<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported)
November 14, 1996
ContiSecurities Asset Funding Corp.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 33-99340 Application Pending
- ----------------------------- -------------- -------------------
(State or Other Jurisdiction) (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
c/o Manufacturers and Traders Trust Company
One M & T Plaza
Buffalo, New York 14240
- -------------------------------------------- --------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (716) 842-4217
--------------
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events.
In connection with the offering of ContiMortgage Home Equity Loan
Pass-Through Certificates, Series 1996-4, certain "Computational Materials"
within the meaning of the May 20, 1994 Kidder, Peabody No-Action Letter and the
February 17, 1995 Public Securities Association No-Action Letter were furnished
to certain prospective investors (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Related Computational Materials provided by Bear, Stearns &
Co. Inc. in connection with sales efforts.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CONTISECURITIES ASSET FUNDING CORP.,
as Depositor
By: /s/ James E. Moore
-------------------------------------
Name: James E. Moore
Title: President
By: /s/ Jerome M. Perelson
-------------------------------------
Name: Jerome M. Perelson
Title: Vice President
Dated: November 18, 1996
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.1 Related Computational Materials provided by Bear, Stearns &
Co. Inc. in connection with sales efforts.
<PAGE>
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES,
AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may very significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the information.
The information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessement. As such, the
information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
information. The assumptions underlying the information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no loger
be complete or current. Contact your registered representative for Offering
Documents, current information or additional materials, including other models
for performance analysis, which are likely to produce different results, and any
further explanation regarding the information.
Any pricing estimates Bear Sterns has supplied at your request (a) represent our
view, at the time determined, of the investment value of the securities between
the estimated bid and offer levels, the spread between which may be significant
due to market volatility or illiquidity, (b) do not constitute a bid by any
person for any security, (c) may not constitute prices at which the securities
could have been purchased or sold in any market, (d) have not been confirmed by
actual trades, may vary from the value Bear Stearns assigns any such security
while in its inventory, and may not take into account the size of a position you
have in the security, and (e) may have been derived from matrix pricing that
uses data relating to other securities whose prices are more readily
ascertainable to produce a hypothetical price based on the estimated yield
spread relationship between the securities.
General Information. The data underlying the information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns and/or
individuals thereof may have positions in these securities while the information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
If you experience any problems receiving the above specified pages, please call
(212) 272-3311 or the party listed above.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Modeling Assumptions
Loan Group I: $675,000,000 Fixed Rate Collateral
Loan Group II: $225,000,000 Adjustable Rate Collateral
Loan Group I Prepayment Assumption: 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that the prepayments start at 4% CPR in month 1,
rise by 1.455% per month to 20% CPR in month 12 and remain at 20% CPR thereafter
on a seasoning adjusted basis.
Loan Group II Prepayment Assumption: Prepayments remain constant at 21% CPR
throughout the life of the collateral.
<TABLE>
<CAPTION>
Delay Day Dated Settlement
Class Loan Group Balance WAL Coupon Days Count Date Date Notes
- ----- ---------- ------- --- ------ ---- ----- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 I $96,500,000 0.50 1 m. LIB + 7 None Actual/360 12/12/96 12/12/96 (1)
A-2 I $113,900,000 1.14 6.21% 14 30/360 11/23/96 12/12/96 (2)
A-3 I $139,800,000 2.08 6.29% 14 30/360 11/23/96 12/12/96 (2)
A-4 I $62,900,000 3.08 6.48% 14 30/360 11/23/96 12/12/96 (2)
A-5 I $71,700,000 4.08 6.69% 14 30/360 11/23/96 12/12/96 (2)
A-6 I $37,800,000 5.20 6.80% 14 30/360 11/23/96 12/12/96 (2)
A-7 I $59,100,000 7.00 7.07% 14 30/360 11/23/96 12/12/96 (2)
A-8 I $43,300,000 11.45 7.30% 14 30/360 11/23/96 12/12/96 (2)
A-9 I $50,000,000 7.01 6.95% 14 30/360 11/23/96 12/12/96 (2)
A-10 II $225,000,000 3.96 1 m. LIB + 26 None Actual/360 12/12/96 12/12/96 (3)
A-11IO I (4) 0.99% 14 30/360 11/23/96 12/12/96 (4)
A-12IO II (5) 0.95% 14 30/360 11/23/96 12/12/96 (5)
</TABLE>
Notes
- --------------------------------------------------------------------------------
(1) Class A-1 Floater is uncapped and settles flat; Actual/360 day count;
assumes 1 month LIBOR as 5.375%.
(2) Classes A-2 through A-9 and Class A-11IO and Class A-12IO settle with
accrued interest; 30/360 day count.
(3) Class A-10 Floater settles flat; Actual/360 day count; assumes 1 month LIBOR
as 5.375% and 6 month LIBOR as 5.540%.
(4) Class A-11IO Notional Balance is the outstanding Loan Group I bond balance
each month.
(5) Class A-12IO Notional Balance is the outstanding Loan Group II bond balance
each month.
Page 1
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Modeling Assumptions
OC uses excess from both Loan Group I and Loan Group II
<TABLE>
<CAPTION>
Loan Group I Loan Group II
------------ -------------
<S> <C> <C>
OC Target Months 1-4: $500,000 $500,000
OC Ramp thereafter: 2.60% as % of initial principal balance 2.50% as % of initial principal balance
OC Step (rule applies for each Loan Group) 5.20% as % of current principal balance 5.00% as % of current principal balance
</TABLE>
The OC Step occurs when the period is 31 and the current principal balance is
less than 50% of the initial principal balance.
<TABLE>
<S> <C> <C>
OC Floor: 0.50% as % of initial principal balance 0.50% as % of initial principal balance
OC Carveout: n/a 0.50% - after month 12 on Loan Group II
Servicing: 0.50% 0.50%
Trustee: 0.01% 0.01%
MBIA Fees: 0.10% 0.10%
Class A-11IO Carveout 0.99% n/a
Class A-12IO Carveout n/a 0.95%
Losses: 0.00% 0.00%
</TABLE>
Class A-1 Floater is uncapped and is backed by fixed rate collateral from Loan
Group I.
Class A-9 Lock Bond is allocated principal pari passu with the class of bonds
that is currently receiving principal payments in a ratio equal to the product
a) the outstanding principal balance of the Lock Bond divided by the outstanding
principal balance of all fixed rate classes and b) a specified percentage.
