<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): February 3, 2000
CONSECO FINANCE SECURITIZATIONS CORP.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
333-92313-01
Delaware 333-85119-01 41-1807858
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission (IRS employer
of incorporation) file number) identification No.)
1100 Landmark Towers, 345 St. Peter Street, Saint Paul, Minnesota 55102-1639
------------------------------------------------------------------------------
(Address of principal executive offices)
Registrant's telephone number, including area code: (651) 293-3400
---------------------
Not Applicable
- -----------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 1. Changes in Control of Registrant.
--------------------------------
Not applicable.
Item 2. Acquisition or Disposition of Assets.
------------------------------------
Not applicable.
Item 3. Bankruptcy or Receivership.
-------------------------
Not applicable.
Item 4. Changes in Registrant's Certifying Accountant.
----------------------------------------------
Not applicable.
Item 5. Other Events.
------------
Not applicable.
Item 6. Resignations of Registrant's Directors.
--------------------------------------
Not applicable.
Item 7. Financial Statements and Exhibits.
---------------------------------
(a) Financial statements of businesses acquired.
Not applicable.
(b) Pro forma financial information.
Not applicable.
(c) Exhibits.
The following is filed herewith. The exhibit numbers correspond
with Item 601(b) of Regulation S-K.
2
<PAGE>
Exhibit No. Description
----------- -----------
99.1 Computational Material of Credit Suisse First
Boston Corporation, dated February 3, 2000,
distributed in connection with $281,700,000
(approximate) Class AV, Class MV-1, Class MV-2,
Class BV-1 and BV-2 Certificates for Home Loans,
Series 2000-A, issued by Conseco Finance Home Loan
Trust 2000-A, formed by Conseco Finance
Securitizations Corp.
3
<PAGE>
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.
CONSECO FINANCE SECURITIZATIONS CORP.
By: /s/ Phyllis A. Knight
-----------------------
Phyllis A. Knight
Senior Vice President and Treasurer
4
<PAGE>
[LOGO](TM)
CONSECO(R)
- --------------------------------------------------------------------------------
Computational Materials
-----------------------
Conseco Finance Securitizations Corp.
Seller
Conseco Finance Corp.
Servicer
_________________________________________
$281,700,000 (Approximate)
Certificates for Home Equity Loans Series 2000-A
February 3, 2000
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
1
<PAGE>
TERM SHEET Dated February 3, 2000
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 2000-A
$281,700,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
("Conseco Securitizations")
SERVICER: Conseco Finance Corp. ("Conseco Finance")
TRUSTEE: U.S. Bank Trust National Association
CO-LEAD MANAGERS AND
JOINT BOOKRUNNERS: Credit Suisse First Boston and Banc of America
Securities LLC
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Est. Est. Est. Est. Prin. Final Expected Ratings
----------------
WAL WAL Prin. Window Scheduled S&P Moodys DCR
Approximate (yrs) (yrs) Window (mos) Distribution
Class Size Type Call/(1)/ Matur. (mos) Maturity Date
Call/(1)/
- ------------------------------------------------------------------------------------------------------------------------------------
Offered Certificates
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AV /(2)/ $237,150,000 Senior Pass Through 1.71 1.87 1 - 53 1 - 80 [2/15/31] AAA Aaa AAA
MV-1 /(2)/ 17,250,000 Mezzanine 4.15 5.23 45 - 53 45 - 102 [2/15/31] AA Aa2 AA
MV-2 /(2)/ 18,000,000 Mezzanine 3.94 4.99 41 - 53 41 - 102 [2/15/31] A A2 A
BV-1 /(2)/ 9,300,000 Subordinate 3.83 4.88 39 - 53 39 - 102 [2/15/31] BBB Baa1 BBB+
Non-Offered Certificates
- ------------------------
BV-2 /(2)/ 13,800,000 Subordinate- 3.57 3.92 37 - 53 37 - 102 [2/15/31] BBB- Baa3 BBB
Corporate Guaranty
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All Offered Certificates are priced to the 20% call, as further
described herein. The Certificates will priced using a constant
prepayment rate of 30% CPR.
(2) The pass-through rate shall equal the lesser of one-month LIBOR plus
the applicable margin or the Available Funds Pass-Through Rate
described herein, but in no case more than 14%.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
2
<PAGE>
Conseco Finance 2000-A Structure Diagram
----------------------------------------
Principal Distribution Priorities
---------------------------------
Principal Priority to the Principal Priority After the
Stepdown Date (or if a Stepdown Date (assuming no
Trigger Event exists) Trigger Event)
Pay sequentially Pay all bonds to maintain specified
enhancement levels
<TABLE>
<CAPTION>
Targeted
Enhancement
Percentage
<S> <C> <C> <C> <C>
------- ------------ ------
AV 41.90%
- --------- ------------------------------------------------
ARM ARM
Loan AV MV-1 MV-2 BV-1 BV-2 O/C Loan MV-1 30.40%
Group Group ------------ ------
MV-2 18.40%
- --------- ------------------------------------------------ ------------ ------
BV-1 12.20%
------------ ------
BV-2 3.00%
- --------- ------------------------------------------------ ------- ------------ ------
Initial
ARM 79.05% 5.75% 6.00% 3.10% 4.60% 1.50%
Sizing
- --------- ------------------------------------------------
0 Month 38 37 Month 53+
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
3
<PAGE>
SUMMARY OF TERMS
----------------
Statistical
Calculation Date: December 31, 1999
Expected
Cut-off Date: The trust will be entitled to receive all payments
due after December 31, 1999 for all loans other than
the Additional Loans(added prior to closing) and
Subsequent Loans (added after closing). For each
Additional Loan, the trust will be entitled to
receive all payments due after January 31, 2000. For
each Subsequent Loan, the trust will be entitled to
receive all payments due after the last day of the
calendar month in which the subsequent closing
occurs.
Expected Closing Date: February 24, 2000
Expected Pricing Date: Week of February 7, 2000
Registration: The Certificates will be available in book-entry form
through DTC, Euroclear or Cedelbank.
Record Date: The business day just before the Payment Date.
Payment Date: The 15/th/ day of each month (or if such 15/th/ day
is not a business day, the next succeeding business
day) commencing on March 15, 2000.
Day Count: Actual/360.
Denominations: $1,000 minimum and integral multiples of $1 in excess
thereof.
Tax Status: REMIC Election.
ERISA: The Class A Certificates are expected to be ERISA
eligible. Prospective investors that are pension
plans should consult their own counsel with respect
to an investment in the Offered Certificates.
SMMEA: The Offered Certificates will not constitute
"mortgage related securities" for purposes of SMMEA.
Additional Loan
Group: Conseco Finance may add another loan group to the
trust at a later time which would generally not be
available to support the Certificates offered hereby.
The trust would issue related certificates that would
be collateralized by such additional loan group.
Conseco Finance will not include such additional loan
group nor issue additional certificates unless S&P,
Moodys, and DCR assign to each offered class at least
the rating specified on page 2 of this Term Sheet.
Initial Home Equity
Loans: The statistical information presented in this Term
Sheet is with respect to the Initial Home Equity
Loans (the "Initial Home Equity Loans") only and is
based on balances as of the close of business on
December 31, 1999. The Initial Home Equity Loans
consist primarily of conventional, fully amortizing
first lien adjustable rate closed end, one- to four-
family residential mortgage loans. The total Initial
Home Equity Loans will consist of 1,339 adjustable
rate home equity loans, with a principal balance of
approximately $161,233,174.
