SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------
F O R M 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): July 14, 1997
The CIT Group Securitization Corporation III
The CIT Group Holdings, Inc.
(Exact name of each registrant as specified in its charter)
Delaware
Delaware
(State or other jurisdiction of incorporation)
333-22283 51-0374926
333-22283-01 13-2994534
(Commission File Number) (IRS Employer Identification No.)
650 CIT Drive
Livingston, New Jersey 07039
1211 Avenue of the Americas
New York, New York 10036
(Address of principal executive offices and zip code)
Registrants' telephone number, including area code: (201) 535-3514
(212) 536-1950
N/A
(Former name or former address, if changed since last report.)
<PAGE>
Item 7. Financial Statements and Exhibits.
(c) Exhibits.
The following are filed herewith. The exhibit numbers correspond with Item
601(b) of Regulation S-K.
Exhibit No. Description
- ----------- -----------
99.1 Computational Materials
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, each
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
THE CIT GROUP SECURITIZATION
CORPORATION III
By: /S/ FRANK GARCIA
------------------------------------
Name: Frank Garcia
Title: Vice President
THE CIT GROUP HOLDINGS, INC.
By: /S/ JOSEPH M. LEONE
------------------------------------
Name: Joseph M. Leone
Title: Executive Vice President and
Chief Financial Officer
Dated: July 14, 1997
===================
$500.0 Million
CIT
Home Equity Loan Trust 1997-1
Home Equity ABS
===================
Computational Materials
- --------------------------------------------------------------------------------
INVESTORS MUST READ THIS PAGE BEFORE PROCEEDING TO THE TEXT. This
information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request.
These materials do not constitute an offer to buy or sell or a solicitation
of an offer to buy or sell any security or instrument or to participate in any
particular trading strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE
MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY
THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE
MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL
INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO
INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the
event of any such offering, these materials, including any description of the
closed-end mortgage loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus Supplement.
To Our Readers Worldwide: In addition, please note that this information
has been provided by Morgan Stanley & Co. Incorporated and approved by Morgan
Stanley & Co. International Limited, a member of the Securities and Futures
Authority, and Morgan Stanley Japan Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investment concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES
AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Transaction Highlights
<TABLE>
<CAPTION>
Payment
Approximate Expected Average Life to Windows to
Class Class Size Ratings 10% Call (2) 10% Call(2) Day Price
Class(1) Type ($ millions) (Moody's/S&P) (years) (months) Count Talk
==================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed Sequential 90.0 Aaa/AAA 0.57 8/97 - 8/98 / 13 mos. 30/360 +[ ]
A-2 Fixed Sequential 36.0 Aaa/AAA 1.33 8/98 - 2/99 / 7 mos. 30/360 +[ ]
A-3 Fixed Sequential 61.0 Aaa/AAA 2.02 2/99 - 1/00 / 12 mos. 30/360 +[ ]
A-4 Fixed Sequential 40.0 Aaa/AAA 2.98 1/00 - 4/01 / 16 mos. 30/360 +[ ]
A-5 Fixed Sequential 15.0 Aaa/AAA 4.17 4/01 - 3/02 / 12 mos. 30/360 +[ ]
A-6 Fixed Sequential 15.0 Aaa/AAA 5.20 3/02 - 6/03 / 16 mos. 30/360 +[ ]
A-7 Fixed Sequential 33.0 Aaa/AAA 8.19 6/03 - 6/06 / 37 mos. 30/360 +[ ]
A-8 Fixed Lockout 30.0 Aaa/AAA 6.66 9/00 - 6/06 / 70 mos. 30/360 +[ ]
A-9 Floater(3) 90.0 Aaa/AAA 3.03 8/97 - 6/06 / 107 mos. Actual/360 +[ ]
M-1 Fixed Subordinate 30.0 Aa2/AA 5.94 8/00 - 6/06 / 71 mos. 30/360 +[ ]
M-2 Fixed Subordinate 32.5 A2/A- 5.93 8/00 - 6/06 / 71 mos. 30/360 +[ ]
B-1 Fixed Subordinate 22.5 Baa2/BBB- 5.93 8/00 - 6/06 / 71 mos. 30/360 +[ ]
---------------------------------------------------------------------------------
B-2 Fixed Subordinate 5.0 Offered privately by Morgan Stanley.
- ----------------------------------------------------------------------------------------------------------------------------------
Total $500 -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All certificates are backed by a fixed- and adjustable-rate pool of home
equity loans.
(2) See "Pricing Prepayment Speed" below.
(3) Class A-9 certificates have a straight 20% life cap.
Seller and Master Servicer: The CIT Group/Consumer Finance, Inc.
Trustee: The Bank of New York.
Collateral: Fixed and floating rate conventional home
equity loans secured by first and subordinate
lien mortgages. See "Collateral Description"
on page 6.
Pricing Prepayment Speed:
Fixed Rate Certificates: All classes are priced at 100% of the
prepayment assumption ("PPC"). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.455%
CPR per month to 20% CPR in month 12, and
remaining at 20% CPR thereafter.
Adjustable Rate Certificate: Constant 25% CPR.
Expected Pricing Date: July 16, 1997.
Expected Settlement Date: July 23, 1997, through DTC, Euroclear, and
CEDEL.
Distribution Dates: The 15th of each month, beginning August 15,
1997.
Optional Call: 10% Clean-up call (10% of collateral
balance), followed by 5% mandatory Auction
Sale if Clean-up call not exercised at 10%.
