-19 7.31 7.30
101-20 7.31 7.29
101-21 7.30 7.29
101-22 7.30 7.28
101-23 7.29 7.28
101-24 7.29 7.27
101-25 7.29 7.27
101-26 7.28 7.27
101-27 7.28 7.26
101-28 7.27 7.26
WAL: 10.21 9.39
WINDOW 4.17 5.42
BEGIN: 20060313 20031013
END: 20100413 20090213
MOD DUR: 6.95 6.55
CONVEX: 0.64 0.56
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
<PAGE>
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS2 AAAIO
CUR BALANCE: $623,691,525
CUR COUPON: 1.66310
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
11.331395 9.30 8.00
11.362645 9.24 7.94
11.393895 9.17 7.87
11.425145 9.11 7.81
11.456395 9.05 7.74
11.487645 8.98 7.68
11.518895 8.92 7.62
11.550145 8.86 7.55
11.581395 8.80 7.49
11.612645 8.74 7.43
11.643895 8.68 7.37
11.675145 8.61 7.30
* 11.706395 8.55 7.24
11.737645 8.49 7.18
11.768895 8.43 7.12
11.800145 8.37 7.06
11.831395 8.31 7.00
11.862645 8.25 6.93
11.893895 8.20 6.87
11.925145 8.14 6.81
11.956395 8.08 6.75
11.987645 8.02 6.69
12.018895 7.96 6.64
12.050145 7.90 6.58
12.081395 7.85 6.52
WAL: 5.57 5.25
WINDOW 14.92 15.00
BEGIN: 19961113 19961113
END: 20110913 20111013
MOD DUR: 4.41 4.32
CONVEX: 0.31 0.30
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
<PAGE>
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1D AAA/AA
CUR BALANCE: $19,564,674
CUR COUPON: 7.53900
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-04 7.52 7.51
101-05 7.52 7.51
101-06 7.51 7.50
101-07 7.51 7.50
101-08 7.51 7.49
101-09 7.50 7.49
101-10 7.50 7.49
101-11 7.49 7.48
101-12 7.49 7.48
101-13 7.49 7.48
101-14 7.48 7.47
101-15 7.48 7.47
* 101-16 7.48 7.46
101-17 7.47 7.46
101-18 7.47 7.46
101-19 7.47 7.45
101-20 7.46 7.45
101-21 7.46 7.44
101-22 7.45 7.44
101-23 7.45 7.44
101-24 7.45 7.43
101-25 7.44 7.43
101-26 7.44 7.42
101-27 7.44 7.42
101-28 7.43 7.42
WAL: 14.08 12.46
WINDOW 1.08 0.33
BEGIN: 20100413 20090213
END: 20110413 20090513
MOD DUR: 8.45 7.86
CONVEX: 0.99 0.84
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
<PAGE>
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-2 AA
CUR BALANCE: $39,129,349
CUR COUPON: 7.48884
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-04 7.62 7.61
101-05 7.62 7.61
101-06 7.61 7.60
101-07 7.61 7.60
101-08 7.61 7.60
101-09 7.60 7.59
101-10 7.60 7.59
101-11 7.60 7.58
101-12 7.59 7.58
101-13 7.59 7.58
101-14 7.58 7.57
101-15 7.58 7.57
* 101-16 7.58 7.57
101-17 7.57 7.56
101-18 7.57 7.56
101-19 7.57 7.56
101-20 7.56 7.55
101-21 7.56 7.55
101-22 7.56 7.54
101-23 7.55 7.54
101-24 7.55 7.54
101-25 7.55 7.53
101-26 7.54 7.53
101-27 7.54 7.53
101-28 7.53 7.52
WAL: 14.59 13.86
WINDOW 0.25 2.08
BEGIN: 20110413 20090513
END: 20110613 20110513
MOD DUR: 8.60 8.35
CONVEX: 1.03 0.97
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-3 A
CUR BALANCE: $35,216,414
CUR COUPON: 7.67784
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
101-16 7.77 7.77
101-17 7.77 7.77
101-18 7.76 7.76
101-19 7.76 7.76
101-20 7.76 7.76
101-21 7.75 7.75
101-22 7.75 7.75
101-23 7.75 7.75
101-24 7.74 7.74
101-25 7.74 7.74
101-26 7.73 7.73
101-27 7.73 7.73
* 101-28 7.73 7.73
101-29 7.72 7.72
101-30 7.72 7.72
101-31 7.72 7.72
102-00 7.71 7.71
102-01 7.71 7.71
102-02 7.71 7.71
102-03 7.70 7.70
102-04 7.70 7.70
102-05 7.70 7.70
102-06 7.69 7.69
102-07 7.69 7.69
102-08 7.68 7.68
WAL: 14.73 14.70
WINDOW 0.33 0.42