Additional Collateral: Between the Statistical Calculation Date and the
Expected Closing Date, Conseco Securitizations
expects to deposit additional loans (the "Additional
Loans"). It is expected that the Additional Loans
will have characteristics which are substantially
similar to the Initial Home Equity Loans.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
4
<PAGE>
Rating Agencies: Standard and Poor's Ratings Services ("S&P")
Moody's Investors Service ("Moodys")
Duff & Phelps Credit Rating Co. ("DCR")
Pre-Funding Feature
And Subsequent
Loans: On the Closing Date, a portion of the proceeds from
the sale of the Certificates (the "Pre-Funded
Amount") may be deposited with the Trustee in a
segregated account (the "Pre-Funding Account") and
used by the trust to purchase Subsequent Home Equity
Loans (the "Subsequent Loans") during a period (not
longer than 90 days) following the Closing Date (the
"Pre-Funding Period"). The Pre-Funded Amount is not
expected to exceed 25% of the aggregate original
principal balances of the Offered Certificates. The
Pre-Funded Amount will be reduced during the Pre-
Funding Period by the amounts thereof used to fund
such purchases. Any amounts remaining in the Pre-
Funding Account following the Pre-Funding Period will
be paid to the Class AV Certificateholders, and, if
the principal balance of such class has been reduced
to zero, then to the Class MV-1, Class MV-2, Class
BV-1 and Class BV-2 Certificateholders, in that order
of priority.
Final Home Equity
Loan Pool: The Final Home Equity Loan Pool will be based on
balances as of the Cut-off Date. The collateral
composition of the pool is expected to be similar to
the Initial Home Equity Loans.
Source for Calculation
of One-Month LIBOR: Telerate page 3750.
Servicing Fee Rate: 50 basis points
Distributions: On each Payment Date, distributions on the
Certificates will be made to the extent of the Amount
Available. The "Amount Available" will generally
consist of payments made on or in respect of the Home
Equity Loans, and will include amounts otherwise
payable to the Servicer (so long as Conseco Finance
is the Servicer) as the monthly Servicing Fee,
amounts otherwise payable to Conseco Finance as the
Guaranty Fee and amounts otherwise payable to the
Class C Certificateholder.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
5
<PAGE>
INTEREST DISTRIBUTIONS
----------------------
Interest on the
Class AV, MV-1, MV-2
BV-1 Certificates: On each Payment Date the Amount Available will be
distributable to pay interest as follows:
. First, to the Class AV Certificateholders;
. Second, to the Class MV-1 Certificateholders;
. Third, to the Class MV-2 Certificateholders; and
. Fourth, to the Class BV-1 Certificateholders.
Interest will accrue on the outstanding Class AV
principal balance, the Class MV-1 adjusted principal
balance, the Class MV-2 adjusted principal balance,
and the Class BV-1 adjusted principal balance, at the
related pass-through rate calculated on an Actual/360
basis. Interest on the outstanding Class AV principal
balance, Class MV-1 adjusted principal balance, Class
MV-2 adjusted principal balance and Class BV-1
adjusted principal balance, as applicable, will
initially accrue from the Closing Date and thereafter
from the most recent Payment Date on which interest
has been paid, in each case, to but excluding the
following Payment Date.
The adjusted principal balance of any of the Class
MV-1, MV-2 and BV-1 Certificates is the principal
balance less any liquidation loss principal amounts
allocated to that Class.
Interest Shortfalls
And Carryovers: If the Amount Available on any Payment Date is
insufficient to make the full distributions of
interest to a class of offered certificates, the
Amount Available remaining after payments with a
higher payment priority are made will be distributed
pro rata among the outstanding certificates of such
class. Any interest due but unpaid from a prior
Payment Date will also be due on the next Payment
Date, together with accrued interest thereon at the
applicable pass-through rate to the extent legally
permissible.
AV, MV-1, MV-2, BV-1
Pass-Through Rate: The pass-through rate for the Offered Certificates
will be floating and for any monthly period will
equal the least of (i) one-month LIBOR plus the pass-
through margin, (ii) the Adjustable Rate Available
Funds Pass-Through Rate or (iii) 14.0%.
Available Funds
Pass-Through Rate: The "Available Funds Pass-Through Rate" for any
Payment Date will be a rate per annum equal to the
weighted average of the Expense Adjusted Loan Rates
on the then outstanding Home Equity Loans. The
"Expense Adjusted Loan Rate" on any Home Equity Loan
is equal to the then applicable home equity loan
interest rate thereon, minus the Servicing Fee, which
is 0.50% per annum.
Available Funds Cap
Carryover Amount: If on any Payment Date, the pass-through rate for a
class of adjustable rate Certificates is based on the
Available Funds Pass-Through Rate, holders of that
class of certificates will be entitled to receive the
Available Funds Cap Carryover Amount to the extent
funds are available.
The "Available Funds Cap Carryover Amount" is the sum
of (1) the excess of (A) the amount of interest that
class of Certificateholders would be entitled to
receive on such Payment Date had interest been
calculated based on one-month LIBOR plus the
applicable pass-through margin (but in no event
exceeding 14.00%) over (B) the amount of interest
that class would receive on that Payment Date at the
Available Funds Pass-Through Rate, and (2) the unpaid
portion of any such excess from prior Payment Dates
(and interest accrued thereon at the then applicable
pass-through rate, without giving effect to the
Available Funds Pass-Through Rate, but in no event
exceeding 14.00%).
The ratings assigned to the adjustable rate
certificates do not address the likelihood of the
payment of the Available Funds Cap Carryover Amount.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
6
<PAGE>
Class BV-2 Interest: After payment of all interest and principal due on
the Class AV, Class MV-1, Class MV-2 and Class BV-1
Certificates, interest will be paid to the Class BV-2
Certificateholders in an amount equal to the product
of (a) the Class BV-2 pass-through rate and (b) the
then outstanding Class BV-2 principal balance. The
Class BV-2 Limited Guaranty will be available to pay
interest to the Class BV-2 Certificateholders if the
remaining Amount Available is not sufficient to cover
such payment.
Interest on the Class BV-2 Certificates will
initially accrue from the Closing Date and thereafter
will accrue from the most recent Payment Date on
which interest has been paid to, in each case, but
excluding the following Payment Date. Interest will
be computed on an Actual/360 basis. Interest
shortfalls will be carried forward, and will accrue
interest at the BV-2 pass-through rate, to the extent
legally permissible.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
7
<PAGE>
PRINCIPAL DISTRIBUTIONS
-----------------------
On each Payment Date after all interest is distributed to the Class AV,
Class MV-1, Class MV-2, and Class BV-1 Certificateholders, the remaining
Amount Available will be distributed as principal in the following amounts
and order of priority:
i) first, to the Class AV Certificateholders, the Class AV Principal
Distribution Amount;
ii) second, to the Class MV-1 Certificates, the Class MV-1 Principal
Distribution Amount;
iii) third, to the Class MV-2 Certificates, the Class MV-2 Principal
Distribution Amount; and
iv) fourth, to the Class BV-1 Certificates, the Class BV-1 Principal
Distribution.
If the Amount Available on any Payment Date is insufficient to make full
distributions of principal to a class of certificates, the Amount Available
remaining after payments with a higher payment priority are made will be
distributed pro-rata among the outstanding certificates of such class.
