<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 28, 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 28,
2000, distributed in connection with
$950,000,000 (approximate) Class AF, Class
MF and Class BF-1 Certificates for Home
Loans, Series 2000-B, issued by Conseco
Finance Home Loan Trust 2000-B, formed by
Conseco Finance Securitizations Corp.
99.2 Computational Material of Banc of America
Securities LLC, dated February 28, 2000,
distributed in connection with $950,000,000
(approximate) Class AF, Class MF and Class
BF-1 Certificates for Home Loans, Series
2000-B, issued by Conseco Finance Home Loan
Trust 2000-B, formed by Conseco Finance
Securitizations Corp.
99.3 Additional Computational Material of Banc of
America Securities LLC, dated February 28,
2000, distributed in connection with
$950,000,000 (approximate) Class AF, Class
MF and Class BF-1 Certificates for Home
Loans, Series 2000-B, issued by Conseco
Finance Home Loan Trust 2000-B, 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>
Exhibit 99.1
[LOGO OF CONSECO FINANCE CORP.]
- --------------------------------------------------------------------------------
Computational Materials
-----------------------
Conseco Finance Securitizations Corp.
Seller
Conseco Finance Corp.
Servicer
$950,000,000 (Approximate)
Certificates for Home Equity Loans Series 2000-B
February 28, 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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
TERM SHEET DATED February 28, 2000
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 2000-B
$950,000,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
("Conseco Securitizations")
SERVICER: Conseco Finance Corp. ("Conseco Finance")
TRUSTEE: U.S. Bank Trust National Association
LEAD MANAGERS AND
JOINT BOOKRUNNERS: Banc of America Securities LLC (Co-Lead), Credit Suisse First
Boston (Co-Lead)
CO-MANAGERS: Chase Securities Inc. (Co), First Union Capital Markets (Co),
Lehman Brothers (Co), Merrill Lynch & Co. (Co), Prudential
Securities (Co)
<TABLE>
<CAPTION>
Est. Est. Est. Prin. Est. Prin. Final
WAL WAL Window Window Scheduled Expected Ratings
Approximate (yrs) (yrs) (mos) (mos) Distribution -------------------
Class Size Type Call(1) Matur. Call(1) Maturity Date S&P Moodys Duff
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ --------------- ---- --------- ----
Offered Certificates
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AF-1 $321,740,000 SEN/SEQ 0.85 0.85 1 - 19 1 - 19 [11/15/14] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-2 186,150,000 SEN/SEQ 2.10 2.10 19 - 33 19 - 33 [2/15/19] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-3 80,570,000 SEN/SEQ 3.20 3.20 33 - 47 33 - 47 [3/15/20] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-4 48,620,000 SEN/SEQ 4.50 4.50 47 - 64 47 - 64 [2/15/31] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-5 75,420,000 SEN/SEQ 5.62 7.27 64 - 68 64 - 102 [2/15/31] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-6 97,500,000 SEN/NAS 5.02 5.43 25 - 68 25 - 83 [5/15/20] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
MF-1(2) 59,300,000 MEZ 4.64 5.90 38 - 68 38 - 125 [2/15/31] AA Aa2 AA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
MF-2(2) 50,500,000 MEZ 4.62 5.87 38 - 68 38 - 125 [2/15/31] A A2 A
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
BF-1(2) 30,200,000 SUB 4.61 5.85 37 - 68 37 - 125 [2/15/31] BBB Baa2 BBB
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
$950,000,000
Non-Offered Certificates
- ------------------------
BF-2(2) $35,000,000 SUB/CORP GUAR. 4.17 4.32 37 - 68 37 -125 [2/15/31] BBB- Baa3 BBB
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ --------------- ---- ---- ---
</TABLE>
(1) All Offered Certificates are priced to the 20% call, as further described
herein. The Certificates will be priced at the Pricing Speed described
below.
(2) Subject to the Available Funds Pass-Through Rate described herein.
Pricing Speed
-----------------------------------------------------------
125% PPC - 100% prepayment assumption assumes a constant
prepayment of 4% in month one increased by approximately an
additional 1.45% each month to 20% CPR in month twelve, and
remaining at 20% CPR thereafter.
-----------------------------------------------------------
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
2
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Conseco Finance 2000-B Structure Diagram
Principal Distribution Priorities
<TABLE>
<CAPTION>
Principal Priority Prior to the Stepdown Date Principal Priority After the Stepdown Date (assuming no
(or if a Trigger Event exists) Trigger Event)
Pay sequentially Pay all bonds to maintain specified enhancement levels
Targeted
Enhancement
Percentage
<S> <C> <C> <C> <C>
- ------ ----------------------------------------------------------- ---------------------------- -------
Princ.
Paym. ---> AF-1 AF-2 AF-3 AF-4 AF-5 MF-1 MF-2 BF-1 BF-2 O/C AF-1 AF-2 AF-3 AF-4 AF-5
- ------ ----------------------------------------------------------- ------ ----------------------------
Princ. 38.00%
AF-6 NAS Bond Paym. ---> AF-6 NAS Bond
------ ------------------------------ -------
MF-1 26.14%
- ---------- ------------------------------------------------------------ ------------------------------ -------
Initial
Sizing 81.00% 5.93% 5.05%3.02% 3.50% 1.50% MF-2 16.04%
- ---------- ------------------------------------------------------------ ------------------------------ -------
BF-1 10.00%
------------------------------ -------
BF-2 3.00%
------------------------------ -------
-----------------------------------------------------> ---------------------------------->
0 Month 36 37 Month 68+
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
3
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 February 29, 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: March 27, 2000
Expected Pricing Date: [March 1], 2000
Registration: The offered Certificates will be available in book-entry
form through DTC, Euroclear or Clearstream.
Record Date: The business day just before the Payment Date.
Payment Date: The 15th day of each month (or if such 15th day is not a
business day, the next succeeding business day)
commencing on April 17, 2000.
Day Count: 30/360.
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.
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 and balloon, first,
second, and third lien, fixed rate closed end, one- to
four-family residential home equity loans. The total
Initial Home Equity Loans will consist of 9,966 home
equity loans, with a principal balance of approximately
$590,169,636.03.
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
4
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 the 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 AF-1 certificateholders and if
the principal balance of such class has been reduced to
zero, then to the Class AF-2, Class AF-3, Class AF-4,
Class AF-5, Class AF-6, Class MF-1, Class MF-2, Class
BF-1 and Class BF-2, in that order of priority.
Final Home Equity
Loan Group: The final pool of home equity loans in the trust will be
based on balances as of the related Cut-off Date. The
collateral composition of the pools 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.
Rating Agencies: Standard and Poor's Ratings Services ("S&P") Moody's
Investors Service ("Moodys") Duff & Phelps Credit Rating
Co. ("Duff")
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
5
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
Interest on the
Class AF, MF-1, MF-2
and BF-1 Certificates: On each Payment Date the Amount Available will be
distributable to pay interest as follows:
- First, to each class of the Class AF Certificates
(AF-1, AF-2, AF-3, AF-4, AF-5, AF-6);
- second, to the Class MF-1 Certificates;
- third, to the Class MF-2 Certificates; and
- fourth, to the Class BF-1 Certificates.
Interest will accrue on the outstanding Class AF
principal balance, Class MF-1 adjusted principal
balance, Class MF-2 adjusted principal balance, and the
Class BF-1 adjusted principal balance, at the related
pass-through rate calculated on a 30/360 basis. Interest
on the outstanding Class AF principal balance, Class
MF-1 adjusted principal balance, Class MF-2 adjusted
principal balance and Class BF-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 MF-1,
MF-2 and BF-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 such class
(the Class AF Certificates being treated as a single
class for such purpose). 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.
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
Mortgage 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.
Interest payable to the Class MF and Class BF
certificates may be limited on any Payment Date by the
Available Funds Pass-Through Rate.
Class BF-2 Interest: After payment of all interest (including liquidation
loss interest) and principal due on the Class AF, Class
MF-1, Class MF-2 and Class BF-1 Certificates, interest
will be paid to the Class BF-2 certificateholders in an
amount equal to the product of (a) the Class BF-2
pass-through rate and (b) the then outstanding Class
BF-2 principal balance. The Class BF-2 Limited Guaranty
will be available to pay interest to the Class BF-2
certificateholders if the remaining Amount Available is
not sufficient to cover such payment.
Interest on the Class BF-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 a 30/360
basis. Interest shortfalls will be carried forward, and
will accrue interest at the Class BF-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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
6
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
-----------------------
On each Payment Date after all interest is distributed to the Class AF,
Class MF-1, Class MF-2, and Class BF-1 certificateholders, the
remaining Amount Available will be distributed as principal as follows
and in the following order of priority:
i) first, to the Class AF Certificates, the Class AF Principal
Distribution Amount;
ii) second, to the Class MF-1 Certificates, the Class MF-1
Principal Distribution Amount;
iii) third, to the Class MF-2 Certificates, the Class MF-2
Principal Distribution Amount; and
iv) fourth, to the Class BF-1 Certificates, the Class BF-1
Principal Distribution Amount.
On each Payment Date, the Class AF Principal Distribution Amount will
be distributed as follows: first to the Class AF-6 Certificates up to
the Class AF-6 Lockout Principal Distribution Amount, second to the
Class AF-1 certificateholders until the Class AF-1 Certificate
Principal Balance is reduced to zero, third to the Class AF-2
certificateholders until the Class AF-2 Certificate Principal Balance
has been reduced to zero, fourth to the Class AF-3 certificateholders
until the Class AF-3 Certificate Principal Balance has been reduced to
zero, fifth to the Class AF-4 certificateholders until the Class AF-4
Certificate Principal Balance has been reduced to zero, sixth to the
Class AF-5 certificateholders until the Class AF-5 Certificate
Principal Balance has been reduced to zero and seventh to the Class
AF-6 certificateholders until the Class AF-6 Certificate Principal
Balance has been reduced to zero.
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 such class.
Formula Principal
Distribution Amount: On each Payment Date, the Formula Principal Distribution
Amount will be equal to (A) the sum of (i) all scheduled
payments of principal due on each outstanding home
equity loan during the related due period, (ii) the
scheduled principal balance of each home equity 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 home equity
loan, (iv) the scheduled principal balance of each home
equity loan that became a liquidated home equity 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.
The "Scheduled Principal Balance" of a home equity loan
with respect to any Payment Date is its principal
balance as of the scheduled payment date in the calendar
month preceding that payment date as specified in its
amortization schedule, after giving effect to any
previous partial principal prepayments and to the
scheduled payment due on such due date, but without
giving effect to any delinquency in payment or
adjustments due to bankruptcy or similar proceedings.
The "Pool Scheduled Principal Balance" as of any Payment
Date is the aggregate of the Scheduled Principal
Balances of loans comprising the loan pool that were
outstanding during the preceding Due Period.
Stepdown Date: The later to occur of (A) the Payment Date in April,
2003 and (B) the first Payment Date on which the Class A
Certificate Principal Balance is less than or equal to
62.00% of the Scheduled Principal Balances of the Home
Equity Loans.
Trigger Event: A Trigger Event is in effect for the certificates if on
that payment date: (i) the three month rolling average
percentage of the home equity loans that are 60 days or
more delinquent in payment of principal and interest
exceeds the product of (a) the Senior Enhancement
Percentage for the certificates and (b) 42.5%; or (ii)
the Cumulative Realized Losses Test is not satisfied.
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
7
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Senior Enhancement
Percentage: The Senior Enhancement Percentage for the certificates
on any payment date will equal the percentage obtained
by dividing: (i) the excess of (A) the Pool Scheduled
Principal Balance over (B) the principal balance of the
most senior class of certificates outstanding, by (ii)
the Pool Scheduled Principal Balance.
Cumulative Realized
Losses Test: The Cumulative Realized Losses Test is satisfied for any
Payment Date if the cumulative realized loss ratio for
the loans for such payment date is less than or equal to
the percentage set forth below for the specified period:
Month Percentage
37 - 48 4.40%
49 - 60 5.23%
61 - 84 5.50%
85 and thereafter 6.00%
Class AF Formula
Principal Distribution
Amount: The Class AF Formula Principal Distribution Amount will
generally be equal to:
(i) if the Payment Date is before the Stepdown
Date or a Trigger Event exists, the Formula
Principal Distribution Amount (but in no
event more than the Class AF principal
balance); or
(ii) if the Payment Date is on or after the
Stepdown Date and no Trigger Event exists,
the excess (but in no event more than the
Class AF principal balance) of (A) the Class
AF principal balance over (B) the lesser of
(x) 62.00% of the Pool Scheduled Principal
Balance or (y) the Pool Scheduled Principal
Balance minus $15,000,000.
Class AF-6
Lockout Principal
Distribution Amount: For any Payment Date, equals the product of (A) the
product of (i) a fraction, the numerator of which is the
Class AF-6 Certificate Principal Balance and the
denominator of which is the Class AF Certificate
Principal Balance in each case immediately prior to such
Payment Date, and (ii) the Formula Principal
Distribution Amount with respect to the Class AF
Certificates for such Payment Date and (B) the
applicable percentage for such Payment Date set forth in
the following table:
Distribution Date Percentage
----------------- ----------
April 2000 - March 2002 0%
April 2002 - March 2004 20%
April 2004 - March 2005 80%
April 2005 - March 2006 100%
April 2006 and thereafter 300%
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
8
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Class MF-1 Formula
Principal Distribution
Amount: The Class MF-1 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the Stepdown
Date or (B) on or after the Stepdown Date and a
Trigger Event exists, the Formula Principal
Distribution Amount less the Class AF Formula
Principal Distribution Amount (but in no event
more than the Class MF-1 principal balance); or
(ii) if the Payment Date is on or after the Stepdown
Date and no Trigger Event exists, the excess (but
in no event more than the Class MF-1 principal
balance) of (A) (1) the sum of the Class AF
principal balance and the Class MF-1 adjusted
principal balance, minus (2) the amount of
principal actually distributed on such payment
date on the Class AF certificates, over (B) the
lesser of (x) 73.86% of the Pool Scheduled
Principal Balance or (y) the Pool Scheduled
Principal Balance minus $15,000,000.