The specified percentage is as follows:
Distribution Periods Applicable Percentages
-------------------- ----------------------
Month 1 - Month 36 0%
Month 37 - Month 60 45%
Month 61- Month 72 80%
Month 73 - Month 84 100%
Month 85 - End 140%
Class A-10 Floater assumes 1 month LIBOR of 5.375% and 6 month LIBOR of 5.540%
Page 2
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date)
Summary of Bonds
<TABLE>
<CAPTION>
To Avg 1st pay- Last pay-
Maturity Life CBE ment Date ment Date Modified Legal
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration Final
- -------- ------------ ------ ------ ----- ---------- --------- --------- -------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $ 96,500,000 5.45% 0.50 5.59% 100.00000% 15-Jan-97 15-Oct-97 0.48 TBD
A-2 $113,900,000 6.21% 1.14 6.07% 100.00000% 15-Oct-97 15-Jun-98 1.07 TBD
A-3 $139,800,000 6.29% 2.08 6.24% 100.00000% 15-Jun-98 15-Aug-99 1.89 TBD
A-4 $ 62,900,000 6.48% 3.08 6.48% 100.00000% 15-Aug-99 15-Jun-00 2.71 TBD
A-5 $ 71,700,000 6.69% 4.08 6.71% 100.00000% 15-Jun-00 15-Sep-01 3.46 TBD
A-6 $ 37,800,000 6.80% 5.20 6.84% 100.00000% 15-Sep-01 15-Sep-02 4.25 TBD
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Sep-05 5.33 TBD
A-8 $ 43,300,000 7.30% 11.45 7.37% 100.00000% 15-Sep-05 15-Oct-11 7.46 TBD
A-9 $ 50,000,000 6.95% 7.01 7.00% 100.00000% 15-Jan-00 15-Oct-11 5.25 TBD
A-10 $225,000,000 5.64% 3.96 5.80% 100.00000% 15-Jan-97 15-Oct-17 3.16 TBD
<CAPTION>
Avg 1st pay- Last pay-
To Call Life CBE ment Date ment Date Modified
Class Amount Coupon (yrs.) Yield Price (mm/yy) (mm/yy) Duration
------- ------------ ------ ------ ----- ---------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-7 $ 59,100,000 7.07% 7.00 7.12% 100.00000% 15-Sep-02 15-Jul-05 5.33
A-8 $ 43,300,000 7.30% 8.59 7.37% 100.00000% 15-Jul-05 15-Jul-05 6.18
A-9 $ 50,000,000 6.95% 6.55 7.00% 100.00000% 15-Jan-00 15-Jul-05 5.03
A-10 $225,000,000 5.64% 3.54 5.79% 100.00000% 15-Jan-97 15-Jul-05 2.95
</TABLE>
Notes:
- ---------------------
1 Fixed Rate Certificates (Class A-1 to A-9) Pricing Prepayment = 120% of the
Prepayment Assumption. A 100% Prepayment Assumprion assumes prepayments start
at 4% CPR in month 1, rise by 1.455% per month to 20% CPR in month 12
thereafter on a seasoning adjusted basis.
2 Adjustable Rate Certificates (Class A-10) Pricing Prepayment = 21% CPR
throughout the life of the collateral.
3 Coupons and prices are assumed for computational materials.
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 3
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Collateral
Fixed Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
<TABLE>
<S> <C> <C>
Total Number of Loans: 9,887
Total Outstanding Loan Balance: $582,035,109
Balloon (% of Total): 55.24%
Level Pay (% of Total): 44.76%
Average Loan Principal Balance: $58,869 ($3,785 to $449,768)
Weighted Average LTV: 71.71% (4.00% to 93.00%)
Weighted Average CLTV : 74.92% (8.00% to 95.00%)
Weighted Average Home Equity Ratio (2nd Liens): 95.74% (6.50% to 100.00%)
Weighted Average Coupon: 11.90% (8.15% to 19.29%)
Weighted Average Remaining Term to Maturity (months): 211.0 (46 to 360)
Weighted Average Seasoning (months): 1.0
Weighted Average Original Term (months): 211.9 (48 to 360 )
</TABLE>
Range of Original Terms: Level Pay Balloons
----------------- -------------------
Up to 60: 0.15% Up to 60: 0.01%
61 - 120: 1.86% 61 - 120: 0.01%
121 - 180: 13.27% 121 - 180: 55.24%
181 - 240: 16.34%
241 - 300: 0.19%
301 - 360: 12.95%
Lien Position: 1st Lien: 93.03%
2nd Lien: 6.97%
Property Type:
Single Family Detached: 85.68% 2-4 Family: 7.97%
Single Family Attached: 2.95% Other: 3.40%
Occupancy Status:
Owner Occupied: 95.16%
Non-Owner Occupied: 4.84%
Geographic Distribution: OH: 9.93% NJ: 6.19%
(states not listed individually account for NY: 9.00% FL: 6.08%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.52% NC: 5.79%
principal balance) PA: 6.26%
Credit Quality: A: 52.41%
(per ContiMortgage's guidelines) B: 26.47%
C: 16.04%
D: 5.08%
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 4
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information relating to the Collateral
Adjustable Rate Home Equity Loans
Characteristics of the Mortgage Pool as of the
Preliminary Cut-Off Date October 31, 1996:
Total Number of Loans: 2,455
Total Outstanding Loan Balance: $196,656,403
Balloon (% of Total): 0.29%
Level Pay (% of Total): 99.71%
Adjustable (% of Total): 100.00%
ARM Adjustment Type: "3 / 27" "2 / 28" "6 Month"
-------- -------- ---------
15.50% 4.43% 80.06%
<TABLE>
<S> <C> <C>
Average Loan Principal Balance: $80,104 ($10,000 to $444,459)
Weighted Average LTV: 74.51% (13.00% to 90.00%)
Weighted Average Coupon: 10.44% (6.99% to 16.10%)
Weighted Average Gross Margin: 6.77% (0.60% to 16.00%)
Weighted Average Gross Life Cap: 16.72% (11.40% to 22.10%)
Weighted Average Periodic Cap: 1.06% (1.00% to 6.00%)
Weighted Average Remaining Term to Maturity (months): 356.4 (120 to 360)
Weighted Average Seasoning (months): 0.7
Weighted Average Original Term (months): 357.1 (120 to 360)
</TABLE>
Range of Original Terms: Adjustable Balloons
-------------------- -------------------
61 - 120: 0.04% 121 - 180: 0.29%
121 - 180: 1.12%
181 - 240: 0.21%
241 - 300: 0.03%
301 - 360: 98.29%
Lien Position: 1st Lien: 100.00%
2nd Lien: 0.00%
Property Type:
Single Family Detached: 91.21% 2-4 Family: 3.58%
Single Family Attached: 1.38% Other: 3.83%
Occupancy Status:
Owner Occupied: 96.79%
Non-Owner Occupied: 3.21%
Geographic Distribution: MI: 34.22%
(states not listed individually account for CA: 10.15%
less than 5.00% of the Outstanding Mortgage Pool IL: 6.66%
principal balance)
Credit Quality: A: 45.31%
(per ContiMortgage's guidelines) B: 27.89%
C: 22.42%
D: 4.37%
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 5
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Alabama 5 $233,322.24 0.04%
Arkansas 36 1,815,826.60 0.31%
Arizona 85 5,725,686.30 0.98%
California 151 14,083,184.69 2.42%
Colorado 114 7,237,254.20 1.24%
Connecticut 90 7,962,917.58 1.37%
DC 44 3,362,084.00 0.58%
Delaware 58 3,752,747.50 0.64%
Florida 625 35,376,249.06 6.08%
Georgia 263 13,928,407.76 2.39%
Hawaii 2 368,750.00 0.06%
Iowa 12 376,653.35 0.06%
Idaho 31 2,050,008.02 0.35%
Illinois 681 37,935,732.01 6.52%
Indiana 476 21,233,098.46 3.65%
Kansas 48 2,923,013.91 0.50%
Kentucky 178 9,777,067.36 1.68%
Louisiana 5 317,187.51 0.05%
Massachusetts 242 18,605,721.53 3.20%
Maryland 367 26,630,018.26 4.58%
Maine 14 598,893.01 0.10%
Michigan 1,260 57,897,716.94 9.95%
Minnesota 66 3,585,970.16 0.62%
Missouri 215 10,216,520.98 1.76%
Mississippi 14 587,919.76 0.10%
Montana 3 278,276.65 0.05%
North Carolina 652 33,705,348.97 5.79%
Nebraska 6 243,561.09 0.04%
New Hampshire 18 886,598.89 0.15%
New Jersey 461 36,041,592.92 6.19%
New Mexico 79 5,561,649.75 0.96%
Nevada 23 1,277,635.18 0.22%
New York 618 52,362,438.17 9.00%
Ohio 1,057 57,805,183.95 9.93%
Oklahoma 42 1,985,794.97 0.34%
Oregon 36 2,721,742.41 0.47%
Pennsylvania 649 36,434,983.95 6.26%
Rhode Island 64 4,288,315.36 0.74%
South Carolina 294 14,649,705.79 2.52%
South Dakota 1 44,807.63 0.01%
