_____________________________________________________________________________
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported): May 20, 1997
VANDERBILT MORTGAGE AND FINANCE, INC. (as seller and
servicer under the Pooling and Servicing Agreement, dated
as of April 26, 1997, providing for the issuance of the
Vanderbilt Mortgage and Finance, Inc., Manufactured
Housing Contract Senior/Subordinate Pass-Through
Certificates, Series 1997B).
CLAYTON HOMES, INC.
VANDERBILT MORTGAGE AND FINANCE, INC.
--------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Clayton Homes, Inc. - Del.
Vanderbilt - Tennessee 333-14033 62-0997810
- ---------------------------- ------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
4726 Airport Highway
Louisville, Tennessee 37777
- ---------------------- ----------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (423) 970-7200
-----------------
- ---------------------------------------------------------------------------
(Former Address:
- ---------------------------------------------------------------------------
Item 5. Other Events
------------
Filing of Computational Materials.
- ---------------------------------
In connection with the offering of the Vanderbilt Mortgage and Finance,
Inc. ("Vanderbilt") Manufactured Housing Contract Senior/Subordinate Pass-
Through Certificates, Series 1997B, Prudential Securities Incorporated and
Credit Suisse First Boston Corporation, as the underwriters of the
Certificates (the "Underwriters") have provided certain materials (the
"Computational Materials") for distribution to its potential investors.
Although the Company each provided the Underwriters with certain information
regarding the characteristics of the Contracts in the related portfolio, it
did not participate in the preparation of the Computational Materials.
For purposes of this Form 8-K, Computational Materials shall mean
computer generated tables and/or charts displaying, with respect to any Class
or Classes of Certificates, any of the following: yield; average life;
duration; expected maturity; interest rate sensitivity; loss sensitivity;
cash flow characteristics; background information regarding the Contracts;
the proposed structure; decrement tables; or similar information (tabular or
otherwise) of a statistical, mathematical, tabular or computational nature.
The Computational Materials provided by Prudential Securities Incorporated
are attached hereto as Exhibit 99.1 and the Computational Materials provided
by Credit Suisse First Boston Corporation are identical to those provided by
Prudential Securities Incorporated other than the legend on such materials,
which is attached hereto as Exhibit 99.2.
Item 7. Financial Statements, Pro Forma Financial
-----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials - Prudential Securities Incorporated
99.2 Computational Materials - Credit Suisse First Boston Corporation
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrants have duly caused this report to be signed on their behalf by the
undersigned hereunto duly authorized.
VANDERBILT MORTGAGE AND FINANCE, INC.
By: /s/ David R. Jordan
----------------------
Name: David R. Jordan
Title: Vice President
CLAYTON HOMES, INC.
By: /s/ Joseph H. Stegmayer
------------------------------
Name: Joseph H. Stegmayer
Title: President
Dated: May 20, 1997
Exhibit Index
-------------
Exhibit Page
- ------- ----
99.1 Computational Materials, Prudential Securities Incorporated
99.2 Computational Materials, Credit Suisse First Boston Corporation
******************** PRELIMINARY INFORMATION ONLY **************************
Marketing Memorandum for
Vanderbilt Mortgage and Finance, Inc.,
Manufactured Housing Contract, Senior/Subordinate
Pass-Through Certificates, Series 1997B
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROUP I CERTIFICATES:
<S> <C> <C>
$ [ 47,400,000.00] Class IA-1 Fixed Rate Certificates - [TBD%]
$ [ 40,900,000.00] Class IA-2 Fixed Rate Certificates - [TBD%]
$ [ 29,200,000.00] Class IA-3 Fixed Rate Certificates - [TBD%]
$ [ 16,400,000.00] Class IA-4 Fixed Rate Certificates - [TBD%]
$ [ 26,299,000.00] Class IA-5 Fixed Rate Certificates - [TBD%]
$ [ 15,535,000.00] Class IA-6 Fixed Rate Certificates - [TBD%]
$ [ 10,681,000.00] Class IB-1 Fixed Rate Certificates - [TBD%]
$ [ 7,768,000.00] Class IB-2 Fixed Rate Certificates - [TBD%]
GROUP II CERTIFICATES:
$ [ 80,700,000] Class IIA-1 Adjustable Rate Certificates - [1M LIBOR + __ bps]
$ [ 13,095,000] Class IIB-1 Adjustable Rate Certificates - [1M LIBOR + __ bps]
$ [ 5,612,000] Class IIB-2 Adjustable Rate Certificates - [1M LIBOR + __ bps]
$ [ 7,483,000] Class 11B-3 Adjustable Rate Certificates - [1M LIBOR + __ bps]
</TABLE>
-------------------------------------------------------------------------------
The information provided herein is provided solely by Prudential Securities
Incorporated ("PSI") as underwriter for the Vanderbilt Mortgage and
Finance, Series 1997B transaction, and not by or as agent for
Vanderbilt Mortgage and Finance, Inc. or any of its affiliates
(the "Sponsor"). The Sponsor has not prepared, reviewed or participated in
the preparation hereof, is not responsible for the accuracy hereof and has
not authorized the dissemination hereof. The analysis in this report is
accurate to the best of PSI's knowledge and is based on information provided
by the Sponsor. PSI makes no representations as to the accuracy of
such information provided to it by the Sponsor. All assumptions and
information in this report reflect PSI's judgment as of this date and
are subject to change. All analyses are based on certain assumptions noted
herein and different assumptions could yield substantially different results.
You are cautioned that there is no universally accepted method for analyzing
financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as
to the liquidity of the instruments involved in this analysis. The decision
to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon
referred to here, and may, as principal or agent, buy or sell such
securities, commodities or derivative instruments. In addition, PSI may
make a market in the securities referred to herein. Neither the
information nor the assumptions reflected herein shall be construed to be,
or constitute, an offer to sell or buy or a solicitation of an offer to
sell or buy any securities, commodities or derivative instruments mentioned
herein. No sale of any securities, commodities or derivative instruments
should be consumated without the purchaser first having received a prospectus
and, if required, prospectus supplement. Finally, PSI has not addressed the
legal, accounting and tax implications of the analysis with respect to you,
and PSI strongly urges you to seek advice from your counsel, accountant and
tax advisor. The Certificates are being offered pursuant to a Prospectus
which includes a Prospectus Supplement (together, the "Prospectus"). The
information contained herein will be superseded by the final Prospectus.
******************** PRELIMINARY INFORMATION ONLY **************************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
Title of Securities: VMF 1997-B, Class IA-1, Class IA-2, Class IA-3,
Class IA-4, Class IA-5, Class IA-6, Class IB-1 and
Class IB-2 Fixed Rate Group Certificates
and Class IIA-1,Class IIB-1, Class IIB-2 and
Class IIB-3 Adjustable Rate Group Certificates
Seller: Vanderbilt Mortgage and Finance, Inc.
Servicer: Vanderbilt Mortgage and Finance, Inc.
Trustee: The Chase Manhattan Bank
CREDIT ENHANCEMENT
------------------
1) Excess interest
2) Over-Collateralization
3) Cross-Collateralization
4) Subordination
Excess Interest: Excess interest cashflows from each group will be
available as credit enhancement for the related group.
Overcollateralization: The credit enhancement provisions of the Trust are
intended to provide for the limited acceleration of
the senior Certificates relative to the amortization
of the related collateral, generally in the
early months of the transaction. Accelerated
amortization is achieved by applying excess servicing
and the servicing fee (while VMF is the servicer)
collected on the collateral to the payment of
principal on the Senior Certificates, resulting in
the build up of overcollateralization ("O/C"). By
paying down the principal balance of the certificates
faster than the principal amortization of the
respective collateral pool, an O/C amount equal to the
excess of the aggregate principal balance of the
collateral pool over the principal balance of the
related Certificates is created. Excess cashflow will
be directed to build the O/C amount until the pool
reaches its required O/C target. Upon this event the
acceleration feature will cease, unless it is once
again necessary to maintain the required O/C level.
