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) JUNE 30, 1999
Asset Backed Securities Corporation
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(Exact Name of Registrant as Specified in its Charter)
Delaware
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(State or Other Jurisdiction of Incorporation)
333-64351 13-3354848
- ---------------------------------------- -----------------------------------
(Commission File Number) (I.R.S. Employer Identification No.)
11 Madison Avenue, New York, New York 10010
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(Address of Principal Executive Offices) (Zip Code)
(212) 325-1811
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(Registrant's Telephone Number, Including Area Code)
Not Applicable
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(Former Name or Former Address, if Changed Since Last Report)
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<PAGE>
Item 5. Other Events.
Filing of Computational Materials
Pursuant to Rule 424(b) under the Securities Act of 1933, Asset Backed
Securities Corporation (the "Depositor") will file a prospectus and prospectus
supplement with the Securities and Exchange Commission relating to Asset Backed
Securities Corporation Home Equity Loan Pass-Through Certificates, Series
1999-LB1 (the "Certificates").
In connection with the offering of the Certificates, Credit Suisse
First Boston Corporation, the underwriter of the Certificates (the
"Underwriter"), has prepared certain materials (the "Computational Materials")
for distribution to its potential investors. The Computational Materials are
attached hereto as Exhibit 99.1.
Item 7. Financial Statements and Exhibits.
(c) Exhibits
EXHIBIT NO. Document Description
99.1 Computational Materials
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ASSET BACKED SECURITIES CORPORATION
(Registrant)
Dated: July 2, 1999 By: /s/ Nita Cherry
------------------------------------
Name: Nita Cherry
Title: Authorized Officer
<PAGE>
INDEX TO EXHIBITS
EXHIBIT NO. Document Description
99.1 Computational Materials
**PRELIMINARY**
$930,000,000 (APPROXIMATE)
ASSET BACKED SECURITIES CORPORATION
HOME EQUITY LOAN TRUST, SERIES 1999-LB1
TERM SHEET DATED JUNE 30, 1999
ASSET BACKED SECURITIES CORPORATION
DEPOSITOR
CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC
SELLER
LONG BEACH MORTGAGE COMPANY
ORIGINATOR/SERVICER
<PAGE>
HOME EQUITY LOANS
The Home Equity Loans consist of both fixed rate and adjustable rate,
first lien, closed-end home equity loans. The adjustable rate loans are subject
to semi-annual interest rate adjustments after an initial six month, twenty-four
month, or thirty-six month period (the "Adjustable Rate Home Equity Loans"). All
Home Equity Loans which are not Adjustable Rate Loans are referred to herein as
"Fixed Rate Home Equity Loans". The obligations of the Obligor under each Home
Equity Contract are secured by the related real estate.
The following pool of Home Equity Loans represents a statistical
summary of the final pool of Home Equity Loans that will be sold to the Trust at
Closing. The final pool of Home Equity Loans will differ slightly from the exact
pool underlying the summary characteristics of the Home Equity Loans shown
below, however the issuer does not expect that the characteristics of the final
pool of Home Equity Loans will vary materially from those of the Home Equity
Loans herein.
- -------------------
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 he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GROUP F: SUBGROUP I
FIXED RATE CONFORMING HOME EQUITY LOANS
Number of Loans: 2,430
Wgt. Avg. Contract Rate: 10.16%
Range of Rates: 7.00% - 13.99%
Wgt. Avg. Orig. Maturity: 338.98 months
Wgt. Avg. Rem. Maturity: 333.44 months
Avg. Rem. Principal Balance: 74,046
Wgt. Avg. LTV: 73.70%
<TABLE>
<CAPTION>
PRINCIPAL BALANCES AT ORIGINATION OF THE LOANS
% of Subgroup I
Original Number of Aggregate Original Loans by Original
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$ 10,000.01 -$20,000.00 64 $ 1,117,338 0.62%
$ 20,000.01 -$30,000.00 210 5,479,005 3.03
$ 30,000.01 -$40,000.00 336 11,863,921 6.56
$ 40,000.01 -$50,000.00 320 14,549,885 8.05
$ 50,000.01 -$60,000.00 298 16,508,690 9.13
$ 60,000.01 -$70,000.00 215 14,063,338 7.78
$ 70,000.01 -$80,000.00 172 12,930,397 7.15
$ 80,000.01 -$90,000.00 138 11,766,043 6.51
$ 90,000.01 -$100,000.00 120 11,506,446 6.37
$100,000.01 -$110,000.00 101 10,582,149 5.85
$110,000.01 -$120,000.00 90 10,393,862 5.75