Class MF-2 Formula
Principal Distribution
Amount: The Class MF-2 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the Stepdown
Date or (B) on or after the Stepdown Date and a
Trigger Event exists, the Formula Principal
Distribution Amount less the sum of the Class AF
Formula Principal Distribution Amount and the
Class MF-1 Formula Principal Distribution Amount
(but in no event more than the Class MF-2
principal balance); or
(ii) if the Payment Date is on or after the Stepdown
Date and no Trigger Event exists, the excess (but
in no event more than the Class MF-2 principal
balance) of (A) (1) the sum of the Class AF
principal balance, the Class MF-1 adjusted
principal balance and the Class MF-2 adjusted
principal balance, minus (2) the amount of
principal actually distributed on such payment
date on the Class AF and Class MF-1 certificates,
over (B) the lesser of (x) 83.96% of the Pool
Scheduled Principal Balance or (y) the Pool
Scheduled Principal Balance minus $15,000,000.
Class BF-1 Formula
Principal Distribution
Amount: The Class BF-1 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the Stepdown
Date or (B) on or after the Stepdown Date and a
Trigger Event exists, the Formula Principal
Distribution Amount less the sum of the Class AF
Formula Principal Distribution Amount, the Class
MF-1 Formula Principal Distribution Amount and the
Class MF-2 Formula Principal Distribution Amount
(but in no event more than the Class BF-1
principal balance); or
(ii) if the Payment Date is on or after the Stepdown
Date and no Trigger Event exists, the excess (but
in no event more than the Class BF-1 principal
balance) of (A) (1) the sum of the Class AF
principal balance, the Class MF-1 adjusted
principal balance, the Class MF-2 adjusted
principal balance and Class BF-1 adjusted
principal balance, minus (2) the amount of
principal actually distributed on such payment
date on the Class AF, Class MF-1 and Class MF-2
certificates, over (B) the lesser of (x) 90.00% of
the Pool Scheduled Principal Balance or (y) the
Pool Scheduled Principal Balance minus
$15,000,000.
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
9
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Class BF-2 Formula
Principal Distribution
Amount : The Class BF-2 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the Stepdown
Date or (B) on or after the Stepdown Date and a
Trigger Event exists, the Formula Principal
Distribution Amount less the sum of the Class AF
Formula Principal Distribution Amount, the Class
MF-1 Formula Principal Distribution Amount, the
Class MF-2 Formula Principal Distribution Amount
and the Class BF-1 Formula Principal Distribution
Amount (but in no event more than the Class BF-2
principal balance); or
(ii) if the Payment Date is on or after the Stepdown
Date and no Trigger Event exists, the excess (but
in no event more than the Class BF-2 principal
balance) of (A) (1) the sum of the Class AF
principal balance, the Class MF-1 adjusted
principal balance, the Class MF-2 adjusted
principal balance, the Class BF-1 adjusted
principal balance and the Class BF-2 adjusted
principal balance, minus (2) the amount of
principal actually distributed on such payment
date on the Class AF, Class MF-1, Class MF-2 and
Class BF-1 certificates, over (B) the lesser of
(x) 97.00% of the Pool Scheduled Principal Balance
or (y) the Pool Scheduled Principal Balance minus
$15,000,000.
The adjusted principal balance of the Class BF-2
Certificates is the principal balance less any
Liquidation Loss Principal Amounts allocated to that
Class that was not covered by the BF-2 Limited Guaranty.
Class BF-2 Limited
Guaranty: The Class BF-2 Limited Guaranty will be available to
cover any shortfall if the Amount Available is
insufficient on any Payment Date to pay interest on, or
the Class BF-2 Formula Principal Distribution Amount to,
the Class BF-2 Certificateholder. The Class BF-2 Limited
Guaranty will be an unsecured general obligation of
Conseco Finance.
Initial
Overcollateralization: The sum of the aggregate Cut-off Date principal balance
of the Home Equity 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
$15,000,000, which represents approximately 1.5% of the
aggregate Cut-off Date Principal Balance of the home
equity loans included in the trust as of the Closing
Date plus the amount on deposit in the Pre-Funding
Account on the Closing Date.
The Cut-off Date principal balance of any home equity
loan with a CLTV at origination in excess of 100% ("High
CLTV Loans") will be deemed to be that balance at 100%
CLTV. The portion in excess of the 100% CLTV will be
deemed a separate sub-trust of the trust fund whose
purpose is to provide additional credit support to the
Certificates in the form of additional
overcollateralization. There will be no Additional Loans
or Subsequent Loans that are High CLTV Loans. The High
CLTV Loans have been segregated on the CLTV tables on
page 18.
Credit Support
Percentage: Initial Credit Support After Stepdown Date
---------------------- -------------------
Class Percent Class Percent
----- ------- ----- -------
AF 19.00% AF 38.00%
MF-1 13.07% MF-1 26.14%
MF-2 8.02% MF-2 16.04%
BF-1 5.00% BF-1 10.00%
BF-2 1.50% BF-2 3.00%
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
10
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 Principal 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 BF-2 certificateholders,
sixth by the Class BF-1 certificateholders, seventh by
the Class MF-2 certificateholders and eighth by the
Class MF-1 certificateholders.
Purchase Option or
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 home
equity loans, the holder of the Class C Certificates
will have the right to repurchase all of the outstanding
home equity 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 this 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 and payment of monthly servicing fee are
made will be used to paydown principal as follows:
(i) first, to the Class AF-6 Certificates until the
principal balance of the AF-6 Certificates is
reduced to zero,
(ii) second, to the remaining Class AF Certificates
prorata until the principal balance of the
remaining Class AF Certificates is reduced to
zero,
(iii) third, to the remaining Class MF-1 Certificates,
Class MF-2 Certificates, Class BF-1 Certificates,
and the Class BF-2 Certificates, pro-rata based on
the outstanding principal balance, until the
related certificate principal balances of the
Class MF and Class BF Certificates 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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
11
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Summary
<TABLE>
<CAPTION>
Total Minimum Maximum
----- ------- --------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $590,169,636.03
Number of Loans 9,966
Average Original Loan Balance $60,011.38 $5,483.33 $357,640.09
Average Current Loan Balance $59,218.31 $5,483.33 $354,839.91
Weighted Average Combined LTV 90.511% 6.568% 125.00%
Weighted Average Gross Coupon 12.365% 7.038% 21.30%
Weighted Average Remaining Term to Maturity (months) 243 13 360
Weighted Average Original Term (months) 244 36 360
Weighted Average FICO Credit Score 626
Weighted Average Debt to Income Ratio 42.61%
</TABLE>
<TABLE>
<CAPTION>
Percent of Statistical Calculation
Range Date Principal Balance
----- ----------------------------------
<S> <C> <C>
Fully Amortizing Home Equity Loans 68.33%
Balloon Home Equity Loans 31.67%
Lien Position First 78.15%
Occupancy Status Primary 98.43%
Geographic Distribution California 9.44%
Florida 5.65%
Ohio 5.63%
Michigan 5.32%
Other 73.96%*
Credit Grade A-1 59.96%
A-2 19.34%
B 16.52%
C 3.44%
D 0.74%
</TABLE>
- ----------------
*Due to rounding, total 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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
12
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
State or Territory Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 208 $11,699,243.42 1.98%
- -------------------------------------------------------------------------------------------------------------------
Arizona 179 10,724,133.01 1.82
- -------------------------------------------------------------------------------------------------------------------
Arkansas 68 3,373,200.96 0.57
- -------------------------------------------------------------------------------------------------------------------
California 767 55,714,861.70 9.44
- -------------------------------------------------------------------------------------------------------------------
Colorado 181 12,477,113.33 2.11
- -------------------------------------------------------------------------------------------------------------------
Connecticut 149 8,788,254.98 1.49
- -------------------------------------------------------------------------------------------------------------------
Delaware 45 3,180,073.79 0.54
- -------------------------------------------------------------------------------------------------------------------
Florida 541 33,335,570.05 5.65
- -------------------------------------------------------------------------------------------------------------------
Georgia 296 17,058,032.86 2.89
- -------------------------------------------------------------------------------------------------------------------
Idaho 34 1,879,483.19 0.32
- -------------------------------------------------------------------------------------------------------------------
Illinois 487 25,700,627.77 4.35
- -------------------------------------------------------------------------------------------------------------------
Indiana 220 11,402,173.83 1.93
- -------------------------------------------------------------------------------------------------------------------
Iowa 204 10,937,547.30 1.85
- -------------------------------------------------------------------------------------------------------------------
Kansas 239 12,032,065.92 2.04
- -------------------------------------------------------------------------------------------------------------------
Kentucky 143 7,527,390.22 1.28
- -------------------------------------------------------------------------------------------------------------------
Louisiana 203 10,297,463.86 1.74
- -------------------------------------------------------------------------------------------------------------------
Maine 28 1,608,670.69 0.27
- -------------------------------------------------------------------------------------------------------------------
Maryland 184 9,809,878.26 1.66
- -------------------------------------------------------------------------------------------------------------------
Massachusetts 138 8,205,442.79 1.39
- -------------------------------------------------------------------------------------------------------------------
Michigan 521 31,370,079.91 5.32
- -------------------------------------------------------------------------------------------------------------------
Minnesota 222 13,653,181.05 2.31
- -------------------------------------------------------------------------------------------------------------------
Mississippi 127 6,824,290.83 1.16
- -------------------------------------------------------------------------------------------------------------------
Missouri 373 22,183,453.35 3.76
- -------------------------------------------------------------------------------------------------------------------
Montana 30 1,427,474.18 0.24
- -------------------------------------------------------------------------------------------------------------------
Nebraska 152 8,958,439.24 1.52
- -------------------------------------------------------------------------------------------------------------------
Nevada 117 4,988,638.02 0.85
- -------------------------------------------------------------------------------------------------------------------
New Hampshire 29 1,864,320.86 0.32
- -------------------------------------------------------------------------------------------------------------------
New Jersey 149 10,184,910.51 1.73
- -------------------------------------------------------------------------------------------------------------------
New Mexico 57 4,114,770.84 0.70
- -------------------------------------------------------------------------------------------------------------------
New York 392 23,404,436.64 3.97
- -------------------------------------------------------------------------------------------------------------------
North Carolina 251 16,374,403.68 2.77
- -------------------------------------------------------------------------------------------------------------------
North Dakota 22 1,248,019.16 0.21
- -------------------------------------------------------------------------------------------------------------------
Ohio 569 33,230,639.29 5.63
- -------------------------------------------------------------------------------------------------------------------
Oklahoma 86 3,491,328.97 0.59
- -------------------------------------------------------------------------------------------------------------------
Oregon 84 5,849,616.03 0.99
- -------------------------------------------------------------------------------------------------------------------
Pennsylvania 462 25,015,896.34 4.24
- -------------------------------------------------------------------------------------------------------------------
Rhode Island 33 1,818,551.20 0.31
- -------------------------------------------------------------------------------------------------------------------
South Carolina 221 13,154,173.76 2.23
- -------------------------------------------------------------------------------------------------------------------
South Dakota 40 2,361,718.58 0.40
- -------------------------------------------------------------------------------------------------------------------
Tennessee 232 16,117,931.08 2.73
- -------------------------------------------------------------------------------------------------------------------
Texas 496 23,970,843.61 4.06
- -------------------------------------------------------------------------------------------------------------------
Utah 83 4,639,332.40 0.79
- -------------------------------------------------------------------------------------------------------------------
Vermont 13 810,713.14 0.14
- -------------------------------------------------------------------------------------------------------------------
Virginia 371 21,493,507.24 3.64
- -------------------------------------------------------------------------------------------------------------------
Washington 247 18,445,708.51 3.13
- -------------------------------------------------------------------------------------------------------------------
Washington DC 26 1,507,610.19 0.26
- -------------------------------------------------------------------------------------------------------------------
West Virginia 54 2,857,328.44 0.48
- -------------------------------------------------------------------------------------------------------------------
Wisconsin 154 10,873,991.22 1.84
- -------------------------------------------------------------------------------------------------------------------
Wyoming 39 2,183,099.83 0.37
===================================================================================================================
Total 9,966 $590,169,636.03 100.00%
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
13
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
ORIGINAL LOAN AMOUNT DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Statistical the Statistical Calculation Balance as of the Statistical
Original Loan Amount* Calculation Date Date Calculation Date
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10,000.00 or less 181 $1,746,807.82 0.30%
- ------------------------------------------------------------------------------------------------------------------------
$ 10,000.01 to $ 20,000.00 1,476 22,865,669.39 3.87
- ------------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 1,507 37,236,455.82 6.31
- ------------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 1,131 39,111,632.24 6.63
- ------------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 964 43,144,761.02 7.31
- ------------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 819 44,720,295.70 7.58
- ------------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 766 49,186,214.23 8.33
- ------------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 657 48,570,415.10 8.23
- ------------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 509 42,619,180.68 7.22
- ------------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $100,000.00 388 36,227,923.26 6.14
- ------------------------------------------------------------------------------------------------------------------------
$100,000.01 to $110,000.00 311 32,200,842.03 5.46
- ------------------------------------------------------------------------------------------------------------------------
$110,000.01 to $120,000.00 255 29,104,067.77 4.93
- ------------------------------------------------------------------------------------------------------------------------
$120,000.01 to $130,000.00 219 27,121,751.61 4.60
- ------------------------------------------------------------------------------------------------------------------------
$130,000.01 to $140,000.00 169 22,533,240.77 3.82
- ------------------------------------------------------------------------------------------------------------------------
$140,000.01 to $150,000.00 113 16,246,829.91 2.75
- ------------------------------------------------------------------------------------------------------------------------
$150,000.01 to $160,000.00 92 14,183,779.13 2.40
- ------------------------------------------------------------------------------------------------------------------------
$160,000.01 to $170,000.00 94 15,353,431.81 2.60
- ------------------------------------------------------------------------------------------------------------------------
$170,000.01 to $180,000.00 64 11,090,257.54 1.88
- ------------------------------------------------------------------------------------------------------------------------
$180,000.01 to $190,000.00 40 7,345,598.54 1.24
- ------------------------------------------------------------------------------------------------------------------------
$190,000.01 to $200,000.00 49 9,564,859.99 1.62
- ------------------------------------------------------------------------------------------------------------------------
$200,000.01 to $210,000.00 22 4,508,714.70 0.76
- ------------------------------------------------------------------------------------------------------------------------
$210,000.01 to $220,000.00 26 5,569,262.57 0.94
- ------------------------------------------------------------------------------------------------------------------------
$220,000.01 to $230,000.00 19 4,280,028.34 0.73
- ------------------------------------------------------------------------------------------------------------------------
$230,000.01 to $240,000.00 21 4,955,650.78 0.84
- ------------------------------------------------------------------------------------------------------------------------
$240,000.01 to $250,000.00 13 3,179,480.76 0.54
- ------------------------------------------------------------------------------------------------------------------------
$250,000.01 to $260,000.00 16 4,031,654.55 0.68
- ------------------------------------------------------------------------------------------------------------------------
$260,000.01 to $270,000.00 8 2,120,190.47 0.36
- ------------------------------------------------------------------------------------------------------------------------
$270,000.01 to $280,000.00 8 2,179,418.67 0.37
- ------------------------------------------------------------------------------------------------------------------------
$280,000.01 to $290,000.00 3 840,723.91 0.14
- ------------------------------------------------------------------------------------------------------------------------
$290,000.01 to $300,000.00 4 1,194,750.00 0.20
- ------------------------------------------------------------------------------------------------------------------------
Over $300,000.00 22 7,135,746.92 1.21
========================================================================================================================
Total 9,966 $590,169,636.03 100.00%
</TABLE>
* A portion of the Initial Home Equity Loans when originated had a CLTV in
excess of 100%. However, Conseco Finance has agreed to cap the loan balance at
100% CLTV with any excess thereof to be additional credit enhancement. The
balances in this table are based on the capped balance, if applicable.