FIXED RATE CERTIFICATES
NA
ADJUSTABLE RATE CERTIFICATES
Initial Deposit: [0.00%] Target: [4.25%]
These O/C percentages are subject to step-downs
beginning in month [61] if the Subordinate Class
Principal distribution tests are met.
Cross-
Collateralization: Excess spread from each of the two collateral groups,
if not needed to credit enhance its own group will be
available to credit enhance the other group.
<TABLE>
<CAPTION>
Subordination: GROUP I (Fixed) GROUP II (Adjustable)
<S> <C> <C> <C> ------- --------
Class IA-1 - IA-5 + IIA-1 (Aaa) [17.50]% [24.50]%
Class IA-6 + IIB-1 (Aa3) [ 9.50]% [12.25]%
Class IB-1 + IIB-2 (Baa2) [ 4.00]% [ 7.00]%
Class IB-2 + IIB-3 (Baa2)
Class Sizes: GROUP I GROUP II
------- --------
Class IA-1 - IA-5 + IIA-1 (Aaa) [82.50]% [75.50]%
Class IA-6 + IIB-1 (Aa3) [ 8.00]% [12.25]
Class IB-1 + IIB-2 (Baa2) [ 5.50]% [ 5.25]%
Class 1B-2 + IIB-3 (Baa2) [ 4.00]% [ 7.00]%
O/C NA [0 to 4.25]%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID
NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Fixed-Rate Group
Class Class Class Class Class Class Class Class
I A-1 I A-2 I A-3 I A-4 I A-5 I A-6 I B-1 I B-2
<S> <C> <C> <C> <C> <C>
Amount(000): 47,400 40,900 29,200 16,400 26,299 15,535 10,681 7,768
Coupon: [<----------------------------------------TBD------------------------------------------>]
1ML+ [TBD] bps
Approx. Price: [<----------------------------------------TBD------------------------------------------>]
Yield(%): N/A [<-----------------------------TBD------------------------------------------>]
Spread: [<----------------------------------------TBD------------------------------------------>]
Avg Life: [1.05] [3.05] [5.05] [7.04] [10.03] [15.12] [6.999] [16.58]
Avg Life [1.05] [3.05] [5.05] [7.04] [10.01] [12.19] [6.999] [11.59]
To Call:
1st Prin Pymt: [06/07/97 07/07/99 07/07/01 08/07/03 05/07/05 02/07/10 06/07/02 12/07/06]
Exp Mat: [07/07/99 07/07/01 08/07/03 05/07/05 02/07/10 02/07/16 12/07/06 10/07/26]
To 10% Call: [07/07/99 07/07/01 08/07/03 05/07/05 08/07/09 08/07/09 12/07/06 08/07/09]
Stated Mat: [<----------------------------------------TBD--------------------------------------------->]
Expected
Settlement: [<----------------------------------------[05/28/97] ------------------------------------->]
Pymt Delay: 0 days [<-------------------------------6 days -------------------------------------->]
Interest Pmt Act/360 30/360 30/360 30/360 30/360 30/360 30/360 30/360
Basis:
Dated Date: [05/28/97] [<----------------------------[05/01/97]------------------------------------->]
Ratings: Aaa Aaa Aaa Aaa Aaa Aa3 Baa2 Baa2
(Moody's)
</TABLE>
Pricing Date: [TBD]
Prepayment Speed: 185% MHP
Total Group Size: [$194,183,000]
Class IA-1 Pass
Through Rate: The Class I A-1 Pass Through Rate will equal the
lesser of i) One Month LIBOR plus [TBD%] and ii)
the weighted average gross coupon of the contracts
less the [1.25%] servicing fee.
Corporate Guarantee: The Class I B-2 Certificateholders will have the
benefit of a limited guarantee of Clayton Homes,
Inc.("CHI") to protect against losses that would
otherwise be absorbed by the Class I B-2
Certificateholders.
Servicing Fee: For as long as Vanderbilt is the servicer, the servicing fee
of [1.25]% per annum is subordinate to the Offered
Certificates on a monthly basis.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
Cashflow Priority:
PRICING
BASE CASE CLASS I B DISTRIBUTION TEST IS MET:
1) Current interest and any previously unreimbursed
interest to Classes I A-1 - I A-5;
2) Senior percentage of principal payments
sequentially to Classes I A-1, I A-2, I A-3,
I A-4, and I A-5 until such class is reduced to
zero;
3) Current interest and any previously unreimbursed
interest to Class I A-6 Certificates;
4) Senior percentage of principal payments to
Class I A-6 until such class is reduced to zero;
5) Current interest and any previously unreimbursed
interest to Class I B-1 Certificates;
6) Class I B percentage of principal payments to
Class I B-1 until such class is reduced to zero;
7) Current interest and any previously unreimbursed
interest to Class I B-2 Certificates;
8) Class I B percentage of principal payments to
Class I B-2 until such class is reduced to zero;
9) Excess cashflow to fund any Available Funds
shortfall with respect to the Group II
Certificates except the Net Funds Cap Carryover
Amount;
10) Excess cashflow to the Class II A-1 to build O/C
for the Group II Certificates.
11) As long as Vanderbilt is the Servicer, any
remainder up to the amount equal to 1/12th
of the product of 1.25% and the pool
scheduled principal balance to the Servicer;
12) Any remainder to Clayton Homes for any
unreimbursed guaranteed payments with respect
to Class I B-2;
13) Any remainder to the Class R Certificates.
__________________________________________________
| | | | | | |
|I A-1|I A-2| I A-3 | I A-4 | I A-5 | I A-6 |
| | | | | | |
|_____|_____|__________|________|_______|________|
|///////////////////| | |
|///////////////////| I B-1 | I B-2 |
|///////////////////| | |
--------------------------------------------------
5 yrs
CLASS I B DISTRIBUTION TEST IS NOT MET:
1) Current interest and any previously unreimbursed
interest to Classes I A-1 - I A-5 Certificates;
2) 100% of principal payments sequentially to Classes
I A-1, I A-2, I A-3, I A-4, and I A-5 until such
class is reduced to zero;
3) Current interest and any previously unreimbursed
interest to Clas I A-6 Certificates;
4) 100% of principal payments to Class I A-6 until
such Class is reduced to zero;
5) Current interest and any previously unreimbursed
interest to Class I B-1 Certificates;
6) 100% of principal payments to Class I B-1 until
such Class is reduced to zero;
7) Current interest and any previously unreimbursed
interest to Class I B-2 Certificates;
8) 100% of principal payments to Class I B-2 until
such Class is reduced to zero;
9) Excess cashflow to fund any Available Funds
shortfall with respect to the Group II
Certificates except the Net Funds Cap Carryover
Amount;
10) Excess cashflow to the Class II A-1 to build O/C
for the Group II Certificates.
11) So long as Vanderbilt is the Servicer, any remainder
up to the amount equal to 1/12th of the product of
1.25% and the pool scheduled principal balance to
the Servicer;
12) Any remainder to Clayton Homes for any unreimbursed
guaranteed payments with respect to Class I B-2;
13) Any remainder to the Class R Certificates.
_________________________________________________________________
| | | | | | | | |
| | | | | | | | |
| I A-1 | I A-2 | I A-3 | I A-4 | I A-5 | I A-6 | I B-1 | I B-2 |
| | | | | | | | |
|_______|_______|_______|_______|_______|_______|_______|_______|
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
Class I B Distribution
Test: The Class I B Distribution Test is met if:
1) Remittance Date is on or after May 2002
2) Class I B Percentage is at least [TBD] %
(which is 1.75 times the original Class B
Percentage)
3) Cumulative Realized Losses do not exceed 7% for
year 2001, 8% for year 2002, and 9% for year
2003 and beyond of the Original Principal Balance
of the Contracts
4) Current Realized Loss Ratio does not exceed 2.75%
5) Average 60 Day Delinquency Ratio does not exceed 5%
6) Average 30 Day Delinquency Ratio does not exceed 7%
7) Class I B-2 Principal Balance must not be less
than [$3,883,661] (which represents
approximately 2% of the Total Original Group I
Pool Principal Balance).