Tennessee 206 10,482,083.13 1.80%
Texas 78 5,409,967.17 0.93%
Utah 125 9,367,510.90 1.61%
Virginia 224 10,926,492.11 1.88%
Vermont 2 146,993.57 0.03%
Washington 58 5,387,014.44 0.93%
Wisconsin 98 5,119,957.61 0.88%
West Virginia 8 226,853.37 0.04%
Wyoming 3 98,650.23 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 6
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 48 778,062.44 0.13%
10.01% to 15.00% 259 5,574,471.00 0.96%
15.01% to 20.00% 328 8,719,865.18 1.50%
20.01% to 25.00% 313 9,485,048.44 1.63%
25.01% to 30.00% 242 8,054,787.86 1.38%
30.01% to 35.00% 205 6,738,662.05 1.16%
35.01% to 40.00% 238 8,699,846.46 1.49%
40.01% to 45.00% 216 8,433,481.57 1.45%
45.01% to 50.00% 347 12,658,457.00 2.17%
50.01% to 55.00% 272 12,869,560.02 2.21%
55.01% to 60.00% 502 24,848,959.21 4.27%
60.01% to 65.00% 663 36,022,312.05 6.19%
65.01% to 70.00% 951 55,296,927.14 9.50%
70.01% to 75.00% 1,192 78,455,985.52 13.48%
75.01% to 80.00% 2,309 153,399,499.42 26.36%
80.01% to 85.00% 1,107 89,289,444.05 15.34%
85.01% to 90.00% 688 62,538,264.23 10.74%
90.01% to 95.00% 2 119,577.87 0.02%
--------------------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Combined Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Combined LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
5.01% to 10.00% 4 $66,965.78 0.01%
10.01% to 15.00% 22 308,230.39 0.05%
15.01% to 20.00% 35 679,677.64 0.12%
20.01% to 25.00% 83 1,922,478.18 0.33%
25.01% to 30.00% 97 2,622,488.95 0.45%
30.01% to 35.00% 123 3,268,940.72 0.56%
35.01% to 40.00% 188 6,338,708.65 1.09%
40.01% to 45.00% 186 6,991,479.90 1.20%
45.01% to 50.00% 351 12,281,602.70 2.11%
50.01% to 55.00% 276 12,335,901.01 2.12%
55.01% to 60.00% 540 25,734,173.17 4.42%
60.01% to 65.00% 723 37,719,697.61 6.48%
65.01% to 70.00% 1,059 59,645,835.66 10.25%
70.01% to 75.00% 1,358 83,724,376.68 14.38%
75.01% to 80.00% 2,700 165,952,975.70 28.51%
80.01% to 85.00% 1,447 99,715,023.09 17.13%
85.01% to 90.00% 691 62,588,728.87 10.75%
90.01% to 95.00% 4 137,824.70 0.02%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 7
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
8.01% to 9.00% 84 $7,795,830.35 1.34%
9.01% to 10.00% 704 55,209,593.92 9.49%
10.01% to 11.00% 1,924 134,512,328.08 23.11%
11.01% to 12.00% 2,440 154,915,661.42 26.62%
12.01% to 13.00% 2,087 116,279,337.09 19.98%
13.01% to 14.00% 1,307 63,117,203.01 10.84%
14.01% to 15.00% 707 29,184,631.79 5.01%
15.01% to 16.00% 403 14,262,163.26 2.45%
16.01% to 17.00% 113 3,698,042.69 0.64%
17.01% to 18.00% 99 2,516,113.57 0.43%
18.01% to 19.00% 17 508,225.69 0.09%
19.01% to 20.00% 2 35,978.53 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 1,549 $29,110,158.05 5.00%
25,000.01 to 50,000.00 3,612 135,953,596.39 23.36%
50,000.01 to 75,000.00 2,372 144,935,442.09 24.90%
75,000.01 to 100,000.00 1,134 97,850,081.58 16.81%
100,000.01 to 125,000.00 577 64,365,212.31 11.06%
125,000.01 to 150,000.00 278 37,865,288.58 6.51%
150,000.01 to 175,000.00 151 24,372,551.25 4.19%
175,000.01 to 200,000.00 88 16,395,669.51 2.82%
200,000.01 to 225,000.00 51 10,895,435.93 1.87%
225,000.01 to 250,000.00 28 6,656,679.17 1.14%
250,000.01 to 275,000.00 20 5,164,757.43 0.89%
275,000.01 to 300,000.00 13 3,733,341.24 0.64%
300,000.01 to 325,000.00 9 2,830,244.63 0.49%
325,000.01 to 350,000.00 2 677,246.03 0.12%
350,000.01 to 375,000.00 1 372,000.00 0.06%
400,000.01 to 425,000.00 1 407,636.73 0.07%
425,000.01 to 450,000.00 1 449,768.48 0.08%
----------------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
======================================================================
</TABLE>
(a) decimals have been truncated.
Page 8
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 84 $4,614,392.42 0.79%
Manufactured Housing 157 $8,093,862.67 1.39%
Mixed Use 33 $3,233,716.33 0.56%
Planned Unit Development 46 $3,846,764.76 0.66%
Single Family Attached 367 17,145,342.70 2.95%
Single Family Detached 8,538 498,661,306.06 85.68%
Two-to-Four Family 662 46,439,724.46 7.98%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Months Elapsed Number of Percentage of
Since Origination Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 months 6,250 $369,009,126.67 63.40%
2 to 12 months 3,631 212,706,139.82 36.55%
13 to 24 months 6 319,842.91 0.05%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Original Term (a) Home Equity Aggregate Aggregate
Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 470 $11,726,014.22 2.01%
121 to 180 months 6,575 398,729,485.73 68.51%
181 to 240 months 1,802 95,089,620.00 16.34%
241 to 360 months 1,040 76,489,989.45 13.14%
---------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
===============================================================
(a) decimals have been truncated.
</TABLE>
Page 9
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Home Equity Ratio
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Home Equity Aggregate Aggregate
Ratio (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 5.00% 5 $51,897.89 0.01%
5.01% to 10.00% 44 711,096.66 0.12%
10.01% to 15.00% 237 5,266,240.61 0.90%
15.01% to 20.00% 293 8,040,187.54 1.38%
20.01% to 25.00% 236 7,688,558.18 1.32%
25.01% to 30.00% 149 5,538,115.81 0.95%
30.01% to 35.00% 88 3,636,272.04 0.62%
35.01% to 40.00% 60 2,843,512.00 0.49%
40.01% to 45.00% 41 1,839,192.73 0.32%
45.01% to 50.00% 23 1,210,605.69 0.21%
50.01% to 55.00% 29 1,555,262.68 0.27%
55.01% to 60.00% 16 969,346.53 0.17%
60.01% to 65.00% 5 361,733.88 0.06%
65.01% to 70.00% 5 284,854.42 0.05%
70.01% to 75.00% 5 506,719.28 0.09%
75.01% to 80.00% 2 79,865.35 0.01%
----------------------------------------------------------------
Total 1,238 $40,583,461.29 6.97%
================================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
Investor Occupied 570 $28,167,641.70 4.84%
Owner Occupied 9,317 553,867,467.70 95.16%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1st lien 8,649 $541,451,648.11 93.03%
2nd lien 1,238 40,583,461.29 6.97%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Page 10
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Fixed Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 379 $22,621,189.94 3.89%
Debt Consolidation 8,544 502,936,200.74 86.41%
Home Improvement 457 23,220,071.78 3.99%
Other 507 33,257,646.94 5.71%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 4,627 $321,542,623.06 55.24%
Non Balloon 5,260 260,492,486.34 44.76%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 9,825 $578,930,860.83 99.47%
30 to 59 days 54 2,678,295.34 0.46%
60 to 89 days 7 371,576.88 0.06%
90 to 119 days 1 54,376.35 0.01%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 9 $451,372.70 0.08%
5.01% to 10.00% 61 2,261,182.65 0.39%
10.01% to 20.00% 761 32,229,687.92 5.54%
20.01% to 30.00% 1,958 96,402,217.97 16.56%
30.01% to 40.00% 2,883 168,525,469.15 28.95%
40.01% to 50.00% 3,999 265,528,910.42 45.62%
50.01% to 60.00% 216 16,636,268.59 2.86%
----------------------------------------------------------------
Total 9,887 $582,035,109.40 100.00%
================================================================
</TABLE>
(a) decimals have been truncated.