Trust Tax Status: REMIC Trust.
ERISA Eligibility: The Class A certificates are ERISA eligible.
SMMEA Eligibility: The certificates will not be SMMEA eligible.
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Structure
o Interest Collections will by distributed in the following priority (note
that the Class B-2 certificates are not being offered hereby):
1. Senior bonds (Class A-1 through A-9) current interest plus unpaid
interest shortfalls
2. M-1 current interest
3. M-2 current interest
4. B-1 current interest
5. B-2 current interest
6. Master servicing fee
7. Excess interest used to build overcollateralization to the target level
8. Unpaid interest and principal shortfalls on mezzanine and subordinate
bonds
9. Unreimbursed servicer advances
10. Remaining interest paid to holders of the Class R certificates
o Principal Collections before the step-down date or during a trigger event
will be allocated as follows:
-- Principal received from the ARM portfolio will be distributed in the
following priority:
1. Class A-9 principal
2. Class A-8 lockout principal amount*
3. Class A certificates (other than Class A-8 and A-9 certificates) in
sequential order
4. Class A-8, if necessary
* The Class A-8 is paid principal according to the following Lockout
Percentage:
August 1997 - July 2000 0%
August 2000 - July 2002 45%
August 2002 - July 2003 80%
August 2003 - July 2004 100%
August 4004 and thereafter 300%
-- Principal received from the fixed portfolio will be distributed in the
following priority:
1. Class A-8 lockout principal amount, to the extent not previously
distributed
2. Class A certificates (other than Class A-8 and A-9 certificates) in
sequential order
3. Class A-8, if necessary
4. Class A-9
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Structure (cont'd)
o Principal Collections after the step-down date if no trigger event is in
effect will be allocated as follows:
1. Class A-1 through A-9 will receive principal from ARM and fixed
portfolios as described above
2. Class M-1 principal
3. Class M-2 principal
4. Class B-1 principal
5. Class B-2 principal
6. Excess principal paid to Class R to reduce overcollateralization
o Step-Down Date.
-- The step-down date is the earlier to occur of (i) the later to occur of
(x) the distribution date in August 2000 and (y) the first distribution
date on which the sum of the percentage of subordinate classes and
overcollateralization (the "Senior Enhancement Percentage") is greater
than or equal to 40.7% (the "Senior Specified Enhancement Percentage")
and (ii) the distribution date on which the Class A certificates has
been reduced to zero.
o Loan Trigger Events.
-- A trigger event will occur if the percentage of 60-day or more
delinquent loans equals or exceeds 48% of the Senior Enhancement
Percentage in which case no step-down will occur.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Enhancement for the Certificates
o Class A1-A9 Credit Enhancement:
1. Excess cash
2. Overcollateralization initially building up to 2.35% of the original
loan amount
3. Subordination of Class M-1, M-2, B-1 and B-2 certificates, totaling
18.0% of the original loan amount
o Class M-1, M-2, and B-1 Credit Enhancement (note that the Class B-2
certificates are not being offered hereby):
1. Excess cash
2. Class M-1 is further enhanced by 12.0% in subordinate certificates and
O/C building up to 2.35%
3. Class M-2 is further enhanced by 5.5% in subordinate certificates and
O/C building up to 2.35%
4. Class B-1 is enhanced by 1.0% in subordinate certificates and O/C
building up to 2.35%
Overcollateralization
1. Before the step-down date, overcollateralization initially builds to
2.35% of the original loan amount for both loan groups (subject to
performance triggers)
2. On and after the step-down date to 4.70% of the outstanding loan balance
3. Step-down overcollateralization amount subject to a floor of 0.50% of
the original loan amount for both loan groups (subject to performance
triggers)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
CIT 1997-1 Collateral Description
The collateral pool will consist of a combination of first and junior lien home
equity loans. These loans are predominantly used by borrowers to consolidate
debt, to refinance an existing mortgage loan on more favorable terms, or to
obtain cash proceeds by borrowing against the homeowner's equity in the related
mortgage property. Approximately 55% of the home equity loans have prepayment
penalties in force to the maximum allowable on a state-by-state basis.
<TABLE>
<CAPTION>
Fixed Rate Portfolio ARM Portfolio
-------------------- -------------
<S> <C> <C>
Total Outstanding Balance: $410,062,866.73 $90,055,693.10
Number of Loans: 8,514 1,041
Average Remaining Balance: $48,163 (range: $4,293 - $420,228) $86,461 (range: $10,225 - $588,511)
Loan Type: o 100% Fixed-rate o 38.82% 2/28 ARMs
o 28.29% 6-month LIBOR ARMs
o 25.26% 1 year CMT ARMs
o 3.94% 3/1 year CMT ARMs
o 3.69% Other
Amortization Method: o 12.86% Balloon o 100% Level pay
o 87.14% Level pay
WA Gross Coupon: 10.94% (range: 7.64% - 19.70%) 9.43% (range: 6.91% - 14.90%)
WA Gross Margin / WA Life Cap: N/A 5.66% / 15.49%
WA Periodic Interest Rate Caps: N/A 1.44%
WA Months to Roll: N/A 13 months
Original Weighted Average Term: 240 months 347 months
Remaining Weighted Average Term: 236 months 344 months
Seasoning: 4 months 3 months
Lien Position: o 70.38% 1sts o 96.33% 1sts
o 29.62% 2nds o 3.67% 2nds
WA CLTV Ratio: 78.09% (100.05% max.) 78.99% (100.00% max.)