Formula Principal
Distribution Amount: On each Payment Date, the Formula Principal
Distribution Amount will be equal to the sum of (i) all
scheduled payments of principal due on each outstanding
loan during the related due period, (ii) the scheduled
principal balance of each loan which, during the
related due period, was repurchased by Conseco Finance,
(iii) all partial principal prepayments applied and all
principal prepayments in full received during such due
period in respect of each loan, (iv) the scheduled
principal balance of each loan that became a liquidated
loan during the related due period and (v) any amount
described in clauses (i) through (iv) above that was
not previously distributed because of an insufficient
amount of funds available in the certificate account.
Class AV Principal
Distribution Amount: With respect to any Payment Date prior to the Stepdown
Date or as to which a Trigger Event is in effect, the
Class A Principal Distribution Amount will equal 100%
of the Formula Principal Distribution Amount for such
Payment Date. With respect to any Payment Date on or
after the Stepdown Date and as to which a Trigger Event
is not in effect, the excess of (A) the Class AV
Certificate Principal Balance immediately prior to such
Payment Date over (B) the lesser of (a) 58.10% of the
Scheduled Principal Balance on the preceding Due Date
or (b) the Scheduled Principal Balance of the Home
Equity Loans on the preceding Payment Date less 1.5% of
the Scheduled Principal Balance of the Home Equity
Loans as of the Cut-off Date.
Class MV-1 Principal
Distribution Amount: With respect to any Payment Date on or after the
Stepdown Date and as long as a Trigger Event is not in
effect, the excess of (i) the sum for such Group of (A)
the Class AV Certificate Principal Balance and (B) the
Class MV-1 Certificate Principal Balance immediately
prior to such Payment Date over (ii) the lesser of (a)
69.60% of the Scheduled Principal Balance on the
preceding Due Date or (b) the Scheduled Principal
Balance of the Home Equity Loans on the preceding
Payment Date less 1.5% of the Scheduled Principal
Balance of the Home Equity Loans as of the Cut-off
Date.
Class MV-2 Principal
Distribution Amount: With respect to any Payment Date on or after the
Stepdown Date and as long as a Trigger Event is not in
effect, the excess of (i) the sum for such Group of (A)
the Class AV Certificate Principal Balance and (B) the
Class MV-1 Certificate Principal Balance and (C) the
Class MV-2 Certificate Principal Balance immediately
prior to such Payment Date over (ii) the lesser of (a)
81.60% of the Scheduled Principal Balance of such Home
Equity Loans on the preceding Due Date or (b) the
Scheduled Principal Balance of the Home Equity Loans on
the preceding Payment Date less 1.5% of the Scheduled
Principal Balance of the Home Equity Loans in such
Group as of the Cut-off Date.
Class BV-1 Principal
Distribution Amount: With respect to any Payment Date on or after the
Stepdown Date and as long as a Trigger Event is not in
effect, the excess of (i) the sum for such Group of (A)
the Class AV Certificate Principal Balance and (B) the
Class MV-1 Certificate Principal Balance and (C) the
Class MV-2 Certificate Principal Balance and (D) the
Class BV-1 Certificate Principal Balance immediately
prior to such Payment Date over (ii) the lesser of (a)
87.80% of the Scheduled Principal Balance of such Home
Equity Loans on the preceding Due Date or (b) the
Scheduled Principal Balance of the Home Equity Loans on
the preceding Payment Date less 1.5% of the Scheduled
Principal Balance of the Home Equity Loans as of the
Cut-off Date.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
8
<PAGE>
Class BV-2 Principal
Distribution Amount: With respect to any Payment Date on or after the
Stepdown Date and as long as a Trigger Event is not in
effect, the excess of (i) the sum for such Group of (A)
the Class AV Certificate Principal Balance and (B) the
Class MV-1 Certificate Principal Balance and (C) the
Class MV-2 Certificate Principal Balance (D) the Class
BV-1 Certificate Principal Balance and (E) the Class
BV-2 Certificate Balance immediately prior to such
Payment Date over (ii) the lesser of (a) 97.00% of the
Scheduled Principal Balance of such Home Equity Loans
on the preceding Due Date or (b) the Scheduled
Principal Balance of the Home Equity Loans on the
preceding Payment date less 1.5% of the Scheduled
Principal Balance of the Home Equity Loans as of the
Cut-off Date.
Class BV-2 Limited
Guaranty: The Class BV-2 Limited Guaranty will be available to
pay the Class BV-2 Liquidation Loss Principal Amount
and the BV-2 Distribution Amount. The Class BV-2
Limited Guaranty will be an unsecured general
obligation of Conseco Finance.
Stepdown Date: The earlier to occur of (i) the later to occur of (A)
the Payment Date in March, 2003 and (B) the first
Payment Date on which (I) the Class AV Certificate
Principal Balance of such Group is less than or equal
to 58.10% of the Scheduled Principal Balances of the
Home Equity Loans and (ii) the Payment Date on which
the Certificate Principal Balance of the Class A
Certificates has been reduced to zero.
Initial
Overcollateralization: The sum of the aggregate cut-off date principal balance
of the loans (calculated as described below) included
in the trust as of the Closing Date plus the amount on
deposit in the Pre-Funding Account on the Closing Date
will exceed the aggregate principal balance of the
Certificates on the Closing Date by approximately
$4,500,000, which represents approximately 1.5% of the
aggregate cut-off date principal balance of the loans
included in the trust as of the Closing Date plus the
amount on deposit in the Pre-Funding Account on the
Closing Date.
Credit Support
Percentage: Initial Credit Support After Stepdown Date
---------------------- -------------------
Class Percent Class Percent
----- ------- ----- -------
AV 20.95% AV 41.90%
MV-1 15.20% MV-1 30.40%
MV-2 9.20% MV-2 18.40%
BV-1 6.10% BV-1 12.20%
BV-2 1.50% BV-2 3.00%
Losses on Liquidated
Home Equity Loans: If net liquidation proceeds from liquidated loans in
the respective collection period are less than the
scheduled principal balance of such liquidated loans
plus accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Amount") will be
absorbed first by the Class C Certificateholder, second
by the Guaranty Fee otherwise payable to Conseco
Finance, third by the Servicing Fee otherwise payable
to Conseco Finance (as long as Conseco Finance is the
Servicer), fourth by a reduction of the
overcollateralization amount, fifth by the Class BV-2
Certificates, sixth by the Class BV-1 Certificates,
seventh by the Class MV-2 Certificates and eighth by
the Class MV-1 Certificates.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
9
<PAGE>
Trigger Event: Stepdown will not occur unless both of the following
are true:
(1) The three month rolling average percentage of
Home Equity Loans that are 60 or more days
delinquent does not exceed an amount equal to the
product of (i) the senior enhancement percentage
for the respective loan group and (ii) 40%:
The senior enhancement percentage equals the sum
of the Class MV-1 adjusted principal balance, the
Class MV-2 adjusted principal balance, the Class
BV-1 adjusted principal balance, the Class BV-2
principal balance, and Overcollaterization Amount
over the Scheduled Principal Balance of the Home
Equity Loans; and
(2) The cumulative loss over the cut-off date
principal balance does not exceed:
Month Percentage
37 - 48 4.20%
49 - 60 4.99%
61 - 84 5.25%
85 and thereafter 5.75%
Purchase Option;
Auction Sale: Beginning on the Payment Date when the Scheduled
Principal Balance of the Home Equity Loans is less than
20% of the Cut-off Date principal balance of the loans,
the holder of the Class C Certificates will have the
right to repurchase all of the outstanding loans at a
price sufficient to pay the aggregate unpaid principal
balance of the certificates and all accrued and unpaid
interest thereon.