$120,000.01 -$130,000.00 77 9,635,069 5.33
$130,000.01 -$140,000.00 60 8,103,030 4.48
$140,000.01 -$150,000.00 37 5,371,270 2.97
$150,000.01 -$160,000.00 25 3,882,068 2.15
$160,000.01 -$170,000.00 28 4,631,920 2.56
$170,000.01 -$180,000.00 30 5,280,060 2.92
$180,000.01 -$190,000.00 24 4,433,435 2.45
$190,000.01 -$200,000.00 21 4,082,440 2.26
$200,000.01 -$210,000.00 18 3,713,950 2.05
$210,000.01 -$220,000.00 16 3,449,495 1.91
$220,000.01 -$230,000.00 11 2,464,400 1.36
$230,000.01 -$240,000.00 9 2,106,100 1.17
$240,000.01 -$250,000.00 3 735,300 0.41
$250,000.01 -$350,000.00 6 1,771,500 0.98
$350,000.01 -$450,000.00 1 360,000 0.20
------- -------------- ---------
Total(1) 2,430 $180,781,110 100.00%
====== ============== =========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
<TABLE>
<CAPTION>
CURRENT PRINCIPAL BALANCES OF THE LOANS
% of Subgroup I
Remaining Number of Aggregate Remaining Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$10,000.01 - $20,000.00 65 $ 1,126,925 0.63%
$20,000.01 - $30,000.00 215 5,595,056 3.11
$30,000.01 - $40,000.00 336 11,833,702 6.58
$40,000.01 - $50,000.00 319 14,464,943 8.04
$50,000.01 - $60,000.00 295 16,306,413 9.06
$60,000.01 - $70,000.00 216 14,097,401 7.84
$70,000.01 - $80,000.00 171 12,814,676 7.12
$80,000.01 - $90,000.00 138 11,742,398 6.53
$90,000.01 -$100,000.00 121 11,584,792 6.44
$100,000.01 -$110,000.00 99 10,357,325 5.76
$110,000.01 -$120,000.00 90 10,357,167 5.76
$120,000.01 -$130,000.00 78 9,745,481 5.42
$130,000.01 -$140,000.00 61 8,232,294 4.58
$140,000.01 -$150,000.00 35 5,075,352 2.82
$150,000.01 -$160,000.00 26 4,032,792 2.24
$160,000.01 -$170,000.00 28 4,636,824 2.58
$170,000.01 -$180,000.00 29 5,095,677 2.83
$180,000.01 -$190,000.00 25 4,610,711 2.56
$190,000.01 -$200,000.00 19 3,682,520 2.05
$200,000.01 -$210,000.00 18 3,694,787 2.05
$210,000.01 -$220,000.00 18 3,875,649 2.15
$220,000.01 -$230,000.00 10 2,245,377 1.25
$230,000.01 -$240,000.00 8 1,869,127 1.04
$240,000.01 -$250,000.00 3 732,136 0.41
$250,000.01 -$350,000.00 6 1,766,134 0.98
$350,000.01 -$450,000.00 1 356,214 0.20
------- -------------- --------
Total(1) 2,430 $179,931,873 100.00%
======= ============== ========
-------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining Principal
State Loans Principal Balance Balance
<S> <C> <C> <C>
Alabama 142 $ 7,779,552 4.32%
Alaska 6 685,075 0.38
Arizona 24 2,029,474 1.13
Arkansas 12 606,675 0.34
California 342 36,414,893 20.24
Colorado 66 5,946,199 3.31
Connecticut 15 1,621,984 0.90
Florida 169 11,499,822 6.39
Georgia 28 1,580,604 0.88
Hawaii 39 7,493,953 4.17
Idaho 28 1,741,225 0.97
Illinois 74 5,539,825 3.08
Indiana 59 3,140,245 1.75
Iowa 39 2,122,790 1.18
Kansas 4 212,705 0.12
Louisiana 147 7,360,970 4.09
Maine 4 186,694 0.10
Maryland 9 816,310 0.45
Massachusetts 15 1,404,094 0.78
Michigan 82 5,253,256 2.92
Minnesota 26 1,991,309 1.11
Mississippi 35 2,029,868 1.13
Missouri 39 2,173,802 1.21
Montana 9 596,317 0.33
Nebraska 30 1,761,649 0.98
Nevada 19 2,157,407 1.20
New Hampshire 1 49,968 0.03
New Jersey 13 977,324 0.54
New Mexico 11 996,627 0.55
New York 154 13,845,181 7.70
North Carolina 11 781,157 0.43
North Dakota 1 119,319 0.07
Ohio 62 3,508,784 1.95
Oklahoma 78 3,628,872 2.02
Oregon 56 4,481,775 2.49
Pennsylvania 76 3,737,008 2.08
Rhode Island 4 211,569 0.12
South Carolina 32 2,064,710 1.15
South Dakota 7 449,809 0.25
Tennessee 54 3,899,702 2.17
Texas 283 17,253,271 9.59
Utah 19 1,751,855 0.97
Vermont 1 142,203 0.08
Virginia 29 2,107,626 1.17
Washington 43 3,762,821 2.09
Washington D C 1 127,305 0.07
West Virginia 2 196,290 0.11
Wisconsin 24 1,416,697 0.79
Wyoming 6 275,305 0.15
------- ----------------- ---------
Total(1) 2,430 $179,931,873 100.00%
======= ================= =========
- -----------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
<TABLE>
<CAPTION>
CURRENT MORTGAGE RATES OF THE LOANS
% of Subgroup I
Number of Aggregate Loans by Remaining
Mortgage Rates Loans Remaining Principal Balance
Principal Balance
<S> <C> <C> <C>
7.000% to 7.499% 7 $ 977,339 0.54%
7.500% to 7.999% 15 1,667,591 0.93
8.000% to 8.499% 68 8,074,671 4.49
8.500% to 8.999% 291 31,038,494 17.25
9.000% to 9.499% 150 13,638,073 7.58
9.500% to 9.999% 518 41,409,737 23.01
10.000% to 10.499% 219 15,034,185 8.36
10.500% to 10.999% 416 28,696,278 15.95
11.000% to 11.499% 180 10,687,408 5.94
11.500% to 11.999% 234 13,335,140 7.41
12.000% to 12.499% 121 6,095,539 3.39
12.500% to 12.999% 157 6,970,222 3.87
13.000% to 13.499% 40 1,710,387 0.95