Documentation: o 92.25% Full o 91.58% Full
o 7.75% Other o 8.42% Other
Property Type: o 93.77% Single family o 95.68% Single family
o 3.05% 2-4 family o 1.91% Condo
o 1.86% Townhouses o 1.39% 2-4 family
o 1.32% Condo o 1.02% Townhouses
Owner Occupancy: o 97.03% Owner occupied o 98.64% Owner occupied
o 2.97% Non-owner occupied o 1.36% Non-owner occupied
Loan Purpose: o 95.56% Refinance and/or Cashout o 82.75% Refinance and/or Cashout
o 4.44% Purchase o 17.25% Purchase
Geographic Distribution > 5%: CA (9.96%), OH (9.56%), PA (6.22%), OH (17.93%), MI (10.07%), CA (9.57%),
IN (5.90%), FL (5.88%), NY (5.09%) WA (8.12%), CO (6.36%), OR (5.47%)
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables
Fixed Rate Classes: Priced to 10% Optional Call
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 3.93 0.93 0.64 0.57 0.49 0.43 0.35
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Payment Window 96 23 15 13 11 10 8
Mod Duration 3.28 0.87 0.61 0.54 0.46 0.41 0.34
Class A-2 @ Price 100/00
Average Life 9.35 2.36 1.52 1.33 1.09 0.93 0.73
First Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Last Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Payment Window 33 12 8 7 6 4 3
Mod Duration 6.92 2.14 1.41 1.24 1.03 0.88 0.69
Class A-3 @ Price 100/00
Average Life 2.71 3.73 2.34 2.02 1.65 1.39 1.05
First Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Last Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Payment Window 49 24 14 12 10 9 7
Mod Duration 8.51 3.22 2.12 1.85 1.52 1.29 0.99
Class A-4 @ Price 100/00
Average Life 15.15 6.45 3.59 2.98 2.33 1.95 1.46
First Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Last Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Payment Window 37 51 21 16 8 7 5
Mod Duration 9.42 5.11 3.11 2.63 2.1 1.78 1.35
Class A-5 @ Price 100/00
Average Life 19.18 9.94 5.13 4.17 2.77 2.31 1.71
First Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Last Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Payment Window 41 26 15 12 4 3 3
Mod Duration 10.48 7.04 4.21 3.53 2.46 2.08 1.57
----------------------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced to 10% Optional Call (cont'd)
<TABLE>
-------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-6 @ Price 100/00
Average Life 22.86 12.09 6.62 5.2 3.52 2.54 1.87
First Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Last Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Payment Window 44 28 30 16 17 4 3
Mod Duration 11.25 7.99 5.16 4.24 3.03 2.26 1.7
Class A-7 @ Price 100/00
Average Life 25.11 13.78 9.81 8.19 5.93 3.63 2.16
First Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 12/15/99
Payment Window 8 8 24 37 40 47 6
Mod Duration 11.42 8.54 6.86 6.01 4.66 3.07 1.94
Class A-8 @ Price 100/00
Average Life 9.74 7.67 6.87 6.66 6.34 5.97 2.62
First Prin 8/15/00 8/15/00 8/15/00 9/15/00 3/15/01 11/15/01 12/15/99
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 6/15/00
Payment Window 266 130 85 70 47 27 7
Mod Duration 6.8 5.69 5.26 5.15 4.97 4.76 2.32
Class M-1 @ Price 100/00
Average Life 18.07 9.47 6.71 5.94 5.13 4.78 5.06
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 12/15/00 3/15/01 1/15/02
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 50 35 9
Mod Duration 9.74 6.54 5.07 4.61 4.12 3.91 4.13
Class M-2 @ Price 100/00
Average Life 18.07 9.47 6.71 5.93 5.07 4.56 4.26
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 9/15/00 10/15/00 1/15/01
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 53 40 21
Mod Duration 9.59 6.48 5.03 4.58 4.05 3.73 3.54
Class B-1 @ Price 100/00
Average Life 18.07 9.47 6.71 5.93 5.04 4.47 3.89
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 8/15/00 8/15/00 9/15/00
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 54 42 25
Mod Duration 9.37 6.38 4.98 4.53 3.99 3.63 3.24
--------------------------------------------------------------------------------
</TABLE>
Note: (1) prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables (cont'd)
Floating Rate Class: Priced to 10% Optional Call
<TABLE>
<CAPTION>
CPR (%)
----------------------------------------------------------------------
0% 15% 20% 25%(1) 30% 40% 50%
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-9 @ Price 100/00
Average Life 15.29 4.69 3.71 3.03 2.51 1.78 1.31
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 8/15/19 6/15/07 10/15/06 6/15/06 4/15/06 7/15/05 4/15/03
Payment Window 265 119 111 107 105 96 69
Mod Duration 9.38 3.77 3.08 2.57 2.18 1.60 1.21
----------------------------------------------------------------------
</TABLE>
Note: (1) Class A-9 assumes a constant prepayment speed of 25% CPR.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced Assuming No Optional Call
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 3.93 0.93 0.64 0.57 0.49 0.43 0.35
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Payment Window 96 23 15 13 11 10 8
Mod Duration 3.28 0.87 0.61 0.54 0.46 0.41 0.34
Class A-2 @ Price 100/00
Average Life 9.35 2.36 1.52 1.33 1.09 0.93 0.73
First Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Last Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Payment Window 33 12 8 7 6 4 3
Mod Duration 6.92 2.14 1.41 1.24 1.03 0.88 0.69
Class A-3 @ Price 100/00
Average Life 12.71 3.73 2.34 2.02 1.65 1.39 1.05
First Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Last Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Payment Window 49 24 14 12 10 9 7