If the holder of the Class C Certificates does not
exercise the Purchase Option, then on the next Payment
Date the Trustee will begin an auction process to sell
the Home Equity Loans and the other trust assets, but
the Trustee cannot sell the trust assets and liquidate
the trust unless the proceeds of that sale are
sufficient to pay the aggregate unpaid principal
balance of the Certificates and all accrued and unpaid
interest thereon. If the first auction of the trust
property is not successful because the highest bid
received is too low, then the Trustee will conduct an
auction of the Home Equity Loans every third month
thereafter, unless and until an acceptable bid is
received for the trust property.
If the Purchase Option is not exercised by the holder
of the Class C Certificates, excess cashflow after all
payments of interest and principal due on all
Certificates are made will be used to paydown principal
as follows:
(i) first, to reduce the Class AV Certificates, until
the Certificate Principal Balances are reduced to
zero,
(iii) second, to the remaining Class MV-1 Certificates,
Class MV-2 Certificates, Class BV-1 Certificates,
and the Class BV-2 Certificates, pro-rata based
on the outstanding principal balance, until the
Certificate Principal Balances are reduced to
zero.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
10
<PAGE>
DESCRIPTION OF THE COLLATERAL
Adjustable Rate Loans
<TABLE>
<CAPTION>
Summary
Total Minimum Maximum
----- ------- -------
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $161,233,173.85
Number of Loans 1,339
Average Original Loan Balance $120,469.09 $11,255.00 $394,000.00
Average Current Loan Balance $120,413.12 $11,251.93 $386,784.34
Weighted Average Combined LTV 87.76% 18.61% 102.35%
Weighted Average Gross Coupon 9.837% 7.600% 14.400%
Weighted Average Remaining Term to Maturity (months) 359 174 360
Weighted Average Original Term (months) 359 180 360
Weighted Average Gross Margin 6.318% 3.750% 9.950%
Weighted Average Maximum Rate 16.182% 12.990% 24.150%
Weighted Average Periodic Cap 1.110% 1.000% 3.000%
Weighted Average First Period Cap 2.939% 1.000% 6.000%
Weighted Average FICO Credit Score 606
Weighted Average Debt to Income Ratio 41.74%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
Percent of Statistical Calculation
Range Date Aggregate Principal Balance
----- ---------------------------------
<S> <C> <C>
Fully Amortizing Loans 99.84%
Product Type 2/28 LIBOR 91.23%
3/27 LIBOR 7.72%
6 Month LIBOR 1.06%
Lien Position First 100%
Occupancy Status Primary 99.94%
Geographic Distribution California 12.67%
Maryland 7.73%
Colorado 7.18%
Washington 6.15%
Ohio 5.52%
Virginia 5.20%
Other 55.56%*
Credit Grade A-1 50.67%
A-2 22.66%
B 21.63%
C 4.38%
D 0.66%
-------------------------------------------------------------------------------------------------------------------------------
</TABLE>
*Due to rounding, may not add to 100%
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
11
<PAGE>
---------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal % of Loans by Outstanding
as of the Statistical Balance Outstanding as of the Principal Balance as of the
State or Territory Calculation Date Statistical Calculation Date Statistical Calculation Date
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 22 $2,163,067.39 1.34%
--------------------------------------------------------------------------------------------------------------------
Arizona 33 3,389,862.17 2.10
--------------------------------------------------------------------------------------------------------------------
Arkansas 3 235,971.83 0.15
--------------------------------------------------------------------------------------------------------------------
California 115 20,426,922.20 12.67
--------------------------------------------------------------------------------------------------------------------
Colorado 82 11,571,297.36 7.18
--------------------------------------------------------------------------------------------------------------------
Connecticut 2 297,330.76 0.18
--------------------------------------------------------------------------------------------------------------------
Delaware 6 554,248.78 0.34
--------------------------------------------------------------------------------------------------------------------
Florida 34 3,703,280.85 2.30
--------------------------------------------------------------------------------------------------------------------
Georgia 71 7,850,641.32 4.87
--------------------------------------------------------------------------------------------------------------------
Idaho 8 907,294.00 0.56
--------------------------------------------------------------------------------------------------------------------
Illinois 61 6,685,488.10 4.15
--------------------------------------------------------------------------------------------------------------------
Indiana 70 6,290,455.30 3.90
--------------------------------------------------------------------------------------------------------------------
Iowa 2 135,395.54 0.08
--------------------------------------------------------------------------------------------------------------------
Kansas 9 791,062.67 0.49
--------------------------------------------------------------------------------------------------------------------
Kentucky 19 1,648,700.40 1.02
--------------------------------------------------------------------------------------------------------------------
Louisiana 8 921,430.94 0.57
--------------------------------------------------------------------------------------------------------------------
Maryland 75 12,468,310.16 7.73
--------------------------------------------------------------------------------------------------------------------
Massachusetts 13 1,694,396.36 1.05
--------------------------------------------------------------------------------------------------------------------
Michigan 44 4,066,057.08 2.52
--------------------------------------------------------------------------------------------------------------------
Minnesota 10 1,405,770.85 0.87
--------------------------------------------------------------------------------------------------------------------
Mississippi 12 1,011,435.06 0.63
--------------------------------------------------------------------------------------------------------------------
Missouri 25 2,329,481.52 1.44
--------------------------------------------------------------------------------------------------------------------
Montana 3 195,191.40 0.12
--------------------------------------------------------------------------------------------------------------------
Nebraska 1 75,650.00 0.05
--------------------------------------------------------------------------------------------------------------------
Nevada 27 3,185,918.11 1.98
--------------------------------------------------------------------------------------------------------------------
New Jersey 25 4,141,022.57 2.57
--------------------------------------------------------------------------------------------------------------------
New Mexico 6 672,711.95 0.42
--------------------------------------------------------------------------------------------------------------------
New York 3 335,085.44 0.21
--------------------------------------------------------------------------------------------------------------------
North Carolina 47 5,155,047.33 3.20
--------------------------------------------------------------------------------------------------------------------
Ohio 90 8,893,191.78 5.52
--------------------------------------------------------------------------------------------------------------------
Oklahoma 8 708,478.59 0.44
--------------------------------------------------------------------------------------------------------------------
Oregon 49 6,121,667.66 3.80
--------------------------------------------------------------------------------------------------------------------
Pennsylvania 24 2,079,181.94 1.29
--------------------------------------------------------------------------------------------------------------------
Rhode Island 10 1,168,967.76 0.73
--------------------------------------------------------------------------------------------------------------------
South Carolina 23 1,573,512.12 0.98
--------------------------------------------------------------------------------------------------------------------
Tennessee 31 2,829,101.91 1.75
--------------------------------------------------------------------------------------------------------------------
Texas 55 5,283,167.50 3.28
--------------------------------------------------------------------------------------------------------------------
Utah 43 5,507,984.88 3.42
--------------------------------------------------------------------------------------------------------------------
Virginia 57 8,382,917.34 5.20
--------------------------------------------------------------------------------------------------------------------
Washington 74 9,915,308.95 6.15
--------------------------------------------------------------------------------------------------------------------
Washington DC 14 1,827,016.72 1.13
--------------------------------------------------------------------------------------------------------------------
West Virginia 4 489,935.11 0.30
--------------------------------------------------------------------------------------------------------------------
Wisconsin 20 1,977,214.15 1.23
--------------------------------------------------------------------------------------------------------------------
Wyoming 1 167,000.00 0.10
--------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
12
<PAGE>