13.500% to 13.999% 14 596,810 0.33
------ ---------------- ----------
Total(1) 2,430 $179,931,873 100.00%
===== ================ ==========
- --------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
<TABLE>
<CAPTION>
REMAINING MONTHS TO MATURITY THE LOANS
% of Subgroup I
Number of Aggregate Loans by Remaining
Months Remaining Loans Remaining Principal Balance
Principal Balance
<S> <C> <C> <C>
61 to 120 12 $ 557,656 0.31%
121 to 180 340 18,614,323 10.35
181 to 300 43 2,479,178 1.38
301 to 360 2,035 158,280,716 87.97
------ -------------- ----------
Total(1) 2,430 $179,931,873 100.00%
======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
<TABLE>
<CAPTION>
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
% of Subgroup I
Loan-to- Number of Aggregate Loans by Remaining
Value Ratio Loans Remaining Principal Balance
Principal Balance
<S> <C> <C> <C>
50.00% or less 227 $ 12,433,852 6.91%
50.01% to 55.00% 63 4,153,861 2.31
55.01% to 60.00% 137 10,124,842 5.63
60.01% to 65.00% 202 14,053,798 7.81
65.01% to 70.00% 308 19,756,164 10.98
70.01% to 75.00% 376 25,222,399 14.02
75.01% to 80.00% 562 44,596,801 24.79
80.01% to 85.00% 396 35,169,869 19.55
85.01% to 90.00% 159 14,420,288 8.01
----- ---------------- ------------
Total(1) 2,430 $179,931,873 100.00%
=====
---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
<TABLE>
<CAPTION>
LOAN PROGRAM OF THE LOANS
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Fast Trac 85 $ 7,510,765 4.17%
Full Documentation 1,822 133,608,493 74.26
Stated Income 523 38,812,615 21.57
----- ---------------- -----------
Total(1) 2,430 $179,931,873 100.00%
===== ================= ============
---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PURPOSE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Purpose Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Purchase 602 $ 40,517,758 22.52%
Refinance - No Cash Out 472 39,877,619 22.16
Refinance Equity Take-Out 1,356 99,536,495 55.32
----- ----------------- -----------
Total(1) 2,430 $179,931,873 100.00%
===== ================= ===========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
RISK CATEGORY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
<S> <C> <C> <C>
A- 1,242 $ 106,205,028 59.03%
B 380 26,132,202 14.52
B- 301 20,567,931 11.43
C 361 18,440,460 10.25
D 146 8,586,252 4.77
----- --------------- --------
Total(1) 2,430 $179,931,873 100.00%
===== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PROPERTY TYPES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
2 to 4 units 116 $ 9,684,788 5.38%
Single Family 2,314 170,247,085 94.62
----- --------------- -------
Total(1) 2,430 $179,931,873 100.00%
===== =============== =======
- ---------------
Percentages may not add to 100% due to rounding.
</TABLE>
OCCUPANCY STATUS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Non-Owner Occupied 267 $ 15,250,087 8.48%
Owner Occupied 2,151 163,819,587 91.05
Second Home 12 862,199 0.48
------ -------------- ------
Total(1) 2,430 $179,931,873 100.00%
===== ============== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GROUP F: SUBGROUP II
FIXED RATE NON-CONFORMING HOME EQUITY LOANS
Number of Loans: 388
Wgt. Avg. Contract Rate: 9.75%
Range of Rates: 7.25% - 13.50%
Wgt. Avg. Orig. Maturity: 353.84 months
Wgt. Avg. Rem. Maturity: 348.49 months
Avg. Rem. Principal Balance: $135,099
Wgt. Avg. LTV: 74.97%
PRINCIPAL BALANCE AT ORIGINATION OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Aggregate Original Number of Aggregate Original Loans by Original
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$0.01 - $10,000.00 2 $ 20,000 0.04%
$10,000.01 - $20,000.00 13 220,635 0.42
$20,000.01 - $30,000.00 29 700,460 1.33
$30,000.01 - $40,000.00 27 964,935 1.83
$40,000.01 - $50,000.00 38 1,747,945 3.32
$50,000.01 - $60,000.00 35 1,927,430 3.66
$60,000.01 - $70,000.00 29 1,902,440 3.61
$70,000.01 - $80,000.00 29 2,156,405 4.10
$80,000.01 - $90,000.00 18 1,536,600 2.92
$90,000.01 - $100,000.00 15 1,447,315 2.75
$100,000.01 - $110,000.00 16 1,676,240 3.18
$110,000.01 - $120,000.00 7 816,328 1.55
$120,000.01 - $130,000.00 6 749,900 1.42
$130,000.01 - $140,000.00 6 822,500 1.56
$140,000.01 - $150,000.00 4 580,150 1.10
$150,000.01 - $160,000.00 5 787,290 1.50
$160,000.01 - $170,000.00 2 332,400 0.63
$170,000.01 - $180,000.00 4 702,200 1.33
$180,000.01 - $190,000.00 4 745,000 1.42
$190,000.01 - $200,000.00 4 786,600 1.49
$200,000.01 - $210,000.00 2 409,500 0.78
$210,000.01 - $220,000.00 1 220,000 0.42
$220,000.01 - $230,000.00 1 224,250 0.43