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Adjustable-Rate Certificates
Class Class Class Class
II A-1 II B-1 II B-2 II B-3
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Amount(000): [80,700 13,095 5,612 7,483 ]
Coupon: [<--------------------------TBD--------------------------->]
1ML+ [TBD] 1ML+ [TBD] 1ML+ [TBD] 1ML+ [TBD]
Approx. Price: 100-00 100-00 100-00 100-00
Spread: [<--------------------------TBD--------------------------->]
Avg Life: [3.59] [6.58] [9.40] [12.65]
To Call: [3.54] [6.58] [9.40] [11.85]
1st Prin Pymt: [06/07/97 07/07/02 10/07/05 01/07/08]
Exp Mat: [11/07/11 10/07/05 01/07/08 07/07/12]
To 10% Call: [08/07/09 10/07/05 01/07/08 08/07/09]
Stated Mat: [<--------------------------TBD--------------------------->]
Expected
Settlement: [<------------------------5/28/97------------------------->]
Pymt Delay: 0 Days 0 Days 0 Days 0 Days
Dated Date: [5/28/97] [5/28/97] [5/28/97] [5/28/97]
Rating: Aaa Aa3 Baa2 Baa2
(Moody's)
- -------------------------------------------------------------------------------------
Collateral:
Pricing Date: [TBD]
Prepayment Speed: 200% MHP
Group II Pass
Through Rate: The Group II Pass Through Rate will equal the lesser
of i) One Month LIBOR plus [TBD%] and ii) the Net
Funds Cap as described herein.
Coupon Step up: If the 10% Clean-Up Call is not exercised, the coupon
on the Class Adjustable Rate Certificates :
IIA-1 - shall increase by [2x] the respective margins
IIB-1 - shall increase by an additional [50 BP]
IIB-2 - shall increase by an additional [50 BP]
IIB-3 - shall increase by an additional [50 BP]
Net Funds Cap: The difference between the a) collateral WAC and b) the
the sum of i) [0.50]% (spread cushion) and ii) if the
Company is no longer the Servicer, [1.25]%.
Net Funds Cap
Carryover: If on any Payment Date the Group II Certificate
interest distribution amount is less than the Group
II Pass-Through Rate (which is subject to a
maximum equal to the Weighted Average Life Cap of
the collateral), the amount of such shortfall and
the aggregate of such shortfalls from previous
payment dates together with accrued interest at
the Pass-Through Rate will be carried forward to
the next Payment Date until paid. No interest
carryforward will be paid once the Class II
B-2 Certificate principal balance has been
reduced to zero.
Corporate Guarantee: The Class II B-3 Certificateholders will have the
benefit of a limited guarantee of Clayton Homes,
Inc.("CHI") to protect against losses that would
otherwise be absorbed by the Class II B-3
Certificateholders.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
Cashflow Priority:
PRICING
BASE CASE CLASS II B DISTRIBUTION TEST IS MET:
1) Current interest and any previously unreimbursed
interest to Class II A-1 Certificates
(subject to the Net Funds Cap);
2) Senior percentage of principal payments
to Class II A-1 until such class is reduced to zero;
3) Current interest and any previously unreimbursed
interest to Class II B-1 Certificates;
4) Class II B percentage of principal payments to
Class II B-1 until such class is reduced to zero;
5) Current interest and any previously unreimbursed
interest to Class II B-2 Certificates;
6) Class II B percentage of principal payments to
Class II B-2 until such class is reduced to zero;
7) Current interest and any previously unreimbursed
interest to Class II B-3 Certificates;
8) Class II B percentage of principal payments to
Class II B-3 until such class is reduced to zero;
9) Excess cashflow to fund any Available Funds shortfall
with respect to the Group I Certificates except
the Net Funds Cap Carryover Amount;
10) Excess cashflow to the Class II A-1 to build O/C.
11) So long as Vanderbilt is the Servicer, any remainder
up to the amount equal to 1/12th of the product of
1.25% and the pool scheduled principal balance to
the Servicer;
12) Any remainder to Clayton Homes for any
unreimbursed guaranteed payments with respect to
Class II B-3;
13) Any remainder to the Class R Certificates.
______________________________________________________
| |
| II A-1 |
| |
|_____________________________________________________|
|/////////////| | | |
|/////////////| | | |
|/////////////| II B-1 | II B-2 | II B-3 |
|/////////////|________________|____________|_________|
5 yrs
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
************************ PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
CLASS B DISTRIBUTION TEST IS NOT MET:
1) Current interest and any previously unreimbursed
interest to Classes II A-1 Certificates;
2) 100% of principal payments sequentially to Class
II A-1 until such class is reduced to zero;
3) Current interest and any previously unreimbursed
interest to Class II B-1 Certificates;
4) 100% of principal payments to Class II B-1
until such Class is reduced to zero;
5) Current interest and any previously unreimbursed
interest to Class II B-2 Certificates;
6) 100% of principal payments to Class II B-2
until such Class is reduced to zero;
7) Excess cashflow to fund any Available Funds
shortfall with respect to the Group I
Certificates except the Net Funds Cap Carryover
Amount;
8) Excess cashflow to the Class II A-1 to build O/C.
9) So long as Vanderbilt is the Servicer, any
remainder up to the amount equal to 1/12th of the
product of 1.25% and the pool scheduled principal
balance to the Servicer;
10) Any remainder to Clayton Homes for any
unreimbursed guaranteed payments with respect to
Class II B-3;
11) Any remainder to the Class R Certificates.
_________________________________________________________________
| | | | |
| | | | |
| II A-1 | II B-1| II B-2| II B-3|
| | | | |
|_______________________________________|_______|_______|_______|
Class II B Distribution
Test: The Class II B Distribution Test is met if
1) Remittance Date is on or after May 2002
2) Class II B Percentage + O/C is at least 50%
(which is 2.00 times the original Class I B
Percentage + O/C + 1.0%)
3) Cumulative Realized Losses do not exceed 7% for
year 2001, 8% for year 2002, and 9%
for year 2003 and beyond of the Original
Principal Balance of the Contracts 4) Current
Realized Loss Ratio does not exceed 2.75%
5) Average 60 Day Delinquency Ratio does not exceed 5%
6) Average 30 Day Delinquency Ratio does not exceed 7%
7) Sum of Class I B-2 Principal Balance + O/C must
not be less than [$ 2,137.802] (which
represents approximately 2% of the Total
Original Group II Pool Principal Balance).
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
********************** PRELIMINARY INFORMATION ONLY **********************
Vanderbilt Mortgage and Finance, Inc., Series 1997B
Preliminary Marketing Memo
Cleanup Call: The Servicer may call the Certificates at par plus
accrued interest after the remaining pool balance
of the Certificates is less than 10% of its original
balance.
Payment Date: The 7th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning in June, 1997.
Interest Accrual: Interest will accrue from the 1st day of the preceding
month until the 30th day of the preceding month for
the Class I A-2, I A-3, I A-4, I A-5, I A-6, I B-1
and I B-2 certificates. For the Class I A-1
certificates and the Group II Certificates,
interest will accrue from the 7th day of the
preceeding month until the 6th day of the current
month. For the first payment date, interest
will accrue from the closing date to the first
Payment Date for the class I A-1 certificates and
the Group II Certificates. For the Class I A-1
certificates, and the Group II Certificates,
interest is calculated using an actual/360 day
count. For the remainder of the certificate classes,
interest is calculated using a 30/360 day count.
ERISA Considerations: The Class I A-1, I A-2, I A-3, I A-4, and I A-5
Certificates and the Class II A-1 will be ERISA
eligible. The Class I A-6 I B-1 and I B-2
Certificates and the Class II B-1, II B-2,
and II B-3 are not ERISA eligible. However,
investors should consult with their counsel with
respect to the consequences under ERISA and the
Code of the Plan's acquisition and ownership of
such Certificates.