--------------------------------------------------------------------------
YEAR OF ORIGINATION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal % of Loans by Outstanding
as of the Statistical Balance Outstanding as of the Principal Balance as of the
Year of Origination Calculation Date Statistical Calculation Date Statistical Calculation Date
-----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1998 9 $1,334,758.02 0.83%
-----------------------------------------------------------------------------------------------------------------------
1999 1,330 159,898,415.83 99.17
-----------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
---------------------------------------------------------------------------
ORIGINAL LOAN AMOUNT DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Original Loan Amount Calculation Date Statistical Calculation Date Statistical Calculation Date
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10,000.01 to $ 20,000.00 1 $11,251.93 0.01%
-------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 13 359,425.62 0.22
-------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 25 904,156.68 0.56
-------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 36 1,637,493.31 1.02
-------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 91 5,045,106.13 3.13
-------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 101 6,566,231.74 4.07
-------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 134 10,014,278.20 6.21
-------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 101 8,602,176.82 5.34
-------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $100,000.00 125 11,888,006.95 7.37
-------------------------------------------------------------------------------------------------------------------
$100,000.01 to $110,000.00 89 9,378,483.92 5.82
-------------------------------------------------------------------------------------------------------------------
$110,000.01 to $120,000.00 101 11,648,133.53 7.22
-------------------------------------------------------------------------------------------------------------------
$120,000.01 to $130,000.00 76 9,478,574.41 5.88
-------------------------------------------------------------------------------------------------------------------
$130,000.01 to $140,000.00 64 8,614,529.09 5.34
-------------------------------------------------------------------------------------------------------------------
$140,000.01 to $150,000.00 52 7,555,464.88 4.69
-------------------------------------------------------------------------------------------------------------------
$150,000.01 to $160,000.00 51 7,881,962.91 4.89
-------------------------------------------------------------------------------------------------------------------
$160,000.01 to $170,000.00 26 4,290,716.76 2.66
-------------------------------------------------------------------------------------------------------------------
$170,000.01 to $180,000.00 37 6,456,429.97 4.00
-------------------------------------------------------------------------------------------------------------------
$180,000.01 to $190,000.00 32 5,940,118.33 3.68
-------------------------------------------------------------------------------------------------------------------
$190,000.01 to $200,000.00 23 4,491,420.63 2.79
-------------------------------------------------------------------------------------------------------------------
$200,000.01 to $210,000.00 14 2,885,849.59 1.79
-------------------------------------------------------------------------------------------------------------------
$210,000.01 to $220,000.00 24 5,170,773.29 3.21
-------------------------------------------------------------------------------------------------------------------
$220,000.01 to $230,000.00 18 4,051,118.71 2.51
-------------------------------------------------------------------------------------------------------------------
$230,000.01 to $240,000.00 19 4,478,843.96 2.78
-------------------------------------------------------------------------------------------------------------------
$240,000.01 to $250,000.00 17 4,170,094.22 2.59
-------------------------------------------------------------------------------------------------------------------
$250,000.01 to $260,000.00 17 4,328,337.48 2.68
-------------------------------------------------------------------------------------------------------------------
$260,000.01 to $270,000.00 14 3,730,675.30 2.31
-------------------------------------------------------------------------------------------------------------------
$270,000.01 to $280,000.00 5 1,365,254.15 0.85
-------------------------------------------------------------------------------------------------------------------
$280,000.01 to $290,000.00 5 1,422,165.00 0.88
-------------------------------------------------------------------------------------------------------------------
$290,000.01 to $300,000.00 7 2,061,781.67 1.28
-------------------------------------------------------------------------------------------------------------------
Over $ 300,000.00 21 6,804,318.67 4.22
-------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
13
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
CURRENT LOAN AMOUNT DISTRIBUTION
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Original Loan Amount Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
$ 10,000.01 to $ 20,000.00 1 $11,251.93 0.01%
-------------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 13 359,425.62 0.22
-------------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 25 904,156.68 0.56
-------------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 36 1,637,493.31 1.02
-------------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 91 5,045,106.13 3.13
-------------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 102 6,635,809.83 4.12
-------------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 133 9,944,700.11 6.17
-------------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 101 8,602,176.82 5.34
-------------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $ 100,000.00 125 11,888,006.95 7.37
-------------------------------------------------------------------------------------------------------------------------
$100,000.01 to $ 110,000.00 89 9,378,483.92 5.82
-------------------------------------------------------------------------------------------------------------------------
$110,000.01 to $ 120,000.00 101 11,648,133.53 7.22
-------------------------------------------------------------------------------------------------------------------------
$120,000.01 to $ 130,000.00 76 9,478,574.41 5.88
-------------------------------------------------------------------------------------------------------------------------
$130,000.01 to $ 140,000.00 64 8,614,529.09 5.34
-------------------------------------------------------------------------------------------------------------------------
$140,000.01 to $ 150,000.00 52 7,555,464.88 4.69
-------------------------------------------------------------------------------------------------------------------------
$150,000.01 to $ 160,000.00 51 7,881,962.91 4.89
-------------------------------------------------------------------------------------------------------------------------
$160,000.01 to $ 170,000.00 27 4,460,691.37 2.77
-------------------------------------------------------------------------------------------------------------------------
$170,000.01 to $ 180,000.00 36 6,286,455.36 3.9
-------------------------------------------------------------------------------------------------------------------------
$180,000.01 to $ 190,000.00 32 5,940,118.33 3.68
-------------------------------------------------------------------------------------------------------------------------
$190,000.01 to $ 200,000.00 23 4,491,420.63 2.79
-------------------------------------------------------------------------------------------------------------------------
$200,000.01 to $ 210,000.00 14 2,885,849.59 1.79
-------------------------------------------------------------------------------------------------------------------------
$210,000.01 to $ 220,000.00 24 5,170,773.29 3.21
-------------------------------------------------------------------------------------------------------------------------
$220,000.01 to $ 230,000.00 18 4,051,118.71 2.51
-------------------------------------------------------------------------------------------------------------------------
$230,000.01 to $ 240,000.00 19 4,478,843.96 2.78
-------------------------------------------------------------------------------------------------------------------------
$240,000.01 to $ 250,000.00 17 4,170,094.22 2.59
-------------------------------------------------------------------------------------------------------------------------
$250,000.01 to $ 260,000.00 17 4,328,337.48 2.68
-------------------------------------------------------------------------------------------------------------------------
$260,000.01 to $ 270,000.00 14 3,730,675.30 2.31
-------------------------------------------------------------------------------------------------------------------------
$270,000.01 to $ 280,000.00 5 1,365,254.15 0.85
-------------------------------------------------------------------------------------------------------------------------
$280,000.01 to $ 290,000.00 5 1,422,165.00 0.88
-------------------------------------------------------------------------------------------------------------------------
$290,000.01 to $ 300,000.00 7 2,061,781.67 1.28
-------------------------------------------------------------------------------------------------------------------------