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
14
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
CURRENT LOAN AMOUNT DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Statistical the Statistical Calculation Balance as of the Statistical
Current Loan Amount Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10,000.00 or less 199 $1,918,761.21 0.33%
- -------------------------------------------------------------------------------------------------------------------------
$ 10,000.01 to $ 20,000.00 1,518 23,798,643.94 4.03
- -------------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 1,506 37,772,444.92 6.40
- -------------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 1,123 39,398,767.25 6.68
- -------------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 968 43,864,136.07 7.43
- -------------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 837 46,301,192.54 7.85
- -------------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 766 49,822,988.18 8.44
- -------------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 655 49,191,497.11 8.34
- -------------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 509 43,234,463.82 7.33
- -------------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $100,000.00 378 35,988,047.19 6.10
- -------------------------------------------------------------------------------------------------------------------------
$100,000.01 to $110,000.00 288 30,398,683.52 5.15
- -------------------------------------------------------------------------------------------------------------------------
$110,000.01 to $120,000.00 252 29,122,484.11 4.93
- -------------------------------------------------------------------------------------------------------------------------
$120,000.01 to $130,000.00 217 27,213,825.18 4.61
- -------------------------------------------------------------------------------------------------------------------------
$130,000.01 to $140,000.00 152 20,517,860.70 3.48
- -------------------------------------------------------------------------------------------------------------------------
$140,000.01 to $150,000.00 111 16,130,306.00 2.73
- -------------------------------------------------------------------------------------------------------------------------
$150,000.01 to $160,000.00 94 14,632,024.63 2.48
- -------------------------------------------------------------------------------------------------------------------------
$160,000.01 to $170,000.00 86 14,178,945.57 2.40
- -------------------------------------------------------------------------------------------------------------------------
$170,000.01 to $180,000.00 65 11,355,901.12 1.92
- -------------------------------------------------------------------------------------------------------------------------
$180,000.01 to $190,000.00 37 6,892,528.75 1.17
- -------------------------------------------------------------------------------------------------------------------------
$190,000.01 to $200,000.00 43 8,440,512.55 1.43
- -------------------------------------------------------------------------------------------------------------------------
$200,000.01 to $210,000.00 28 5,756,245.96 0.98
- -------------------------------------------------------------------------------------------------------------------------
$210,000.01 to $220,000.00 22 4,746,109.03 0.80
- -------------------------------------------------------------------------------------------------------------------------
$220,000.01 to $230,000.00 18 4,065,028.34 0.69
- -------------------------------------------------------------------------------------------------------------------------
$230,000.01 to $240,000.00 24 5,669,038.20 0.96
- -------------------------------------------------------------------------------------------------------------------------
$240,000.01 to $250,000.00 11 2,706,093.34 0.46
- -------------------------------------------------------------------------------------------------------------------------
$250,000.01 to $260,000.00 15 3,837,177.38 0.65
- -------------------------------------------------------------------------------------------------------------------------
$260,000.01 to $270,000.00 8 2,120,190.47 0.36
- -------------------------------------------------------------------------------------------------------------------------
$270,000.01 to $280,000.00 8 2,197,742.03 0.37
- -------------------------------------------------------------------------------------------------------------------------
$280,000.01 to $290,000.00 2 567,500.00 0.10
- -------------------------------------------------------------------------------------------------------------------------
$290,000.01 to $300,000.00 4 1,194,750.00 0.20
- -------------------------------------------------------------------------------------------------------------------------
Over $300,000.00 22 7,135,746.92 1.21
=========================================================================================================================
Total 9,966 $590,169,636.03 100.00%
</TABLE>
* A portion of the Initial Home Equity Loans when originated had a CLTV in
excess of 100%. However, Conseco Finance has agreed to cap the loan balance at
100% CLTV with any excess thereof to be additional credit enhancement. The
balances in this table are based on the capped balance, if applicable.
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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
15
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
INTEREST RATE DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Home Equity Statistical the Statistical Calculation Balance as of the Statistical
Loan Interest Rates Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Less than 8.001% 5 $680,884.27 0.12%
- -------------------------------------------------------------------------------------------------------------------
8.001% - 8.500% 22 2,513,921.60 0.43
- -------------------------------------------------------------------------------------------------------------------
8.501% - 9.000% 52 6,756,821.81 1.14
- -------------------------------------------------------------------------------------------------------------------
9.001% - 9.500% 70 8,677,376.00 1.47
- -------------------------------------------------------------------------------------------------------------------
9.501% - 10.000% 261 30,563,240.88 5.18
- -------------------------------------------------------------------------------------------------------------------
10.001% - 10.500% 244 22,221,708.56 3.77
- -------------------------------------------------------------------------------------------------------------------
10.501% - 11.000% 661 60,499,209.52 10.25
- -------------------------------------------------------------------------------------------------------------------
11.001% - 11.500% 478 40,145,758.44 6.80
- -------------------------------------------------------------------------------------------------------------------
11.501% - 12.000% 1,388 112,305,227.82 19.03
- -------------------------------------------------------------------------------------------------------------------
12.001% - 12.500% 896 67,928,531.84 11.51
- -------------------------------------------------------------------------------------------------------------------
12.501% - 13.000% 1,090 68,735,721.82 11.65
- -------------------------------------------------------------------------------------------------------------------
13.001% - 13.500% 831 39,789,951.52 6.74
- -------------------------------------------------------------------------------------------------------------------
13.501% - 14.000% 976 37,651,545.50 6.38
- -------------------------------------------------------------------------------------------------------------------
14.001% - 14.500% 976 33,974,122.42 5.76
- -------------------------------------------------------------------------------------------------------------------
14.501% - 15.000% 763 25,732,116.09 4.36
- -------------------------------------------------------------------------------------------------------------------
15.001% - 15.500% 349 10,907,786.80 1.85
- -------------------------------------------------------------------------------------------------------------------
15.501% - 16.000% 270 7,445,782.03 1.26
- -------------------------------------------------------------------------------------------------------------------
16.001% - 16.500% 102 2,817,010.72 0.48
- -------------------------------------------------------------------------------------------------------------------
16.501% - 17.000% 169 3,772,059.03 0.64
- -------------------------------------------------------------------------------------------------------------------
17.001% - 17.500% 96 1,963,450.53 0.33
- -------------------------------------------------------------------------------------------------------------------
17.501% - 18.000% 98 2,108,221.67 0.36
- -------------------------------------------------------------------------------------------------------------------
18.001% - 18.500% 87 1,575,494.39 0.27
- -------------------------------------------------------------------------------------------------------------------
18.501% - 19.000% 19 351,569.39 0.06
- -------------------------------------------------------------------------------------------------------------------
19.001% - 19.500% 40 686,030.39 0.12
- -------------------------------------------------------------------------------------------------------------------
19.501% - 20.000% 14 236,353.84 0.04
- -------------------------------------------------------------------------------------------------------------------
20.001% - 20.500% 6 88,730.30 0.02
- -------------------------------------------------------------------------------------------------------------------
20.501% - 21.000% 1 15,400.00 0.00
- -------------------------------------------------------------------------------------------------------------------
21.001% - 21.500% 2 25,608.85 0.00
===================================================================================================================
Total 9,966 $590,169,636.03 100.00%
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
16
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Remaining Statistical the Statistical Calculation Balance as of the Statistical
Months to Maturity Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 to 168 967 $28,882,313.06 4.89%
- -------------------------------------------------------------------------------------------------------------------
169 to 180 2,649 150,130,201.60 25.44
- -------------------------------------------------------------------------------------------------------------------
181 to 192 7 357,339.43 0.06
- -------------------------------------------------------------------------------------------------------------------
193 to 204 35 1,985,131.36 0.34
- -------------------------------------------------------------------------------------------------------------------
205 to 216 38 1,422,872.36 0.24
- -------------------------------------------------------------------------------------------------------------------
217 to 228 45 2,100,990.48 0.36
- -------------------------------------------------------------------------------------------------------------------
229 to 240 3,947 230,333,073.19 39.03
- -------------------------------------------------------------------------------------------------------------------
241 to 252 2 45,374.54 0.01
- -------------------------------------------------------------------------------------------------------------------
253 to 264 1 183,811.94 0.03
- -------------------------------------------------------------------------------------------------------------------
265 to 276 2 277,000.00 0.05
- -------------------------------------------------------------------------------------------------------------------
277 to 288 55 1,997,755.42 0.34
- -------------------------------------------------------------------------------------------------------------------
289 to 300 1,395 93,705,395.99 15.88
- -------------------------------------------------------------------------------------------------------------------
301 to 312 3 262,018.43 0.04
- -------------------------------------------------------------------------------------------------------------------
313 to 324 7 509,288.36 0.09
- -------------------------------------------------------------------------------------------------------------------
325 to 336 20 1,319,658.90 0.22
- -------------------------------------------------------------------------------------------------------------------
337 to 348 139 10,135,615.83 1.72
- -------------------------------------------------------------------------------------------------------------------
349 to 360 654 66,521,795.14 11.27
===================================================================================================================
Total 9,966 $590,169,636.03 100.00%
</TABLE>
LIEN POSITION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
Lien Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First 5,672 $461,228,301.43 78.15%
- -------------------------------------------------------------------------------------------------------------------
Second 4,138 125,690,430.58 21.30
- -------------------------------------------------------------------------------------------------------------------
Third 156 3,250,904.02 0.55
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
17
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Combined Statistical the Statistical Calculation Balance as of the Statistical
Loan-to-Value Ratios Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% to 20.00% 43 $836,262.09 0.14%
- -------------------------------------------------------------------------------------------------------------------
20.01% to 30.00% 103 2,390,867.62 0.41
- -------------------------------------------------------------------------------------------------------------------
30.01% to 40.00% 200 5,536,055.78 0.94
- -------------------------------------------------------------------------------------------------------------------
40.01% to 50.00% 325 9,401,183.66 1.59
- -------------------------------------------------------------------------------------------------------------------
50.01% to 60.00% 475 15,140,751.41 2.57
- -------------------------------------------------------------------------------------------------------------------
60.01% to 70.00% 674 24,617,343.31 4.17
- -------------------------------------------------------------------------------------------------------------------
70.01% to 80.00% 1,275 59,309,505.97 10.05
- -------------------------------------------------------------------------------------------------------------------
80.01% to 90.00% 1,696 113,605,631.53 19.25
- -------------------------------------------------------------------------------------------------------------------
90.01% to 100.00% 3,238 242,428,561.15 41.08
- -------------------------------------------------------------------------------------------------------------------
100.00%* 1,937 116,903,473.51 19.81
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
- ------------------
* Represents the High LTV Loans, described herein.
YEAR OF ORIGINATION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
Year of Origination Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1995 2 $43,490.70 0.01%
- -------------------------------------------------------------------------------------------------------------------
1996 52 2,167,378.77 0.37
- -------------------------------------------------------------------------------------------------------------------
1997 78 3,044,513.49 0.52
- -------------------------------------------------------------------------------------------------------------------
1998 169 6,497,813.96 1.10
- -------------------------------------------------------------------------------------------------------------------
1999 9,665 578,416,439.11 98.01
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
18
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
PREPAYMENT SCENARIOS
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V
---------- ----------- ------------ ---------- ----------
<S> <C> <C> <C> <C>
75% 100% 125% 150% 175%
As a percentage of the Base Prepayment Assumption for the Home Equity Loans (1)
</TABLE>
CPR PREPAYMENT SENSITIVITIES*
<TABLE>
<CAPTION>
-------------------
Scenario I Scenario II Scenario III Scenario IV Scenario V
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------------ ------------------- ------------------- ------------------- -------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-1 1.29 10/02 1.02 03/02 0.85 10/01 0.73 08/01 0.65 06/01
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-2 3.43 12/04 2.61 09/03 2.10 12/02 1.76 06/02 1.53 02/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-3 6.27 09/08 4.21 6/05 3.20 02/04 2.48 01/03 2.11 07/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-4 8.99 04/09 6.32 03/07 4.50 07/05 3.19 03/04 2.49 11/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-5 9.05 04/09 6.97 03/07 5.62 11/05 4.53 11/04 3.28 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-6 6.36 04/09 5.73 03/07 5.02 11/05 4.32 11/04 3.73 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-1 7.40 04/09 5.68 03/07 4.64 11/05 4.07 11/04 3.89 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-2 7.40 04/09 5.68 03/07 4.62 11/05 3.99 11/04 3.68 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-1 7.40 04/09 5.68 03/07 4.61 11/05 3.95 11/04 3.58 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-2 6.70 04/09 5.13 03/07 4.17 11/05 3.61 11/04 3.32 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
To Maturity
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-1 1.29 10/02 1.02 03/02 0.85 10/01 0.73 08/01 0.65 06/01
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-2 3.43 12/04 2.61 09/03 2.10 12/02 1.76 06/02 1.53 02/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-3 6.27 09/08 4.21 06/05 3.20 02/04 2.48 01/03 2.11 07/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-4 10.35 12/12 7.03 06/10 4.50 07/05 3.19 03/04 2.49 11/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-5 11.02 12/12 8.85 06/10 7.27 09/08 5.77 06/07 3.99 07/06
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-6 6.40 10/09 5.85 12/07 5.43 02/07 4.90 05/06 4.54 12/05
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-1 9.17 12/14 7.21 08/12 5.90 08/10 5.17 02/09 4.82 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-2 9.15 12/14 7.18 08/12 5.87 08/10 5.06 02/09 4.57 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-1 9.15 12/14 7.18 08/12 5.85 08/10 5.00 02/09 4.36 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-2 7.13 12/14 5.43 08/12 4.32 08/10 3.68 02/09 3.36 10/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
-------------------
</TABLE>
* The Certificates will be priced using 125% of the Base Prepayment Assumption.