BEGIN: 20110613 20110513
END: 20110913 20110913
MOD DUR: 8.55 8.54
CONVEX: 1.03 1.03
SCENARIO:
<PAGE>
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-4 BBB
CUR BALANCE: $39,129,349
CUR COUPON: 7.88384
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
100-20 8.08 8.08
100-21 8.08 8.08
100-22 8.08 8.08
100-23 8.07 8.07
100-24 8.07 8.07
100-25 8.07 8.07
100-26 8.06 8.06
100-27 8.06 8.06
100-28 8.05 8.05
100-29 8.05 8.05
100-30 8.05 8.05
100-31 8.04 8.04
* 101-00 8.04 8.04
101-01 8.04 8.04
101-02 8.03 8.03
101-03 8.03 8.03
101-04 8.03 8.03
101-05 8.02 8.02
101-06 8.02 8.02
101-07 8.01 8.01
101-08 8.01 8.01
101-09 8.01 8.01
101-10 8.00 8.00
101-11 8.00 8.00
101-12 8.00 8.00
WAL: 14.89 14.89
WINDOW 0.08 0.08
BEGIN: 20110913 20110913
END: 20110913 20110913
MOD DUR: 8.46 8.46
CONVEX: 1.02 1.02
<PAGE>
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-5 BBB-
CUR BALANCE: $15,651,739
CUR COUPON: 8.20584
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-142
99-20 8.54 8.53
99-21 8.53 8.53
99-22 8.53 8.53
99-23 8.52 8.52
99-24 8.52 8.52
99-25 8.52 8.52
99-26 8.51 8.51
99-27 8.51 8.51
99-28 8.51 8.50
99-29 8.50 8.50
99-30 8.50 8.50
99-31 8.49 8.49
* 100-00 8.49 8.49
100-01 8.49 8.49
100-02 8.48 8.48
100-03 8.48 8.48
100-04 8.47 8.47
100-05 8.47 8.47
100-06 8.47 8.47
100-07 8.46 8.46
100-08 8.46 8.46
100-09 8.46 8.46
100-10 8.45 8.45
100-11 8.45 8.45
100-12 8.44 8.44
WAL: 14.89 14.96
WINDOW 0.08 0.17
BEGIN: 20110913 20110913
END: 20110913 20111013
<PAGE>
MOD DUR: 8.25 8.27
CONVEX: 0.98 0.99
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
142 5% annual default rate after 36 months (19991011). recover
70.00% in 12.00 months.
Servicer Advances.
Cumulative Loss 8.35%. Cumulative Default 27.85%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058
6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1A & A-CS1
CUR BALANCE: $64,985,025
CUR COUPON: 5.78033
Yield to Maturity is Corporate Bond Equivalent
----------- --------
SCENARIO: SCN-1
107-26 6.72
107-27 6.71
107-28 6.70
107-29 6.69
107-30 6.68
107-31 6.67
108-00 6.66
108-01 6.65
108-02 6.64
108-03 6.63
108-04 6.62
108-05 6.61
* 108-06 6.60
108-07 6.59
108-08 6.58
108-09 6.57
108-10 6.56
108-11 6.55
108-12 6.54
108-13 6.53
108-14 6.52
108-15 6.51
108-16 6.50
108-17 6.49
108-18 6.48
WAL: 3.54
WINDOW 6.42
BEGIN: 19961113
END: 20030313
MOD DUR: 2.92
CONVEX: 0.13
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000
3.000 5.000 10.000 30.000
Yield: 5.125 5.145 5.293 5.567 5.904
6.075 6.292 6.552 6.844
Analysis Provided by Zapp, Version 3.4
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFICE Sqft %of Bld Sales/SF Lease
Expires
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Malibu Canyon Office Park 320,358 0.23% 13.58% 5.28% 16.56% 27.75% 17.99% 13.08% 0.00% 5.54% 0.00%
Xylan Corporation 77,800 24.29% 11.81% 12.48%
Superior National 46,041 59.18% 14.37%
1010 Northern Blvd. 167,614 11.08% 15.52% 10.96% 4.65% 15.19% 13.32% 5.95% 8.19% 7.42% 0.66%
State Farm 25,377 15.14%
Equifax Services 16,532 65.15%
Sacramento Office Building 193,380 4.66% 10.33% 29.13% 42.07% 1.94% 0.00% 1.00% 0.00% 10.00% 0.00%
Department of Corrections 64,076 33.13% 33.13%
There is $800,950 in
TI/LC reserves and $400,000
in a debt service reserve
when fully funded
(currently combined
$400,000).