Mod Duration 8.51 3.22 2.12 1.85 1.52 1.29 0.99
Class A-4 @ Price 100/00
Average Life 15.15 6.45 3.59 2.98 2.33 1.95 1.46
First Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Last Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Payment Window 37 51 21 16 8 7 5
Mod Duration 9.42 5.11 3.11 2.63 2.10 1.78 1.35
Class A-5 @ Price 100/00
Average Life 19.18 9.94 5.13 4.17 2.77 2.31 1.71
First Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Last Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Payment Window 41 26 15 12 4 3 3
Mod Duration 10.48 7.04 4.21 3.53 2.46 2.08 1.57
-----------------------------------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced Assuming No Optional Call (cont'd)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-6 @ Price 100/00
Average Life 22.86 12.09 6.62 5.20 3.52 2.54 1.87
First Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Last Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Payment Window 44 28 30 16 17 4 3
Mod Duration 11.25 7.99 5.16 4.24 3.03 2.26 1.70
Class A-7 @ Price 100/00
Average Life 27.22 16.88 12.30 10.32 7.23 3.80 2.16
First Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Last Prin 11/15/26 11/15/23 4/15/07 4/15/15 3/15/12 6/15/10 12/15/99
Payment Window 58 158 140 143 126 124 6
Mod Duration 11.73 9.45 7.86 6.94 5.29 3.16 1.94
Class A-8 @ Price 100/00
Average Life 9.75 7.68 6.96 6.79 6.70 6.91 2.62
First Prin 8/15/00 8/15/00 8/15/00 9/15/00 3/15/01 11/15/01 12/15/99
Last Prin 9/15/26 8/15/23 2/15/17 2/15/15 3/15/12 4/15/10 6/15/00
Payment Window 314 277 199 174 133 102 7
Mod Duration 6.80 5.69 5.30 5.21 5.17 5.29 2.33
Class M-1 @ Price 100/00
Average Life 18.53 10.11 7.27 6.49 5.64 5.24 7.00
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 12/15/00 3/15/01 1/15/02
Last Prin 8/15/26 8/15/20 1/15/14 3/15/12 2/15/11 8/15/09 3/15/10
Payment Window 206 221 159 140 123 102 99
Mod Duration 9.81 6.73 5.31 4.86 4.38 4.16 5.27
Class M-2 @ Price 100/00
Average Life 18.52 10.02 7.23 6.46 5.53 4.98 4.61
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 9/15/00 10/15/00 1/15/01
Last Prin 6/15/26 11/15/18 8/15/12 2/15/12 2/15/10 9/15/08 11/15/06
Payment Window 204 200 142 139 114 96 71
Mod Duration 9.65 6.64 5.25 4.81 4.28 3.95 3.76
Class B-1 @ Price 100/00
Average Life 18.44 9.77 7.10 6.30 5.36 4.76 4.12
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 8/15/00 8/15/00 9/15/00
Last Prin 11/15/25 8/15/15 9/15/11 5/15/10 6/15/08 2/15/07 5/15/05
Payment Window 197 161 131 118 95 79 57
Mod Duration 9.42 6.48 5.14 4.70 4.15 3.79 3.39
-----------------------------------------------------------------------------------------
</TABLE>
Note: (1) prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables (cont'd)
Floating Rate Class: Priced Assuming No Optional Call
<TABLE>
<CAPTION>
CPR (%)
---------------------------------------------------------------------------------
0% 15% 20% 25%(1) 30% 40% 50%
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-9 @ Price 100/00
Average Life 15.81 5.51 4.11 3.18 2.55 1.78 1.31
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 5/15/23 9/15/18 4/15/16 7/15/13 9/15/09 7/15/05 4/15/03
Payment Window 310 254 225 192 146 96 69
Mod Duration 9.51 4.14 3.27 2.65 2.20 1.60 1.21
---------------------------------------------------------------------------------
</TABLE>
Note: (1) Class A-9 assumes a constant prepayment speed of 25% CPR.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
===================
$500.0 Million
CIT
Home Equity Loan Trust 1997-1
Home Equity ABS
===================
Computational Materials
- --------------------------------------------------------------------------------
INVESTORS MUST READ THIS PAGE BEFORE PROCEEDING TO THE TEXT. This
information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request.
These materials do not constitute an offer to buy or sell or a solicitation
of an offer to buy or sell any security or instrument or to participate in any
particular trading strategy. ANY SUCH OFFER TO BUY OR SELL ANY SECURITY WOULD BE
MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS SUPPLEMENT PREPARED BY
THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT CONTAINED IN THESE
MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL CONTAIN ALL MATERIAL
INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY AND ANY DECISION TO
INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE UPON SUCH PROSPECTUS
AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT NOT DEFINED HEREIN ARE
TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. In the
event of any such offering, these materials, including any description of the
closed-end mortgage loans contained herein, shall be deemed superseded, amended
and supplemented in their entirety by such Prospectus and Prospectus Supplement.
To Our Readers Worldwide: In addition, please note that this information
has been provided by Morgan Stanley & Co. Incorporated and approved by Morgan
Stanley & Co. International Limited, a member of the Securities and Futures
Authority, and Morgan Stanley Japan Ltd. We recommend that investors obtain the
advice of their Morgan Stanley & Co. International Limited or Morgan Stanley
Japan Ltd. representative about the investment concerned. NOT FOR DISTRIBUTION
TO PRIVATE CUSTOMERS AS DEFINED BY THE U.K. SECURITIES AND FUTURES
AUTHORITY.