$230,000.01 - $240,000.00 4 944,550 1.79
$240,000.01 - $250,000.00 9 2,209,000 4.20
$250,000.01 - $350,000.00 42 12,467,800 23.68
$350,000.01 - $450,000.00 28 11,184,860 21.24
$450,000.01 + 8 4,367,350 8.30
----- ----------- ------
Total(1) 388 $52,650,083 100.00%
===== =========== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT PRINCIPAL BALANCE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Remaining Number of Aggregate Remaining Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$0.01 - $10,000.00 3 $ 28,570 0.06%
$10,000.01 - $20,000.00 14 237,611 0.45
$20,000.01 - $30,000.00 28 675,926 1.29
$30,000.01 - $40,000.00 28 1,000,474 1.91
$40,000.01 - $50,000.00 37 1,696,928 3.24
$50,000.01 - $60,000.00 34 1,870,840 3.57
$60,000.01 - $70,000.00 29 1,895,979 3.62
$70,000.01 - $80,000.00 29 2,151,402 4.10
$80,000.01 - $90,000.00 18 1,532,883 2.92
$90,000.01 - $100,000.00 15 1,441,915 2.75
$100,000.01 - $110,000.00 16 1,672,335 3.19
$110,000.01 - $120,000.00 7 814,836 1.55
$120,000.01 - $130,000.00 6 748,121 1.43
$130,000.01 - $140,000.00 6 820,269 1.57
$140,000.01 - $150,000.00 5 726,050 1.39
$150,000.01 - $160,000.00 4 635,330 1.21
$160,000.01 - $170,000.00 2 331,922 0.63
$170,000.01 - $180,000.00 4 700,234 1.34
$180,000.01 - $190,000.00 4 743,593 1.42
$190,000.01 - $200,000.00 5 985,144 1.88
$200,000.01 - $210,000.00 1 207,645 0.40
$210,000.01 - $220,000.00 1 219,697 0.42
$220,000.01 - $230,000.00 1 223,970 0.43
$230,000.01 - $240,000.00 5 1,181,124 2.25
$240,000.01 - $250,000.00 8 1,964,457 3.75
$250,000.01 - $350,000.00 42 12,417,555 23.69
$350,000.01 - $450,000.00 28 11,138,756 21.25
$450,000.01 + 8 4,354,674 8.31
----- ------------ ======
Total(1) 388 $52,418,242 100.00%
===== ============ =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
State Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Alabama 3 $ 562,885 1.07%
Alaska 1 76,328 0.15
Arizona 6 809,707 1.55
Arkansas 1 30,653 0.06
California 88 18,695,906 35.67
Colorado 22 2,437,353 4.65
Connecticut 5 1,077,121 2.06
Florida 83 5,864,031 11.19
Georgia 3 1,002,894 1.91
Hawaii 23 2,808,362 5.36
Idaho 1 86,134 0.16
Illinois 7 1,051,424 2.01
Indiana 2 111,193 0.21
Iowa 1 18,464 0.04
Kentucky 1 52,795 0.10
Louisiana 5 327,202 0.62
Maryland 1 130,754 0.25
Massachusetts 3 283,434 0.54
Michigan 6 532,729 1.02
Minnesota 6 1,152,556 2.20
Mississippi 2 201,949 0.39
Missouri 2 97,500 0.19
Montana 1 114,579 0.22
Nebraska 1 10,012 0.02
Nevada 4 947,256 1.81
New Jersey 4 791,248 1.51
New Mexico 4 213,579 0.41
New York 17 3,794,326 7.24
North Carolina 4 219,027 0.42
Ohio 2 402,529 0.77
Oklahoma 2 31,666 0.06
Oregon 9 1,267,208 2.42
Pennsylvania 2 48,165 0.09
South Carolina 5 472,404 0.90
Tennessee 3 182,901 0.35
Texas 44 3,838,867 7.32
Utah 3 896,543 1.71
Virginia 2 640,098 1.22
Washington 9 1,136,461 2.17
---- ----------- -------
Total(1) 388 $52,418,242 100.00%
==== ============ =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT MORTGAGE RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Mortgage Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
7.000% to 7.499% 1 $ 289,904 0.55%
7.500% to 7.999% 7 2,047,739 3.91
8.000% to 8.499% 17 2,555,484 4.88
8.500% to 8.999% 79 14,450,429 27.57
9.000% to 9.499% 17 4,447,840 8.49
9.500% to 9.999% 91 12,507,749 23.86
10.000% to 10.499% 21 2,787,956 5.32
10.500% to 10.999% 72 6,131,651 11.70
11.000% to 11.499% 20 1,591,943 3.04
11.500% to 11.999% 32 2,163,131 4.13
12.000% to 12.499% 7 1,067,957 2.04
12.500% to 12.999% 18 2,052,223 3.92
13.000% to 13.499% 5 294,811 0.56
13.500% to 13.999% 1 29,426 0.06
----- ----------- -----
Total(1) 388 $52,418,242 100.00%
===== =========== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
REMAINING MONTHS TO MATURITY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
<S> <C> <C> <C>
121 to 180 31 $ 1,646,590 3.14%
181 to 300 4 220,216 0.42
301 to 360 353 50,551,436 96.44
--- ------------ -------
Total(1) 388 $52,418,242 100.00%
=== ============= =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Loan-to- Number of Aggregate Remaining Loans by Remaining
Value Ratio Loans Prinicpal Balllance Principal Balance
<S> <C> <C> <C>
50.00% or less 32 $ 2,559,554 4.88%
50.01% to 55.00% 6 857,474 1.64
55.01% to 60.00% 21 3,405,023 6.50
60.01% to 65.00% 22 1,978,129 3.77
65.01% to 70.00% 43 6,046,867 11.54
70.01% to 75.00% 56 8,609,553 16.43
75.01% to 80.00% 105 13,035,771 24.87
80.01% to 85.00% 78 11,774,738 22.46
85.01% to 90.00% 25 4,151,134 7.92
---