Crosspointe Office 189,768 3.08% 17.09% 11.66% 17.57% 43.07% 10.00% 0.00% 0.00% 0.00% 0.00%
Percession Responce 37,778 19.91% 19.91% 0.00%
FL National Guard 13,604 7.17% 7.17% 0.00%
First Tennessee Bank Building411,503 0.12% 9.38% 0.96% 2.38% 3.26% 18.12% 63.63% 0.00% 0.00% 0.00%
First Tennessee Bank 224,317 54.51% 63.63%
Baker, Donelson 62,616 15.22% 18.12%
Arthur Andersen 16,778 4.08% 9.38%
Nations Bank Building 38,384 0.00% 9.50% 14.36% 22.78% 43.74% 0.00% 2.57% 0.00% 0.00% 0.00%
$130,000 escrowed at close
for rollover risk
9300 Wilshire Blvd. 56,428 12.37% 33.24% 26.67% 18.31% 9.40% 0.00% 0.00% 0.00% 0.00% 0.00%
First Bank 3,500 6.20% 6.20%
Olde Discount Co. 1,687 2.99% 2.99%
RETAIL Sqft %of Bld Sales/SF Lease
Expires
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005
Lake Arrowhead Village 228,164 3.17% 10.69% 1.94% 10.35% 18.20% 14.52% 2.34% 8.51% 17.35% 10.78%
Stater Bros. 33,580 14.72% $585
Thrifty Jr. Drug 9,000 3.94% $252 3.94%
Carter Creek - Pinnacle Pool 163,004 29.63% 5.05% 8.54% 3.65% 5.60% 1.79% 15.83% 0.00% 8.86% 35.08%
First American Bank 45,728 28.05% 28.05%
Winn Dixie - expires 2005 45,500 99.50% $179
Dollar General 7,516 16.52% $119 4.61%
Lakegrove - Pinnacle Pool 85,285 0.00% 17.86% 8.49% 2.65% 3.88% 0.00% 0.00% 17.89%
Minyard 46,046 53.99% $235 53.99%
Family Dollar 8,450 18.35% $77 18.35%
University Hills - Pinnacle 89,401 0.00% 10.78% 1.57% 81.08% 0.00% 6.56% 0.00% 10.78% 0.00% 15.32%
Pool
Fleming Foods 40,500 45.30% $252 45.30%
Eckerd Drug 8,640 9.66% $196 9.66%
Dollar General 7,000 7.83% 17.28%
Triple Creek - Pinnacle Pool 117,717 0.00% 3.82% 0.00% 35.93% 0.00% 0.00% 4.59% 3.82%
Wal-Mart 65,522 55.66%
A rollover reserve is
escrowed for in the amount
of $250,000 by the end of
2002.
Plaza - Pinnacle Pool 61,435 1.73% 3.96% 13.90% 20.25% 1.73% 5.50% 13.90% 63.86%
Scrivner 24,548 39.96% $286 39.96%
Eckerd 8,450 13.75% $323
Dollar General 10,000 16.28% 16.28%
Edgewood - Pinnacle Pool 85,745 0.00% 21.96% 1.56% 8.22% 17.61% 23.44% 21.96% 28.78%
Shop & Save 12,050 14.05% $239 14.05%
Family Dollar 8,000 66.39% $60 9.33%
Eckerd Drug 6,000 75.00% $282 7.00%
Limestone Square - Pinnacle 63,410 0.00% 10.37% 20.41% 0.00% 15.51% 0.00% 0.00%
Pool
Brookshire's 26,600 41.95% $263
Family Dollar 8,450 13.33% 13.33%
Dollar General 7,680 12.11% 12.11%
Simi Valley Plaza 219,627 0.00% 2.72% 3.00% 6.10% 1.96% 10.26% 2.72% 3.70% 6.01% 6.50%
Home Base 113,932 51.88% $253 0.00% 1.27% 1.27%
Edwards Theatre 35,000 30.72%
Discovery Zone 11,239 32.11% 5.12%
Hechinger's Plaza - 76,964 0.00% 0.00% 0.00% 6.75% 9.86% 1.97% 64.04% 0.00% 0.00%
expirations for Hechinger's
& Block/Staples
Hechinger's 61,764 80.25% $246 64.04%
Blockbuster/Staples 24,473
Staples 17,623 72.01% $322 6.75%
Blockbuster 6,850 27.99%
Alderwood Village 109,559 13.23% 16.35% 4.18% 2.58% 3.46% 29.07% 0.00% 15.79%
Drug Emporium 31,845 29.07% $300 29.07%
Eastgate Theatre- 31,305 28.57% $68,305
Expires 2015
Hancock Fabrics 10,535 9.62% $85 9.62%
Paradise Valley 87,289 5.54% 18.21% 12.72% 2.89% 52.89% 13.28%
Roomstore 30,799 35.28% $190 35.28%
Kinko's 6,435 20.89% 7.37%
Blockbuster Video - 6,434 99.98% $187 7.37%
1994 sales
Val Vista Crossing 95,978 1.40% 8.84% 8.99% 2.79% 2.91%
United Artists Theatre 37,632 39.21% $226,394
Bolsa Marketplace 86,711 5.90% 36.96% 18.70% 4.62% 5.90%
Bolsa Supermarket 20,190 23.28% $713
Crestview Plaza 80,261 19.66% 9.05% 0.00% 4.64% 1.75% 21.99% 17.20% 6.92%
Circuit City 36,703 45.73% .