Over $ 300,000.00 21 6,804,318.67 4.22
-------------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
14
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
INTEREST RATE DISTRIBUTION
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Original Loan Amount Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
Less than 8.001% 6 $ 890,910.32 0.55%
-------------------------------------------------------------------------------------------------------------------------
8.001% to 8.500% 26 3,584,173.77 2.22
-------------------------------------------------------------------------------------------------------------------------
8.501% to 9.000% 226 31,476,575.69 19.52
-------------------------------------------------------------------------------------------------------------------------
9.001% to 9.500% 217 29,561,243.47 18.33
-------------------------------------------------------------------------------------------------------------------------
9.501% to 10.000% 375 45,296,412.89 28.09
-------------------------------------------------------------------------------------------------------------------------
10.001% to 10.500% 197 21,999,543.80 13.64
-------------------------------------------------------------------------------------------------------------------------
10.501% to 11.000% 163 17,582,932.25 10.91
-------------------------------------------------------------------------------------------------------------------------
11.001% to 11.500% 57 5,596,680.97 3.47
-------------------------------------------------------------------------------------------------------------------------
11.501% to 12.000% 42 3,114,818.37 1.93
-------------------------------------------------------------------------------------------------------------------------
12.001% to 12.500% 12 1,043,221.57 0.65
-------------------------------------------------------------------------------------------------------------------------
12.501% to 13.000% 12 702,481.33 0.44
-------------------------------------------------------------------------------------------------------------------------
13.001% to 13.500% 3 100,834.91 0.06
-------------------------------------------------------------------------------------------------------------------------
13.501% to 14.000% 1 210,656.58 0.13
-------------------------------------------------------------------------------------------------------------------------
14.001% to 14.500% 2 72,687.93 0.05
-------------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
REMAINING MONTHS TO MATURITY
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of Remaining as of the Statistical Balance Outstanding as of the Principal Balance as of the
Months to Maturity Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
169 to 180 4 $435,640.21 0.27%
-------------------------------------------------------------------------------------------------------------------------
217 to 228 1 234,390.00 0.15
-------------------------------------------------------------------------------------------------------------------------
337 to 348 8 1,110,965.77 0.69
-------------------------------------------------------------------------------------------------------------------------
349 to 360 1,326 159,452,177.87 98.90
-------------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
15
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
LIEN POSITION
Number of Loans Aggregate Principal % of Loans by Outstanding
as of the Statistical Balance Outstanding as of the Principal Balance as of the
Lien Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
First 1,339 $161,233,173.85 100.00%
--------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of Combined as of the Statistical Balance Outstanding as of the Principal Balance as of the
Loan-to-Value Ratios Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
0.01% to 20.00% 1 $40,000.00 0.02%
--------------------------------------------------------------------------------------------------------------------
20.01% to 30.00% 1 29,693.87 0.02
--------------------------------------------------------------------------------------------------------------------
30.01% to 40.00% 2 167,467.29 0.10
--------------------------------------------------------------------------------------------------------------------
40.01% to 50.00% 3 136,752.43 0.08
--------------------------------------------------------------------------------------------------------------------
50.01% to 60.00% 5 370,408.29 0.23
--------------------------------------------------------------------------------------------------------------------
60.01% to 70.00% 32 2,627,287.55 1.63
--------------------------------------------------------------------------------------------------------------------
70.01% to 80.00% 316 34,782,170.56 21.57
--------------------------------------------------------------------------------------------------------------------
80.01% to 90.00% 652 76,196,723.38 47.26
--------------------------------------------------------------------------------------------------------------------
90.01% to 100.00% 325 46,511,884.66 28.85
--------------------------------------------------------------------------------------------------------------------
Over 100.00% 2 370,785.82 0.23
--------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
16
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
GROSS MARGIN
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Gross Margin Calculation Date Statistical Calculation Date Statistical Calculation Date
<S> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------------
3.501% to 4.000% 2 $154,333.40 0.10%
--------------------------------------------------------------------------------------------------------------------
4.001% to 4.500% 9 1,292,745.72 0.80
--------------------------------------------------------------------------------------------------------------------
4.501% to 5.000% 33 4,299,562.83 2.67
--------------------------------------------------------------------------------------------------------------------
5.001% to 5.500% 147 19,897,097.69 12.34
--------------------------------------------------------------------------------------------------------------------
5.501% to 6.000% 274 37,385,619.69 23.19
--------------------------------------------------------------------------------------------------------------------
6.001% to 6.500% 323 39,251,540.13 24.34
--------------------------------------------------------------------------------------------------------------------
6.501% to 7.000% 314 35,455,236.88 21.99
--------------------------------------------------------------------------------------------------------------------
7.001% to 7.500% 143 14,864,623.56 9.22
--------------------------------------------------------------------------------------------------------------------
7.501% to 8.000% 48 4,552,019.99 2.82
--------------------------------------------------------------------------------------------------------------------
8.001% to 8.500% 26 2,519,370.11 1.56
--------------------------------------------------------------------------------------------------------------------
8.501% to 9.000% 15 1,211,967.57 0.75
--------------------------------------------------------------------------------------------------------------------
9.001% to 9.500% 3 186,477.38 0.12
--------------------------------------------------------------------------------------------------------------------
9.501% to 10.000% 2 162,578.90 0.10
--------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
17
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
MONTH OF NEXT RATE ADJUSTMENT
Number of Loans Aggregate Principal % of Loans by Outstanding
Month of Next as of the Statistical Balance Outstanding as of the Principal Balance as of the
Rate Adjustment Calculation Date Statistical Calculation Date Statistical Calculation Date
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
April 2000 1 $118,882.97 0.07%
- --------------------------------------------------------------------------------------------------------------------------
June 2000 4 267,579.12 0.17
- --------------------------------------------------------------------------------------------------------------------------
October 2000 2 438,957.20 0.27
- --------------------------------------------------------------------------------------------------------------------------
November 2000 3 466,242.56 0.29
- --------------------------------------------------------------------------------------------------------------------------
December 2000 1 94,786.89 0.06
- --------------------------------------------------------------------------------------------------------------------------
January 2001 2 287,442.25 0.18
- --------------------------------------------------------------------------------------------------------------------------
February 20001 2 159,197.30 0.10
- --------------------------------------------------------------------------------------------------------------------------
March 2001 1 245,457.25 0.15
- --------------------------------------------------------------------------------------------------------------------------
May 2001 1 82,525.82 0.05
- --------------------------------------------------------------------------------------------------------------------------
June 2001 4 377,594.88 0.23
- --------------------------------------------------------------------------------------------------------------------------
July 2001 5 899,012.25 0.56
- --------------------------------------------------------------------------------------------------------------------------
August 2001 9 920,692.22 0.57