Total(1) 388 $52,418,242 100.00%
===
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
LOAN PROGRAM OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Fast Trac 12 $ 1,939,989 3.70%
Full Documentation 284 40,476,554 77.22
Stated Income 92 10,001,699 19.08
---- ------------- -------
Total(1) 388 $52,418,242 100.00%
==== ============= ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
PURPOSE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Purpose Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Purchase 122 $ 11,874,592 22.65%
Refinance - No Cash Out 86 14,223,958 27.14
Refinance Equity Take-Out 180 26,319,693 50.21
---- ------------- --------
Total(1) 388 $52,418,242 100.00%
=== ============= =========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
RISK CATEGORY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
<S> <C> <C> <C>
A- 236 $37,910,802 72.32%
B 42 4,060,862 7.75
B- 40 4,088,726 7.80
C 39 2,786,457 5.32
D 31 3,571,395 6.81
---- ----------- -------
Total(1) 388 $52,418,242 100.00%
==== =========== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PROPERTY TYPES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
2 to 4 units 2 $ 755,374 1.44%
Condo 150 11,052,406 21.09
Manufactured Home 68 4,207,838 8.03
PUD 60 6,605,366 12.60
Single Family 102 29,313,280 55.92
Townhouse 6 483,977 0.92
----- ------------- ------
Total(1) 388 $52,418,242 100.00%
===== ============= =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
OCCUPANCY STATUS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Non-Owner Occupied 35 $ 3,031,245 5.78%
Owner Occupied 346 48,896,359 93.28
Second Home 7 490,638 0.94
---- ------------- -------
Total(1) 388 $52,418,242 100.00%
==== =========== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GROUP A: SUBGROUP I
ADJUSTABLE RATE CONFORMING HOME EQUITY LOANS
Number of Loans: 4,477
Wgt. Avg. Contract Rate: 9.79%
Range of Rates: 6.49% - 14.25%
Wgt. Avg. Orig. Maturity: 359.46 months
Wgt. Avg. Rem. Maturity: 355.22 months
Avg. Rem. Princ. Balance: $101,246
Wgt. Avg. LTV: 77.63%
Wgt. Avg. Margin 6.74%
Wgt. Avg. Life Floor 9.78%
Wgt. Avg. Life Cap 15.79%
PRINCIPAL BALANCE AT ORIGINATION OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Aggregate Original Number of Aggregate Original Loans by Original
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$10,000.01 - $20,000.00 30 $ 537,843 0.12%
$20,000.01 - $30,000.00 123 3,213,450 0.71
$30,000.01 - $40,000.00 247 8,804,733 1.94
$40,000.01 - $50,000.00 308 14,037,980 3.09
$50,000.01 - $60,000.00 384 21,323,304 4.69
$60,000.01 - $70,000.00 370 24,218,423 5.33
$70,000.01 - $80,000.00 370 27,767,547 6.11
$80,000.01 - $90,000.00 344 29,499,822 6.49
$90,000.01 - $100,000.00 349 33,282,476 7.33
$100,000.01 - $110,000.00 315 33,136,834 7.29
$110,000.01 - $120,000.00 300 34,596,420 7.61
$120,000.01 - $130,000.00 193 24,118,627 5.31
$130,000.01 - $140,000.00 187 25,262,995 5.56
$140,000.01 - $150,000.00 154 22,352,434 4.92
$150,000.01 - $160,000.00 139 21,562,390 4.75
$160,000.01 - $170,000.00 113 18,720,650 4.12
$170,000.01 - $180,000.00 115 20,211,425 4.45
$180,000.01 - $190,000.00 103 19,115,324 4.21
$190,000.01 - $200,000.00 89 17,416,595 3.83
$200,000.01 - $210,000.00 61 12,559,647 2.76
$210,000.01 - $220,000.00 54 11,606,632 2.56
$220,000.01 - $230,000.00 63 14,212,285 3.13
$230,000.01 - $240,000.00 47 11,071,020 2.44
$250,000.01 - $350,000.00 19 5,728,350 1.26
----- ------------ -------
Total(1) 4,477 $454,357,206 100.00%
===== ============ =======
- -------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT PRINCIPAL BALANCE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
<S> <C> <C> <C>
$10,000.01 - $20,000.00 30 $ 535,681 0.12%
$20,000.01 - $30,000.00 124 3,228,248 0.71
$30,000.01 - $40,000.00 247 8,796,312 1.94
$40,000.01 - $50,000.00 308 14,015,058 3.09
$50,000.01 - $60,000.00 384 21,284,565 4.70
$60,000.01 - $70,000.00 371 24,244,735 5.35
$70,000.01 - $80,000.00 371 27,803,899 6.13
$80,000.01 - $90,000.00 343 29,372,379 6.48
$90,000.01 - $100,000.00 350 33,331,608 7.35
$100,000.01 - $110,000.00 315 33,090,780 7.30
$110,000.01 - $120,000.00 298 34,306,483 7.57
$120,000.01 - $130,000.00 199 24,852,374 5.48
$130,000.01 - $140,000.00 192 25,968,107 5.73
$140,000.01 - $150,000.00 143 20,773,063 4.58
$150,000.01 - $160,000.00 139 21,527,113 4.75
$160,000.01 - $170,000.00 113 18,686,503 4.12
$170,000.01 - $180,000.00 118 20,706,546 4.57
$180,000.01 - $190,000.00 101 18,718,226 4.13
$190,000.01 - $200,000.00 87 16,994,978 3.75