(1)The Base Prepayment Assumption ("PPC") assumes a conditional prepayment rate
of 4% per annum of the then outstanding principal balance of the Home Equity
Loans in the first month of the life of the Home Equity Loans and an
additional 1.45% per annum in each month thereafter until the twelfth month.
Beginning in the twelfth month and in each month thereafter, the conditional
prepayment rate is 20%.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
19
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)
----------------------
<TABLE>
<CAPTION>
AF-1 (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average Life (yrs.) 1.29 1.02 0.85 0.73 0.65
Modified Duration (yrs.) 1.18 0.94 0.79 0.69 0.61
First Principal Payment Date 04/15/2000 04/15/2000 04/15/2000 04/15/2000 04/15/2000
Last Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Payment Windows (mos.) 31 24 19 17 15
AF-2 (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 3.43 2.61 2.10 1.76 1.53
Modified Duration (yrs.) 2.93 2.29 1.88 1.60 1.39
First Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Last Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Payment Windows (mos.) 27 19 15 11 9
AF-3 (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
FIX-PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.27 4.21 3.20 2.48 2.11
Modified Duration (yrs.) 4.81 3.48 2.75 2.19 1.89
First Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Last Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Payment Windows (mos.) 46 22 15 8 6
AF-4 (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 8.99 6.32 4.50 3.19 2.49
Modified Duration (yrs.) 6.23 4.80 3.66 2.72 2.18
First Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 07/15/2005 03/15/2004 11/15/2002
Payment Windows (mos.) 8 22 18 15 5
AF-5 (To Call)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.05 6.97 5.62 4.53 3.28
Modified Duration (yrs.) 6.19 5.14 4.35 3.66 2.77
First Principal Payment Date 04/15/2009 03/15/2007 07/15/2005 03/15/2004 11/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 1 1 5 9 17
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
20
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AF-6 (To Call)
- --------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average Life (yrs.) 6.36 5.73 5.02 4.32 3.73
Modified Duration (yrs.) 4.78 4.42 3.99 3.53 3.12
First Principal Payment Date 04/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 85 60 44 32 24
MF-1 (To Call)
- --------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- --------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.64 4.07 3.89
Modified Duration (yrs.) 5.32 4.36 3.71 3.34 3.22
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 08/15/2003 11/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 31 16 5
MF-2 (To Call)
- --------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- --------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.62 3.99 3.68
Modified Duration (yrs.) 5.25 4.31 3.66 3.25 3.05
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 06/15/2003 07/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 31 18 9
BF-1 (To Call)
- --------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- --------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.61 3.95 3.58
Modified Duration (yrs.) 5.04 4.17 3.55 3.14 2.91
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 05/15/2003 06/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 32 19 10
BF-2 (To Call)
- --------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- --------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.70 5.13 4.17 3.61 3.32
Modified Duration (yrs.) 4.53 3.74 3.19 2.85 2.66
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 04/15/2003 04/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 32 20 12
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
21
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
<TABLE>
<CAPTION>
AF-1 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average Life (yrs.) 1.29 1.02 0.85 0.73 0.65
Modified Duration (yrs.) 1.18 0.94 0.79 0.69 0.61
First Principal Payment Date 04/15/2000 04/15/2000 04/15/2000 04/15/2000 04/15/2000
Last Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Payment Windows (mos.) 31 24 19 17 15
AF-2 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 3.43 2.61 2.10 1.76 1.53
Modified Duration (yrs.) 2.93 2.29 1.88 1.60 1.39
First Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Last Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Payment Windows (mos.) 27 19 15 11 9
AF-3 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.27 4.21 3.20 2.48 2.11
Modified Duration (yrs.) 4.81 3.48 2.75 2.19 1.89
First Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Last Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Payment Windows (mos.) 46 22 15 8 6
AF-4 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 10.35 7.03 4.50 3.19 2.49
Modified Duration (yrs.) 6.82 5.17 3.66 2.72 2.18
First Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Last Principal Payment Date 12/15/2012 06/15/2010 07/15/2005 03/15/2004 11/15/2002
Payment Windows (mos.) 52 61 18 15 5
AF-5 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 11.02 8.85 7.27 5.77 3.99
Modified Duration (yrs.) 7.02 6.09 5.28 4.41 3.23
First Principal Payment Date 10/15/2009 12/15/2007 07/15/2005 03/15/2004 11/15/2002
Last Principal Payment Date 12/15/2012 06/15/2010 09/15/2008 06/15/2007 07/15/2006
Payment Windows (mos.) 39 31 39 40 45
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
22
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AF-6 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Average Life (yrs.) 6.40 5.85 5.43 4.90 4.54
Modified Duration (yrs.) 4.80 4.49 4.24 3.91 3.67
First Principal Payment Date 04/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Last Principal Payment Date 10/15/2009 12/15/2007 02/15/2007 05/15/2006 12/15/2005
Payment Windows (mos.) 91 69 59 50 45
MF-1 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.17 7.21 5.90 5.17 4.82
Modified Duration (yrs.) 6.00 5.07 4.38 3.98 3.80
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 08/15/2003 11/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 88 67 50
MF-2 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.15 7.18 5.87 5.06 4.57
Modified Duration (yrs.) 5.90 4.99 4.31 3.87 3.59
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 06/15/2003 07/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 88 69 54
BF-1 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.15 7.18 5.85 5.00 4.36
Modified Duration (yrs.) 5.62 4.78 4.14 3.71 3.36
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 05/15/2003 06/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 89 70 55
BF-2 (To Maturity)
- -----------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- -----------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.13 5.43 4.32 3.68 3.36
Modified Duration (yrs.) 4.65 3.84 3.25 2.88 2.68
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 04/15/2003 04/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 10/15/2004
Payment Windows (mos.) 127 111 89 71 19
</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.
[LOGO OF CREDIT SUISSE FIRST BOSTON]
23
<PAGE>
Exhibit 99.2
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
[LOGO OF CONSECO FINANCE CORP]
BANC OF AMERICA SECURITIES LLC
[LOGO OF BANK OF AMERICA]
- --------------------------------------------------------------------------------
RMBS New Issue Term Sheet
Certificates for Home Equity Loans, Series 2000-B
Classes: AF-1, AF-2, AF-3, AF-4, AF-5, AF-6, MF-1, MF-2, BF-1
$950,000,000 (approximate)
Conseco Finance Corp.
Servicer
Conseco Finance Securitizations Corp.
Seller
February 28, 2000
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
1
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
TERM SHEET DATED February 28, 2000
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 2000-B
$950,000,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
("Conseco Securitizations")
SERVICER: Conseco Finance Corp. ("Conseco Finance")
TRUSTEE: U.S. Bank Trust National Association
LEAD MANAGERS AND
JOINT BOOKRUNNERS: Banc of America Securities LLC (Co-Lead), Credit Suisse First
Boston (Co-Lead)
CO-MANAGERS: Chase Securities Inc. (Co), First Union Capital Markets (Co),
Lehman Brothers (Co), Merrill Lynch & Co. (Co), Prudential
Securities (Co)
<TABLE>
<CAPTION>
Est. Est. Est. Prin. Est. Prin. Final
WAL WAL Window Window Scheduled Expected Ratings
Approximate (yrs) (yrs) (mos) (mos) Distribution -------------------
Class Size Type Call(1) Matur. Call(1) Maturity Date S&P Moodys Duff
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ --------------- ---- --------- ----
Offered Certificates
- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AF-1 $321,740,000 SEN/SEQ 0.85 0.85 1 - 19 1 - 19 [11/15/14] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-2 186,150,000 SEN/SEQ 2.10 2.10 19 - 33 19 - 33 [2/15/19] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-3 80,570,000 SEN/SEQ 3.20 3.20 33 - 47 33 - 47 [3/15/20] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-4 48,620,000 SEN/SEQ 4.50 4.50 47 - 64 47 - 64 [2/15/31] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-5 75,420,000 SEN/SEQ 5.62 7.27 64 - 68 64 - 102 [2/15/31] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
AF-6 97,500,000 SEN/NAS 5.02 5.43 25 - 68 25 - 83 [5/15/20] AAA Aaa AAA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
MF-1(2) 59,300,000 MEZ 4.64 5.90 38 - 68 38 - 125 [2/15/31] AA Aa2 AA
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
MF-2(2) 50,500,000 MEZ 4.62 5.87 38 - 68 38 - 125 [2/15/31] A A2 A
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
BF-1(2) 30,200,000 SUB 4.61 5.85 37 - 68 37 - 125 [2/15/31] BBB Baa2 BBB
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ ---------------
$950,000,000
Non-Offered Certificates
- ------------------------
BF-2(2) $35,000,000 SUB/CORP GUAR. 4.17 4.32 37 - 68 37 -125 [2/15/31] BBB- Baa3 BBB
- --------------- ----------------- -------------- ---------- --------- ------------ ------------ --------------- ---- ---- ---
</TABLE>
(1) All Offered Certificates are priced to the 20% call, as further described
herein. The Certificates will be priced at the Pricing Speed described
below.
(2) Subject to the Available Funds Pass-Through Rate described herein.
Pricing Speed
-----------------------------------------------------------
125% PPC - 100% prepayment assumption assumes a constant
prepayment of 4% in month one increased by approximately an
additional 1.45% each month to 20% CPR in month twelve, and
remaining at 20% CPR thereafter.
-----------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
2
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Conseco Finance 2000-B Structure Diagram
Principal Distribution Priorities
<TABLE>
<CAPTION>
Principal Priority Prior to the Stepdown Date Principal Priority After the Stepdown Date (assuming no
(or if a Trigger Event exists) Trigger Event)
Pay sequentially Pay all bonds to maintain specified enhancement levels
Targeted
Enhancement
Percentage
<S> <C> <C> <C> <C>
- ------ ----------------------------------------------------------- ---------------------------- -------
Princ.
Paym. ---> AF-1 AF-2 AF-3 AF-4 AF-5 MF-1 MF-2 BF-1 BF-2 O/C AF-1 AF-2 AF-3 AF-4 AF-5
- ------ ----------------------------------------------------------- ------ ----------------------------
Princ. 38.00%
AF-6 NAS Bond Paym. ---> AF-6 NAS Bond
------ ------------------------------ -------
MF-1 26.14%
- ---------- ------------------------------------------------------------ ------------------------------ -------
Initial
Sizing 81.00% 5.93% 5.05%3.02% 3.50% 1.50% MF-2 16.04%
- ---------- ------------------------------------------------------------ ------------------------------ -------
BF-1 10.00%
------------------------------ -------
BF-2 3.00%
------------------------------ -------
-----------------------------------------------------> ---------------------------------->
0 Month 36 37 Month 68+
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
3
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 February 29,
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: March 27, 2000
Expected Pricing Date: [March 1], 2000
Registration: The offered Certificates will be available in
book-entry form through DTC, Euroclear or
Clearstream.
Record Date: The business day just before the Payment Date.
Payment Date: The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business
day) commencing on April 17, 2000.
Day Count: 30/360.
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.
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 and balloon, first, second, and third
lien, fixed rate closed end, one- to four-family
residential home equity loans. The total Initial
Home Equity Loans will consist of 9,966 home
equity loans, with a principal balance of
approximately $590,169,636.03.
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.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
4
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 the 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 AF-1 certificateholders and if the
principal balance of such class has been reduced
to zero, then to the Class AF-2, Class AF-3,
Class AF-4, Class AF-5, Class AF-6, Class MF-1,
Class MF-2, Class BF-1 and Class BF-2, in that
order of priority.
Final Home Equity
Loan Group: The final pool of home equity loans in the
trust will be based on balances as of the related
Cut-off Date. The collateral composition of the
pools 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.
Rating Agencies: Standard and Poor's Ratings Services ("S&P")
Moody's Investors Service ("Moodys")
Duff & Phelps Credit Rating Co. ("Duff")
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
5
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS
Interest on the
Class AF, MF-1, MF-2
and BF-1 Certificates: On each Payment Date the Amount Available will be
distributable to pay interest as follows:
. First, to each class of the Class AF Certificates
(AF-1, AF-2, AF-3, AF-4, AF-5, AF-6);
. second, to the Class MF-1 Certificates;
. third, to the Class MF-2 Certificates; and
. fourth, to the Class BF-1 Certificates.
Interest will accrue on the outstanding Class AF
principal balance, Class MF-1 adjusted principal
balance, Class MF-2 adjusted principal balance, and
the Class BF-1 adjusted principal balance, at the
related pass-through rate calculated on a 30/360
basis. Interest on the outstanding Class AF principal
balance, Class MF-1 adjusted principal balance, Class
MF-2 adjusted principal balance and Class BF-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
MF-1, MF-2 and BF-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 such class (the Class AF Certificates
being treated as a single class for such purpose).
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.
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 Mortgage 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. Interest payable to the Class MF
and Class BF certificates may be limited on any
Payment Date by the Available Funds Pass-Through
Rate.
Class BF-2 Interest: After payment of all interest (including liquidation
loss interest) and principal due on the Class AF,
Class MF-1, Class MF-2 and Class BF-1 Certificates,
interest will be paid to the Class BF-2
certificateholders in an amount equal to the product
of (a) the Class BF-2 pass-through rate and (b) the
then outstanding Class BF-2 principal balance. The
Class BF-2 Limited Guaranty will be available to pay
interest to the Class BF-2 certificateholders if the
remaining Amount Available is not sufficient to
cover such payment.
Interest on the Class BF-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 a 30/360 basis. Interest shortfalls
will be carried forward, and will accrue interest at
the Class BF-2 pass-through rate, to the extent
legally permissible.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
6
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
On each Payment Date after all interest is distributed to the Class AF,
Class MF-1, Class MF-2, and Class BF-1 certificateholders, the
remaining Amount Available will be distributed as principal as follows
and in the following order of priority:
i) first, to the Class AF Certificates, the Class AF Principal
Distribution Amount;
ii) second, to the Class MF-1 Certificates, the Class MF-1 Principal
Distribution Amount;
iii) third, to the Class MF-2 Certificates, the Class MF-2 Principal
Distribution Amount; and
iv) fourth, to the Class BF-1 Certificates, the Class BF-1 Principal
Distribution Amount.