Page 11
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Geographic Location
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Geographic Location Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Arizona 61 $5,684,184.04 2.89%
California 146 19,969,677.32 10.15%
Colorado 79 7,511,012.91 3.82%
Connecticut 18 2,822,251.21 1.44%
DC 5 569,874.44 0.29%
Delaware 3 347,484.99 0.18%
Florida 11 1,122,216.13 0.57%
Georgia 14 981,839.29 0.50%
Hawaii 1 245,000.00 0.12%
Iowa 30 1,231,721.58 0.63%
Idaho 26 1,727,649.68 0.88%
Illinois 166 13,090,771.67 6.66%
Indiana 69 4,202,519.92 2.14%
Kansas 22 1,273,203.23 0.65%
Kentucky 21 1,683,933.92 0.86%
Massachusetts 25 2,775,663.50 1.41%
Maryland 38 4,195,610.17 2.13%
Maine 1 50,000.00 0.03%
Michigan 1,020 67,292,579.25 34.22%
Minnesota 41 2,692,478.15 1.37%
Missouri 27 1,927,484.88 0.98%
Mississippi 1 22,950.00 0.01%
Montana 1 37,758.46 0.02%
North Carolina 16 1,518,987.32 0.77%
North Dakota 1 42,250.00 0.02%
Nebraska 9 587,339.70 0.30%
New Hampshire 1 88,081.01 0.04%
New Jersey 34 3,857,325.02 1.96%
New Mexico 35 3,539,870.79 1.80%
Nevada 2 118,532.92 0.06%
New York 41 4,279,510.59 2.18%
Ohio 91 7,552,730.99 3.84%
Oklahoma 1 52,500.00 0.03%
Oregon 30 2,320,359.56 1.18%
Pennsylvania 71 5,075,681.85 2.58%
Rhode Island 7 720,952.18 0.37%
South Carolina 6 353,010.64 0.18%
Tennessee 12 1,436,614.51 0.73%
Texas 49 3,743,535.30 1.90%
Utah 68 6,781,651.52 3.45%
Virginia 16 1,159,919.40 0.59%
Vermont 1 44,984.81 0.02%
Washington 51 6,104,517.66 3.10%
Wisconsin 64 4,616,000.17 2.35%
West Virginia 18 805,625.27 0.41%
Wyoming 5 398,557.20 0.20%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 12
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Original Loan-to-Value Ratio (LTV)
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Original LTV's (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
10.01% to 15.00% 1 15,000.00 0.01%
15.01% to 20.00% 3 67,000.00 0.03%
20.01% to 25.00% 10 413,645.75 0.21%
25.01% to 30.00% 16 687,181.96 0.35%
30.01% to 35.00% 18 695,372.27 0.35%
35.01% to 40.00% 36 1,952,813.88 0.99%
40.01% to 45.00% 31 1,380,734.12 0.70%
45.01% to 50.00% 74 4,242,807.08 2.16%
50.01% to 55.00% 48 2,380,961.19 1.21%
55.01% to 60.00% 128 7,466,317.49 3.80%
60.01% to 65.00% 201 13,013,244.39 6.62%
65.01% to 70.00% 273 22,479,953.27 11.43%
70.01% to 75.00% 460 38,119,601.24 19.38%
75.01% to 80.00% 784 67,571,808.77 34.36%
80.01% to 85.00% 339 32,547,267.77 16.55%
85.01% to 90.00% 33 3,622,693.97 1.84%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Coupon Rates
<TABLE>
<CAPTION>
Number of Percentage of
Home Equity Aggregate Aggregate
Coupon (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
6.01% to 7.00% 1 $277,771.68 0.14%
7.01% to 8.00% 34 3,652,300.62 1.86%
8.01% to 9.00% 197 19,309,782.98 9.82%
9.01% to 10.00% 647 59,573,547.23 30.29%
10.01% to 11.00% 773 62,750,392.81 31.91%
11.01% to 12.00% 502 34,180,971.27 17.38%
12.01% to 13.00% 187 10,825,276.44 5.50%
13.01% to 14.00% 63 3,720,084.44 1.89%
14.01% to 15.00% 42 1,961,753.68 1.00%
15.01% to 16.00% 8 364,522.00 0.19%
16.01% to 17.00% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 13
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Current Loan Balances
<TABLE>
<CAPTION>
Number of Percentage of
Current Home Equity Aggregate Aggregate
Loan Balance (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
$0 to $25,000.00 121 $2,514,364.61 1.28%
25,000.01 to 50,000.00 650 24,899,311.61 12.66%
50,000.01 to 75,000.00 682 42,529,798.80 21.63%
75,000.01 to 100,000.00 414 36,140,013.69 18.38%
100,000.01 to 125,000.00 220 24,629,950.72 12.52%
125,000.01 to 150,000.00 145 19,666,395.51 10.00%
150,000.01 to 175,000.00 87 14,102,354.47 7.17%
175,000.01 to 200,000.00 49 9,034,693.31 4.59%
200,000.01 to 225,000.00 27 5,678,412.70 2.89%
225,000.01 to 250,000.00 19 4,557,278.72 2.32%
250,000.01 to 275,000.00 80 2,094,409.28 1.07%
275,000.01 to 300,000.00 13 3,759,012.17 1.91%
300,000.01 to 325,000.00 8 2,491,733.35 1.27%
325,000.01 to 350,000.00 3 1,013,535.23 0.52%
350,000.01 to 375,000.00 4 1,442,110.05 0.73%
375,000.01 to 400,000.00 1 394,111.23 0.20%
400,000.01 to 425,000.00 3 1,264,458.67 0.64%
425,000.01 to 450,000.00 1 444,459.03 0.23%
--------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
========================================================
</TABLE>
(a) decimals have been truncated
Distribution by Types of Mortgaged Property
<TABLE>
<CAPTION>
Number of Percentage of
Property Home Equity Aggregate Aggregate
Types Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Condominium 32 $2,249,921.47 1.14%
Manufactured Housing 53 $3,333,572.03 1.70%
Mixed Use 1 $169,000.00 0.09%
Planned Unit Development 13 $1,793,065.33 0.91%
Single Family Attached 37 2,711,755.06 1.38%
Single Family Detached 2,240 179,368,877.89 91.21%
Two-to-Four Family 79 7,030,211.37 3.57%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Months since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Months Elapsed Home Equity Aggregate Aggregate
Since Origination Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 1 month 1,729 $133,869,387.03 68.07%
2 to 12 months 726 62,787,016.12 31.93%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 14
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Remaining Term to Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Remaining Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Original Term to Maturit
<TABLE>
<CAPTION>
Number of Percentage of
Original Home Equity Aggregate Aggregate
Term (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C>
0 to 120 months 2 $83,000.00 0.04%
121 to 180 months 52 2,790,805.24 1.42%
181 to 240 months 10 414,135.96 0.21%
241 to 360 months 2,391 193,368,461.95 98.33%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Occupancy Status