- --------------------------------------------------------------------------------
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Transaction Highlights
<TABLE>
<CAPTION>
Payment
Approximate Expected Average Life to Windows to
Class Class Size Ratings 10% Call (2) 10% Call(2) Day Price
Class(1) Type ($ millions) (Moody's/S&P) (years) (months) Count Talk
==================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 Fixed Sequential 90.0 Aaa/AAA 0.57 8/97 - 8/98 / 13 mos. 30/360 +[ ]
A-2 Fixed Sequential 36.0 Aaa/AAA 1.33 8/98 - 2/99 / 7 mos. 30/360 +[ ]
A-3 Fixed Sequential 61.0 Aaa/AAA 2.02 2/99 - 1/00 / 12 mos. 30/360 +[ ]
A-4 Fixed Sequential 40.0 Aaa/AAA 2.98 1/00 - 4/01 / 16 mos. 30/360 +[ ]
A-5 Fixed Sequential 15.0 Aaa/AAA 4.17 4/01 - 3/02 / 12 mos. 30/360 +[ ]
A-6 Fixed Sequential 15.0 Aaa/AAA 5.20 3/02 - 6/03 / 16 mos. 30/360 +[ ]
A-7 Fixed Sequential 33.0 Aaa/AAA 8.19 6/03 - 6/06 / 37 mos. 30/360 +[ ]
A-8 Fixed Lockout 30.0 Aaa/AAA 6.66 9/00 - 6/06 / 70 mos. 30/360 +[ ]
A-9 Floater(3) 90.0 Aaa/AAA 3.03 8/97 - 6/06 / 107 mos. Actual/360 +[ ]
M-1 Fixed Subordinate 30.0 Aa2/AA 5.94 8/00 - 6/06 / 71 mos. 30/360 +[ ]
M-2 Fixed Subordinate 32.5 A2/A- 5.93 8/00 - 6/06 / 71 mos. 30/360 +[ ]
B-1 Fixed Subordinate 22.5 Baa2/BBB- 5.93 8/00 - 6/06 / 71 mos. 30/360 +[ ]
---------------------------------------------------------------------------------
B-2 Fixed Subordinate 5.0 Offered privately by Morgan Stanley.
- ----------------------------------------------------------------------------------------------------------------------------------
Total $500 -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All certificates are backed by a fixed- and adjustable-rate pool of home
equity loans.
(2) See "Pricing Prepayment Speed" below.
(3) Class A-9 certificates have a straight 20% life cap.
Seller and Master Servicer: The CIT Group/Consumer Finance, Inc.
Trustee: The Bank of New York.
Collateral: Fixed and floating rate conventional home
equity loans secured by first and subordinate
lien mortgages. See "Collateral Description"
on page 6.
Pricing Prepayment Speed:
Fixed Rate Certificates: All classes are priced at 100% of the
prepayment assumption ("PPC"). 100% PPC
describes prepayments starting at 4.0% CPR in
month 1, increasing by approximately 1.455%
CPR per month to 20% CPR in month 12, and
remaining at 20% CPR thereafter.
Adjustable Rate Certificate: Constant 25% CPR.
Expected Pricing Date: July 16, 1997.
Expected Settlement Date: July 23, 1997, through DTC, Euroclear, and
CEDEL.
Distribution Dates: The 15th of each month, beginning August 15,
1997.
Optional Call: 10% Clean-up call (10% of collateral
balance), followed by 5% mandatory Auction
Sale if Clean-up call not exercised at 10%.
Trust Tax Status: REMIC Trust.
ERISA Eligibility: The Class A certificates are ERISA eligible.
SMMEA Eligibility: The certificates will not be SMMEA eligible.
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Structure
o Interest Collections will by distributed in the following priority (note
that the Class B-2 certificates are not being offered hereby):
1. Senior bonds (Class A-1 through A-9) current interest plus unpaid
interest shortfalls
2. M-1 current interest
3. M-2 current interest
4. B-1 current interest
5. B-2 current interest
6. Master servicing fee
7. Excess interest used to build overcollateralization to the target level
8. Unpaid interest and principal shortfalls on mezzanine and subordinate
bonds
9. Unreimbursed servicer advances
10. Remaining interest paid to holders of the Class R certificates
o Principal Collections before the step-down date or during a trigger event
will be allocated as follows:
-- Principal received from the ARM portfolio will be distributed in the
following priority:
1. Class A-9 principal
2. Class A-8 lockout principal amount*
3. Class A certificates (other than Class A-8 and A-9 certificates) in
sequential order
4. Class A-8, if necessary
* The Class A-8 is paid principal according to the following Lockout
Percentage:
August 1997 - July 2000 0%
August 2000 - July 2002 45%
August 2002 - July 2003 80%
August 2003 - July 2004 100%
August 4004 and thereafter 300%
-- Principal received from the fixed portfolio will be distributed in the
following priority:
1. Class A-8 lockout principal amount, to the extent not previously
distributed
2. Class A certificates (other than Class A-8 and A-9 certificates) in
sequential order
3. Class A-8, if necessary
4. Class A-9
- -------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Structure (cont'd)
o Principal Collections after the step-down date if no trigger event is in
effect will be allocated as follows:
1. Class A-1 through A-9 will receive principal from ARM and fixed
portfolios as described above
2. Class M-1 principal
3. Class M-2 principal
4. Class B-1 principal
5. Class B-2 principal
6. Excess principal paid to Class R to reduce overcollateralization
o Step-Down Date.