SMMEA Considerations: The Class II A-1 and II B-1 Certificates will
constitute "mortgage related securities" under the
Secondary Mortgage Market Enhancement Act of 1984
"SMMEA".
Group I Group II
Type of Collateral: FIXED ARM
Number: [ 6,268 2,779 ]
Amount: [ $ 194,183,037 $ 106,890,116 ]
Avg Unpaid Balance [ $ 30,980 $ 28,285 ]
Max Orig Balance [ $ 239,926 $ 101,956 ]
WAC: [ 11.015% 10.419% ]
WAC Range: [ 7.76% - 21.00% 7.990% - 15.50% ]
WAM: [ 217 179 ]
WA Orig Term: [ 222 186 ]
WALTV: [ 88.8% 86.9% ]
New: [ 72.0% 75.2% ]
Used: [ 28.0% 24.8% ]
Park: [ 25.0% 67.2% ]
Non-Park: [ 75.0% 32.8% ]
Single Wide: [ 47.6% 56.7% ]
Double Wide: [ 52.4% 43.3% ]
Prospectus: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus")Complete information
with respect to the Certificates and the Collateral
is contained in the Prospectus. The foregoing is
qualified in its entirety by the information
appearing in the Prospectus. To the extent that
the foregoing is inconsistent with the Prospectus,
the Prospectus shall govern in all respects. Sales
of the Certificates may not be consumated unless the
purchaser has received the Prospectus.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $47,400,000.00 DATED DATE: 05/28/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $47,400,000.00 YIELD TABLE DATE: 05/28/97
BOND IA1 DISCOUNT MARGIN ACT/360 TABLE
ASSUMED CONSTANT LIBOR-1M 5.6875
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 0.025 0.025 0.025 0.025 0.025 0.025
Average Life 1.049 1.365 1.213 1.049 0.992 0.838
Last Payment 2.108 2.692 2.358 2.108 1.942 1.692
Mod.Dur. @ 100-00 0.981 1.261 1.127 0.981 0.929 0.790
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no
assurance that such information will not change prior to final pricing. Any
formal offer or solicitation will be made by a prospectus (or offering
memorandum) to be accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $40,900,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $40,900,000.00 YIELD TABLE DATE: 05/28/97
BOND IA2 PRICE-YIELD TABLE
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 2.108 2.692 2.358 2.108 1.942 1.692
Average Life 3.048 3.935 3.513 3.048 2.881 2.436
Last Payment 4.108 5.275 4.692 4.108 3.858 3.275
Mod.Dur. @ 100-00 2.655 3.330 3.014 2.655 2.525 2.167
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no
assurance that such information will not change prior to final pricing. Any
formal offer or solicitation will be made by a prospectus (or offering
memorandum) to be accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $29,200,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $29,200,000.00 YIELD TABLE DATE: 05/28/97
BOND IA3 PRICE-YIELD TABLE
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 4.108 5.275 4.692 4.108 3.858 3.275
Average Life 5.046 6.624 5.875 5.046 4.755 4.007
Last Payment 6.192 8.108 7.192 6.192 5.858 4.775
Mod.Dur. @ 100-00 4.104 5.118 4.649 4.104 3.905 3.374
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no
assurance that such information will not change prior to final pricing. Any
formal offer or solicitation will be made by a prospectus (or offering
memorandum) to be accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $16,400,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $16,400,000.00 YIELD TABLE DATE: 05/28/97
BOND IA4 PRICE-YIELD TABLE
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 6.192 8.108 7.192 6.192 5.858 4.775
Average Life 7.044 9.078 8.153 7.044 6.630 5.450
Last Payment 7.942 10.192 9.192 7.942 7.525 6.192
Mod.Dur. @ 100-00 5.342 6.450 5.966 5.342 5.096 4.355
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no
assurance that such information will not change prior to final pricing. Any
formal offer or solicitation will be made by a prospectus (or offering
memorandum) to be accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $26,299,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $26,299,000.00 YIELD TABLE DATE: 05/28/97
BOND IA5 PRICE-YIELD TABLE
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 7.942 10.192 9.192 7.942 7.525 6.192
Average Life 10.006 12.337 11.321 10.012 9.500 7.983
Last Payment 12.192 14.108 13.358 12.275 11.858 10.358
Mod.Dur. @ 100-00 6.815 7.816 7.399 6.817 6.575 5.804
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $15,535,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $15,535,000.00 YIELD TABLE DATE: 05/28/97
BOND IA6 PRICE-YIELD TABLE
****** TO 10 % CALL ******
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 12.192 14.108 13.358 12.275 11.858 10.358
Average Life 12.192 14.108 13.358 12.275 11.858 10.441
Last Payment 12.192 14.108 13.358 12.275 11.858 10.442
Mod.Dur. @ 100-00 7.678 8.365 8.108 7.710 7.548 6.958
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $10,681,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $10,681,000.00 YIELD TABLE DATE: 05/28/97
BOND IB1 PRICE-YIELD TABLE
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 5.025 5.025 5.025 5.025 5.025 5.025
Average Life 6.999 7.518 7.276 6.999 6.897 6.614
Last Payment 9.525 10.692 10.192 9.525 9.358 8.692
Mod.Dur. @ 100-00 5.209 5.482 5.356 5.209 5.154 4.998
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $7,768,000.00 DATED DATE: 05/01/97
COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $7,768,000.00 YIELD TABLE DATE: 05/28/97
BOND IB2 PRICE-YIELD TABLE
****** TO 10 % CALL ******
PREPAYMENT SPEED
PRICING SPEED
185.0% 125.00% 150.00% 185.00% 200.00% 250.00%
MHP MHP MHP MHP MHP MHP
First Payment 9.525 10.692 10.192 9.525 9.358 8.692
Average Life 11.589 13.222 12.552 11.636 11.283 10.125
Last Payment 12.192 14.108 13.358 12.275 11.858 10.442
Mod.Dur. @ 100-00 7.217 7.788 7.562 7.234 7.101 6.638
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $80,700,000.00 DATED DATE: 05/28/97
CURRENT COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $80,700,000.00 YIELD TABLE DATE: 05/28/97
BOND IIA1 DISCOUNT MARGIN ACT/360 TABLE
****** TO 10 % CALL ******
ASSUMED CONSTANT LIBOR-1M 5.6875
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250%
GP II 150% GP II 175% GP II 200% GP II 225% GP II 250%
MHP MHP MHP MHP MHP
First Payment 0.025 0.025 0.025 0.025 0.025
Average Life 4.393 3.948 3.544 3.199 2.868
Last Payment 13.942 13.192 12.192 11.608 10.442
Mod.Dur. @ 100-00 3.457 3.163 2.893 2.655 2.426
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $13,095,000.00 DATED DATE: 05/28/97
CURRENT COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $13,095,000.00 YIELD TABLE DATE: 05/28/97
BOND IIB1 DISCOUNT MARGIN ACT/360 TABLE
ASSUMED CONSTANT LIBOR-1M 5.6875
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250%
GP II 150% GP II 175% GP II 200% GP II 225% GP II 250%
MHP MHP MHP MHP MHP
First Payment 5.025 5.025 5.108 5.108 5.108
Average Life 6.741 6.663 6.577 6.484 6.430
Last Payment 8.775 8.608 8.358 8.108 7.942
Mod.Dur. @ 100-00 5.337 5.291 5.238 5.180 5.147
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $5,612,000.00 DATED DATE: 05/28/97
CURRENT COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $5,612,000.00 YIELD TABLE DATE: 05/28/97
BOND IIB2 DISCOUNT MARGIN ACT/360 TABLE
ASSUMED CONSTANT LIBOR-1M 5.6875
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250%
GP II 150% GP II 175% GP II 200% GP II 225% GP II 250%
MHP MHP MHP MHP MHP
First Payment 8.775 8.608 8.358 8.108 7.942
Average Life 9.959 9.677 9.404 9.141 8.925
Last Payment 11.192 10.858 10.608 10.275 10.025
Mod.Dur. @ 100-00 7.050 6.908 6.768 6.631 6.517
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no assurance
that such information will not change prior to final pricing. Any formal offer
or solicitation will be made by a prospectus (or offering memorandum) to be
accompanied or followed by a written confirmation.