On each Payment Date, the Class AF Principal Distribution Amount will
be distributed as follows: first to the Class AF-6 Certificates up to
the Class AF-6 Lockout Principal Distribution Amount, second to the
Class AF-1 certificateholders until the Class AF-1 Certificate
Principal Balance is reduced to zero, third to the Class AF-2
certificateholders until the Class AF-2 Certificate Principal Balance
has been reduced to zero, fourth to the Class AF-3 certificateholders
until the Class AF-3 Certificate Principal Balance has been reduced to
zero, fifth to the Class AF-4 certificateholders until the Class AF-4
Certificate Principal Balance has been reduced to zero, sixth to the
Class AF-5 certificateholders until the Class AF-5 Certificate
Principal Balance has been reduced to zero and seventh to the Class
AF-6 certificateholders until the Class AF-6 Certificate Principal
Balance has been reduced to zero.
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 such class.
Formula Principal
Distribution Amount: On each Payment Date, the Formula Principal
Distribution Amount will be equal to (A) the sum of
(i) all scheduled payments of principal due on each
outstanding home equity loan during the related due
period, (ii) the scheduled principal balance of each
home equity 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 home equity loan, (iv)
the scheduled principal balance of each home equity
loan that became a liquidated home equity 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.
The "Scheduled Principal Balance" of a home equity
loan with respect to any Payment Date is its
principal balance as of the scheduled payment date in
the calendar month preceding that payment date as
specified in its amortization schedule, after giving
effect to any previous partial principal prepayments
and to the scheduled payment due on such due date,
but without giving effect to any delinquency in
payment or adjustments due to bankruptcy or similar
proceedings. The "Pool Scheduled Principal Balance"
as of any Payment Date is the aggregate of the
Scheduled Principal Balances of loans comprising the
loan pool that were outstanding during the preceding
Due Period.
Stepdown Date: The later to occur of (A) the Payment Date in April,
2003 and (B) the first Payment Date on which the
Class A Certificate Principal Balance is less than or
equal to 62.00% of the Scheduled Principal Balances
of the Home Equity Loans.
Trigger Event: A Trigger Event is in effect for the certificates if
on that payment date: (i) the three month rolling
average percentage of the home equity loans that are
60 days or more delinquent in payment of principal
and interest exceeds the product of (a) the Senior
Enhancement Percentage for the certificates and (b)
42.5%; or (ii) the Cumulative Realized Losses Test is
not satisfied.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
7
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Senior Enhancement
Percentage: The Senior Enhancement Percentage for the
certificates on any payment date will equal the
percentage obtained by dividing: (i) the excess of
(A) the Pool Scheduled Principal Balance over (B) the
principal balance of the most senior class of
certificates outstanding, by (ii) the Pool Scheduled
Principal Balance.
Cumulative Realized
Losses Test: The Cumulative Realized Losses Test is satisfied for
any Payment Date if the cumulative realized loss
ratio for the loans for such payment date is less
than or equal to the percentage set forth below for
the specified period:
Month Percentage
37 - 48 4.40%
49 - 60 5.23%
61 - 84 5.50%
85 and thereafter 6.00%
Class AF Formula
Principal Distribution
Amount: The Class AF Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is before the Stepdown
Date or a Trigger Event exists, the Formula
Principal Distribution Amount (but in no
event more than the Class AF principal
balance); or
(ii) if the Payment Date is on or after the
Stepdown Date and no Trigger Event exists,
the excess (but in no event more than the
Class AF principal balance) of (A) the Class
AF principal balance over (B) the lesser of
(x) 62.00% of the Pool Scheduled Principal
Balance or (y) the Pool Scheduled Principal
Balance minus $15,000,000.
Class AF-6
Lockout Principal
Distribution Amount: For any Payment Date, equals the product of (A) the
product of (i) a fraction, the numerator of which is
the Class AF-6 Certificate Principal Balance and the
denominator of which is the Class AF Certificate
Principal Balance in each case immediately prior to
such Payment Date, and (ii) the Formula Principal
Distribution Amount with respect to the Class AF
Certificates for such Payment Date and (B) the
applicable percentage for such Payment Date set forth
in the following table:
Distribution Date Percentage
----------------- ----------
April 2000 - March 2002 0%
April 2002 - March 2004 20%
April 2004 - March 2005 80%
April 2005 - March 2006 100%
April 2006 and thereafter 300%
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
8
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Class MF-1 Formula
Principal Distribution
Amount: The Class MF-1 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the
Stepdown Date or (B) on or after the
Stepdown Date and a Trigger Event exists,
the Formula Principal Distribution Amount
less the Class AF Formula Principal
Distribution Amount (but in no event more
than the Class MF-1 principal balance); or
(ii) if the Payment Date is on or after the
Stepdown Date and no Trigger Event exists,
the excess (but in no event more than the
Class MF-1 principal balance) of (A) (1) the
sum of the Class AF principal balance and
the Class MF-1 adjusted principal balance,
minus (2) the amount of principal actually
distributed on such payment date on the
Class AF certificates, over (B) the lesser
of (x) 73.86% of the Pool Scheduled
Principal Balance or (y) the Pool Scheduled
Principal Balance minus $15,000,000.
Class MF-2 Formula
Principal Distribution
Amount: The Class MF-2 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the
Stepdown Date or (B) on or after the
Stepdown Date and a Trigger Event exists,
the Formula Principal Distribution Amount
less the sum of the Class AF Formula
Principal Distribution Amount and the Class
MF-1 Formula Principal Distribution Amount
(but in no event more than the Class MF-2
principal balance); or
(ii) if the Payment Date is on or after the
Stepdown Date and no Trigger Event exists,
the excess (but in no event more than the
Class MF-2 principal balance) of (A) (1) the
sum of the Class AF principal balance, the
Class MF-1 adjusted principal balance and
the Class MF-2 adjusted principal balance,
minus (2) the amount of principal actually
distributed on such payment date on the
Class AF and Class MF-1 certificates, over
(B) the lesser of (x) 83.96% of the Pool
Scheduled Principal Balance or (y) the Pool
Scheduled Principal Balance minus
$15,000,000.
Class BF-1 Formula
Principal Distribution
Amount: The Class BF-1 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the
Stepdown Date or (B) on or after the
Stepdown Date and a Trigger Event exists,
the Formula Principal Distribution Amount
less the sum of the Class AF Formula
Principal Distribution Amount, the Class
MF-1 Formula Principal Distribution Amount
and the Class MF-2 Formula Principal
Distribution Amount (but in no event more
than the Class BF-1 principal balance); or
(ii) if the Payment Date is on or after the
Stepdown Date and no Trigger Event exists,
the excess (but in no event more than the
Class BF-1 principal balance) of (A) (1) the
sum of the Class AF principal balance, the
Class MF-1 adjusted principal balance, the
Class MF-2 adjusted principal balance and
Class BF-1 adjusted principal balance, minus
(2) the amount of principal actually
distributed on such payment date on the
Class AF, Class MF-1 and Class MF-2
certificates, over (B) the lesser of (x)
90.00% of the Pool Scheduled Principal
Balance or (y) the Pool Scheduled Principal
Balance minus $15,000,000.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
9
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
Class BF-2 Formula
Principal Distribution
Amount: The Class BF-2 Formula Principal Distribution Amount
will generally be equal to:
(i) if the Payment Date is (A) before the
Stepdown Date or (B) on or after the
Stepdown Date and a Trigger Event exists,
the Formula Principal Distribution Amount
less the sum of the Class AF Formula
Principal Distribution Amount, the Class
MF-1 Formula Principal Distribution Amount,
the Class MF-2 Formula Principal
Distribution Amount and the Class BF-1
Formula Principal Distribution Amount (but
in no event more than the Class BF-2
principal balance); or
(ii) if the Payment Date is on or after the Stepdown
Date and no Trigger Event exists, the excess
(but in no event more than the Class BF-2
principal balance) of (A) (1) the sum of the
Class AF principal balance, the Class MF-1
adjusted principal balance, the Class MF-2
adjusted principal balance, the Class BF-1
adjusted principal balance and the Class BF-2
adjusted principal balance, minus (2) the amount
of principal actually distributed on such
payment date on the Class AF, Class MF-1, Class
MF-2 and Class BF-1 certificates, over (B) the
lesser of (x) 97.00% of the Pool Scheduled
Principal Balance or (y) the Pool Scheduled
Principal Balance minus $15,000,000.
The adjusted principal balance of the Class BF-2
Certificates is the principal balance less any
Liquidation Loss Principal Amounts allocated to that
Class that was not covered by the BF-2 Limited
Guaranty.
Class BF-2 Limited
Guaranty: The Class BF-2 Limited Guaranty will be available to
cover any shortfall if the Amount Available is
insufficient on any Payment Date to pay interest on,
or the Class BF-2 Formula Principal Distribution
Amount to, the Class BF-2 Certificateholder. The
Class BF-2 Limited Guaranty will be an unsecured
general obligation of Conseco Finance.
Initial
Overcollateralization: The sum of the aggregate Cut-off Date principal
balance of the Home Equity 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 $15,000,000,
which represents approximately 1.5% of the aggregate
Cut-off Date Principal Balance of the home equity
loans included in the trust as of the Closing Date
plus the amount on deposit in the Pre-Funding Account
on the Closing Date.
The Cut-off Date principal balance of any home equity
loan with a CLTV at origination in excess of 100%
("High CLTV Loans") will be deemed to be that balance
at 100% CLTV. The portion in excess of the 100% CLTV
will be deemed a separate sub-trust of the trust fund
whose purpose is to provide additional credit support
to the Certificates in the form of additional
overcollateralization. There will be no Additional
Loans or Subsequent Loans that are High CLTV Loans.
The High CLTV Loans have been segregated on the CLTV
tables on page 18.
Credit Support
Percentage: Initial Credit Support After Stepdown Date
---------------------- -------------------
Class Percent Class Percent
----- ------- ----- -------
AF 19.00% AF 38.00%
MF-1 13.07% MF-1 26.14%
MF-2 8.02% MF-2 16.04%
BF-1 5.00% BF-1 10.00%
BF-2 1.50% BF-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 Principal Amount")
will be absorbed first by the Class C
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
10
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
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 BF-2 certificateholders, sixth by
the Class BF-1 certificateholders, seventh by the
Class MF-2 certificateholders and eighth by the Class
MF-1 certificateholders.
Purchase Option or
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
home equity loans, the holder of the Class C
Certificates will have the right to repurchase all of
the outstanding home equity 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 this 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 and payment of monthly servicing fee are
made will be used to paydown principal as follows:
(i) first, to the Class AF-6 Certificates until the
principal balance of the AF-6 Certificates is
reduced to zero,
(ii) second, to the remaining Class AF Certificates
prorata until the principal balance of the
remaining Class AF Certificates is reduced to
zero,
(iii) third, to the remaining Class MF-1
Certificates, Class MF-2 Certificates, Class
BF-1 Certificates, and the Class BF-2
Certificates, pro-rata based on the outstanding
principal balance, until the related
certificate principal balances of the Class MF
and Class BF Certificates are reduced to zero.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
11
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Summary
<TABLE>
<CAPTION>
Total Minimum Maximum
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $590,169,636.03
Number of Loans 9,966
Average Original Loan Balance $60,011.38 $5,483.33 $357,640.09
Average Current Loan Balance $59,218.31 $5,483.33 $354,839.91
Weighted Average Combined LTV 90.511% 6.568% 125.00%
Weighted Average Gross Coupon 12.365% 7.038% 21.30%
Weighted Average Remaining Term to Maturity (months) 243 13 360
Weighted Average Original Term (months) 244 36 360
Weighted Average FICO Credit Score 626
Weighted Average Debt to Income Ratio 42.61%
-----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Percent of Statistical
Calculation
Range Date Principal Balance
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Fully Amortizing Home Equity Loans 68.33%
Balloon Home Equity Loans 31.67%
Lien Position First 78.15%
Occupancy Status Primary 98.43%
Geographic Distribution California 9.44%
Florida 5.65%
Ohio 5.63%
Michigan 5.32%
Other 73.96%*
Credit Grade A-1 59.96%
A-2 19.34%
B 16.52%
C 3.44%
D 0.74%
-----------------------------------------------------------------------------------------------------------------------------
*Due to rounding, total may not add to 100%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
12
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
State or Territory Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 208 $11,699,243.42 1.98%
- -------------------------------------------------------------------------------------------------------------------
Arizona 179 10,724,133.01 1.82
- -------------------------------------------------------------------------------------------------------------------
Arkansas 68 3,373,200.96 0.57
- -------------------------------------------------------------------------------------------------------------------
California 767 55,714,861.70 9.44
- -------------------------------------------------------------------------------------------------------------------
Colorado 181 12,477,113.33 2.11
- -------------------------------------------------------------------------------------------------------------------
Connecticut 149 8,788,254.98 1.49
- -------------------------------------------------------------------------------------------------------------------
Delaware 45 3,180,073.79 0.54
- -------------------------------------------------------------------------------------------------------------------
Florida 541 33,335,570.05 5.65
- -------------------------------------------------------------------------------------------------------------------
Georgia 296 17,058,032.86 2.89
- -------------------------------------------------------------------------------------------------------------------
Idaho 34 1,879,483.19 0.32
- -------------------------------------------------------------------------------------------------------------------
Illinois 487 25,700,627.77 4.35
- -------------------------------------------------------------------------------------------------------------------
Indiana 220 11,402,173.83 1.93
- -------------------------------------------------------------------------------------------------------------------
Iowa 204 10,937,547.30 1.85
- -------------------------------------------------------------------------------------------------------------------
Kansas 239 12,032,065.92 2.04
- -------------------------------------------------------------------------------------------------------------------
Kentucky 143 7,527,390.22 1.28
- -------------------------------------------------------------------------------------------------------------------
Louisiana 203 10,297,463.86 1.74
- -------------------------------------------------------------------------------------------------------------------
Maine 28 1,608,670.69 0.27
- -------------------------------------------------------------------------------------------------------------------
Maryland 184 9,809,878.26 1.66
- -------------------------------------------------------------------------------------------------------------------
Massachusetts 138 8,205,442.79 1.39
- -------------------------------------------------------------------------------------------------------------------
Michigan 521 31,370,079.91 5.32
- -------------------------------------------------------------------------------------------------------------------
Minnesota 222 13,653,181.05 2.31
- -------------------------------------------------------------------------------------------------------------------
Mississippi 127 6,824,290.83 1.16
- -------------------------------------------------------------------------------------------------------------------
Missouri 373 22,183,453.35 3.76
- -------------------------------------------------------------------------------------------------------------------
Montana 30 1,427,474.18 0.24
- -------------------------------------------------------------------------------------------------------------------
Nebraska 152 8,958,439.24 1.52
- -------------------------------------------------------------------------------------------------------------------
Nevada 117 4,988,638.02 0.85
- -------------------------------------------------------------------------------------------------------------------
New Hampshire 29 1,864,320.86 0.32
- -------------------------------------------------------------------------------------------------------------------
New Jersey 149 10,184,910.51 1.73
- -------------------------------------------------------------------------------------------------------------------
New Mexico 57 4,114,770.84 0.70
- -------------------------------------------------------------------------------------------------------------------
New York 392 23,404,436.64 3.97
- -------------------------------------------------------------------------------------------------------------------
North Carolina 251 16,374,403.68 2.77
- -------------------------------------------------------------------------------------------------------------------
North Dakota 22 1,248,019.16 0.21
- -------------------------------------------------------------------------------------------------------------------
Ohio 569 33,230,639.29 5.63
- -------------------------------------------------------------------------------------------------------------------
Oklahoma 86 3,491,328.97 0.59
- -------------------------------------------------------------------------------------------------------------------
Oregon 84 5,849,616.03 0.99
- -------------------------------------------------------------------------------------------------------------------
Pennsylvania 462 25,015,896.34 4.24
- -------------------------------------------------------------------------------------------------------------------
Rhode Island 33 1,818,551.20 0.31
- -------------------------------------------------------------------------------------------------------------------
South Carolina 221 13,154,173.76 2.23
- -------------------------------------------------------------------------------------------------------------------
South Dakota 40 2,361,718.58 0.40
- -------------------------------------------------------------------------------------------------------------------
Tennessee 232 16,117,931.08 2.73
- -------------------------------------------------------------------------------------------------------------------
Texas 496 23,970,843.61 4.06
- -------------------------------------------------------------------------------------------------------------------
Utah 83 4,639,332.40 0.79
- -------------------------------------------------------------------------------------------------------------------
Vermont 13 810,713.14 0.14
- -------------------------------------------------------------------------------------------------------------------
Virginia 371 21,493,507.24 3.64
- -------------------------------------------------------------------------------------------------------------------
Washington 247 18,445,708.51 3.13
- -------------------------------------------------------------------------------------------------------------------
Washington DC 26 1,507,610.19 0.26
- -------------------------------------------------------------------------------------------------------------------
West Virginia 54 2,857,328.44 0.48
- -------------------------------------------------------------------------------------------------------------------
Wisconsin 154 10,873,991.22 1.84