-- The step-down date is the earlier to occur of (i) the later to occur of
(x) the distribution date in August 2000 and (y) the first distribution
date on which the sum of the percentage of subordinate classes and
overcollateralization (the "Senior Enhancement Percentage") is greater
than or equal to 59.3% (the "Senior Specified Enhancement Percentage")
and (ii) the distribution date on which the Class A certificates has
been reduced to zero.
o Loan Trigger Events.
-- A trigger event will occur if the percentage of 60-day or more
delinquent loans equals or exceeds 48% of the Senior Enhancement
Percentage in which case no step-down will occur.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Credit Enhancement for the Certificates
o Class A1-A9 Credit Enhancement:
1. Excess cash
2. Overcollateralization initially building up to 2.35% of the original
loan amount
3. Subordination of Class M-1, M-2, B-1 and B-2 certificates, totaling
18.0% of the original loan amount
o Class M-1, M-2, and B-1 Credit Enhancement (note that the Class B-2
certificates are not being offered hereby):
1. Excess cash
2. Class M-1 is further enhanced by 12.0% in subordinate certificates and
O/C building up to 2.35%
3. Class M-2 is further enhanced by 5.5% in subordinate certificates and
O/C building up to 2.35%
4. Class B-1 is enhanced by 1.0% in subordinate certificates and O/C
building up to 2.35%
Overcollateralization
1. Before the step-down date, overcollateralization initially builds to
2.35% of the original loan amount for both loan groups (subject to
performance triggers)
2. On and after the step-down date to 4.70% of the outstanding loan balance
3. Step-down overcollateralization amount subject to a floor of 0.50% of
the original loan amount for both loan groups (subject to performance
triggers)
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
CIT 1997-1 Collateral Description
The collateral pool will consist of a combination of first and junior lien home
equity loans. These loans are predominantly used by borrowers to consolidate
debt, to refinance an existing mortgage loan on more favorable terms, or to
obtain cash proceeds by borrowing against the homeowner's equity in the related
mortgage property. Approximately 55% of the home equity loans have prepayment
penalties in force to the maximum allowable on a state-by-state basis.
<TABLE>
<CAPTION>
Fixed Rate Portfolio ARM Portfolio
-------------------- -------------
<S> <C> <C>
Total Outstanding Balance: $410,062,866.73 $90,055,693.10
Number of Loans: 8,514 1,041
Average Remaining Balance: $48,163 (range: $4,293 - $420,228) $86,461 (range: $10,225 - $588,511)
Loan Type: o 100% Fixed-rate o 38.82% 2/28 ARMs
o 28.29% 6-month LIBOR ARMs
o 25.26% 1 year CMT ARMs
o 3.94% 3/1 year CMT ARMs
o 3.69% Other
Amortization Method: o 12.86% Balloon o 100% Level pay
o 87.14% Level pay
WA Gross Coupon: 10.94% (range: 7.64% - 19.70%) 9.43% (range: 6.91% - 14.90%)
WA Gross Margin / WA Life Cap: N/A 5.66% / 15.49%
WA Periodic Interest Rate Caps: N/A 1.44%
WA Months to Roll: N/A 13 months
Original Weighted Average Term: 240 months 347 months
Remaining Weighted Average Term: 236 months 344 months
Seasoning: 4 months 3 months
Lien Position: o 70.38% 1sts o 96.33% 1sts
o 29.62% 2nds o 3.67% 2nds
WA CLTV Ratio: 78.09% (100.05% max.) 78.99% (100.00% max.)
Documentation: o 92.25% Full o 91.58% Full
o 7.75% Other o 8.42% Other
Property Type: o 93.77% Single family o 95.68% Single family
o 3.05% 2-4 family o 1.91% Condo
o 1.86% Townhouses o 1.39% 2-4 family
o 1.32% Condo o 1.02% Townhouses
Owner Occupancy: o 97.03% Owner occupied o 98.64% Owner occupied
o 2.97% Non-owner occupied o 1.36% Non-owner occupied
Loan Purpose: o 95.56% Refinance and/or Cashout o 82.75% Refinance and/or Cashout
o 4.44% Purchase o 17.25% Purchase
Geographic Distribution > 5%: CA (9.96%), OH (9.56%), PA (6.22%), OH (17.93%), MI (10.07%), CA (9.57%),
IN (5.90%), FL (5.88%), NY (5.09%) WA (8.12%), CO (6.36%), OR (5.47%)
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables
Fixed Rate Classes: Priced to 10% Optional Call
<TABLE>
<CAPTION>
----------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 3.93 0.93 0.64 0.57 0.49 0.43 0.35
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Payment Window 96 23 15 13 11 10 8
Mod Duration 3.28 0.87 0.61 0.54 0.46 0.41 0.34
Class A-2 @ Price 100/00
Average Life 9.35 2.36 1.52 1.33 1.09 0.93 0.73
First Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Last Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Payment Window 33 12 8 7 6 4 3
Mod Duration 6.92 2.14 1.41 1.24 1.03 0.88 0.69
Class A-3 @ Price 100/00
Average Life 2.71 3.73 2.34 2.02 1.65 1.39 1.05
First Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Last Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Payment Window 49 24 14 12 10 9 7
Mod Duration 8.51 3.22 2.12 1.85 1.52 1.29 0.99
Class A-4 @ Price 100/00
Average Life 15.15 6.45 3.59 2.98 2.33 1.95 1.46
First Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Last Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Payment Window 37 51 21 16 8 7 5
Mod Duration 9.42 5.11 3.11 2.63 2.1 1.78 1.35
Class A-5 @ Price 100/00