<TABLE>
<CAPTION>
Number of Percentage of
Occupancy Home Equity Aggregate Aggregate
Status Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Investor Occupied 106 $6,311,797.65 3.21%
Owner Occupied 2,349 $190,344,605.50 96.79%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Lien Position
<TABLE>
<CAPTION>
Number of Percentage of
Lien Home Equity Aggregate Aggregate
Position Loans Loan Balance Loan Balance
<S> <C> <C> <C>
1st lien 2,455 $196,656,403.15 100.00%
2nd lien 0 0.00 0.00%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 15
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Loan Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
DC & HI Combo 144 $11,126,483.57 5.66%
Debt Consolidation 2,048 163,119,057.27 82.95%
Home Improvement 112 7,620,603.16 3.88%
Other 151 14,790,259.15 7.52%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Loan Type
<TABLE>
<CAPTION>
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Purpose Loans Loan Balance Loan Balance
<S> <C> <C> <C>
Balloon 8 $579,195.06 0.29%
Non Balloon 2,477 196,077,208.09 99.71%
-------------------------------------------------------------
Total 2,485 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Days Delinquent
<TABLE>
<CAPTION>
Percentage of
Number Outstanding Outstanding
Days Delinquent of Loans Balance Balance
<S> <C> <C> <C>
0 to 29 days 2,448 $196,294,907.09 99.82%
30 to 59 days 6 313,996.06 0.16%
60 to 89 days 1 47,500.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Distribution by Debt to Income Ratio
<TABLE>
<CAPTION>
Percentage of
Debt to Number Outstanding Outstanding
Income Ratio of Loans Balance Balance
<S> <C> <C> <C>
0.00% to 5.00% 1 $102,744.43 0.05%
5.01% to 10.00% 16 999,190.51 0.51%
10.01% to 15.00% 67 3,263,302.69 1.66%
15.01% to 20.00% 130 7,568,290.18 3.85%
20.01% to 30.00% 506 34,314,765.38 17.45%
30.01% to 40.00% 688 55,426,334.71 28.18%
40.01% to 50.00% 971 87,265,646.74 44.37%
50.01% to 60.00% 76 7,716,128.51 3.92%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 16
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Gross Coupon Margin
<TABLE>
<CAPTION>
Number of Percentage of
Gross Coupon Home Equity Aggregate Aggregate
Margin (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $45,777.23 0.02%
1.00% to 1.99% 1 25,000.00 0.01%
3.00% to 3.99% 7 852,192.08 0.43%
4.00% to 4.99% 57 6,188,359.12 3.15%
5.00% to 5.99% 437 46,451,794.18 23.62%
6.00% to 6.99% 781 62,401,005.89 31.73%
7.00% to 7.99% 690 52,864,116.27 26.88%
8.00% to 8.99% 331 20,111,294.73 10.23%
9.00% to 9.99% 131 6,554,614.50 3.33%
10.00% to 10.99% 18 1,106,749.15 0.56%
16.00% to 16.99% 1 55,500.00 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by Gross Coupon Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Gross Lifetime Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
11.00% to 11.99% 1 $98,600.00 0.05%
13.00% to 13.99% 19 1,928,710.00 0.98%
14.00% to 14.99% 113 11,331,812.73 5.76%
15.00% to 15.99% 497 45,187,874.60 22.98%
16.00% to 16.99% 807 65,815,086.02 33.47%
17.00% to 17.99% 625 47,603,837.84 24.21%
18.00% to 18.99% 251 16,492,070.30 8.39%
19.00% to 19.99% 82 5,094,935.84 2.59%
20.00% to 20.99% 49 2,597,753.82 1.32%
21.00% to 21.99% 10 465,722.00 0.24%
22.00% to 22.99% 1 40,000.00 0.02%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by ARM Adjustment Type
<TABLE>
<CAPTION>
Number of Percentage of
ARM Adjustment Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
"2 / 28" 305 $30,489,479.26 15.50%
"3 / 27" 79 8,712,948.86 4.43%
"6 months" 2,071 157,453,975.03 80.07%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
Page 17
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Periodic Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap(a) Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
1.00% to 1.9 2,445 $195,843,703.79 99.59%
2.00% to 2.99% 3 350,907.61 0.18%
3.00% to 3.99% 6 403,733.46 0.21%
6.00% to 6.99% 1 58,058.29 0.03%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Distribution by First Adjust Cap
<TABLE>
<CAPTION>
Number of Percentage of
Periodic Home Equity Aggregate Aggregate
Cap (a) Loans Loan Balance Loan Balance
Loans With First Adjust Cap (different than subsequent cap):
<S> <C> <C> <C> <C>
0.00% to 0.99% 1 $59,500.00 0.03%
1.00% to 1.99% 7 883,464.40 0.45%
2.00% to 2.99% 5 481,881.59 0.25%
3.00% to 3.99% 325 33,154,208.18 16.86%
6.00% to 6.99% 8 815,774.10 0.41%
<CAPTION>
Loans With Periodic Cap (always same cap):
<S> <C> <C> <C> <C>
1.00% to 1.9 2,102 $160,664,967.27 81.70%
2.00% to 2.99% 2 230,632.61 0.12%
3.00% to 3.99% 5 365,975.00 0.19%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 18
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Adjustable Rate Loans (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Distribution by Coupon Rate Change
<TABLE>
<CAPTION>
Next Coupon Number of Percentage of
Rate Change Home Equity Aggregate Aggregate
Date Loans Loan Balance Loan Balance
<S> <C> <C> <C> <C>
December 1996 4 $272,468.28 0.14%
January 1997 37 2,882,327.28 1.47%
February 1997 226 17,826,018.79 9.06%
March 1997 709 57,347,623.80 29.16%
April 1997 808 60,954,242.49 31.00%
May 1997 287 18,171,294.39 9.24%
July 1997 1 70,923.35 0.04%
July 1998 13 1,220,927.78 0.62%
August 1998 73 7,528,177.09 3.83%
September 1998 67 6,217,309.93 3.16%
October 1998 136 13,817,364.46 7.03%
November 1998 16 1,705,700.00 0.87%
April 1999 1 113,815.17 0.06%
June 1999 1 120,629.78 0.06%
July 1999 10 1,232,499.95 0.63%
August 1999 17 1,579,376.32 0.80%
September 1999 13 1,314,514.90 0.67%
October 1999 23 2,710,889.39 1.38%
November 1999 13 1,570,300.00 0.80%
-------------------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=============================================================
</TABLE>
(a) decimals have been truncated.