- -------------------------------------------------------------------------------------------------------------------
Wyoming 39 2,183,099.83 0.37
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
13
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
ORIGINAL LOAN AMOUNT DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Statistical the Statistical Calculation Balance as of the Statistical
Original Loan Amount* Calculation Date Date Calculation Date
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10,000.00 or less 181 $1,746,807.82 0.30%
- ------------------------------------------------------------------------------------------------------------------------
$ 10,000.01 to $ 20,000.00 1,476 22,865,669.39 3.87
- ------------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 1,507 37,236,455.82 6.31
- ------------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 1,131 39,111,632.24 6.63
- ------------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 964 43,144,761.02 7.31
- ------------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 819 44,720,295.70 7.58
- ------------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 766 49,186,214.23 8.33
- ------------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 657 48,570,415.10 8.23
- ------------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 509 42,619,180.68 7.22
- ------------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $100,000.00 388 36,227,923.26 6.14
- ------------------------------------------------------------------------------------------------------------------------
$100,000.01 to $110,000.00 311 32,200,842.03 5.46
- ------------------------------------------------------------------------------------------------------------------------
$110,000.01 to $120,000.00 255 29,104,067.77 4.93
- ------------------------------------------------------------------------------------------------------------------------
$120,000.01 to $130,000.00 219 27,121,751.61 4.60
- ------------------------------------------------------------------------------------------------------------------------
$130,000.01 to $140,000.00 169 22,533,240.77 3.82
- ------------------------------------------------------------------------------------------------------------------------
$140,000.01 to $150,000.00 113 16,246,829.91 2.75
- ------------------------------------------------------------------------------------------------------------------------
$150,000.01 to $160,000.00 92 14,183,779.13 2.40
- ------------------------------------------------------------------------------------------------------------------------
$160,000.01 to $170,000.00 94 15,353,431.81 2.60
- ------------------------------------------------------------------------------------------------------------------------
$170,000.01 to $180,000.00 64 11,090,257.54 1.88
- ------------------------------------------------------------------------------------------------------------------------
$180,000.01 to $190,000.00 40 7,345,598.54 1.24
- ------------------------------------------------------------------------------------------------------------------------
$190,000.01 to $200,000.00 49 9,564,859.99 1.62
- ------------------------------------------------------------------------------------------------------------------------
$200,000.01 to $210,000.00 22 4,508,714.70 0.76
- ------------------------------------------------------------------------------------------------------------------------
$210,000.01 to $220,000.00 26 5,569,262.57 0.94
- ------------------------------------------------------------------------------------------------------------------------
$220,000.01 to $230,000.00 19 4,280,028.34 0.73
- ------------------------------------------------------------------------------------------------------------------------
$230,000.01 to $240,000.00 21 4,955,650.78 0.84
- ------------------------------------------------------------------------------------------------------------------------
$240,000.01 to $250,000.00 13 3,179,480.76 0.54
- ------------------------------------------------------------------------------------------------------------------------
$250,000.01 to $260,000.00 16 4,031,654.55 0.68
- ------------------------------------------------------------------------------------------------------------------------
$260,000.01 to $270,000.00 8 2,120,190.47 0.36
- ------------------------------------------------------------------------------------------------------------------------
$270,000.01 to $280,000.00 8 2,179,418.67 0.37
- ------------------------------------------------------------------------------------------------------------------------
$280,000.01 to $290,000.00 3 840,723.91 0.14
- ------------------------------------------------------------------------------------------------------------------------
$290,000.01 to $300,000.00 4 1,194,750.00 0.20
- ------------------------------------------------------------------------------------------------------------------------
Over $300,000.00 22 7,135,746.92 1.21
- ------------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
* A portion of the Initial Home Equity Loans when originated had a CLTV in
excess of 100%. However, Conseco Finance has agreed to cap the loan balance at
100% CLTV with any excess thereof to be additional credit enhancement. The
balances in this table are based on the capped balance, if applicable.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
14
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
CURRENT LOAN AMOUNT DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Statistical the Statistical Calculation Balance as of the Statistical
Current Loan Amount Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 10,000.00 or less 199 $1,918,761.21 0.33%
- -------------------------------------------------------------------------------------------------------------------------
$ 10,000.01 to $ 20,000.00 1,518 23,798,643.94 4.03
- -------------------------------------------------------------------------------------------------------------------------
$ 20,000.01 to $ 30,000.00 1,506 37,772,444.92 6.40
- -------------------------------------------------------------------------------------------------------------------------
$ 30,000.01 to $ 40,000.00 1,123 39,398,767.25 6.68
- -------------------------------------------------------------------------------------------------------------------------
$ 40,000.01 to $ 50,000.00 968 43,864,136.07 7.43
- -------------------------------------------------------------------------------------------------------------------------
$ 50,000.01 to $ 60,000.00 837 46,301,192.54 7.85
- -------------------------------------------------------------------------------------------------------------------------
$ 60,000.01 to $ 70,000.00 766 49,822,988.18 8.44
- -------------------------------------------------------------------------------------------------------------------------
$ 70,000.01 to $ 80,000.00 655 49,191,497.11 8.34
- -------------------------------------------------------------------------------------------------------------------------
$ 80,000.01 to $ 90,000.00 509 43,234,463.82 7.33
- -------------------------------------------------------------------------------------------------------------------------
$ 90,000.01 to $100,000.00 378 35,988,047.19 6.10
- -------------------------------------------------------------------------------------------------------------------------
$100,000.01 to $110,000.00 288 30,398,683.52 5.15
- -------------------------------------------------------------------------------------------------------------------------
$110,000.01 to $120,000.00 252 29,122,484.11 4.93
- -------------------------------------------------------------------------------------------------------------------------
$120,000.01 to $130,000.00 217 27,213,825.18 4.61
- -------------------------------------------------------------------------------------------------------------------------
$130,000.01 to $140,000.00 152 20,517,860.70 3.48
- -------------------------------------------------------------------------------------------------------------------------
$140,000.01 to $150,000.00 111 16,130,306.00 2.73
- -------------------------------------------------------------------------------------------------------------------------
$150,000.01 to $160,000.00 94 14,632,024.63 2.48
- -------------------------------------------------------------------------------------------------------------------------
$160,000.01 to $170,000.00 86 14,178,945.57 2.40
- -------------------------------------------------------------------------------------------------------------------------
$170,000.01 to $180,000.00 65 11,355,901.12 1.92
- -------------------------------------------------------------------------------------------------------------------------
$180,000.01 to $190,000.00 37 6,892,528.75 1.17
- -------------------------------------------------------------------------------------------------------------------------
$190,000.01 to $200,000.00 43 8,440,512.55 1.43
- -------------------------------------------------------------------------------------------------------------------------
$200,000.01 to $210,000.00 28 5,756,245.96 0.98
- -------------------------------------------------------------------------------------------------------------------------
$210,000.01 to $220,000.00 22 4,746,109.03 0.80
- -------------------------------------------------------------------------------------------------------------------------
$220,000.01 to $230,000.00 18 4,065,028.34 0.69
- -------------------------------------------------------------------------------------------------------------------------
$230,000.01 to $240,000.00 24 5,669,038.20 0.96
- -------------------------------------------------------------------------------------------------------------------------
$240,000.01 to $250,000.00 11 2,706,093.34 0.46
- -------------------------------------------------------------------------------------------------------------------------
$250,000.01 to $260,000.00 15 3,837,177.38 0.65
- -------------------------------------------------------------------------------------------------------------------------
$260,000.01 to $270,000.00 8 2,120,190.47 0.36
- -------------------------------------------------------------------------------------------------------------------------
$270,000.01 to $280,000.00 8 2,197,742.03 0.37
- -------------------------------------------------------------------------------------------------------------------------
$280,000.01 to $290,000.00 2 567,500.00 0.10
- -------------------------------------------------------------------------------------------------------------------------
$290,000.01 to $300,000.00 4 1,194,750.00 0.20
- -------------------------------------------------------------------------------------------------------------------------
Over $300,000.00 22 7,135,746.92 1.21
- -------------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
* A portion of the Initial Home Equity Loans when originated had a CLTV in
excess of 100%. However, Conseco Finance has agreed to cap the loan balance at
100% CLTV with any excess thereof to be additional credit enhancement. The
balances in this table are based on the capped balance, if applicable.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
15
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
INTEREST RATE DISTRIBUTION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Home Equity Statistical the Statistical Calculation Balance as of the Statistical
Loan Interest Rates Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Less than 8.001% 5 $680,884.27 0.12%
- -------------------------------------------------------------------------------------------------------------------
8.001% - 8.500% 22 2,513,921.60 0.43
- -------------------------------------------------------------------------------------------------------------------
8.501% - 9.000% 52 6,756,821.81 1.14
- -------------------------------------------------------------------------------------------------------------------
9.001% - 9.500% 70 8,677,376.00 1.47
- -------------------------------------------------------------------------------------------------------------------
9.501% - 10.000% 261 30,563,240.88 5.18
- -------------------------------------------------------------------------------------------------------------------
10.001% - 10.500% 244 22,221,708.56 3.77
- -------------------------------------------------------------------------------------------------------------------
10.501% - 11.000% 661 60,499,209.52 10.25
- -------------------------------------------------------------------------------------------------------------------
11.001% - 11.500% 478 40,145,758.44 6.80
- -------------------------------------------------------------------------------------------------------------------
11.501% - 12.000% 1,388 112,305,227.82 19.03
- -------------------------------------------------------------------------------------------------------------------
12.001% - 12.500% 896 67,928,531.84 11.51
- -------------------------------------------------------------------------------------------------------------------
12.501% - 13.000% 1,090 68,735,721.82 11.65
- -------------------------------------------------------------------------------------------------------------------
13.001% - 13.500% 831 39,789,951.52 6.74
- -------------------------------------------------------------------------------------------------------------------
13.501% - 14.000% 976 37,651,545.50 6.38
- -------------------------------------------------------------------------------------------------------------------
14.001% - 14.500% 976 33,974,122.42 5.76
- -------------------------------------------------------------------------------------------------------------------
14.501% - 15.000% 763 25,732,116.09 4.36
- -------------------------------------------------------------------------------------------------------------------
15.001% - 15.500% 349 10,907,786.80 1.85
- -------------------------------------------------------------------------------------------------------------------
15.501% - 16.000% 270 7,445,782.03 1.26
- -------------------------------------------------------------------------------------------------------------------
16.001% - 16.500% 102 2,817,010.72 0.48
- -------------------------------------------------------------------------------------------------------------------
16.501% - 17.000% 169 3,772,059.03 0.64
- -------------------------------------------------------------------------------------------------------------------
17.001% - 17.500% 96 1,963,450.53 0.33
- -------------------------------------------------------------------------------------------------------------------
17.501% - 18.000% 98 2,108,221.67 0.36
- -------------------------------------------------------------------------------------------------------------------
18.001% - 18.500% 87 1,575,494.39 0.27
- -------------------------------------------------------------------------------------------------------------------
18.501% - 19.000% 19 351,569.39 0.06
- -------------------------------------------------------------------------------------------------------------------
19.001% - 19.500% 40 686,030.39 0.12
- -------------------------------------------------------------------------------------------------------------------
19.501% - 20.000% 14 236,353.84 0.04
- -------------------------------------------------------------------------------------------------------------------
20.001% - 20.500% 6 88,730.30 0.02
- -------------------------------------------------------------------------------------------------------------------
20.501% - 21.000% 1 15,400.00 0.00
- -------------------------------------------------------------------------------------------------------------------
21.001% - 21.500% 2 25,608.85 0.00
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
16
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
REMAINING MONTHS TO MATURITY
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Remaining Statistical the Statistical Calculation Balance as of the Statistical
Months to Maturity Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 to 168 967 $28,882,313.06 4.89%
- -------------------------------------------------------------------------------------------------------------------
169 to 180 2,649 150,130,201.60 25.44
- -------------------------------------------------------------------------------------------------------------------
181 to 192 7 357,339.43 0.06
- -------------------------------------------------------------------------------------------------------------------
193 to 204 35 1,985,131.36 0.34
- -------------------------------------------------------------------------------------------------------------------
205 to 216 38 1,422,872.36 0.24
- -------------------------------------------------------------------------------------------------------------------
217 to 228 45 2,100,990.48 0.36
- -------------------------------------------------------------------------------------------------------------------
229 to 240 3,947 230,333,073.19 39.03
- -------------------------------------------------------------------------------------------------------------------
241 to 252 2 45,374.54 0.01
- -------------------------------------------------------------------------------------------------------------------
253 to 264 1 183,811.94 0.03
- -------------------------------------------------------------------------------------------------------------------
265 to 276 2 277,000.00 0.05
- -------------------------------------------------------------------------------------------------------------------
277 to 288 55 1,997,755.42 0.34
- -------------------------------------------------------------------------------------------------------------------
289 to 300 1,395 93,705,395.99 15.88
- -------------------------------------------------------------------------------------------------------------------
301 to 312 3 262,018.43 0.04
- -------------------------------------------------------------------------------------------------------------------
313 to 324 7 509,288.36 0.09
- -------------------------------------------------------------------------------------------------------------------
325 to 336 20 1,319,658.90 0.22
- -------------------------------------------------------------------------------------------------------------------
337 to 348 139 10,135,615.83 1.72
- -------------------------------------------------------------------------------------------------------------------
349 to 360 654 66,521,795.14 11.27
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
- --------------------------------------------------------------------------------
LIEN POSITION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
Lien Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First 5,672 $461,228,301.43 78.15%
- -------------------------------------------------------------------------------------------------------------------
Second 4,138 125,690,430.58 21.30
- -------------------------------------------------------------------------------------------------------------------
Third 156 3,250,904.02 0.55
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
17
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Range of Combined Statistical the Statistical Calculation Balance as of the Statistical
Loan-to-Value Ratios Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00% to 20.00% 43 $836,262.09 0.14%
- -------------------------------------------------------------------------------------------------------------------
20.01% to 30.00% 103 2,390,867.62 0.41
- -------------------------------------------------------------------------------------------------------------------
30.01% to 40.00% 200 5,536,055.78 0.94
- -------------------------------------------------------------------------------------------------------------------
40.01% to 50.00% 325 9,401,183.66 1.59
- -------------------------------------------------------------------------------------------------------------------
50.01% to 60.00% 475 15,140,751.41 2.57
- -------------------------------------------------------------------------------------------------------------------
60.01% to 70.00% 674 24,617,343.31 4.17
- -------------------------------------------------------------------------------------------------------------------
70.01% to 80.00% 1,275 59,309,505.97 10.05
- -------------------------------------------------------------------------------------------------------------------
80.01% to 90.00% 1,696 113,605,631.53 19.25
- -------------------------------------------------------------------------------------------------------------------
90.01% to 100.00% 3,238 242,428,561.15 41.08
- -------------------------------------------------------------------------------------------------------------------
100.00%* 1,937 116,903,473.51 19.81
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
- --------------
* Represents the High LTV Loans, described herein.