Vanderbilt Mortgage and Finance, Inc., Series 1997B
********** PRELIMINARY MARKETING INFORMATION **********
CURRENT BALANCE: $7,483,000.00 DATED DATE: 05/28/97
CURRENT COUPON: TBD VMF7B FIRST PAYMENT: 06/07/97
FACTOR: 1.0000000000 TOTAL CLASSES: 12
ORIGINAL BALANCE: $7,483,000.00 YIELD TABLE DATE: 05/28/97
BOND IIB3 DISCOUNT MARGIN ACT/360 TABLE
ASSUMED CONSTANT LIBOR-1M 5.6875
****** TO 10 % CALL ******
* Pricing Speed
GP I 125% GP I 150% GP I 185% GP I 200% GP I 250%
GP II 150% GP II 175% GP II 200% GP II 225% GP II 250%
MHP MHP MHP MHP MHP
First Payment 11.192 10.858 10.608 10.275 10.025
Average Life 12.964 12.506 11.850 11.367 10.414
Last Payment 13.942 13.192 12.192 11.608 10.442
Mod.Dur. @ 100-00 8.329 8.146 7.874 7.663 7.226
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The preliminary pricing information contained herein is neither an offer to
sell nor a solicitation to buy any securities. Moreover, there is no
assurance that such information will not change prior to final pricing. Any
formal offer or solicitation will be made by a prospectus (or offering
memorandum) to be accompanied or followed by a written confirmation.
___________________________________________________________________________
- TOTAL FIXED POOL
- Cut Off Date of Tape is 04/25/97
- FIXED
- $194,183,037.86
- Mortgage Summary Report
___________________________________________________________________________
Number of Mortgage Loans: 6,268
Aggregate Unpaid Principal Balance: $194,183,037.86
Aggregate Original Principal Balance: $196,482,982.55
Weighted Average Gross Coupon: 11.015%
Gross Coupon Range: 7.760% - 21.000%
________________________________________________________________________________
Average Unpaid Principal Balance: $30,980.06
Average Original Principal Balance: $31,347.00
Maximum Unpaid Principal Balance: $239,469.25
Minimum Unpaid Principal Balance: $3,034.38
Maximum Original Principal Balance: $239,926.91
Minimum Original Principal Balance: $3,069.04
Weighted Avg. Stated Rem. Term (PTD to Mat Date): 217.325
Stated Rem Term Range: 48.000 - 367.000
Weighted Average Age (First Pay thru Paid Thru Date): 4.324
Age Range: 0.000 - 126.000
Weighted Average Original Term: 221.648
Original Term Range: 48.000 - 374.000
Weighted Average Original LTV: 88.756
Original LTV Range: 2.392% - 111.007%
Weighted Average Current LTV: 87.845
Current LTV Range: 2.391% - 110.839%
___________________________________________________________________________
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
GROSS COUPON
_______________________________________________________________
Gross Current
Coupon # Loans % Pool Balance
7.75% < Gross Coupon <= 8.00% 37 1.07 $2,077,484
8.00% < Gross Coupon <= 8.25% 26 .86 $1,677,450
8.25% < Gross Coupon <= 8.50% 75 1.93 $3,751,333
8.50% < Gross Coupon <= 8.75% 59 1.66 $3,231,866
8.75% < Gross Coupon <= 9.00% 216 5.20 $10,087,818
9.00% < Gross Coupon <= 9.25% 118 2.97 $5,766,914
9.25% < Gross Coupon <= 9.50% 111 2.34 $4,547,649
9.50% < Gross Coupon <= 9.75% 164 3.81 $7,394,918
9.75% < Gross Coupon <= 10.00% 459 8.35 $16,214,762
10.00% < Gross Coupon <= 10.25% 296 5.56 $10,795,547
10.25% < Gross Coupon <= 10.50% 595 9.11 $17,680,503
10.50% < Gross Coupon <= 10.75% 401 6.65 $12,908,792
10.75% < Gross Coupon <= 11.00% 465 6.80 $13,210,110
11.00% < Gross Coupon <= 11.25% 426 7.85 $15,237,435
11.25% < Gross Coupon <= 11.50% 284 4.65 $9,032,601
11.50% < Gross Coupon <= 11.75% 434 6.51 $12,633,604
11.75% < Gross Coupon <= 12.00% 252 3.83 $7,445,193
12.00% < Gross Coupon <= 12.25% 190 2.58 $5,002,285
12.25% < Gross Coupon <= 12.50% 381 5.17 $10,045,514
12.50% < Gross Coupon <= 12.75% 119 1.65 $3,205,499
12.75% < Gross Coupon <= 13.00% 352 3.74 $7,253,986
13.00% < Gross Coupon <= 13.25% 122 1.17 $2,264,687
13.25% < Gross Coupon <= 13.50% 164 1.46 $2,841,812
13.50% < Gross Coupon <= 13.75% 88 .95 $1,843,059
13.75% < Gross Coupon <= 14.00% 107 1.13 $2,196,759
14.00% < Gross Coupon <= 14.25% 85 .74 $1,429,752
14.25% < Gross Coupon <= 14.50% 50 .41 $789,971
14.50% < Gross Coupon <= 14.75% 41 .36 $692,166
14.75% < Gross Coupon <= 15.00% 52 .50 $974,183
15.00% < Gross Coupon <= 15.25% 14 .13 $258,053
15.25% < Gross Coupon <= 15.50% 26 .34 $658,647
15.50% < Gross Coupon <= 15.75% 2 .02 $45,719
15.75% < Gross Coupon <= 16.00% 26 .23 $439,816
16.25% < Gross Coupon <= 16.50% 1 .02 $30,931
16.50% < Gross Coupon <= 16.75% 2 .02 $32,183
17.75% < Gross Coupon <= 18.00% 26 .23 $451,065
18.25% < Gross Coupon <= 18.50% 1 .01 $23,381
20.75% < Gross Coupon <= 21.00% 1 .00 $9,589
_______________________________________________________________
Total..... 6,268 100.00% $194,183,038
===============================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
ORIGINAL CONTRACT BALANCES
______________________________________________________________
Total
# of Current
Original Loan Amount Contracts % Pool Balance
Balance <= 5,000 6 0.01 23,843
5,000 < Balance <= 10,000 165 0.69 1,345,325
10,000 < Balance <= 15,000 703 4.50 8,744,128
15,000 < Balance <= 20,000 891 7.73 15,004,826
20,000 < Balance <= 25,000 878 10.01 19,440,414
25,000 < Balance <= 30,000 893 12.45 24,169,921
30,000 < Balance <= 35,000 737 12.19 23,675,435
35,000 < Balance <= 40,000 518 9.92 19,267,494
40,000 < Balance <= 45,000 362 7.86 15,263,792
45,000 < Balance <= 50,000 326 7.91 15,365,934
50,000 < Balance <= 55,000 233 6.25 12,136,343
55,000 < Balance <= 60,000 157 4.63 8,981,693
60,000 < Balance <= 65,000 109 3.49 6,776,367
65,000 < Balance <= 70,000 92 3.18 6,176,849
70,000 < Balance <= 75,000 56 2.09 4,049,832
75,000 < Balance <= 80,000 35 1.39 2,695,905
80,000 < Balance <= 85,000 33 1.40 2,725,969
85,000 < Balance <= 90,000 13 0.58 1,132,968
90,000 < Balance <= 95,000 14 0.66 1,279,632
95,000 < Balance <= 100,000 4 0.20 388,199
100,000 < Balance <= 105,000 7 0.37 710,989
105,000 < Balance <= 110,000 6 0.33 648,056
110,000 < Balance <= 115,000 4 0.23 448,717
115,000 < Balance <= 120,000 5 0.30 581,482
120,000 < Balance <= 125,000 3 0.19 366,246
125,000 < Balance <= 130,000 5 0.33 638,121
130,000 < Balance <= 135,000 1 0.07 134,040
Balance > 135,000 12 1.04 2,010,517