Market at Uvalde 42,724 5.60% 55.08% 20.04% 3.36% 0.00% 5.60% 70.99%
I Goldberg Shopping Center 40,300 0.00% 23.62% 0.00% 0.00% 20.73% 0.00%
I Goldberg 21,200 52.61% $261
Country Club Corners 48,886 0.00% 31.72% 4.14% 8.99% 0.00% 2.09% 84.79%
Minyard Food Stores 24,000 49.09% $333
The borrower has escrowed
$30,000 upfront for
rollover risk with an
ongoing monthly
contribution of $2,500,
maxing the rollover
reserve at $100,000.
</TABLE>
<PAGE>
Deal ASC 1996-D3
Settle Oct-22-1996
Dated Oct-11-1996
Next Pay Nov-13-1996
Act. Delay 2
Class A-CS2 AAAIO
Cur Balance $623,691,525
Cur Coupon 1.76703
Yield to Maturity is corporate Bond Equivalent
SCN-1 SCN-121 SCN-122 SCN-123
11.597874 10.14 9.95 9.76 9.01
11.660374 10.01 9.82 9.63 8.88
11.722874 9.88 9.69 9.50 8.75
11.785374 9.76 9.57 9.38 8.62
11.847874 9.63 9.44 9.25 8.49
11.910374 9.51 9.32 9.13 8.37
11.972874 9.39 9.20 9.01 8.24
12.035374 9.27 9.08 8.89 8.12
12.097874 9.15 8.96 8.76 7.99
12.160374 9.03 8.84 8.64 7.87
12.222874 8.91 8.72 8.53 7.75
12.285374 8.80 8.60 8.41 7.63
12.347874 8.68 8.49 8.29 7.51
12.410374 8.57 8.37 8.18 7.39
*12.472874 8.45 8.26 8.06 7.27
12.535374 8.34 8.14 7.95 7.16
12.597874 8.23 8.03 7.83 7.04
12.660374 8.12 7.92 7.72 6.93
12.722874 8.01 7.81 7.61 6.81
12.785374 7.90 7.70 7.50 6.70
12.847874 7.79 7.59 7.39 6.59
12.910374 7.68 7.48 7.28 6.48
12.972874 7.58 7.37 7.17 6.37
13.035374 7.47 7.27 7.07 6.26
13.097874 7.36 7.16 6.96 6.15
13.160374 7.26 7.06 6.85 6.04
13.222874 7.16 6.95 6.75 5.93
13.285374 7.05 6.85 6.65 5.83
13.347874 6.95 6.75 6.54 5.72
13.410374 6.85 6.65 6.44 5.62
Wal 5.57 5.50 5.43 5.17
Window 14.92 14.92 14.92 14.92
Begin 199961113199961113 199961113199961113
End 20110913 20110913 20110913 20110913
Mod Dur 4.42 4.40 4.38 4.28
Convex 0.31 0.31 0.31 0.29
SCENARIO:
1 No prepayment till Anticipated Repayment Date
121 0.50% annual default rate after 48.00 months (20001011.00). recover
100.00% ub 12.00 months.
<PAGE>
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
122 1.00% annual default rate after 48.00 months (20001011.00). recover 100.00%
in 12.00 months.
Servicer Advances
Cumulative Loss 0.00%. Cumulative Default 0.00%.
123 3.00% annual default rate after 48.00 months (20001011.00). recover 100.00%
in 12.00 months.
Servicer Advances.
Cumulative Loss 0.00%. Cumulative Default 0.00%.
U.S. Treasury Curve
Term 0.000 0.250 0.5001.0002.000 3.0005.000 10.000 30.000
Yield 5.062 4.996 5.2305.4465.838 5.9966.205 6.476 6.739
TThis Structural Term Sheet contains preliminary information relating to a
proposed securities structure. All structural information contained
herein is preliminary and it is anticipated that such information will change.