- --------------------------------------------------------------------------------
YEAR OF ORIGINATION
<TABLE>
<CAPTION>
Number of Loans Aggregate Principal
as of the Balance Outstanding as of % of Outstanding Principal
Statistical the Statistical Calculation Balance as of the Statistical
Year of Origination Calculation Date Date Calculation Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1995 2 $43,490.70 0.01%
- -------------------------------------------------------------------------------------------------------------------
1996 52 2,167,378.77 0.37
- -------------------------------------------------------------------------------------------------------------------
1997 78 3,044,513.49 0.52
- -------------------------------------------------------------------------------------------------------------------
1998 169 6,497,813.96 1.10
- -------------------------------------------------------------------------------------------------------------------
1999 9,665 578,416,439.11 98.01
- -------------------------------------------------------------------------------------------------------------------
Total 9,966 $590,169,636.03 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
18
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
PREPAYMENT SCENARIOS
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V
---------- ----------- ------------ ----------- ----------
<S> <C> <C> <C> <C>
75% 100% 125% 150% 175%
</TABLE>
As a percentage of the Base Prepayment Assumption for the Home Equity Loans (1)
CPR PREPAYMENT SENSITIVITIES*
<TABLE>
<CAPTION>
-------------------
Scenario I Scenario II Scenario III Scenario IV Scenario V
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
------------ ------------ ------------ ------------ ------------
To Call
- ---------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AF-1 1.29 10/02 1.02 03/02 0.85 10/01 0.73 08/01 0.65 06/01
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-2 3.43 12/04 2.61 09/03 2.10 12/02 1.76 06/02 1.53 02/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-3 6.27 09/08 4.21 6/05 3.20 02/04 2.48 01/03 2.11 07/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-4 8.99 04/09 6.32 03/07 4.50 07/05 3.19 03/04 2.49 11/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-5 9.05 04/09 6.97 03/07 5.62 11/05 4.53 11/04 3.28 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-6 6.36 04/09 5.73 03/07 5.02 11/05 4.32 11/04 3.73 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-1 7.40 04/09 5.68 03/07 4.64 11/05 4.07 11/04 3.89 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-2 7.40 04/09 5.68 03/07 4.62 11/05 3.99 11/04 3.68 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-1 7.40 04/09 5.68 03/07 4.61 11/05 3.95 11/04 3.58 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-2 6.70 04/09 5.13 03/07 4.17 11/05 3.61 11/04 3.32 03/04
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
To Maturity
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-1 1.29 10/02 1.02 03/02 0.85 10/01 0.73 08/01 0.65 06/01
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-2 3.43 12/04 2.61 09/03 2.10 12/02 1.76 06/02 1.53 02/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-3 6.27 09/08 4.21 06/05 3.20 02/04 2.48 01/03 2.11 07/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-4 10.35 12/12 7.03 06/10 4.50 07/05 3.19 03/04 2.49 11/02
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-5 11.02 12/12 8.85 06/10 7.27 09/08 5.77 06/07 3.99 07/06
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
AF-6 6.40 10/09 5.85 12/07 5.43 02/07 4.90 05/06 4.54 12/05
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-1 9.17 12/14 7.21 08/12 5.90 08/10 5.17 02/09 4.82 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
MF-2 9.15 12/14 7.18 08/12 5.87 08/10 5.06 02/09 4.57 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-1 9.15 12/14 7.18 08/12 5.85 08/10 5.00 02/09 4.36 12/07
- --------------------- --------- --------- --------- --------- --------- --------- --------- --------- --------- ---------
BF-2 7.13 12/14 5.43 08/12 4.32 08/10 3.68 02/09 3.36 10/04
- --------------------- --------- --------- --------- --------- ------------------- --------- --------- --------- ---------
</TABLE>
* The Certificates will be priced using 125% of the Base Prepayment
Assumption.
(1) The Base Prepayment Assumption ("PPC") assumes a conditional prepayment
rate of 4% per annum of the then outstanding principal balance of the Home
Equity Loans in the first month of the life of the Home Equity Loans and an
additional 1.45% per annum in each month thereafter until the twelfth
month. Beginning in the twelfth month and in each month thereafter, the
conditional prepayment rate is 20%.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
19
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)
<TABLE>
<CAPTION>
AF-1 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 1.29 1.02 0.85 0.73 0.65
Modified Duration (yrs.) 1.18 0.94 0.79 0.69 0.61
First Principal Payment Date 04/15/2000 04/15/2000 04/15/2000 04/15/2000 04/15/2000
Last Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Payment Windows (mos.) 31 24 19 17 15
AF-2 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 3.43 2.61 2.10 1.76 1.53
Modified Duration (yrs.) 2.93 2.29 1.88 1.60 1.39
First Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Last Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Payment Windows (mos.) 27 19 15 11 9
AF-3 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
FIX-PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.27 4.21 3.20 2.48 2.11
Modified Duration (yrs.) 4.81 3.48 2.75 2.19 1.89
First Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Last Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Payment Windows (mos.) 46 22 15 8 6
AF-4 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 8.99 6.32 4.50 3.19 2.49
Modified Duration (yrs.) 6.23 4.80 3.66 2.72 2.18
First Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 07/15/2005 03/15/2004 11/15/2002
Payment Windows (mos.) 8 22 18 15 5
AF-5 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.05 6.97 5.62 4.53 3.28
Modified Duration (yrs.) 6.19 5.14 4.35 3.66 2.77
First Principal Payment Date 04/15/2009 03/15/2007 07/15/2005 03/15/2004 11/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 1 1 5 9 17
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
20
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AF-6 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.36 5.73 5.02 4.32 3.73
Modified Duration (yrs.) 4.78 4.42 3.99 3.53 3.12
First Principal Payment Date 04/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 85 60 44 32 24
MF-1 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.64 4.07 3.89
Modified Duration (yrs.) 5.32 4.36 3.71 3.34 3.22
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 08/15/2003 11/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 31 16 5
MF-2 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.62 3.99 3.68
Modified Duration (yrs.) 5.25 4.31 3.66 3.25 3.05
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 06/15/2003 07/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 31 18 9
BF-1 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.40 5.68 4.61 3.95 3.58
Modified Duration (yrs.) 5.04 4.17 3.55 3.14 2.91
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 05/15/2003 06/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 32 19 10
BF-2 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.70 5.13 4.17 3.61 3.32
Modified Duration (yrs.) 4.53 3.74 3.19 2.85 2.66
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 04/15/2003 04/15/2003
Last Principal Payment Date 04/15/2009 03/15/2007 11/15/2005 11/15/2004 03/15/2004
Payment Windows (mos.) 59 46 32 20 12
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
21
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
<TABLE>
<CAPTION>
AF-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 1.29 1.02 0.85 0.73 0.65
Modified Duration (yrs.) 1.18 0.94 0.79 0.69 0.61
First Principal Payment Date 04/15/2000 04/15/2000 04/15/2000 04/15/2000 04/15/2000
Last Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Payment Windows (mos.) 31 24 19 17 15
AF-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 3.43 2.61 2.10 1.76 1.53
Modified Duration (yrs.) 2.93 2.29 1.88 1.60 1.39
First Principal Payment Date 10/15/2002 03/15/2002 10/15/2001 08/15/2001 06/15/2001
Last Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Payment Windows (mos.) 27 19 15 11 9
AF-3 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.27 4.21 3.20 2.48 2.11
Modified Duration (yrs.) 4.81 3.48 2.75 2.19 1.89
First Principal Payment Date 12/15/2004 09/15/2003 12/15/2002 06/15/2002 02/15/2002
Last Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Payment Windows (mos.) 46 22 15 8 6
AF-4 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 10.35 7.03 4.50 3.19 2.49
Modified Duration (yrs.) 6.82 5.17 3.66 2.72 2.18
First Principal Payment Date 09/15/2008 06/15/2005 02/15/2004 01/15/2003 07/15/2002
Last Principal Payment Date 12/15/2012 06/15/2010 07/15/2005 03/15/2004 11/15/2002
Payment Windows (mos.) 52 61 18 15 5
AF-5 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 11.02 8.85 7.27 5.77 3.99
Modified Duration (yrs.) 7.02 6.09 5.28 4.41 3.23
First Principal Payment Date 10/15/2009 12/15/2007 07/15/2005 03/15/2004 11/15/2002
Last Principal Payment Date 12/15/2012 06/15/2010 09/15/2008 06/15/2007 07/15/2006
Payment Windows (mos.) 39 31 39 40 45
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
22
<PAGE>
Conseco Finance Certificates For
Home Equity Loans, Series 2000-B $950,000,000 (Approximate)
- --------------------------------------------------------------------------------
<TABLE>
CAPTION>
AF-6 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 6.40 5.85 5.43 4.90 4.54
Modified Duration (yrs.) 4.80 4.49 4.24 3.91 3.67
First Principal Payment Date 04/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Last Principal Payment Date 10/15/2009 12/15/2007 02/15/2007 05/15/2006 12/15/2005
Payment Windows (mos.) 91 69 59 50 45
MF-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.17 7.21 5.90 5.17 4.82
Modified Duration (yrs.) 6.00 5.07 4.38 3.98 3.80
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 08/15/2003 11/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 88 67 50
MF-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.15 7.18 5.87 5.06 4.57
Modified Duration (yrs.) 5.90 4.99 4.31 3.87 3.59
First Principal Payment Date 06/15/2004 06/15/2003 05/15/2003 06/15/2003 07/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 88 69 54
BF-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 9.15 7.18 5.85 5.00 4.36
Modified Duration (yrs.) 5.62 4.78 4.14 3.71 3.36
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 05/15/2003 06/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 12/15/2007
Payment Windows (mos.) 127 111 89 70 55
BF-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 7.13 5.43 4.32 3.68 3.36
Modified Duration (yrs.) 4.65 3.84 3.25 2.88 2.68
First Principal Payment Date 06/15/2004 06/15/2003 04/15/2003 04/15/2003 04/15/2003
Last Principal Payment Date 12/15/2014 08/15/2012 08/15/2010 02/15/2009 10/15/2004
Payment Windows (mos.) 127 111 89 71 19
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This page must be accompanied by a disclaimer. If you did not receive such a
disclaimer, please contact your Banc of America Securities LLC Advisor
immediately. This structural Term Sheet supersedes any previous structural Term
Sheets and will be superseded by the structural information in the Prospectus
Supplement.