Page 19
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Rep Lines (October 31, 1996 Preliminary Cut-Off Date)
Fixed Rate Collateral Group I
<TABLE>
<CAPTION>
Original Remaining Original
Gross Net Term to Term to Amortization
Pool Principal Coupon Coupon Maturity Maturity Term Amortization
Number Balance Rate Rate (months) (months) (months) Method
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 $988,478.17 11.556% 11.056% 60 58 60 Level Pay
2 $12,546,697.69 12.304% 11.804% 118 116 118 Level Pay
3 $89,579,208.36 11.924% 11.424% 179 177 179 Level Pay
4 $110,277,700.54 11.816% 11.316% 240 238 240 Level Pay
5 $1,314,843.69 11.902% 11.402% 300 298 300 Level Pay
6 $87,392,421.63 11.398% 10.898% 360 358 360 Level Pay
7 $372,900,649.91 12.023% 11.523% 180 178 360 Balloon
Totals $675,000,000.00
</TABLE>
Adjustable Rate Collateral Group II
<TABLE>
<CAPTION>
Original
Gross Net Months Term to
Pool Principal Coupon Coupon to Rate Periodic Life Maturity
Number Balance Rate Rate Change Margin Cap Cap (months)
- --------- ----------------- ------------ ------------ ------------ ------------ ------------ ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 $311,738.45 10.738% 10.238% 1 6.663% 1.0 17.115% 360
2 $3,297,749.92 10.536% 10.036% 2 6.718% 1.0 16.671% 349
3 $20,395,238.41 10.552% 10.052% 3 6.943% 1.0 16.766% 356
4 $65,612,993.77 10.350% 9.850% 4 6.835% 1.0 16.643% 357
5 $69,739,425.42 10.322% 9.822% 5 6.896% 1.0 16.547% 357
6 $20,790,277.72 10.347% 9.847% 6 7.168% 1.0 16.399% 356
7 $81,145.36 11.000% 10.500% 8 6.700% 1.0 17.000% 360
8 $1,396,897.06 11.122% 10.622% 20 6.655% 2.8 17.627% 360
9 $8,613,194.48 10.680% 10.180% 21 6.072% 3.0 17.309% 360
10 $7,113,395.30 10.678% 10.178% 22 6.268% 2.9 17.218% 355
11 $15,808,826.73 10.586% 10.086% 23 6.194% 2.7 17.279% 360
12 $1,951,538.29 10.904% 10.404% 24 6.585% 2.6 16.904% 360
13 $130,219.07 10.250% 9.750% 29 5.950% 3.0 16.250% 360
14 $138,015.85 10.750% 10.250% 31 6.250% 3.0 16.750% 360
15 $1,410,137.09 10.783% 10.283% 32 5.822% 3.0 16.953% 360
16 $1,807,007.89 10.879% 10.379% 33 6.157% 2.9 16.944% 360
17 $1,503,972.65 10.975% 10.475% 34 6.156% 3.2 17.540% 360
18 $3,101,603.12 10.957% 10.457% 35 6.378% 2.8 17.215% 360
19 $1,796,623.42 10.743% 10.243% 36 6.642% 3.1 16.917% 360
Totals $225,000,000.00
</TABLE>
Remaining Original
Term to Amortization
Pool Maturity Term Amortization
Number (months) (months) Method
- --------- ------------- ------------ ------------
1 355 360 Level Pay
2 345 349 Level Pay
3 353 356 Level Pay
4 355 357 Level Pay
5 356 357 Level Pay
6 356 356 Level Pay
7 355 360 Level Pay
8 356 360 Level Pay
9 357 360 Level Pay
10 353 355 Level Pay
11 359 360 Level Pay
12 360 360 Level Pay
13 353 360 Level Pay
14 355 360 Level Pay
15 356 360 Level Pay
16 357 360 Level Pay
17 358 360 Level Pay
18 359 360 Level Pay
19 360 360 Level Pay
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 20
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-1: $96,500,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 75% 25% 0% 0% 0% 0%
12/15/98 68% 0% 0% 0% 0% 0%
12/15/99 59% 0% 0% 0% 0% 0%
12/15/00 50% 0% 0% 0% 0% 0%
12/15/01 39% 0% 0% 0% 0% 0%
12/15/02 28% 0% 0% 0% 0% 0%
12/15/03 16% 0% 0% 0% 0% 0%
12/15/04 3% 0% 0% 0% 0% 0%
12/15/05 0% 0% 0% 0% 0% 0%
12/15/06 0% 0% 0% 0% 0% 0%
12/15/07 0% 0% 0% 0% 0% 0%
12/15/08 0% 0% 0% 0% 0% 0%
12/15/09 0% 0% 0% 0% 0% 0%
12/15/10 0% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life:
Years (3) to Maturity 3.95 0.78 0.55 0.50 0.44 0.37
Years (3) to Call 3.95 0.78 0.55 0.50 0.44 0.37
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 21
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-2: $113,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 78% 61% 35% 0%
12/15/98 100% 61% 0% 0% 0% 0%
12/15/99 100% 7% 0% 0% 0% 0%
12/15/00 100% 0% 0% 0% 0% 0%
12/15/01 100% 0% 0% 0% 0% 0%
12/15/02 100% 0% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 89% 0% 0% 0% 0% 0%
12/15/06 76% 0% 0% 0% 0% 0%
12/15/07 61% 0% 0% 0% 0% 0%
12/15/08 45% 0% 0% 0% 0% 0%
12/15/09 27% 0% 0% 0% 0% 0%
12/15/10 6% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 11.59 2.26 1.30 1.14 0.98 0.81
Years (3) to Call 11.59 2.26 1.30 1.14 0.98 0.81
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 22
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-3: $139,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 93%
12/15/98 100% 100% 78% 51% 13% 0%
12/15/99 100% 100% 10% 0% 0% 0%
12/15/00 100% 68% 0% 0% 0% 0%
12/15/01 100% 34% 0% 0% 0% 0%
12/15/02 100% 6% 0% 0% 0% 0%
12/15/03 100% 0% 0% 0% 0% 0%
12/15/04 100% 0% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) to Maturity 14.82 4.63 2.46 2.08 1.70 1.31
Years (3) to Call 14.82 4.63 2.46 2.08 1.70 1.31
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 23
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-4: $62,900,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 0%
12/15/99 100% 100% 100% 52% 0% 0%
12/15/00 100% 100% 16% 0% 0% 0%
12/15/01 100% 100% 0% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 59% 0% 0% 0% 0%
12/15/04 100% 13% 0% 0% 0% 0%
12/15/05 100% 0% 0% 0% 0% 0%
12/15/06 100% 0% 0% 0% 0% 0%
12/15/07 100% 0% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 7.27 3.71 3.08 2.46 1.84
Years (3) to Call 14.84 7.27 3.71 3.08 2.46 1.84
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 24
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-5: $71,700,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 99%
12/15/99 100% 100% 100% 100% 64% 0%
12/15/00 100% 100% 100% 51% 0% 0%
12/15/01 100% 100% 41% 0% 0% 0%
12/15/02 100% 100% 0% 0% 0% 0%
12/15/03 100% 100% 0% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 75% 0% 0% 0% 0%
12/15/06 100% 42% 0% 0% 0% 0%
12/15/07 100% 13% 0% 0% 0% 0%
12/15/08 100% 0% 0% 0% 0% 0%
12/15/09 100% 0% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 14.84 9.85 4.95 4.08 3.20 2.32
Years (3) to Call 14.84 9.85 4.95 4.08 3.20 2.32