Prospective investors are advised to carefully read, and should
rely solely on, the final prospectus and prospectus supplement
(the "Final Prospectus") in making their investment decision. Any
information contained herein will be more fully described in, and will be
fully superseded by, the description of the collateral and structure in
the prospectus supplement and Final Prospectus which will also include
information relating to the risks and special considerations
associated with an investment in securities of this type. Although the
information contained in this Structural Term Sheet is based on
sources which Nomura Securities International, Inc. ("Nomura") believes
to be reliable, Nomura makes no representation or warranty that
such information is accurate or complete. Such information should not be
viewed as projections, forecasts, predications or opinions with
respect to value, the actual rate or timing of principal payments or
prepayments on the underlying assets or the performance characteristics
of the securities. Nomura and its affiliates may in the future have a position
in the actual securities preliminary described herein and may
purchase or sell the same on a principal basis or as agent for another person.
In addition, Nomura may act as an underwriter of such
securities, and Nomura and certain of its affiliates may currently be providing
investment banking and other services to the issuer of such
securities and the borrowers described herein and their affiliates. Prior to
making any investment decision, a prospective investor shall
receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES.
<PAGE>
Deal ASC 1996-D3
Settle Oct-22-1996
Dated Oct-11-1996
Next Pay Nov-13-1996
Act Delay 2
Class A-1A AAA
Cur Balance $64,985,025
Cur Coupon 7.09500
Spread over Spot Curve.(Adjusted to Bond Equivalent at the point of the Spot
Curve equal to the Bond WAL.)
SCN-1
100-20 71
100-22 69
100-24 67
100-26 65
100-28 63
100-30 61
101-00 58
101-02 56
101-04 54
101-06 52
101-08 50
101-10 48
101-12 46
101-14 44
101-16 42
101-18 40
101-20 38
101-22 36
101-24 33
101-26 31
101-28 29
101-30 27
102-00 25
102-02 23
102-04 21
102-06 19
102-08 17
102-10 15
102-12 13
102-14 11
Wal 3.54
Window 6.42
Begin 19961113
End 20030313
Mod Dur 2.97
Convex 0.13
SCENARIO:
1 No payment till Anticipated Repayment Date.
U.S. Treasury Curve
Term 0.000 0.250.02501.000 2.0003.0005.000 10.0030.000
Yield 5.18 5.050 5.3075.579 5.9746.1356.334 6.5866.824
8
Coupon 0.00 0.000 0.0000.000 6.0006.0006.375 7.0006.750
0
This Structural Term Sheet contains preliminary information relating to a
proposed securities structure. All structural information contained
herein is preliminary and it is anticipated that such information will change.
Prospective investors are advised to carefully read, and should
rely solely on, the final prospectus and prospectus supplement
(the "Final Prospectus") in making their investment decision. Any
information contained herein will be more fully described in, and will be
fully superseded by, the description of the collateral and structure in
the prospectus supplement and Final Prospectus which will also include
information relating to the risks and special considerations
associated with an investment in securities of this type. Although the
information contained in this Structural Term Sheet is based on
sources which Nomura Securities International, Inc. ("Nomura") believes
to be reliable, Nomura makes no representation or warranty that
such information is accurate or complete. Such information should not be
viewed as projections, forecasts, predications or opinions with
respect to value, the actual rate or timing of principal payments or
prepayments on the underlying assets or the performance characteristics
of the securities. Nomura and its affiliates may in the future have a position
in the actual securities preliminary described herein and may
purchase or sell the same on a principal basis or as agent for another person.
In addition, Nomura may act as an underwriter of such
securities, and Nomura and certain of its affiliates may currently be providing
investment banking and other services to the issuer of such
securities and the borrowers described herein and their affiliates. Prior to
making any investment decision, a prospective investor shall
receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES.
<PAGE>
Deal ASC 1996-D3
Settle Oct-22-1996
Dated Oct-11-1996
Next Pay Nov-13-1996
Act Delay 2
Class A-1B AAA
Cur Balance $154,000,000
Cur Coupon 7.30800
Spread over Spot Curve. (Adjusted to Bond Equivalent at the point of
Spot Curve equal to the Bond WAL.)
SCN-1
100-20 81
100-22 80
100-24 79
100-26 78
100-28 76
100-30 75
101-00 74
101-02 73
101-04 72
101-06 71
101-08 70
101-10 68
101-12 67
101-14 66
*101-16 65
101-18 64
101-20 63
101-22 62
101-24 60
101-26 59
101-28 58
101-30 57
102-00 56
102-02 55
102-04 54
102-06 52
102-08 51
102-10 50
102-12 49
102-14 48
Wal 7.11
Window 3.08
Begin 20030313
End 20060313
Mod Dur 5.38
Convex 0.37
SCENARIO
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term 0.000 0.2500.5001.000 2.000 3.0005.000 10.00030.000
Yield 5.188 5.0505.3075.579 5.974 6.1356.334 6.586 6.824
Coupon 0.000 0.0000.0000.000 6.000 6.0006.375 7.000 6.750
This Structural Term Sheet contains preliminary information relating to a
proposed securities structure. All structural information contained
herein is preliminary and it is anticipated that such information will change.