23
<PAGE>
Exhibit 99.3
Transaction
- ------------------------------
Issuer Conseco Finance Securitizations Corporation
Series 2000-B
Collateral Fixed Rate Home Equity
Loan Balance: 1,000,000,000
Servicer Conseco Finance Corporation
Rating
Agencies S&P/Moody's/Duff & Phelps
Terms
- ------------------------------
Class MF-1 MF-2 BF-1
Rating AA/Aa2/AA A/A2/A BBB/Baa2/BBB
Amount Class Balance: 59,300,000 50,500,000 30,200,000
Offered Amount: 59,300,000 50,500,000 30,200,000
Offered At Price Talk: +155 +190-200 +300
Benchmark: 7.5 2-05 7.5 2-05 7.5 2-05
Pricing Speed: 125% PPC 125% PPC 125% PPC
Priced: To Call To Call To Call
Structure
- ------------------------------
Credit
Support
------------------------------------------------------------
Fixed Initial Credit Support After Stepdown
-----------------------------------------
Size% Support% Support%
-----------------------------------------
AAA 81.00% 19.00% 38.00%
AA 5.93% 13.07% 26.14%
A 5.05% 8.02% 16.04%
BBB 3.02% 5.00% 10.00%
Limited Guarantee 3.50% 1.50% 3.00%
OC 1.50% 0.00% 0.00%
------------------------------------------------------------
Initial OC never steps down
If the structure does not step down principal is paid
sequentially
Triggers
1) The 3 month rolling average 60+ delinquency percentage cannot
exceed 42.5% of the senior enhancement percentage
2) (or) Cumulative losses for the fixed rate collateral group
cannot exceed the following percentages of the initial pool
balance
-------------------------------
Periods Cum Loss %
------- ----------
1-36 N/A
37-48 4.40%
49-60 5.23%
61-84 5.50%
85-Maturity 6.00%
-------------------------------
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter consider reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
1
<PAGE>
Sensitivity Analysis - Class MF-1
- --------------------------------------------------
----------------------------------------------------
Scenarios I II III IV V
----------------------------------------------------
Fix - PPC 75% 100% 125% 150% 175%
----------------------------------------------------
Extension Risk
- --------------------------------------------------------------------------------
Base Case
Price to Yield I II III IV V
-------------- ------- ------- ------- ------- --------
100.00 8.10 8.10 8.10 8.10 8.10
WAL 7.4 5.7 4.6 4.1 3.9
To Call Mod Dur 5.3 4.4 3.7 3.4 3.2
FirstPrinPay 6/15/04 6/15/03 5/15/03 8/15/03 11/15/03
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 59 46 31 16 5
Extension Risk 0.0 0.0 0.0 0.0 0.0
-------------- ------- ------- ------- ------- --------
Price to Yield I II III IV V
-------------- ------- ------- ------- ------- --------
100.00 8.10 8.10 8.10 8.10 8.10
WAL 9.2 7.2 5.9 5.2 4.8
To Maturity Mod Dur 6.0 5.1 4.4 4.0 3.8
FirstPrinPay 6/15/04 6/15/03 5/15/03 8/15/03 11/15/03
Maturity 11/15/14 8/15/12 8/15/10 2/15/09 12/15/07
Prin Window 126 111 88 67 50
Extension Risk 1.8 1.5 1.3 1.1 0.9
-------------- ------- ------- ------- ------- --------
Trigger Event Occurs
Price to Yield I II III IV V
-------------- ------- ------- ------- ------- --------
100.00 8.10 8.10 8.10 8.10 8.10
WAL 9.1 7.0 5.6 4.6 4.0
Mod Dur 6.2 5.2 4.4 3.7 3.3
FirstPrinPay 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 1 1 1 1 1
Extension Risk 1.7 1.3 1.0 0.6 0.1
-------------- ------- ------- ------- ------- --------
Price to Yield I II III IV V
-------------- ------- ------- ------- ------- --------
100.00 8.10 8.10 8.10 8.10 8.10
WAL 11.7 9.1 7.3 5.9 4.8
Mod Dur 7.3 6.2 5.3 4.5 3.9
FirstPrinPay 7/15/09 5/15/07 1/15/06 1/15/05 4/15/04
Maturity 2/15/15 10/15/12 10/15/10 4/15/09 2/15/08
Prin Window 68 66 58 52 47
Extension Risk 4.3 3.4 2.6 1.9 1.0
-------------- ------- ------- ------- ------- --------
- --------------------------------------------------------------------------------
Default Risk
- --------------------------------------------------------------------------------
Yield Breaks at Speed
Price to Yield I II III IV V
-------------- ---------- ---------- ---------- ---------- ----------
100.00 8.08 8.07 8.06 8.06 8.06
CDR 20.9% 22.5% 24.1% 25.7% 27.1%
WAL 4.6 4.0 3.5 3.1 2.8
To Call Mod Dur 3.7 3.3 2.9 2.6 2.4
FirstPrinPay 11/15/2004 03/15/2004 09/15/2003 04/15/2003 01/15/2003
Maturity 11/15/2004 03/15/2004 09/15/2003 04/15/2003 01/15/2003
Prin Window 1 1 1 1 1
CollLossPercent 20.4 18.9 17.8 17.0 16.4
--------------- ---------- ---------- ---------- ---------- ----------
Break-Even Yields at Speed
Price to Yield I II III IV V
- -------------- ---------- ---------- ---------- ---------- ----------
100.00 -0.03 -0.01 -0.02 -0.02 -0.02
CDR 23.9% 25.4% 26.9% 28.4% 29.8%
WAL 4.3 3.7 3.3 3.0 2.7
Mod Dur 3.6 3.2 2.9 2.6 2.4
FirstPrinPay 07/15/2004 12/15/2003 07/15/2003 03/15/2003 12/15/2002
Maturity 07/15/2004 12/15/2003 07/15/2003 03/15/2003 12/15/2002
Prin Window 1 1 1 1 1
CollLossPercent 21.8 20.2 19.1 18.2 17.6
- --------------- ---------- ---------- ---------- ---------- ----------
- --------------------------------------------------------------------------------
Loss severity is 40%
Recovery delay is 12 months
Based upon price talk/benchmarks (02-25 close) (1.55/6.553)
Default risk yields assume that a trigger event occurs
PPC - 4% CPR to 20% CPR over 12 months
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter consider reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
2
<PAGE>
Sensitivity Analysis - Class MF-2
- --------------------------------------------------
----------------------------------------------------
Scenarios I II III IV V
----------------------------------------------------
Fix - PPC 75% 100% 125% 150% 175%
----------------------------------------------------
Extension Risk
- --------------------------------------------------------------------------------
Base Case
Price to Yield I II III IV V
-------------- -------- ------- ------- ------- --------
100.00 8.50 8.50 8.50 8.50 8.50
WAL 7.4 5.7 4.6 4.0 3.7
To Call Mod Dur 5.3 4.3 3.7 3.3 3.1
FirstPrinPay 6/15/04 6/15/03 5/15/03 6/15/03 7/15/03
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 59 46 31 18 9
Extension Risk 0.0 0.0 0.0 0.0 0.0
-------------- -------- ------- ------- ------- --------
Price to Yield I II III IV V
-------------- -------- ------- ------- ------- --------
100.00 8.50 8.50 8.50 8.50 8.50
WAL 9.2 7.2 5.9 5.1 4.6
To Maturity Mod Dur 5.9 5.0 4.3 3.9 3.6
FirstPrinPay 6/15/04 6/15/03 5/15/03 6/15/03 7/15/03
Maturity 11/15/14 8/15/12 8/15/10 2/15/09 12/15/07
Prin Window 126 111 88 69 54
Extension Risk 1.8 1.5 1.3 1.1 0.9
-------------- -------- ------- ------- ------- --------
Trigger Event Occurs
Price to Yield I II III IV V
-------------- -------- ------- ------- ------- --------
100.00 8.50 8.50 8.50 8.50 8.50
WAL 9.1 7.0 5.6 4.6 4.0
Mod Dur 6.1 5.1 4.3 3.7 3.3
FirstPrinPay 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 1 1 1 1 1
Extension Risk 1.7 1.3 1.0 0.6 0.3
-------------- -------- ------- ------- ------- --------
Price to Yield I II III IV V
-------------- -------- ------- ------- ------- --------
100.00 8.50 8.50 8.50 8.50 8.50
WAL 11.9 9.5 7.9 6.7 5.8
Mod Dur 7.2 6.3 5.5 4.9 4.4
FirstPrinPay 7/15/09 5/15/07 1/15/06 1/15/05 5/15/04
Maturity 2/15/15 10/15/12 10/15/10 4/15/09 2/15/08
Prin Window 68 66 58 52 46
Extension Risk 4.5 3.8 3.2 2.7 2.1
-------------- -------- ------- ------- ------- --------
- --------------------------------------------------------------------------------
Default Risk
- --------------------------------------------------------------------------------
Yield Breaks at Speed
Price to Yield I II III IV V
-------------- ---------- ---------- ---------- ---------- ----------
100.00 8.47 8.48 8.46 8.49 8.46
CDR 15.0% 15.6% 16.3% 17.1% 17.8%
WAL 5.4 4.6 4.0 3.5 3.1
To Call Mod Dur 4.2 3.7 3.3 2.9 2.6
FirstPrinPay 08/15/2005 10/15/2004 03/15/2004 09/15/2003 04/15/2003
Maturity 08/15/2005 10/15/2004 03/15/2004 09/15/2003 04/15/2003
Prin Window 1 1 1 1 1
CollLossPercent 16.8 15.0 13.7 12.7 11.9
--------------- ---------- ---------- ---------- ---------- ----------
Break-Even Yields at Speed
Price to Yield I II III IV V
- -------------- ---------- ---------- ---------- ---------- ----------
100.00 -0.02 -0.02 -0.04 -0.03 -0.04
CDR 17.2% 17.9% 18.5% 19.2% 20.0%
WAL 5.0 4.3 3.8 3.4 3.0
Mod Dur 4.0 3.5 3.2 2.9 2.6
FirstPrinPay 04/15/2005 07/15/2004 01/15/2004 08/15/2003 03/15/2003
Maturity 04/15/2005 07/15/2004 01/15/2004 08/15/2003 03/15/2003
Prin Window 1 1 1 1 1
CollLossPercent 18.3 16.4 15.0 13.9 13.0
- --------------- ---------- ---------- ---------- ---------- ----------
- --------------------------------------------------------------------------------
Loss severity is 40%
Recovery delay is 12 months
Based upon price talk/benchmarks (02-25 close) (1.95/6.553)
Default risk yields assume that a trigger event occurs
PPC - 4% CPR to 20% CPR over 12 months
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter consider reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
3
<PAGE>
Sensitivity Analysis - Class BF-1
- --------------------------------------------------
----------------------------------------------------
Scenarios I II III IV V
----------------------------------------------------
Fix - PPC 75% 100% 125% 150% 175%
----------------------------------------------------
Extension Risk
- --------------------------------------------------------------------------------
Base Case
Price to Yield I II III IV V
-------------- ------- ------- -------- -------- -------
100.00 9.55 9.55 9.55 9.55 9.55
WAL 7.4 5.7 4.6 4.0 3.6
To Call Mod Dur 5.1 4.2 3.6 3.2 2.9
FirstPrinPay 6/15/04 6/15/03 4/15/03 5/15/03 6/15/03
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 59 46 32 19 10
Extension Risk 0.0 0.0 0.0 0.0 0.0
-------------- ------- ------- -------- -------- -------
Price to Yield I II III IV V
-------------- ------- ------- -------- -------- -------
100.00 9.55 9.55 9.55 9.55 9.55
WAL 9.2 7.2 5.9 5.0 4.4
To Maturity Mod Dur 5.6 4.8 4.2 3.7 3.4
FirstPrinPay 6/15/04 6/15/03 4/15/03 5/15/03 6/15/03
Maturity 11/15/14 8/15/12 8/15/10 2/15/09 12/15/07
Prin Window 126 111 89 70 55
Extension Risk 1.8 1.5 1.2 1.1 0.8
-------------- ------- ------- -------- -------- -------
Trigger Event Occurs
Price to Yield I II III IV V
-------------- ------- ------- -------- -------- -------
100.00 9.55 9.55 9.55 9.55 9.55
WAL 9.1 7.0 5.6 4.6 4.0
Mod Dur 5.9 4.9 4.2 3.6 3.2
FirstPrinPay 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Maturity 4/15/09 3/15/07 11/15/05 11/15/04 3/15/04
Prin Window 1 1 1 1 1
Extension Risk 1.7 1.3 1.0 0.7 0.4
-------------- ------- ------- -------- -------- -------
Price to Yield I II III IV V
-------------- ------- ------- -------- -------- -------
100.00 9.55 9.55 9.55 9.55 9.55
WAL 11.9 9.5 7.9 6.7 5.8
Mod Dur 6.9 6.0 5.3 4.7 4.3
FirstPrinPay 7/15/09 5/15/07 1/15/06 1/15/05 5/15/04
Maturity 2/15/15 10/15/12 10/15/10 4/15/09 2/15/08
Prin Window 68 66 58 52 46
Extension Risk 4.5 3.8 3.3 2.7 2.2
-------------- ------- ------- -------- -------- -------
- --------------------------------------------------------------------------------
Default Risk
- --------------------------------------------------------------------------------
Yield Breaks at Speed
Price to Yield I II III IV V
-------------- ---------- ---------- ---------- ---------- ---------
100.00 9.51 9.53 9.54 9.54 9.54
CDR 12.5% 12.6% 12.8% 13.0% 13.3%
WAL 5.8 4.9 4.2 3.7 3.2
To Call Mod Dur 4.3 3.8 3.3 3.0 2.7
FirstPrinPay 01/15/2006 02/15/2005 06/15/2004 12/15/2003 06/15/2003
Maturity 01/15/2006 02/15/2005 06/15/2004 12/15/2003 06/15/2003
Prin Window 1 1 1 1 1
CollLossPercent 15.1 13.0 11.5 10.3 9.3
--------------- ---------- ---------- ---------- ---------- ---------
Break-Even Yields at Speed
Price to Yield I II III IV V
- -------------- ---------- ---------- ---------- ---------- ----------
100.00 -0.01 -0.01 -0.03 -0.01 -0.02
CDR 13.6% 13.9% 14.1% 14.3% 14.6%
WAL 5.5 4.7 4.1 3.6 3.2
Mod Dur 4.1 3.7 3.4 3.0 2.7
FirstPrinPay 10/15/2005 12/15/2004 05/15/2004 11/15/2003 06/15/2003
Maturity 10/15/2005 12/15/2004 05/15/2004 11/15/2003 06/15/2003
Prin Window 1 1 1 1 1
CollLossPercent 15.9 13.8 12.3 11.1 10.1
- --------------- ---------- ---------- ---------- ---------- ----------
- --------------------------------------------------------------------------------
Loss severity is 40%
Recovery delay is 12 months
Based upon price talk/benchmarks (02-25 close) (3.0/6.544)
Default risk yields assume that a trigger event occurs
PPC - 4% CPR to 20% CPR over 12 months
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter consider reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
4
<PAGE>
Initial Fixed Rate Collateral
- ------------------------------------------
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
Total Minimum Maximum
----- ------- -------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance 590,169,636
Number of Loans 9,966
Average Original Loan Balance 60,011 5,483 357,640
Average Current Loan Balance 59,218 5,483 354,840
Weighted Average Combined LTV 90.51% 6.57% 125.00%
Weighted Average Gross Coupon 12.37% 7.04% 21.30%
Weighted Average Remaining Term to Maturity (months) 243 13 360
Weighted Average Original Term (months) 244 36 360
Weighted Average FICO Credit Score 626
Weighted Average Debt to Income Ratio 42.61%
- -------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Percent of Statistical Calculation
Date Principal Balance
-------------------------------------
Fully Amortizing Home Equity Loans 68.33%
Balloon Home Equity Loans 31.67%
Lien Position First 78.15%
Occupancy Status Primary 98.43%
Geographic Distribution California 9.44%
Florida 5.65%
Ohio 5.63%
Michigan 5.32%
Other 73.96%*
Credit Grade A-1 59.96%
A-2 19.34%
B 16.52%
C 3.44%
D 0.74%
- --------------------------------------------------------------------------------
*Total may not add to 100% due to rounding.
Based upon Term Sheet
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter consider reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
5