_________________________________________________________________
Total... 6,268 100.00% $194,183,038
==============================================================
YEAR OF ORIGINATION
___________________________________________________
Year of # of % of Current
Origination Loans Pool Balance
1986 4 .02 $34,813
1987 12 .06 $111,055
1988 10 .06 $115,494
1989 9 .06 $106,838
1990 35 .23 $438,046
1991 14 .09 $170,670
1993 36 .35 $675,078
1994 222 2.55 $4,946,694
1995 130 1.73 $3,360,165
1996 1,639 32.02 $62,173,991
1997 4,157 62.85 $122,050,193
___________________________________________________
Total... 6,268 100.00% $194,183,038
===================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
REMAINING TERM
___________________________________________________________
# of % of Current
Remaining Term Loans Pool Balance
36 < Rem Term <= 48 17 .08 $159,795
48 < Rem Term <= 60 213 1.28 $2,480,682
60 < Rem Term <= 72 116 .84 $1,638,925
72 < Rem Term <= 84 512 4.11 $7,977,353
84 < Rem Term <= 96 127 1.14 $2,204,160
96 < Rem Term <= 108 307 3.20 $6,217,064
108 < Rem Term <= 120 540 5.48 $10,639,828
120 < Rem Term <= 132 110 1.33 $2,583,488
132 < Rem Term <= 144 397 4.96 $9,634,730
144 < Rem Term <= 156 231 3.32 $6,444,582
156 < Rem Term <= 168 93 1.52 $2,952,769
168 < Rem Term <= 180 819 11.60 $22,527,502
180 < Rem Term <= 192 203 3.71 $7,199,466
192 < Rem Term <= 204 268 5.40 $10,488,813
204 < Rem Term <= 216 165 3.33 $6,461,986
216 < Rem Term <= 228 159 3.40 $6,610,757
228 < Rem Term <= 240 781 15.18 $29,474,376
240 < Rem Term <= 252 32 .95 $1,839,235
252 < Rem Term <= 264 14 .43 $841,189
264 < Rem Term <= 276 19 .44 $845,574
276 < Rem Term <= 288 69 1.22 $2,368,663
288 < Rem Term <= 300 602 12.56 $24,382,700
300 < Rem Term <= 312 8 .20 $397,712
312 < Rem Term <= 324 1 .03 $48,592
324 < Rem Term <= 336 2 .06 $119,400
336 < Rem Term <= 348 3 .08 $162,488
348 < Rem Term <= 360 452 13.87 $26,926,568
360 < Rem Term <= 372 8 .29 $554,641
___________________________________________________________
Total..... 6,268 100.00% $194,183,038
===========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
GEOGRAPHIC DISTRIBUTION
_________________________________________________________
Current
State # Loans % Pool Balance
Alaska 1 .06 $110,863
Alabama 111 1.32 $2,567,230
Arkansas 29 .47 $920,832
Arizona 112 2.09 $4,059,604
California 139 2.51 $4,881,125
Colorado 74 1.77 $3,440,112
Connecticut 2 .03 $59,433
Dist of Col 1 .01 $20,378
Delaware 23 .32 $626,201
Florida 164 2.33 $4,526,473
Georgia 358 6.26 $12,149,289
Iowa 15 .19 $360,480
Idaho 15 .44 $847,643
Illinois 20 .26 $513,789
Indiana 48 .55 $1,072,348
Kansas 2 .03 $66,365
Kentucky 333 4.35 $8,448,987
Louisiana 180 3.07 $5,953,115
Massachsetts 2 .03 $49,479
Maryland 7 .08 $152,018
Maine 2 .03 $58,736
Michigan 7 .13 $260,666
Minnesota 3 .07 $127,281
Missouri 62 .96 $1,871,137
Mississippi 245 4.28 $8,317,914
Montana 6 .11 $219,667
North Carolina 809 12.51 $24,286,275
North Dakota 2 .03 $62,920
Nebraska 3 .08 $158,411
New Hampshire 1 .01 $26,472
New Jersey 5 .13 $243,234
New Mexico 51 .85 $1,641,552
Nevada 25 .78 $1,514,654
New York 273 3.13 $6,086,166
Ohio 79 1.04 $2,022,342
Oklahoma 61 1.14 $2,222,681
Oregon 18 .64 $1,245,582
Pennsylvania 7 .06 $121,391
South Carolina 499 8.07 $15,680,206
South Dakota 3 .04 $70,154
Tennessee 807 11.45 $22,238,603
Texas 1,232 21.27 $41,311,214
Utah 12 .68 $1,313,549
Virginia 378 5.31 $10,305,146
Washington 24 .75 $1,454,514
Wisconsin 1 .01 $15,222
West Virgina 15 .22 $428,316
Wyoming 2 .03 $53,270
________________________________________________________
Total..... 6,268 100.00% $194,183,038
========================================================
LTV RANGE
____________________________________________________
LTV % Current
RANGE # Loans Pool Balance
0.000 < LTV <= 60.000 165 2.04 $3,967,969
60.000 < LTV <= 65.000 121 1.83 $3,558,409
65.000 < LTV <= 70.000 161 2.15 $4,181,472
70.000 < LTV <= 75.000 283 4.48 $8,695,196
75.000 < LTV <= 80.000 338 5.05 $9,804,757
80.000 < LTV <= 85.000 654 9.13 $17,726,763
85.000 < LTV <= 90.000 1,096 17.44 $33,858,664
90.000 < LTV <= 91.000 781 12.12 $23,532,656
91.000 < LTV <= 94.000 483 7.21 $13,994,148
94.000 < LTV <= 96.000 1,009 19.11 $37,106,432
96.000 < LTV <= 100.000 1,173 19.35 $37,568,002
100.000 < LTV <= 125.000 4 .10 $188,570
_______________________________________________________
Total..... 6,268 100.00% $194,183,038
=======================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
______________________________________________________________________________
- VANDERBILT
- Cut Off Date of Tape is 04/25/97
- ARM
- $106,890,116.38
______________________________________________________________________________
Number of Mortgage Loans: 3,779
Index: 1 YR CMT, 5 YR CMT, PRIME, 6 Mo.T-Bill
Aggregate Unpaid Principal Balance: $106,890,116.38
Aggregate Original Principal Balance: $110,652,249.48
______________________________________________________________________________
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
Weighted Average Coupon (Gross): 10.419%
Gross Coupon Range: 7.990% - 15.500%
Weighted Average Margin (Gross): 4.283%
Gross Margin Range: 1.650% - 9.300%
Weighted Average Life Cap (Gross): 16.298% * Excludes 213 capless loans
Gross Life Cap Range: 13.250% - 21.500%
Weighted Average Life Floor (Gross): 4.288%
Gross Life Floor Range: 1.650% - 9.300%
</TABLE>
______________________________________________________________________________
Average Unpaid Principal Balance: $28,285.29
Average Original Principal Balance: $29,280.83
Maximum Unpaid Principal Balance: $101,955.62
Minimum Unpaid Principal Balance: $4,438.56
Maximum Original Principal Balance: $101,955.62
Minimum Original Principal Balance: $4,438.56
Weighted Avg. Stated Rem. Term (PTD to Mat Date): 178.801
Stated Rem Term Range: 48.000 - 360.000
Weighted Avg. Amortized Rem. Term: 178.927
Amortized Rem Term Range: 33.315 - 429.915
Weighted Average Age (First Pay thru Paid Thru): 7.102
Age Range: 0.000 - 140.000
Weighted Average Original Term: 185.903
Original Term Range: 48.000 - 360.000
Weighted Average Original LTV: 86.894
Original LTV Range: 16.320% - 100.000%