- --------------------------------------------------------------------------------------------------------------------------
September 2001 28 3,201,840.08 1.99
- --------------------------------------------------------------------------------------------------------------------------
October 2001 116 13,332,237.86 8.27
- --------------------------------------------------------------------------------------------------------------------------
November 2001 425 47,882,764.81 9.70
- --------------------------------------------------------------------------------------------------------------------------
December 2001 503 62,931,177.88 9.03
- --------------------------------------------------------------------------------------------------------------------------
January 2002 125 17,086,670.00 0.60
- --------------------------------------------------------------------------------------------------------------------------
March 2002 1 72,431.36 0.04
- --------------------------------------------------------------------------------------------------------------------------
May 2002 1 65,348.87 0.04
- --------------------------------------------------------------------------------------------------------------------------
July 2002 1 163,611.40 0.10
- -----------------------------------------------------------------------------------------------------------------------------
August 2002 2 269,276.46 0.17
- -----------------------------------------------------------------------------------------------------------------------------
September 2002 1 100,664.81 0.06
- -----------------------------------------------------------------------------------------------------------------------------
October 2002 3 344,025.89 0.21
- -----------------------------------------------------------------------------------------------------------------------------
November 2002 20 1,882,863.72 1.17
- -----------------------------------------------------------------------------------------------------------------------------
December 2002 65 7,895,640.00 4.90
- -----------------------------------------------------------------------------------------------------------------------------
January 2003 13 1,646,250.00 1.02
- -----------------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the Issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT|FIRST
SUISSE|BOSTON
18
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
MAXIMUM RATE
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Maximum Rates Calculation Date Statistical Calculation Date Statistical Calculation Date
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
12.501% to 13.000% 4 $874,400.60 0.54%
- --------------------------------------------------------------------------------------------------------------------
13.001% to 13.500% 1 96,260.90 0.06
- --------------------------------------------------------------------------------------------------------------------
13.501% to 14.000% 3 272,047.66 0.17
- --------------------------------------------------------------------------------------------------------------------
14.001% to 14.500% 22 3,012,951.56 1.87
- --------------------------------------------------------------------------------------------------------------------
14.501% to 15.000% 170 23,367,100.20 14.49
- --------------------------------------------------------------------------------------------------------------------
15.001% to 15.500% 135 17,663,265.51 10.96
- --------------------------------------------------------------------------------------------------------------------
15.501% to 16.000% 300 37,206,035.05 23.08
- --------------------------------------------------------------------------------------------------------------------
16.001% to 16.500% 226 28,427,288.98 17.63
- --------------------------------------------------------------------------------------------------------------------
16.501% to 17.000% 222 25,420,593.15 15.77
- --------------------------------------------------------------------------------------------------------------------
17.001% to 17.500% 91 9,311,273.53 5.78
- --------------------------------------------------------------------------------------------------------------------
17.501% to 18.000% 92 9,561,224.80 5.93
- --------------------------------------------------------------------------------------------------------------------
18.001% to 18.500% 28 2,538,972.96 1.57
- --------------------------------------------------------------------------------------------------------------------
18.501% to 19.000% 29 2,270,746.75 1.41
- --------------------------------------------------------------------------------------------------------------------
19.001% to 19.500% 7 426,870.75 0.26
- --------------------------------------------------------------------------------------------------------------------
19.501% to 20.000% 2 134,800.00 0.08
- --------------------------------------------------------------------------------------------------------------------
20.001% to 20.500% 3 283,344.51 0.18
- --------------------------------------------------------------------------------------------------------------------
20.501% to 21.000% 2 123,949.54 0.08
- --------------------------------------------------------------------------------------------------------------------
21.501% to 22.000% 1 71,400.00 0.04
- --------------------------------------------------------------------------------------------------------------------
24.001% to 24.500% 1 170,647.40 0.11
- --------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the Issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT|FIRST
SUISSE|BOSTON
19
<PAGE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
MINIMUM RATE
Number of Loans Aggregate Principal % of Loans by Outstanding
Range of as of the Statistical Balance Outstanding as of the Principal Balance as of the
Minumum Rates Calculation Date Statistical Calculation Date Statistical Calculation Date
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000% to 5.000% 8 $908,940.33 0.56%
--------------------------------------------------------------------------------------------------------------------
5.001% to 5.500% 59 8,426,977.09 5.23
--------------------------------------------------------------------------------------------------------------------
5.501% to 6.000% 61 9,269,457.67 5.75
--------------------------------------------------------------------------------------------------------------------
6.001% to 6.500% 68 8,059,628.87 5.00
--------------------------------------------------------------------------------------------------------------------
6.501% to 7.000% 66 7,508,241.52 4.66
--------------------------------------------------------------------------------------------------------------------
7.001% to 7.500% 41 4,297,020.76 2.67
--------------------------------------------------------------------------------------------------------------------
7.501% to 8.000% 26 2,761,706.42 1.71
--------------------------------------------------------------------------------------------------------------------
8.001% to 8.500% 30 3,567,822.55 2.21
--------------------------------------------------------------------------------------------------------------------
8.501% to 9.000% 147 19,655,583.18 12.19
--------------------------------------------------------------------------------------------------------------------
9.001% to 9.500% 173 23,474,989.39 14.56
--------------------------------------------------------------------------------------------------------------------
9.501% to 10.000% 292 35,299,230.83 21.89
--------------------------------------------------------------------------------------------------------------------
10.001% to 10.500% 148 16,542,030.36 10.26
--------------------------------------------------------------------------------------------------------------------
10.501% to 11.000% 124 13,483,232.14 8.36
--------------------------------------------------------------------------------------------------------------------
11.001% to 11.500% 42 4,129,983.26 2.56
--------------------------------------------------------------------------------------------------------------------
11.501% to 12.000% 28 2,126,800.64 1.32
--------------------------------------------------------------------------------------------------------------------
12.001% to 12.500% 8 634,868.09 0.39
--------------------------------------------------------------------------------------------------------------------
12.501% to 13.000% 12 702,481.33 0.44
--------------------------------------------------------------------------------------------------------------------
13.001% to 13.500% 3 100,834.91 0.06
--------------------------------------------------------------------------------------------------------------------
13.501% to 14.000% 1 210,656.58 0.13
--------------------------------------------------------------------------------------------------------------------
14.001% to 14.500% 2 72,687.93 0.05
--------------------------------------------------------------------------------------------------------------------
Total 1,339 $161,233,173.85 100.00%
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT|FIRST
SUISSE|BOSTON
20
<PAGE>
PREPAYMENT SCENARIOS
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Scenario I Scenario II Scenario III Scenario IV Scenario V
--------------------------------------------------------------------------------------------
CPR/(1)/ 18% 24% 30% 36% 42%
--------------------------------------------------------------------------------------------
</TABLE>
(1) Conditional prepayment rate ("CPR") percentage.