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 25
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-6: $37,800,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 11%
12/15/00 100% 100% 100% 100% 48% 0%
12/15/01 100% 100% 100% 63% 0% 0%
12/15/02 100% 100% 77% 0% 0% 0%
12/15/03 100% 100% 2% 0% 0% 0%
12/15/04 100% 100% 0% 0% 0% 0%
12/15/05 100% 100% 0% 0% 0% 0%
12/15/06 100% 100% 0% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 74% 0% 0% 0% 0%
12/15/09 100% 27% 0% 0% 0% 0%
12/15/10 100% 0% 0% 0% 0% 0%
12/15/11 25% 0% 0% 0% 0% 0%
12/15/12 22% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 15.22 12.56 6.40 5.20 4.05 2.88
Years (3) to Call 15.22 12.56 6.40 5.20 4.05 2.88
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 26
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-7: $59,100,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 17%
12/15/01 100% 100% 100% 100% 56% 0%
12/15/02 100% 100% 100% 83% 12% 0%
12/15/03 100% 100% 100% 43% 0% 0%
12/15/04 100% 100% 66% 16% 0% 0%
12/15/05 100% 100% 38% 0% 0% 0%
12/15/06 100% 100% 14% 0% 0% 0%
12/15/07 100% 100% 0% 0% 0% 0%
12/15/08 100% 100% 0% 0% 0% 0%
12/15/09 100% 100% 0% 0% 0% 0%
12/15/10 100% 90% 0% 0% 0% 0%
12/15/11 100% 0% 0% 0% 0% 0%
12/15/12 100% 0% 0% 0% 0% 0%
12/15/13 95% 0% 0% 0% 0% 0%
12/15/14 73% 0% 0% 0% 0% 0%
12/15/15 49% 0% 0% 0% 0% 0%
12/15/16 25% 0% 0% 0% 0% 0%
12/15/17 19% 0% 0% 0% 0% 0%
12/15/18 12% 0% 0% 0% 0% 0%
12/15/19 4% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 19.32 14.67 8.70 7.00 5.26 3.65
Years (3) to Call 19.32 14.67 8.69 7.00 5.26 3.65
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 27
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-8: $43,300,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 100% 100% 100% 100% 100% 100%
12/15/01 100% 100% 100% 100% 100% 53%
12/15/02 100% 100% 100% 100% 100% 25%
12/15/03 100% 100% 100% 100% 79% 14%
12/15/04 100% 100% 100% 100% 57% 10%
12/15/05 100% 100% 100% 92% 39% 5%
12/15/06 100% 100% 100% 68% 26% 1%
12/15/07 100% 100% 93% 50% 17% 0%
12/15/08 100% 100% 71% 36% 9% 0%
12/15/09 100% 100% 53% 24% 4% 0%
12/15/10 100% 100% 39% 16% 0% 0%
12/15/11 100% 55% 3% 0% 0% 0%
12/15/12 100% 44% 0% 0% 0% 0%
12/15/13 100% 34% 0% 0% 0% 0%
12/15/14 100% 25% 0% 0% 0% 0%
12/15/15 100% 17% 0% 0% 0% 0%
12/15/16 100% 10% 0% 0% 0% 0%
12/15/17 100% 7% 0% 0% 0% 0%
12/15/18 100% 5% 0% 0% 0% 0%
12/15/19 100% 3% 0% 0% 0% 0%
12/15/20 94% 1% 0% 0% 0% 0%
12/15/21 80% 0% 0% 0% 0% 0%
12/15/22 66% 0% 0% 0% 0% 0%
12/15/23 50% 0% 0% 0% 0% 0%
12/15/24 31% 0% 0% 0% 0% 0%
12/15/25 11% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 26.87 16.66 13.23 11.45 8.90 5.66
Years (3) to Call 26.20 14.84 10.51 8.59 6.95 4.85
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 28
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-9: $50,000,000 "LOCK BOND"
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 100% 100% 100% 100% 100% 100%
12/15/98 100% 100% 100% 100% 100% 100%
12/15/99 100% 100% 100% 100% 100% 100%
12/15/00 99% 95% 90% 88% 85% 79%
12/15/01 99% 89% 81% 77% 72% 62%
12/15/02 97% 81% 67% 61% 53% 40%
12/15/03 95% 71% 52% 45% 36% 21%
12/15/04 92% 59% 37% 30% 20% 8%
12/15/05 88% 49% 26% 19% 11% 2%
12/15/06 84% 41% 18% 12% 6% 0%
12/15/07 80% 33% 12% 7% 3% 0%
12/15/08 76% 27% 8% 4% 1% 0%
12/15/09 71% 22% 5% 3% 0% 0%
12/15/10 66% 18% 3% 1% 0% 0%
12/15/11 0% 0% 0% 0% 0% 0%
12/15/12 0% 0% 0% 0% 0% 0%
12/15/13 0% 0% 0% 0% 0% 0%
12/15/14 0% 0% 0% 0% 0% 0%
12/15/15 0% 0% 0% 0% 0% 0%
12/15/16 0% 0% 0% 0% 0% 0%
12/15/17 0% 0% 0% 0% 0% 0%
12/15/18 0% 0% 0% 0% 0% 0%
12/15/19 0% 0% 0% 0% 0% 0%
12/15/20 0% 0% 0% 0% 0% 0%
12/15/21 0% 0% 0% 0% 0% 0%
12/15/22 0% 0% 0% 0% 0% 0%
12/15/23 0% 0% 0% 0% 0% 0%
12/15/24 0% 0% 0% 0% 0% 0%
12/15/25 0% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 13.20 9.42 7.53 7.01 6.39 5.64
Years (3) to Call 13.20 9.42 7.22 6.55 5.80 4.62
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 29
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Prepayment Scenario Tables (October 31, 1996 Preliminary Cut-Off Date)
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Fixed Rate Group (1) 0.00% 50.00% 100.00% 120.00% 150.00% 200.00%
Adjustable Rate Group (2) 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
</TABLE>
- ----------
(1) As a percentage of the Prepayment Assumption.
(2) As a conditional prepayment rate (CPR) percentage.
Class A-10: $225,000,000
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
--------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Payment Date
Initial Percent 100% 100% 100% 100% 100% 100%
12/15/97 97% 89% 81% 76% 73% 65%
12/15/98 97% 81% 67% 59% 55% 43%
12/15/99 96% 74% 56% 46% 41% 29%
12/15/00 96% 68% 46% 36% 31% 20%
12/15/01 95% 62% 39% 29% 23% 13%
12/15/02 94% 56% 32% 22% 18% 9%
12/15/03 94% 51% 27% 18% 13% 6%
12/15/04 93% 46% 22% 14% 10% 4%
12/15/05 92% 42% 19% 11% 7% 2%
12/15/06 91% 39% 16% 8% 5% 1%
12/15/07 90% 35% 13% 6% 4% 1%
12/15/08 88% 32% 11% 5% 3% 0%
12/15/09 87% 29% 9% 4% 2% 0%
12/15/10 85% 26% 7% 3% 1% 0%
12/15/11 83% 23% 6% 2% 1% 0%
12/15/12 81% 21% 5% 1% 1% 0%
12/15/13 78% 19% 4% 1% 0% 0%
12/15/14 75% 16% 3% 1% 0% 0%
12/15/15 72% 15% 2% 0% 0% 0%
12/15/16 69% 13% 2% 0% 0% 0%
12/15/17 64% 11% 1% 0% 0% 0%
12/15/18 60% 9% 1% 0% 0% 0%
12/15/19 55% 8% 1% 0% 0% 0%
12/15/20 49% 6% 0% 0% 0% 0%
12/15/21 42% 5% 0% 0% 0% 0%
12/15/22 35% 4% 0% 0% 0% 0%
12/15/23 27% 2% 0% 0% 0% 0%
12/15/24 18% 1% 0% 0% 0% 0%
12/15/25 7% 0% 0% 0% 0% 0%
12/15/26 0% 0% 0% 0% 0% 0%
12/15/27 0% 0% 0% 0% 0% 0%
Weighted Average Life
Years (3) 21.62 9.39 5.22 3.96 3.43 2.48
Years (3) to Call 21.24 7.92 4.59 3.54 3.01 2.17
</TABLE>
- ----------
(3) The Weighted Average Life of the above Certificate is determined by (i)
multiplying the amount of each principal payment by the number of years from the
date of issuance to the related Payment Date, (ii) adding the results, and (iii)
dividing the sum by the initial respective Certificate Principal Balance for
such Class of Class A Certificates.