Average Life 19.18 9.94 5.13 4.17 2.77 2.31 1.71
First Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Last Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Payment Window 41 26 15 12 4 3 3
Mod Duration 10.48 7.04 4.21 3.53 2.46 2.08 1.57
----------------------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced to 10% Optional Call (cont'd)
<TABLE>
-------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-6 @ Price 100/00
Average Life 22.86 12.09 6.62 5.2 3.52 2.54 1.87
First Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Last Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Payment Window 44 28 30 16 17 4 3
Mod Duration 11.25 7.99 5.16 4.24 3.03 2.26 1.7
Class A-7 @ Price 100/00
Average Life 25.11 13.78 9.81 8.19 5.93 3.63 2.16
First Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 12/15/99
Payment Window 8 8 24 37 40 47 6
Mod Duration 11.42 8.54 6.86 6.01 4.66 3.07 1.94
Class A-8 @ Price 100/00
Average Life 9.74 7.67 6.87 6.66 6.34 5.97 2.62
First Prin 8/15/00 8/15/00 8/15/00 9/15/00 3/15/01 11/15/01 12/15/99
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 6/15/00
Payment Window 266 130 85 70 47 27 7
Mod Duration 6.8 5.69 5.26 5.15 4.97 4.76 2.32
Class M-1 @ Price 100/00
Average Life 18.07 9.47 6.71 5.94 5.13 4.78 5.06
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 12/15/00 3/15/01 1/15/02
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 50 35 9
Mod Duration 9.74 6.54 5.07 4.61 4.12 3.91 4.13
Class M-2 @ Price 100/00
Average Life 18.07 9.47 6.71 5.93 5.07 4.56 4.26
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 9/15/00 10/15/00 1/15/01
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 53 40 21
Mod Duration 9.59 6.48 5.03 4.58 4.05 3.73 3.54
Class B-1 @ Price 100/00
Average Life 18.07 9.47 6.71 5.93 5.04 4.47 3.89
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 8/15/00 8/15/00 9/15/00
Last Prin 9/15/22 5/15/11 8/15/07 6/15/06 1/15/05 1/15/04 9/15/02
Payment Window 159 110 82 71 54 42 25
Mod Duration 9.37 6.38 4.98 4.53 3.99 3.63 3.24
--------------------------------------------------------------------------------
</TABLE>
Note: (1) prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables (cont'd)
Floating Rate Class: Priced to 10% Optional Call
<TABLE>
<CAPTION>
CPR (%)
----------------------------------------------------------------------
0% 15% 20% 25%(1) 30% 40% 50%
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-9 @ Price 100/00
Average Life 15.29 4.69 3.71 3.03 2.51 1.78 1.31
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 8/15/19 6/15/07 10/15/06 6/15/06 4/15/06 7/15/05 4/15/03
Payment Window 265 119 111 107 105 96 69
Mod Duration 9.38 3.77 3.08 2.57 2.18 1.60 1.21
----------------------------------------------------------------------
</TABLE>
Note: (1) Class A-9 assumes a constant prepayment speed of 25% CPR.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced Assuming No Optional Call
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Average Life 3.93 0.93 0.64 0.57 0.49 0.43 0.35
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Payment Window 96 23 15 13 11 10 8
Mod Duration 3.28 0.87 0.61 0.54 0.46 0.41 0.34
Class A-2 @ Price 100/00
Average Life 9.35 2.36 1.52 1.33 1.09 0.93 0.73
First Prin 7/15/05 6/15/99 10/15/98 8/15/98 6/15/98 5/15/98 3/15/98
Last Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Payment Window 33 12 8 7 6 4 3
Mod Duration 6.92 2.14 1.41 1.24 1.03 0.88 0.69
Class A-3 @ Price 100/00
Average Life 12.71 3.73 2.34 2.02 1.65 1.39 1.05
First Prin 3/15/08 5/15/00 5/15/99 2/15/99 11/15/98 8/15/98 5/15/98
Last Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Payment Window 49 24 14 12 10 9 7
Mod Duration 8.51 3.22 2.12 1.85 1.52 1.29 0.99
Class A-4 @ Price 100/00
Average Life 15.15 6.45 3.59 2.98 2.33 1.95 1.46
First Prin 3/15/12 4/15/02 6/15/00 1/15/00 8/15/99 4/15/99 11/15/98
Last Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Payment Window 37 51 21 16 8 7 5
Mod Duration 9.42 5.11 3.11 2.63 2.10 1.78 1.35
Class A-5 @ Price 100/00
Average Life 19.18 9.94 5.13 4.17 2.77 2.31 1.71
First Prin 3/15/15 6/15/06 2/15/02 4/15/01 3/15/00 10/15/99 3/15/99
Last Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Payment Window 41 26 15 12 4 3 3
Mod Duration 10.48 7.04 4.21 3.53 2.46 2.08 1.57
-----------------------------------------------------------------------------------------
</TABLE>
Note: (1) Prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Fixed Rate Classes: Priced Assuming No Optional Call (cont'd)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Prepayment Speed PPC PPC PPC PPC(1) PPC PPC PPC
0% 50% 85% 100% 125% 150% 200%
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-6 @ Price 100/00
Average Life 22.86 12.09 6.62 5.20 3.52 2.54 1.87
First Prin 7/15/18 7/15/08 4/15/03 3/15/02 6/15/00 12/15/99 5/15/99
Last Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Payment Window 44 28 30 16 17 4 3
Mod Duration 11.25 7.99 5.16 4.24 3.03 2.26 1.70
Class A-7 @ Price 100/00
Average Life 27.22 16.88 12.30 10.32 7.23 3.80 2.16
First Prin 2/15/22 10/15/10 9/15/05 6/15/03 10/15/01 3/15/00 7/15/99
Last Prin 11/15/26 11/15/23 4/15/07 4/15/15 3/15/12 6/15/10 12/15/99