Weighted Average Current LTV: 84.986
Current LTV Range: 9.442% - 100.000%
Weighted Average Combined LTV: 4.283
Combined LTV Range: 1.650% - 9.300%
Weighted Average Periodic Interest Cap: 1.510%
Periodic Interest Cap Range: 1.000% - 2.000%
Weighted Average Periodic Payment Cap: 0.000%
Periodic Payment Cap Range: 0.000% - 0.000%
Weighted Average Months to Interest Roll: 10.745
Months to Interest Roll Range: 4 - 14
Weighted Average Months to Payment Roll: 12.581
Months to Payment Roll Range: 1 - 149
Weighted Average Interest Roll Frequency: 11.388
Interest Frequency Range: 1 - 12
Weighted Average Payment Roll Frequency: 12.829
Payment Frequency Range: 12 - 149
______________________________________________________________________________
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
GROSS COUPON
__________________________________________________________________
Gross Current
Coupon # Loans % Pool Balance
7.75% < Gross Coupon <= 8.00% 2 .08 $87,633
8.00% < Gross Coupon <= 8.25% 13 .66 $701,943
8.25% < Gross Coupon <= 8.50% 8 .37 $394,476
8.50% < Gross Coupon <= 8.75% 44 1.75 $1,866,072
8.75% < Gross Coupon <= 9.00% 66 2.67 $2,850,481
9.00% < Gross Coupon <= 9.25% 299 11.22 $11,988,087
9.25% < Gross Coupon <= 9.50% 162 5.39 $5,763,337
9.50% < Gross Coupon <= 9.75% 427 13.14 $14,046,901
9.75% < Gross Coupon <= 10.00% 259 8.21 $8,777,201
10.00% < Gross Coupon <= 10.25% 346 9.08 $9,707,119
10.25% < Gross Coupon <= 10.50% 413 12.29 $13,142,090
10.50% < Gross Coupon <= 10.75% 200 5.01 $5,359,713
10.75% < Gross Coupon <= 11.00% 356 9.67 $10,336,244
11.00% < Gross Coupon <= 11.25% 168 3.10 $3,310,635
11.25% < Gross Coupon <= 11.50% 168 3.60 $3,844,409
11.50% < Gross Coupon <= 11.75% 205 3.28 $3,511,170
11.75% < Gross Coupon <= 12.00% 204 3.41 $3,643,062
12.00% < Gross Coupon <= 12.25% 96 1.49 $1,590,650
12.25% < Gross Coupon <= 12.50% 126 2.28 $2,441,379
12.50% < Gross Coupon <= 12.75% 47 .67 $718,880
12.75% < Gross Coupon <= 13.00% 70 1.11 $1,190,568
13.00% < Gross Coupon <= 13.25% 21 .30 $322,966
13.25% < Gross Coupon <= 13.50% 35 .51 $549,658
13.50% < Gross Coupon <= 13.75% 18 .27 $287,400
13.75% < Gross Coupon <= 14.00% 8 .16 $167,298
14.00% < Gross Coupon <= 14.25% 5 .09 $94,987
14.25% < Gross Coupon <= 14.50% 5 .07 $79,362
14.50% < Gross Coupon <= 14.75% 5 .06 $67,391
14.75% < Gross Coupon <= 15.00% 1 .01 $8,718
15.25% < Gross Coupon <= 15.50% 2 .04 $40,287
__________________________________________________________________
Total..... 3,779 100.00% $106,890,116
==================================================================
ORIGINAL CONTRACT BALANCES
________________________________________________________
Total
# of Current
Original Loan Amount Contracts Balance
Balance <= 5,000 2 9,157
5,000 < Balance <= 10,000 67 548,601
10,000 < Balance <= 15,000 308 3,597,214
15,000 < Balance <= 20,000 632 9,655,300
20,000 < Balance <= 25,000 624 13,172,063
25,000 < Balance <= 30,000 634 16,946,908
30,000 < Balance <= 35,000 488 15,641,948
35,000 < Balance <= 40,000 321 11,857,589
40,000 < Balance <= 45,000 233 9,796,702
45,000 < Balance <= 50,000 173 8,133,508
50,000 < Balance <= 55,000 107 5,548,725
55,000 < Balance <= 60,000 84 4,806,386
60,000 < Balance <= 65,000 47 2,925,824
65,000 < Balance <= 70,000 31 2,047,879
70,000 < Balance <= 75,000 13 937,496
75,000 < Balance <= 80,000 5 385,589
80,000 < Balance <= 85,000 5 411,096
85,000 < Balance <= 90,000 1 88,114
90,000 < Balance <= 95,000 3 278,062
100,000 < Balance <= 105,000 1 101,956
________________________________________________________
Total... 3,779 $106,890,116
========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
YEAR OF ORIGINATION
____________________________________________________
Year of # of % of Current
Origination Loans Pool Balance
1985 3 .03 $29,868
1986 46 .45 $476,875
1987 62 .63 $677,547
1988 73 .89 $948,208
1989 76 .97 $1,041,649
1990 74 .95 $1,012,275
1991 62 .73 $783,640
1992 46 .62 $667,120
1993 93 1.68 $1,798,554
1994 104 1.98 $2,119,768
1995 7 .19 $208,421
1996 211 6.15 $6,571,545
1997 2,922 84.72 $90,554,647
____________________________________________________
Total... 3,779 100.00% $106,890,116
====================================================
REMAINING TERM
___________________________________________________________
# of % of Current
Remaining Term Loans Pool Balance
36 < Rem Term <= 48 8 .06 $66,109
48 < Rem Term <= 60 168 1.71 $1,828,259
60 < Rem Term <= 72 109 1.15 $1,234,115
72 < Rem Term <= 84 296 4.11 $4,393,899
84 < Rem Term <= 96 128 1.77 $1,890,782
96 < Rem Term <= 108 181 3.57 $3,820,178
108 < Rem Term <= 120 269 5.02 $5,361,937
120 < Rem Term <= 132 128 2.93 $3,134,659
132 < Rem Term <= 144 304 7.06 $7,551,666
144 < Rem Term <= 156 204 5.42 $5,797,723
156 < Rem Term <= 168 18 .50 $534,926
168 < Rem Term <= 180 660 18.66 $19,944,710
180 < Rem Term <= 192 470 14.83 $15,855,643
192 < Rem Term <= 204 149 5.50 $5,877,293
204 < Rem Term <= 216 29 .81 $864,588
216 < Rem Term <= 228 118 4.96 $5,297,935
228 < Rem Term <= 240 436 16.97 $18,140,228
240 < Rem Term <= 252 4 .15 $155,885
252 < Rem Term <= 264 18 .91 $973,836
264 < Rem Term <= 276 9 .42 $452,980
276 < Rem Term <= 288 8 .25 $269,985
288 < Rem Term <= 300 47 2.26 $2,413,734
336 < Rem Term <= 348 3 .09 $94,494
348 < Rem Term <= 360 15 .87 $934,552
___________________________________________________________
Total..... 3,779 100.00% $106,890,116
===========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
GEOGRAPHIC DISTRIBUTION
___________________________________________________________
Current
State # Loans % Pool Balance
Alabama 31 .85 $912,815
Arkansas 19 .55 $590,769
Arizona 13 .41 $438,181
California 1 .01 $10,776
Colorado 3 .14 $147,211
Dist of Col 1 .05 $57,267
Delaware 2 .11 $112,444
Florida 164 4.23 $4,523,544
Georgia 65 1.60 $1,711,364
Iowa 1 .02 $18,050
Illinois 1 .02 $26,571
Indiana 407 4.91 $5,251,474
Kansas 1 .05 $52,937
Kentucky 353 9.24 $9,875,359
Louisiana 79 2.08 $2,221,510
Maryland 1 .03 $32,186
Maine 1 .02 $22,746
Michigan 6 .07 $70,095
Missouri 21 .57 $612,793
Mississippi 28 .82 $871,802
North Carolina 508 15.21 $16,258,155
New Jersey 2 .03 $35,753
New Mexico 19 .59 $629,182
New York 167 3.36 $3,588,022