Prospective investors are advised to carefully read, and should
rely solely on, the final prospectus and prospectus supplement
(the "Final Prospectus") in making their investment decision. Any
information contained herein will be more fully described in, and will be
fully superseded by, the description of the collateral and structure in
the prospectus supplement and Final Prospectus which will also include
information relating to the risks and special considerations
associated with an investment in securities of this type. Although the
information contained in this Structural Term Sheet is based on
sources which Nomura Securities International, Inc. ("Nomura") believes
to be reliable, Nomura makes no representation or warranty that
such information is accurate or complete. Such information should not be
viewed as projections, forecasts, predications or opinions with
respect to value, the actual rate or timing of principal payments or
prepayments on the underlying assets or the performance characteristics
of the securities. Nomura and its affiliates may in the future have a position
in the actual securities preliminary described herein and may
purchase or sell the same on a principal basis or as agent for another person.
In addition, Nomura may act as an underwriter of such
securities, and Nomura and certain of its affiliates may currently be providing
investment banking and other services to the issuer of such
securities and the borrowers described herein and their affiliates. Prior to
making any investment decision, a prospective investor shall
receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES.
<PAGE>
Deal ASC 1996-D3
Settle Oct-22-1996
Dated Oct-11-1996
Next Pay Nov-13-1996
Act Delay 2
Class A-1C AAA
Cur Balance $321,000,000
Cur Coupon 7.44000
Spread over Spot Curve. (Adjusted to Bond Equivalent at the point of
Spot Curve equal to the Bond WAL.)
SCN-1
100-20 87
100-22 86
100-24 85
100-26 84
100-28 83
100-30 82
101-00 81
101-02 80
101-04 79
101-06 79
101-08 78
101-10 77
101-12 76
101-14 75
*101-16 74
101-18 73
101-20 72
101-22 71
101-24 71
101-26 70
101-28 69
101-30 68
102-00 67
102-02 66
102-04 65
102-06 64
102-08 63
102-10 63
102-12 62
102-14 61
Wal 10.22
Window 4.17
Begin 20060313
End 20100413
Mod Dur 6.94
Convex 0.64
SCENARIO
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term 0.000 0.2500.5001.000 2.0003.0005.000 10.0030.000
Yield 5.188 5.0505.3075.579 5.9746.1356.334 6.5866.824
Coupon 0.000 0.0000.0000.000 6.0006.0006.375 7.0006.750
This Structural Term Sheet contains preliminary information relating to a
proposed securities structure. All structural information contained
herein is preliminary and it is anticipated that such information will change.
Prospective investors are advised to carefully read, and should
rely solely on, the final prospectus and prospectus supplement
(the "Final Prospectus") in making their investment decision. Any
information contained herein will be more fully described in, and will be
fully superseded by, the description of the collateral and structure in
the prospectus supplement and Final Prospectus which will also include
information relating to the risks and special considerations
associated with an investment in securities of this type. Although the
information contained in this Structural Term Sheet is based on
sources which Nomura Securities International, Inc. ("Nomura") believes
to be reliable, Nomura makes no representation or warranty that
such information is accurate or complete. Such information should not be
viewed as projections, forecasts, predications or opinions with
respect to value, the actual rate or timing of principal payments or
prepayments on the underlying assets or the performance characteristics
of the securities. Nomura and its affiliates may in the future have a position
in the actual securities preliminary described herein and may
purchase or sell the same on a principal basis or as agent for another person.
In addition, Nomura may act as an underwriter of such
securities, and Nomura and certain of its affiliates may currently be providing
investment banking and other services to the issuer of such
securities and the borrowers described herein and their affiliates. Prior to
making any investment decision, a prospective investor shall
receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES.
<PAGE>
Deal ASC 1996-D3
Settle Oct-22-1996
Dated Oct-11-1996
Next Pay Nov-13-1996
Act Delay 2
Class A-2 AAA/AA
Cur Balance $19,564,674
Cur Coupon 7.54600
Spread over Spot Curve. (Adjusted to Bond Equivalent at the point of
Spot Curve equal to the Bond WAL.)