$200,000.01 - $210,000.00 61 12,533,101 2.77
$210,000.01 - $220,000.00 54 11,578,605 2.55
$220,000.01 - $230,000.00 66 14,865,856 3.28
$230,000.01 - $240,000.00 44 10,352,967 2.28
$250,000.01 - $350,000.00 19 5,712,460 1.26
----- ------------ --------
Total(1) 4,477 $453,279,647 100.00%
===== ============ ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
State Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Alabama 28 $ 1,855,447 0.41%
Alaska 12 1,782,413 0.39
Arizona 39 3,444,131 0.76
Arkansas 7 445,547 0.10
California 929 126,601,941 27.93
Colorado 407 43,467,444 9.59
Connecticut 5 810,136 0.18
Delaware 4 291,176 0.06
Florida 191 15,020,512 3.31
Georgia 50 5,316,951 1.17
Hawaii 36 7,128,545 1.57
Idaho 86 7,015,464 1.55
Illinois 166 17,285,377 3.81
Indiana 78 4,882,932 1.08
Iowa 59 3,270,312 0.72
Kansas 41 3,255,841 0.72
Kentucky 7 396,106 0.09
Louisiana 39 3,342,018 0.74
Maine 28 1,786,784 0.39
Maryland 19 2,122,134 0.47
Massachusetts 59 7,274,770 1.61
Michigan 383 33,848,761 7.47
Minnesota 184 16,536,184 3.65
Mississippi 10 773,193 0.17
Missouri 115 8,003,293 1.77
Montana 7 893,799 0.20
Nebraska 73 4,838,960 1.07
Nevada 180 18,008,677 3.97
New Hampshire 9 1,079,109 0.24
New Jersey 47 4,998,496 1.10
New Mexico 31 2,985,319 0.66
New York 126 13,239,183 2.92
North Carolina 13 1,285,564 0.28
North Dakota 6 479,514 0.11
Ohio 84 5,876,407 1.30
Oklahoma 30 1,705,344 0.38
Oregon 202 21,379,142 4.72
Pennsylvania 55 3,427,043 0.76
Rhode Island 2 137,391 0.03
South Carolina 13 838,234 0.19
South Dakota 10 765,200 0.17
Tennessee 39 3,466,909 0.77
Texas 240 18,694,119 4.12
Utah 144 15,168,790 3.35
Virginia 17 2,024,966 0.45
Washington 108 11,974,542 2.64
Washington DC 2 108,657 0.02
West Virginia 2 140,294 0.03
Wisconsin 35 2,570,929 0.57
Wyoming 20 1,235,648 0.27
------ ------------ -------
Total(1) 4,477 $453,279,647 100.00%
====== ============ ========
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT MORTGAGE RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Mortgage Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
6.000% to 6.499% 1 $ 69,680 0.02%
6.500% to 6.999% 7 895,015 0.20
7.000% to 7.499% 5 732,522 0.16
7.500% to 7.999% 121 16,662,556 3.68
8.000% to 8.499% 138 18,409,647 4.06
8.500% to 8.999% 736 94,493,458 20.85
9.000% to 9.499% 401 46,269,036 10.21
9.500% to 9.999% 1,198 123,983,859 27.35
10.000% to 10.499% 403 38,262,413 8.44
10.500% to 10.999% 699 60,127,934 13.27
11.000% to 11.499% 196 15,375,291 3.39
11.500% to 11.999% 351 23,434,494 5.17
12.000% to 12.499% 140 9,026,800 1.99
12.500% to 12.999% 67 4,876,824 1.08
13.000% to 13.499% 11 533,065 0.12
13.500% to 13.999% 2 99,079 0.02
14.000% to 14.499% 1 27,975 0.01
------ ------------ --------
Total(1) 4,477 $453,279,647 100.00%
====== ============ =========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
REMAINING MONTHS TO MATURITY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
<S> <C> <C> <C>
121 to 180 11 $ 1,189,413 0.26%
181 to 300 2 251,610 0.06
301 to 360 4,464 451,838,624 99.68
----- -------------- --------
Total(1) 4,477 $453,279,647 100.00%
===== ============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
PRODUCT TYPE OF LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Product Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
2/28 3,954 $396,411,008 87.45%
3/27 322 31,800,038 7.02
6 month-LIBOR 201 25,068,600 5.53
----- ------------- --------
Total(1) 4,477 $453,279,647 100.00%
===== ============= ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Loan-to- Number of Aggregate Remaining Loans by Remaining
Value Ratio Loans Principal Balance Principal Balance
<S> <C> <C> <C>
50.00% Less 152 $10,051,558 2.22%
or
50.01% to 55.00% 57 4,580,328 1.01
55.01% to 60.00% 126 11,864,191 2.62
60.01% to 65.00% 229 20,662,738 4.56
65.01% to 70.00% 489 43,540,648 9.61
70.01% to 75.00% 642 57,137,564 12.61
75.01% to 80.00% 1,438 148,708,025 32.81
80.01% to 85.00% 1,093 125,499,288 27.69
85.01% to 90.00% 251 31,235,307 6.89
------ ------------- ---------
Total(1) 4,477 $453,279,647 100.00%
====== ============= ==========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
LOAN PROGRAM OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Fast Trac 209 $ 24,108,395 5.32%
Full Documentation 3,425 345,586,389 76.24
Stated Income 843 83,584,864 18.44
----- --------------- -------
Total(1) 4,477 $453,279,647 100.00%
===== =============== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PURPOSE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Outstanding