Payment Window 58 158 140 143 126 124 6
Mod Duration 11.73 9.45 7.86 6.94 5.29 3.16 1.94
Class A-8 @ Price 100/00
Average Life 9.75 7.68 6.96 6.79 6.70 6.91 2.62
First Prin 8/15/00 8/15/00 8/15/00 9/15/00 3/15/01 11/15/01 12/15/99
Last Prin 9/15/26 8/15/23 2/15/17 2/15/15 3/15/12 4/15/10 6/15/00
Payment Window 314 277 199 174 133 102 7
Mod Duration 6.80 5.69 5.30 5.21 5.17 5.29 2.33
Class M-1 @ Price 100/00
Average Life 18.53 10.11 7.27 6.49 5.64 5.24 7.00
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 12/15/00 3/15/01 1/15/02
Last Prin 8/15/26 8/15/20 1/15/14 3/15/12 2/15/11 8/15/09 3/15/10
Payment Window 206 221 159 140 123 102 99
Mod Duration 9.81 6.73 5.31 4.86 4.38 4.16 5.27
Class M-2 @ Price 100/00
Average Life 18.52 10.02 7.23 6.46 5.53 4.98 4.61
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 9/15/00 10/15/00 1/15/01
Last Prin 6/15/26 11/15/18 8/15/12 2/15/12 2/15/10 9/15/08 11/15/06
Payment Window 204 200 142 139 114 96 71
Mod Duration 9.65 6.64 5.25 4.81 4.28 3.95 3.76
Class B-1 @ Price 100/00
Average Life 18.44 9.77 7.10 6.30 5.36 4.76 4.12
First Prin 7/15/09 4/15/02 11/15/00 8/15/00 8/15/00 8/15/00 9/15/00
Last Prin 11/15/25 8/15/15 9/15/11 5/15/10 6/15/08 2/15/07 5/15/05
Payment Window 197 161 131 118 95 79 57
Mod Duration 9.42 6.48 5.14 4.70 4.15 3.79 3.39
-----------------------------------------------------------------------------------------
</TABLE>
Note: (1) prepayment scenarios are quoted as a percentage of the prepayment
assumption "PPC" (a 100% PPC prepayment assumption has prepayments starting at
4.0% CPR in month 1, increasing by approximately 1.455% CPR per month to 20% CPR
in month 12, and remaining at 20% CPR thereafter), with regard to the fixed rate
group. The fixed rate group assumes 100% PPC.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
CIT HOME EQUITY LOAN TRUST 1997-1
================================================================================
Computational Materials
Average Life Sensitivity Tables (cont'd)
Floating Rate Class: Priced Assuming No Optional Call
<TABLE>
<CAPTION>
CPR (%)
---------------------------------------------------------------------------------
0% 15% 20% 25%(1) 30% 40% 50%
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-9 @ Price 100/00
Average Life 15.81 5.51 4.11 3.18 2.55 1.78 1.31
First Prin 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97 8/15/97
Last Prin 5/15/23 9/15/18 4/15/16 7/15/13 9/15/09 7/15/05 4/15/03
Payment Window 310 254 225 192 146 96 69
Mod Duration 9.51 4.14 3.27 2.65 2.20 1.60 1.21
---------------------------------------------------------------------------------
</TABLE>
Note: (1) Class A-9 assumes a constant prepayment speed of 25% CPR.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by The CIT Group/Consumer Finance Inc. with respect to the expected
characteristics of the pool of closed-end mortgage loans in which these
securities will represent undivided beneficial interests. The actual
characteristics and performance of the closed-end mortgage loans will differ
from the assumptions used in preparing these materials, which are hypothetical
in nature. Changes in the assumptions may have a material impact on the
information set forth in these materials. No representation is made that any
performance or return indicated herein will be achieved. For example, it is very
unlikely that closed-end mortgage loans will prepay at a constant rate or follow
a predictable pattern. This information may not be used or otherwise
disseminated in connection with the offer or sale of these or any other
securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
The following legends also appeared with the foregoing computational materials:
Neither the Issuer of the Certificates nor any of its affiliates make any
representation as to the accuracy or completeness of the information herein. The
information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. The information addresses only certain
aspects of the applicable security's characteristics and thus does not provide a
complete assessment. As such, the information may not reflect the impact of all
structural characteristics of the security. The assumptions underlying the
information, including structure and collateral, may be modified from time to
time to reflect changed circumstances. The attached term sheet is not intended
to be a prospectus and any investment decision with respect to the Certificates
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. All information described herein is preliminary,
limited in nature an d subject to completion or amendment. No representation is
made that the above referenced securities will actually perform as described in
any scenario presented. The Depositors have not prepared, reviewed or
participated in the preparation hereof, are not responsible for the accuracy
hereof and have not authorized the dissemination hereof. A final prospectus and
prospectus supplement may be obtained by contacting the Salomon Brothers
Syndicate Desk at (212) 783-3727.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers,
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