SCN-1
100-20 90
100-22 89
100-24 88
100-26 88
100-28 87
100-30 86
101-00 85
101-02 85
101-04 84
101-06 83
101-08 82
101-10 82
101-12 81
101-14 80
101-16 79
101-18 79
101-20 78
101-22 77
101-24 77
101-26 76
10128 75
101-30 74
102-00 74
102-02 73
102-04 72
102-06 71
102-08 71
102-10 70
102-12 69
102-14 69
Wal 14.08
Window 1.08
Begin 20100413
End 20110413
Mod Dur 8.44
Convex 0.99
SCENARIO
1 No prepayment till Anticipated Repayment Date.
U.S. Treasury Curve
Term 0.000 0.2500.5001.000 2.0003.0005.000 10.0030.000
Yield 5.188 5.0505.3075.579 5.9746.1356.334 6.5866.824
Coupon 0.000 0.0000.0000.000 6.0006.0006.375 7.0006.750
This Structural Term Sheet contains preliminary information relating to a
proposed securities structure. All structural information contained
herein is preliminary and it is anticipated that such information will change.
Prospective investors are advised to carefully read, and should
rely solely on, the final prospectus and prospectus supplement
(the "Final Prospectus") in making their investment decision. Any
information contained herein will be more fully described in, and will be
fully superseded by, the description of the collateral and structure in
the prospectus supplement and Final Prospectus which will also include
information relating to the risks and special considerations
associated with an investment in securities of this type. Although the
information contained in this Structural Term Sheet is based on
sources which Nomura Securities International, Inc. ("Nomura") believes
to be reliable, Nomura makes no representation or warranty that
such information is accurate or complete. Such information should not be
viewed as projections, forecasts, predications or opinions with
respect to value, the actual rate or timing of principal payments or
prepayments on the underlying assets or the performance characteristics
of the securities. Nomura and its affiliates may in the future have a position
in the actual securities preliminary described herein and may
purchase or sell the same on a principal basis or as agent for another person.
In addition, Nomura may act as an underwriter of such
securities, and Nomura and certain of its affiliates may currently be providing
investment banking and other services to the issuer of such
securities and the borrowers described herein and their affiliates. Prior to
making any investment decision, a prospective investor shall
receive and fully review the Final Prospectus. NOTHING HEREIN SHOULD BE
CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES.
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-336
101-02 7.09 7.11
101-04 7.08 7.09
101-06 7.07 7.08
101-08 7.06 7.07
101-10 7.05 7.06
101-12 7.04 7.05
101-14 7.02 7.04
* 101-16 7.01 7.03
101-18 7.00 7.02
101-20 6.99 7.01
101-22 6.98 7.00
101-24 6.97 6.99
101-26 6.96 6.98
101-28 6.95 6.97
101-30 6.93 6.96
WAL: 7.11 7.74
WINDOW 3.08 3.33
BEGIN: 20030313 20030313
END: 20060313 20060613
MOD DUR: 5.41 5.75
CONVEX: 0.37 0.42
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
336 Every other Cashtrap Loan with Anticipated Repayment Date prior to
1997 (20% of Cut-Off Balance, 20% of Loans) extends with cashtrap.
Maintain constant NOI.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
<PAGE>
CUR BALANCE: $321,000,000
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-336
101-02 7.29 7.30
101-04 7.28 7.29
101-06 7.27 7.29
101-08 7.26 7.28
101-10 7.25 7.27
101-12 7.24 7.26
101-14 7.24 7.25
* 101-16 7.23 7.24
101-18 7.22 7.24
101-20 7.21 7.23
101-22 7.20 7.22
101-24 7.19 7.21
101-26 7.18 7.20
101-28 7.17 7.20
101-30 7.16 7.19
WAL: 10.22 11.74
WINDOW 4.17 5.08
BEGIN: 20060313 20060613
END: 20100413 20110613
MOD DUR: 6.98 7.61
CONVEX: 0.64 0.79
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
336 Every other Cashtrap Loan with Anticipated Repayment Date prior to
1997 (20% of Cut-Off Balance, 20% of Loans) extends with cashtrap.
Maintain constant NOI.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1B AAA
CUR BALANCE: $154,000,000
CUR COUPON: 7.18800
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-335
101-02 7.09 7.11
101-04 7.08 7.10
101-06 7.07 7.09
101-08 7.06 7.08
101-10 7.05 7.07
101-12 7.04 7.06
101-14 7.02 7.05
* 101-16 7.01 7.04
101-18 7.00 7.03
101-20 6.99 7.02
101-22 6.98 7.01
101-24 6.97 7.00
101-26 6.96 6.99
101-28 6.95 6.98
101-30 6.93 6.97
WAL: 7.11 8.23
WINDOW 3.08 3.33
BEGIN: 20030313 20030313
END: 20060313 20060613
MOD DUR: 5.41 6.01
CONVEX: 0.37 0.47
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
335 Every 5th Loan extends with cashtrap. Additionally, the largest 5
effective Balloons extend.(46% of Cut-Off Balance,22% of Loans).