Purpose Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Purchase 1,892 $180,885,495 39.91%
Refinance - No Cash Out 1,005 112,046,087 24.72
Refinance Equity Take-Out 1,580 160,348,065 35.38
----- ------------ ------
Total(1) 4,477 $453,279,647 100.00%
===== ============ =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
RISK CATEGORY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
<S> <C> <C> <C>
A- 2,040 $228,185,982 50.34%
B 661 71,029,419 15.67
B- 676 65,537,169 14.46
C 751 58,236,334 12.85
D 349 30,290,743 6.68
----- ------------ --------
Total(1) 4,477 $453,279,647 100.00%
===== ============ ========
- -------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PROPERTY TYPES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
2 to 4 units 185 $ 18,642,605 4.11%
Single Family 4,292 434,637,042 95.89
----- --------------- ------
Total(1) 4,477 $453,279,647 100.00%
===== =============== =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
OCCUPANCY STATUS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Non-Owner Occupied 304 $ 24,136,531 5.33%
Owner Occupied 4,155 426,947,561 94.19
Second Home 18 2,195,555 0.48
----- ------------- --------
Total(1) 4,477 $453,279,647 100.00%
===== ============= ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
MONTH AND YEAR OF NEXT RATE ADJUSTMENT OF THE LOANS
<TABLE>
<CAPTION>
Aggregate % of Subgroup I
Month and Year of Next Number of Remaining Principal Loans by Remaining
Rate Adjustment Loans Balance Principal Balance
<S> <C> <C> <C>
July 1999 61 $ 7,702,967 1.70%
August 1999 49 6,273,037 1.38
September 1999 47 5,885,276 1.30
October 1999 15 1,955,088 0.43
November 1999 1 119,129 0.03
December 1999 28 3,133,105 0.69
June 2000 2 164,712 0.04
July 2000 2 165,004 0.04
August 2000 8 669,416 0.15
September 2000 18 1,408,613 0.31
October 2000 13 1,024,137 0.23
November 2000 51 5,413,191 1.19
December 2000 473 48,640,149 10.73
January 2001 1,132 113,491,563 25.04
February 2001 988 99,861,866 22.03
March 2001 974 98,825,126 21.80
April 2001 293 26,747,231 5.90
August 2001 1 58,211 0.01
November 2001 11 1,053,918 0.23
December 2001 34 3,015,042 0.67
January 2002 88 9,499,740 2.10
February 2002 116 11,158,570 2.46
March 2002 54 5,469,146 1.21
April 2002 18 1,545,411 0.34
----- ----------- -------
Total(1) 4,477 $453,279,647 100.00%
===== ============ ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
GROSS MARGINS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Range of Margins Loans Principal Balance Principal Balance
<S> <C> <C> <C>
4.000% to 4.499% 4 $ 365,097 0.08%
4.500% to 4.999% 5 510,483 0.11
5.000% to 5.499% 22 2,076,178 0.46
5.500% to 5.999% 436 44,245,915 9.76
6.000% to 6.499% 636 61,932,900 13.66
6.500% to 6.999% 3,303 336,811,245 74.31
7.000% to 7.499% 44 4,312,586 0.95
7.500% to 7.999% 19 2,018,617 0.45
8.000% to 8.499% 3 510,763 0.11
8.500% to 8.999% 2 149,357 0.03
9.500% + 3 346,507 0.08
------ ------------ -------
Total(1) 4,477 $453,279,647 100.00%
===== ============ =======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
MAXIMUM LOAN RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Range of Maximum Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
12.000% to 12.499% 1 $ 69,680 0.02%
12.500% to 12.999% 8 971,836 0.21
13.000% to 13.499% 6 904,604 0.20
13.500% to 13.999% 115 15,700,134 3.46
14.000% to 14.499% 139 18,647,851 4.11
14.500% to 14.999% 733 93,842,648 20.70
15.000% to 15.499% 403 46,726,229 10.31
15.500% to 15.999% 1,191 123,314,130 27.21
16.000% to 16.499% 403 38,643,787 8.53
16.500% to 16.999% 685 59,182,356 13.06
17.000% to 17.499% 207 16,223,533 3.58
17.500% to 17.999% 362 24,158,691 5.33
18.000% to 18.499% 142 9,312,264 2.05
18.500% to 18.999% 66 4,833,456 1.07
19.000% to 19.499% 12 578,026 0.13
19.500% to 19.999% 3 142,447 0.03
20.000% to 20.499% 1 27,975 0.01
----- ----------- --------
Total(1) 4,477 $453,279,647 100.00%
===== ============ ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
MINIMUM LOAN RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup I
Number of Aggregate Remaining Loans by Remaining
Range of Minimum Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
6.000% to 6.499% 1 $ 69,680 0.02%
6.500% to 6.999% 8 971,836 0.21
7.000% to 7.499% 6 904,604 0.20
7.500% to 7.999% 121 16,477,765 3.64
8.000% to 8.499% 140 18,815,944 4.15
8.500% to 8.999% 733 94,052,830 20.75
9.000% to 9.499% 402 46,560,924 10.27
9.500% to 9.999% 1,195 123,533,236 27.25