CPR PREPAYMENT SENSITIVITIES
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Scenario I Scenario II Scenario III Scenario IV Scenario V
WAL/Last Pay WAL/Last Pay WAL/Last Pay WAL/Last Pay WAL/Last Pay
------------ ------------ ------------ ------------ ------------
--------------------------------------------------------------------------------------------------
To Call
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
AV 3.24 12/07 2.34 11/05 1.71 07/04 1.29 09/03 1.04 12/02
- -------------------------------------------------------------------------------------------------------------------------
MV-1 6.29 12/07 4.71 11/05 4.15 07/04 3.56 09/03 2.89 01/03
- -------------------------------------------------------------------------------------------------------------------------
MV-2 6.29 12/07 4.67 11/05 3.94 07/04 3.56 09/03 2.89 01/03
- -------------------------------------------------------------------------------------------------------------------------
BV-1 6.29 12/07 4.66 11/05 3.83 07/04 3.50 09/03 2.89 01/03
- -------------------------------------------------------------------------------------------------------------------------
BV-2 5.79 12/07 4.29 11/05 3.57 07/04 3.27 09/03 2.89 01/03
- -------------------------------------------------------------------------------------------------------------------------
To Maturity
- -------------------------------------------------------------------------------------------------------------------------
AV 3.46 01/11 2.52 06/08 1.87 10/06 1.32 09/04 1.04 12/02
- -------------------------------------------------------------------------------------------------------------------------
MV-1 7.87 06/13 6.00 08/10 5.23 08/08 5.62 04/07 3.84 04/06
- -------------------------------------------------------------------------------------------------------------------------
MV-2 7.86 06/13 5.94 08/10 4.99 08/08 4.82 04/07 4.44 04/06
- -------------------------------------------------------------------------------------------------------------------------
BV-1 7.86 06/13 5.92 08/10 4.88 08/08 4.14 04/07 4.44 04/06
- -------------------------------------------------------------------------------------------------------------------------
BV-2 6.48 06/13 4.78 08/10 3.92 08/08 3.43 04/07 3.44 04/06
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* The Certificates will be priced using a constant prepayment rate of 30% CPR.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT|FIRST
SUISSE|BOSTON
21
<PAGE>
BOND SUMMARY (to Maturity)
-------------------------
<TABLE>
<CAPTION>
AV (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Yield @ 100.000 6.23 6.23 6.23 6.22 6.22
Average Life (yrs.) 3.46 2.52 1.87 1.32 1.04
Modified Duration (yrs.) 2.82 2.15 1.64 1.21 0.96
First Principal Payment Date 03/15/2000 03/15/2000 03/15/2000 03/15/2000 03/15/2000
Last Principal Payment Date 01/15/2011 06/15/2008 10/15/2006 09/15/2004 12/15/2002
Payment Windows (mos.) 1 - 131 1 - 100 1 - 80 1 - 55 1 - 34
MV-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.59 6.59 6.59 6.59 6.59
Average Life (yrs.) 7.87 6.00 5.23 5.62 3.84
Modified Duration (yrs.) 5.76 4.68 4.24 4.56 3.28
First Principal Payment Date 07/15/2003 06/15/2003 11/15/2003 09/15/2004 12/15/2002
Last Principal Payment Date 06/15/2013 08/15/2010 08/15/2008 04/15/2007 04/15/2006
Payment Windows (mos.) 41 - 160 40 - 126 45 - 102 55 - 86 34 - 74
MV-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 7.22 7.22 7.22 7.22 7.22
Average Life (yrs.) 7.86 5.94 4.99 4.82 4.44
Modified Duration (yrs.) 5.61 4.54 3.99 3.93 3.67
First Principal Payment Date 07/15/2003 04/15/2003 07/15/2003 09/15/2003 03/15/2003
Last Principal Payment Date 06/15/2013 08/15/2010 08/15/2008 04/15/2007 04/15/2006
Payment Windows (mos.) 41 - 160 38 - 126 41 - 102 43 - 86 37 - 74
BV-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 8.84 8.84 8.84 8.84 8.84
Average Life (yrs.) 7.86 5.92 4.88 4.14 4.44
Modified Duration (yrs.) 5.24 4.29 3.73 3.31 3.53
First Principal Payment Date 07/15/2003 04/15/2003 05/15/2003 06/15/2003 03/15/2003
Last Principal Payment Date 06/15/2013 08/15/2010 08/15/2008 04/15/2007 04/15/2006
Payment Windows (mos.) 41 - 160 38 - 126 39 - 102 40 - 86 37 - 74
BV-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 10.00 10.09 10.16 10.21 10.21
Average Life (yrs.) 6.48 4.78 3.92 3.43 3.44
Modified Duration (yrs.) 4.44 3.56 3.07 2.78 2.79
First Principal Payment Date 07/15/2003 03/15/2003 03/15/2003 03/15/2003 03/15/2003
Last Principal Payment Date 06/15/2013 08/15/2010 08/15/2008 04/15/2007 04/15/2006
Payment Windows (mos.) 41 - 160 37 - 126 37 - 102 37 - 86 37 - 74
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
22
<PAGE>
BOND SUMMARY (to Call)
----------------------
<TABLE>
<CAPTION>
AV (To Call)
- ---------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Yield @ 100.000 6.23 6.23 6.22 6.22 6.22
Average Life (yrs.) 3.24 2.34 1.71 1.29 1.04
Modified Duration (yrs.) 2.70 2.03 1.53 1.18 0.96
First Principal Payment Date 03/15/2000 03/15/2000 03/15/2000 03/15/2000 03/15/2000
Last Principal Payment Date 12/15/2007 11/15/2005 07/15/2004 09/15/2003 12/15/2002
Payment Windows (mos.) 1 - 94 1 - 69 1 - 53 1 - 43 1 - 34
MV-1 (To Call)
- ---------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.59 6.59 6.59 6.59 6.59
Average Life (yrs.) 6.29 4.71 4.15 3.56 2.89
Modified Duration (yrs.) 4.96 3.91 3.53 3.09 2.55
First Principal Payment Date 07/15/2003 06/15/2003 11/15/2003 09/15/2003 12/15/2002
Last Principal Payment Date 12/15/2007 11/15/2005 07/15/2004 09/15/2003 01/15/2003
Payment Windows (mos.) 41 - 94 40 - 69 45 - 53 43 - 43 34 - 35
MV-2 (To Call)
- ---------------------------------------------------------------------------------------------------------------------------------
CPR 18% 24% 30% 36% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 7.22 7.22 7.22 7.22 7.22
Average Life (yrs.) 6.29 4.67 3.94 3.56 2.89
Modified Duration (yrs.) 4.85 3.82 3.32 3.05 2.53
First Principal Payment Date 07/15/2003 04/15/2003 07/15/2003 09/15/2003 01/15/2003
Last Principal Payment Date 12/15/2007 11/15/2005 07/15/2004 09/15/2003 01/15/2003
Payment Windows (mos.) 41 - 94 38 - 69 41 - 53 43 - 43 35 - 35
BV-1 (To Call)
CPR 18% 24% 30% 36% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 8.84 8.84 8.84 8.84 8.85
Average Life (yrs.) 6.29 4.66 3.83 3.50 2.89
Modified Duration (yrs.) 4.60 3.65 3.13 2.90 2.46
First Principal Payment Date 07/15/2003 04/15/2003 05/15/2003 06/15/2003 01/15/2003
Last Principal Payment Date 12/15/2007 11/15/2005 07/15/2004 09/15/2003 01/15/2003
Payment Windows (mos.) 41 - 94 38 - 69 39 - 53 40 - 43 35 - 35
BV-2 (To Call)
CPR 18% 24% 30% 36% 42%
- ---------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 10.00 10.09 10.16 10.19 10.27
Average Life (yrs.) 5.79 4.29 3.57 3.27 2.89
Modified Duration (yrs.) 4.19 3.33 2.88 2.68 2.42
First Principal Payment Date 07/15/2003 03/15/2003 03/15/2003 03/15/2003 01/15/2003
Last Principal Payment Date 12/15/2007 11/15/2005 07/15/2004 09/15/2003 01/15/2003
Payment Windows (mos.) 41 - 94 37 - 69 37 - 53 37 - 43 35 - 35
</TABLE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the Security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has
not been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
23
<PAGE>
ADJUSTABLE RATE NET FUNDS CAP RATE*
----------------------------------
Period Period
------ ------
1 5.02 45 12.01
2 9.34 46 12.01
3 9.34 47 12.01
4 9.34 48 12.01
5 9.34 49 12.01
6 9.34 50 12.04
7 9.34 51 12.04
8 9.34 52 12.04
9 9.34 53 12.04
10 9.34 54 12.04
11 9.34
12 9.34
13 9.34
14 9.34
15 9.34
16 9.35
17 9.35
18 9.35
19 9.35
20 9.36
21 9.36
22 9.37
23 9.42
24 9.60
25 9.82
26 10.25
27 10.25
28 10.27
29 10.32
30 10.50
31 10.83
32 11.25
33 11.26
34 11.27
35 11.30
36 11.40
37 11.59
38 11.89
39 11.89
40 11.89
41 11.89
42 11.89
43 11.92
44 12.01
* Calculated assuming 6 month LIBOR stays constant at 6.2200%; run at the
pricing speed to call.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the Security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has
not been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
CREDIT FIRST
SUISSE BOSTON
24