Page 30
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
TRANSACTION SUMMARY @ Pricing Prepayment Speed
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Estimated to Maturity Expected
---------------------------------------------------------- Ratings
Modified Principal Principal (Moody's /
Approximate Size Certificate WAL Duration Lockout Window S&P / FITCH)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$96,500,000 Class A-1 0.50 0.48 0 10 Aaa/AAA/AAA
$113,900,000 Class A-2 1.14 1.07 9 9 Aaa/AAA/AAA
$139,800,000 Class A-3 2.08 1.89 17 15 Aaa/AAA/AAA
$62,900,000 Class A-4 3.08 2.71 31 11 Aaa/AAA/AAA
$71,700,000 Class A-5 4.08 3.46 41 16 Aaa/AAA/AAA
$37,800,000 Class A-6 5.20 4.25 56 13 Aaa/AAA/AAA
$59,100,000 Class A-7 7.00 5.33 68 37 Aaa/AAA/AAA
$43,300,000 Class A-8 11.45 7.46 104 74 Aaa/AAA/AAA
$50,000,000 Class A-9 7.01 5.25 36 142 Aaa/AAA/AAA
$225,000,000 Class A-10 3.96 3.16 0 250 Aaa/AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
Class A-1 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 3.95 0.78 0.55 0.50 0.44 0.37
Duration 3.31 0.75 0.53 0.48 0.42 0.36
First Principal Payment 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97 01/15/97
Last Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 99 17 11 10 8 7
Yield @ Par 5.59% 5.59% 5.59% 5.59% 5.59% 5.60%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-2 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 11.59 2.26 1.3 1.14 0.98 0.81
Duration 7.99 2.04 1.22 1.07 0.92 0.77
First Principal Payment 03/15/05 05/15/98 11/15/97 10/15/97 08/15/97 07/15/97
Last Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Principal Lockout (months) 98 16 10 9 7 6
Principal Window (months) 74 22 11 9 8 6
Yield @ Par 6.26% 6.17% 6.09% 6.07% 6.03% 5.98%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 31
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-3 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.82 4.63 2.46 2.08 1.7 1.31
Duration 9.37 3.88 2.21 1.89 1.56 1.22
First Principal Payment 04/15/11 02/15/00 09/15/98 06/15/98 03/15/98 12/15/97
Last Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Principal Lockout (months) 171 37 20 17 14 11
Principal Window (months) 7 38 19 15 12 9
Yield @ Par 6.35% 6.31% 6.26% 6.24% 6.22% 6.17%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-4 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 7.27 3.71 3.08 2.46 1.84
Duration 9.27 5.62 3.20 2.71 2.21 1.69
First Principal Payment 10/15/11 03/15/03 03/15/00 08/15/99 02/15/99 08/15/98
Last Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Principal Lockout (months) 177 74 38 31 25 19
Principal Window (months) 1 26 13 11 8 5
Yield @ Par 6.54% 6.52% 6.49% 6.48% 6.45% 6.42%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-5 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 14.84 9.85 4.95 4.08 3.20 2.32
Duration 9.14 6.99 4.08 3.46 2.79 2.09
First Principal Payment 10/15/11 04/15/05 03/15/01 06/15/00 09/15/99 12/15/98
Last Principal Payment 10/15/11 06/15/08 10/15/02 09/15/01 08/15/00 08/15/99
Principal Lockout (months) 177 99 50 41 32 23
Principal Window (months) 1 39 20 16 12 9
Yield @ Par 6.76% 6.75% 6.72% 6.71% 6.69% 6.66%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-6 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 15.22 12.56 6.40 5.20 4.05 2.88
Duration 9.20 8.19 5.03 4.25 3.43 2.54
First Principal Payment 10/15/11 6/15/08 10/15/02 9/15/01 8/15/00 8/15/99
Last Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Principal Lockout (months) 177 137 69 56 43 31
Principal Window (months) 24 27 16 13 10 6
Yield @ Par 6.87% 6.87% 6.84% 6.84% 6.82% 6.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 32
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.70 7.00 5.26 3.65
Duration 10.19 8.85 6.28 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 45 37 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.87 16.66 13.23 11.45 8.90 5.66
Duration 11.40 9.28 8.19 7.46 6.26 4.44
First Principal Payment 6/15/20 10/15/11 9/15/07 9/15/05 5/15/03 4/15/01
Last Principal Payment 6/15/26 4/15/21 2/15/13 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 281 177 128 104 76 51
Principal Window (months) 73 115 66 74 94 73
Yield @ Par 7.39% 7.38% 7.38% 7.37% 7.37% 7.35%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND"(to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.53 7.01 6.39 5.64
Duration 8.27 6.49 5.53 5.25 4.91 4.47
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 10/15/11 10/15/11 2/15/11 4/15/07
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 142 142 134 88
Yield @ Par 7.02% 7.01% 7.00% 7.00% 7.00% 6.99%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 33
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
Information Relating to the Bonds
<TABLE>
<CAPTION>
Class A-7 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 19.32 14.67 8.69 7.00 5.26 3.65
Duration 10.19 8.85 6.27 5.33 4.24 3.11
First Principal Payment 9/15/13 8/15/10 1/15/04 9/15/02 5/15/01 1/15/00
Last Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Principal Lockout (months) 200 163 84 68 52 36
Principal Window (months) 82 15 42 35 25 16
Yield @ Par 7.15% 7.14% 7.13% 7.12% 7.11% 7.09%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-8 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 26.20 14.84 10.51 8.59 6.95 4.85
Duration 11.32 8.78 7.10 6.18 5.28 3.95
First Principal Payment 6/15/20 10/15/11 6/15/07 7/15/05 5/15/03 4/15/01
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 281 177 125 102 76 51
Principal Window (months) 43 1 1 1 8 9
Yield @ Par 7.39% 7.38% 7.37% 7.37% 7.36% 7.34%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-9 "LOCK BOND" (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 100% 120% 150% 200%
Ramp to 0% 10.00% 20.00% 24.00% 30.00% 40.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 13.20 9.42 7.22 6.55 5.80 4.62
Duration 8.27 6.49 5.40 5.03 4.59 3.82
First Principal Payment 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00 1/15/00
Last Principal Payment 10/15/11 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 36 36 36 36 36 36
Principal Window (months) 142 142 90 67 48 24
Yield @ Par 7.02% 7.01% 7.00% 7.00% 6.99% 6.98%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 10.50% 15.75% 21.00% 26.25% 31.50%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Page 34
<PAGE>
ContiMortgage Home Equity Loan Trust, Series 1996-4
(October 31, 1996 Preliminary Cut-Off Date) Update
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
BEAR STEARNS
- --------------------------------------------------------------------------------
Fixed Rate Home Equity Loans
Weighted Average Home Equity Ratio (2nd Liens): 38.95% (6.50% to 97.58%)
Adjustable Rate Home Equity Loans
ARM Adjustment Type: "3 / 27" " 2 / 28" "6 Month"
-------- --------- ---------
4.43% 15.50% 80.06%
Distribution by Loan Type
Number of Percentage of
Loan Home Equity Aggregate Aggregate
Type Loans Loan Balance Loan Balance
Balloon 8 $579,195.06 0.29%
Non Balloon 2,447 196,077,208.09 99.71%
-------------------------------------------------
Total 2,455 $196,656,403.15 100.00%
=================================================
Prepayment Scenario Tables
<TABLE>
<CAPTION>
Class A-10 (to maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.62 9.39 5.22 3.96 3.43 2.48
Duration 11.57 6.20 3.96 3.16 2.81 2.12
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 8/15/26 3/15/26 5/15/22 10/15/17 5/15/15 6/15/10
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 356 351 305 250 221 162
Yield @ Par 5.79% 5.81% 5.81% 5.80% 5.81% 5.81%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Class A-10 (to call)
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Scenario Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI
CPR% 0.00% 8.00% 16.00% 21.00% 24.00% 32.00%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Average Life (years) 21.24 7.92 4.59 3.54 3.01 2.17
Duration 11.49 5.71 3.67 2.95 2.57 1.92
First Principal Payment 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97 1/15/97
Last Principal Payment 12/15/23 10/15/11 6/15/07 7/15/05 12/15/03 12/15/01
Principal Lockout (months) 0 0 0 0 0 0
Principal Window (months) 324 178 126 103 84 60
Yield @ Par 5.79% 5.79% 5.79% 5.79% 5.79% 5.79%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