Constant NOI.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476 6.739
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-1C AAA
CUR BALANCE: $321,000,000
<PAGE>
CUR COUPON: 7.33300
Yield to Maturity is Corporate Bond Equivalent
----------- -------- --------
SCENARIO: SCN-1 SCN-335
101-02 7.29 7.30
101-04 7.28 7.29
101-06 7.27 7.29
101-08 7.26 7.28
101-10 7.25 7.27
101-12 7.24 7.26
101-14 7.24 7.25
* 101-16 7.23 7.25
101-18 7.22 7.24
101-20 7.21 7.23
101-22 7.20 7.22
101-24 7.19 7.21
101-26 7.18 7.21
101-28 7.17 7.20
101-30 7.16 7.19
WAL: 10.22 11.92
WINDOW 4.17 5.33
BEGIN: 20060313 20060613
END: 20100413 20110913
MOD DUR: 6.98 7.68
CONVEX: 0.64 0.80
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
335 Every 5th Loan extends with cashtrap. Additionally, the largest 5
effective Balloons extend.(46% of Cut-Off Balance,22% of Loans).
Constant NOI.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000 30.000
Yield: 5.062 4.996 5.230 5.446 5.838 5.996 6.205 6.476 6.739
<PAGE>
DEAL: ASC 1996-D3
SETTLE: Oct-22-1996
DATED: Oct-11-1996
NEXT PAY: Nov-13-1996
ACT. DELAY: 2
CLASS: A-CS1 AAAIO
CUR BALANCE: $64,970,798
CUR COUPON: 2.06527
Yield to Maturity is Corporate Bond Equivalent
----------- -------- -------- -------- -------- --------
SCENARIO: SCN-1 SCN-144 SCN-141 SCN-142
SCN-143
5.923269 11.62 9.46 7.65 2.80 0.08
5.954519 11.35 9.17 7.36 2.49 -0.24
5.985769 11.08 8.90 7.07 2.19 -0.55
6.017019 10.82 8.62 6.79 1.89 -0.86
6.048269 10.55 8.35 6.51 1.59 -1.16
6.079519 10.29 8.07 6.23 1.29 -1.47
6.110769 10.03 7.81 5.96 1.00 -1.77
6.142019 9.77 7.54 5.68 0.71 -2.07
6.173269 9.51 7.27 5.41 0.42 -2.37
6.204519 9.26 7.01 5.14 0.13 -2.66
6.235769 9.01 6.75 4.88 -0.15 -2.95
6.267019 8.76 6.50 4.61 -0.43 -3.24
* 6.298269 8.51 6.24 4.35 -0.71 -3.53
6.329519 8.27 5.99 4.09 -0.98 -3.81
6.360769 8.03 5.74 3.83 -1.26 -4.09
6.392019 7.79 5.49 3.58 -1.53 -4.37
6.423269 7.55 5.24 3.32 -1.80 -4.65
6.454519 7.31 5.00 3.07 -2.07 -4.92
6.485769 7.08 4.75 2.82 -2.33 -5.20
6.517019 6.84 4.51 2.58 -2.59 -5.47
6.548269 6.61 4.27 2.33 -2.86 -5.74
6.579519 6.38 4.04 2.09 -3.11 -6.00
6.610769 6.16 3.80 1.85 -3.37 -6.27
6.642019 5.93 3.57 1.61 -3.63 -6.53
6.673269 5.71 3.34 1.37 -3.88 -6.79
WAL: 2.30 2.13 2.02 1.77 1.67
WINDOW 6.42 5.92 5.50 4.58 4.17
BEGIN: 19961113 19961113 19961113 19961113
19961113
END: 20030313 20020913 20020413 20010513
20001213
MOD DUR: 2.02 1.95 1.90 1.79 1.74
CONVEX: 0.07 0.07 0.06 0.05 0.05
SCENARIO:
1 No prepayment till Anticipated Repayment Date.
<PAGE>
144 0.5% annual default rate after 36.0 months (19991011).
recover 70.00% in 0.00 months. Servicer Advances. Cumulative Loss 1.12%.
Cumulative Default 3.75%.
141 1.0% annual default rate after 36.0 months (19991011).
recover 70.00% in 0.00 months. Servicer Advances. Cumulative Loss 2.20%.
Cumulative Default 7.34%.
142 3.0% annual default rate after 36.0 months (19991011).
recover 70.00% in 0.00 months. Servicer Advances. Cumulative Loss 6.09%.
Cumulative Default 20.29%.
143 5.0% annual default rate after 36.0 months (19991011).
recover 70.00% in 0.00 months. Servicer Advances. Cumulative Loss 9.38%.
Cumulative Default 31.25%.
U.S. Treasury Curve
Term: 0.000 0.250 0.500 1.000 2.000 3.000 5.000 10.000 30.000
Yield: 5.062 5.118 5.276 5.488 6.058 6.099 6.306 6.575 6.835
Analysis Provided by Zapp, Version 3.4
<PAGE>