Ohio 61 1.04 $1,116,678
Oklahoma 35 .99 $1,062,740
Oregon 5 .20 $215,397
Pennsylvania 3 .08 $86,188
South Carolina 545 16.97 $18,141,460
South Dakota 1 .03 $26,805
Tennessee 345 9.96 $10,644,012
Texas 761 21.89 $23,394,398
Utah 1 .03 $33,839
Virginia 117 3.54 $3,779,841
Vermont 1 .02 $24,988
Wisconsin 1 .02 $24,305
West Virgina 9 .25 $268,462
__________________________________________________________
Total..... 3,779 100.00% $106,890,116
==========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
GROSS MARGIN
__________________________________________________________________
Total
Gross # % Current
Margin Loan Pool Balance
1.50% < Gross Margin <= 1.75% 1 .08 $83,385.15
1.75% < Gross Margin <= 2.00% 7 .34 $362,451.69
2.00% < Gross Margin <= 2.25% 6 .30 $321,034.75
2.25% < Gross Margin <= 2.50% 20 .85 $908,617.55
2.50% < Gross Margin <= 2.75% 48 1.89 $2,023,938.81
2.75% < Gross Margin <= 3.00% 142 5.06 $5,411,302.44
3.00% < Gross Margin <= 3.25% 216 7.89 $8,431,278.27
3.25% < Gross Margin <= 3.50% 326 11.14 $11,903,126.90
3.50% < Gross Margin <= 3.75% 348 10.07 $10,767,973.33
3.75% < Gross Margin <= 4.00% 308 8.74 $9,343,152.40
4.00% < Gross Margin <= 4.25% 271 8.43 $9,007,559.58
4.25% < Gross Margin <= 4.50% 301 8.92 $9,533,576.52
4.50% < Gross Margin <= 4.75% 307 8.63 $9,222,619.47
4.75% < Gross Margin <= 5.00% 260 6.43 $6,872,542.94
5.00% < Gross Margin <= 5.25% 179 4.00 $4,276,399.17
5.25% < Gross Margin <= 5.50% 179 3.53 $3,770,816.45
5.50% < Gross Margin <= 5.75% 128 2.23 $2,382,145.83
5.75% < Gross Margin <= 6.00% 137 2.45 $2,621,353.26
6.00% < Gross Margin <= 7.00% 448 6.98 $7,456,406.33
7.00% < Gross Margin <= 8.00% 119 1.67 $1,781,987.62
8.00% < Gross Margin <= 9.00% 21 .28 $300,770.39
9.00% < Gross Margin <= 10.00% 7 .10 $107,677.53
___________________________________________________________________
Total..... 3,779 100.00% $106,890,116.38
===================================================================
INDEX CODE
________________________________________________________________________
Total
# % Current
Loan Feature Loan Pool Balance
1YR CMT 176 3.38 $3,607,939.67
6 MONTH T-BILL 454 5.47 $5,843,738.21
5YR CMT 3,145 91.12 $97,400,523.62
PRIME RATE 4 .04 $37,914.88
________________________________________________________________________
Total..... 3,779 100.00% $106,890,116.38
========================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
Gross Life Cap
___________________________________________________________________
Total
Gross # % Current
Life Cap Loan Pool Balance
CAPLESS 213 3.83 $4,093,222.90
13.00% < Gross Life Cap <= 13.25 2 .08 $89,023.01
13.50% < Gross Life Cap <= 13.75 5 .23 $249,445.59
13.75% < Gross Life Cap <= 14.00 13 .58 $624,198.53
14.00% < Gross Life Cap <= 14.25 45 1.84 $1,968,594.27
14.25% < Gross Life Cap <= 14.50 32 1.07 $1,146,693.31
14.50% < Gross Life Cap <= 14.75 125 4.01 $4,290,205.23
14.75% < Gross Life Cap <= 15.00 110 4.09 $4,367,736.56
15.00% < Gross Life Cap <= 15.25 336 12.04 $12,873,662.10
15.25% < Gross Life Cap <= 15.50 270 8.89 $9,498,165.06
15.50% < Gross Life Cap <= 15.75 403 12.62 $13,489,207.25
15.75% < Gross Life Cap <= 16.00 341 10.36 $11,068,806.77
16.00% < Gross Life Cap <= 16.25 228 6.20 $6,624,002.92
16.25% < Gross Life Cap <= 16.50 283 8.65 $9,244,759.45
16.50% < Gross Life Cap <= 16.75 133 3.00 $3,201,683.06
16.75% < Gross Life Cap <= 17.00 225 5.96 $6,370,263.29
17.00% < Gross Life Cap <= 17.25 119 2.29 $2,443,144.28
17.25% < Gross Life Cap <= 17.50 112 2.53 $2,700,398.10
17.50% < Gross Life Cap <= 17.75 99 1.78 $1,907,583.05
17.75% < Gross Life Cap <= 18.00 83 1.70 $1,811,800.52
18.00% < Gross Life Cap <= 18.25 30 .53 $562,867.42
18.25% < Gross Life Cap <= 18.50 61 1.14 $1,213,678.98
18.50% < Gross Life Cap <= 18.75 17 .33 $350,553.74
18.75% < Gross Life Cap <= 19.00 32 .50 $539,204.70
19.00% < Gross Life Cap <= 19.25 8 .16 $173,476.25
19.25% < Gross Life Cap <= 19.50 16 .23 $245,003.24
19.50% < Gross Life Cap <= 19.75 5 .10 $105,075.15
19.75% < Gross Life Cap <= 20.00 7 .14 $148,934.86
20.00% < Gross Life Cap <= 20.25 2 .03 $32,415.79
20.25% < Gross Life Cap <= 20.50 2 .05 $51,572.60
20.50% < Gross Life Cap <= 20.75 1 .01 $10,985.18
20.75% < Gross Life Cap <= 21.00 420 5.03 $5,374,934.22
21.00% < Gross Life Cap <= 22.00 1 .02 $18,819.00
___________________________________________________________________
Total..... 3,779 100.00% $106,890,116.38
===================================================================
LTV RANGE
______________________________________________________
LTV % Current
RANGE # Loans Pool Balance
0.000 < LTV <= 60.000 165 2.45 $2,623,599
60.000 < LTV <= 65.000 147 2.75 $2,934,995
65.000 < LTV <= 70.000 156 3.11 $3,320,824
70.000 < LTV <= 75.000 220 5.10 $5,449,069
75.000 < LTV <= 80.000 225 5.79 $6,191,658
80.000 < LTV <= 85.000 433 11.96 $12,780,059
85.000 < LTV <= 90.000 548 16.37 $17,502,583
90.000 < LTV <= 91.000 514 14.97 $15,998,968
91.000 < LTV <= 94.000 277 6.63 $7,087,474
94.000 < LTV <= 96.000 720 21.97 $23,482,562
96.000 < LTV <= 100.000 374 8.90 $9,518,327
________________________________________________________
Total..... 3,779 100.00% $106,890,116
========================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no
circumstances shall the information presented constitute an offer to sell or
the solicitation of an offer to buy nor shall there be any sale of the
securities in any jurisdiction in which such offer, solicitation or sale
would be unlawful prior to registration or qualification under the securities
laws of such jurisdiction. The securities may not be sold nor may an offer
to buy be accepted prior to the delivery of a final prospectus relating to
the securities. The above preliminary description of the underlying assets
has been provided by the issuer and has not been independently verified by
Credit Suisse First Boston. All information described above is preliminary,
limited in nature and subject to completion or amendment. Credit Suisse
First Boston makes no representations that the above referenced security will
actually perform as described in any scenario presented.
CREDIT | FIRST
SUISSE | BOSTON