10.000% to 10.499% 405 38,557,404 8.51
10.500% to 10.999% 691 59,356,416 13.10
11.000% to 11.499% 203 15,978,144 3.53
11.500% to 11.999% 350 23,293,419 5.14
12.000% to 12.499% 141 9,170,502 2.02
12.500% to 12.999% 67 4,876,824 1.08
13.000% to 13.499% 11 533,065 0.12
13.500% to 13.999% 2 99,079 0.02
14.000% to 14.499% 1 27,975 0.01
------ ----------- --------
Total(1) 4,477 $453,279,647 100.00%
====== ============ =========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GROUP A: SUBGROUP II
ADJUSTABLE RATE NON-CONFORMING HOME EQUITY LOANS
Number of Loans: 1,264
Wgt. Avg. Contract Rate: 9.36%
Range of Rates: 6.99% - 12.99%
Wgt. Avg. Orig. Maturity: 359.92 months
Wgt. Avg. Rem. Maturity: 355.61 months
Avg. Rem. Princ. Balance: $201,834
Wgt. Avg. LTV: 78.55%
Wgt. Avg. Margin 6.79%
Wgt. Avg. Life Floor 9.36%
Wgt. Avg. Life Cap 15.36%
PRINCIPAL BALANCE AT ORIGINATION OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II Loans
Aggregate Original Number of Aggregate Original by Original Principal
Principal Balance Loans Principal Balance Balance
<S> <C> <C> <C>
$ 10,000.01 - $ 20,000.00 3 $ 46,280 0.02%
$ 20,000.01 - $ 30,000.00 10 280,875 0.11
$ 30,000.01 - $ 40,000.00 33 1,182,674 0.46
$ 40,000.01 - $ 50,000.00 43 1,919,825 0.75
$ 50,000.01 - $ 60,000.00 82 4,576,846 1.79
$ 60,000.01 - $ 70,000.00 64 4,185,840 1.64
$ 70,000.01 - $ 80,000.00 42 3,158,540 1.24
$ 80,000.01 - $ 90,000.00 48 4,095,444 1.60
$ 90,000.01 - $100,000.00 58 5,518,594 2.16
$100,000.01 - $110,000.00 60 6,292,128 2.46
$110,000.01 - $120,000.00 46 5,275,198 2.06
$120,000.01 - $130,000.00 36 4,528,728 1.77
$130,000.01 - $140,000.00 36 4,852,587 1.90
$140,000.01 - $150,000.00 23 3,350,300 1.31
$150,000.01 - $160,000.00 31 4,832,455 1.89
$160,000.01 - $170,000.00 15 2,492,520 0.98
$170,000.01 - $180,000.00 23 4,036,808 1.58
$180,000.01 - $190,000.00 11 2,036,050 0.80
$190,000.01 - $200,000.00 22 4,327,351 1.69
$200,000.01 - $210,000.00 15 3,067,415 1.20
$210,000.01 - $220,000.00 16 3,434,024 1.34
$220,000.01 - $230,000.00 11 2,501,889 0.98
$230,000.01 - $240,000.00 12 2,819,268 1.10
$240,000.01 - $250,000.00 46 11,300,510 4.42
$250,000.01 - $350,000.00 291 84,150,611 32.90
$350,000.01 - $450,000.00 119 46,833,041 18.31
$450,000.01+ 68 34,649,502 13.55
----- ------------ --------
Total(1) 1,264 $255,745,303 100.00%
===== ============ ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT PRINCIPAL BALANCE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II Loans
Number of Aggregate Remaining by Remaining Principal
Principal Balance Loans Principal Balance Balance
<S> <C> <C> <C>
$ 10,000.01 - $ 20,000.00 3 $ 46,222 0.02%
$ 20,000.01 - $ 30,000.00 10 280,500 0.11
$ 30,000.01 - $ 40,000.00 33 1,179,693 0.46
$ 40,000.01 - $ 50,000.00 43 1,915,161 0.75
$ 50,000.01 - $ 60,000.00 83 4,627,205 1.81
$ 60,000.01 - $ 70,000.00 64 4,185,714 1.64
$ 70,000.01 - $ 80,000.00 42 3,156,921 1.24
$ 80,000.01 - $ 90,000.00 49 4,186,696 1.64
$ 90,000.01 - $100,000.00 58 5,527,124 2.17
$100,000.01 - 58 6,076,716 2.38
$110,000.00
$110,000.01 - 46 5,262,658 2.06
$120,000.00
$120,000.01 - 36 4,519,659 1.77
$130,000.00
$130,000.01 - 36 4,840,214 1.90
$140,000.00
$140,000.01 - 24 3,492,434 1.37
$150,000.00
$150,000.01 - 30 4,670,390 1.83
$160,000.00
$160,000.01 - 15 2,486,599 0.98
$170,000.00
$170,000.01 - 23 4,026,001 1.58
$180,000.00
$180,000.01 - 11 2,031,410 0.80
$190,000.00
$190,000.01 - 23 4,516,777 1.77
$200,000.00
$200,000.01 - 14 2,860,546 1.12
$210,000.00
$210,000.01 - 17 3,646,622 1.43
$220,000.00
$220,000.01 - 10 2,275,806 0.89
$230,000.00
$230,000.01 - 12 2,811,803 1.10
$240,000.00
$240,000.01 - 50 12,274,942 4.81
$250,000.00
$250,000.01 - 288 83,301,504 32.65
$350,000.00
$350,000.01 - 119 46,816,312 18.35
$450,000.00
$450,000.01 + 67 34,102,096 13.37
----- ------------ --------
Total(1) 1,264 $255,117,725 100.00%
===== ============ ==========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
State Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Alabama 2 $ 81,111 0.03%
Alaska 1 58,787 0.02
Arizona 16 3,156,371 1.24
California 524 134,848,294 52.86
Colorado 113 20,032,992 7.85
Florida 79 8,791,674 3.45
Georgia 11 1,847,357 0.72
Hawaii 19 3,529,411 1.38
Idaho 13 2,082,670 0.82
Illinois 45 8,987,107 3.52
Indiana 4 241,580 0.10
Iowa 2 169,313 0.07
Kansas 4 239,337 0.09
Kentucky 1 259,496 0.10
Louisiana 4 1,043,264 0.41
Maine 4 744,337 0.29
Maryland 3 632,747 0.25
Massachusetts 12 2,398,818 0.94
Michigan 30 5,797,174 2.27
Minnesota 31 4,109,829 1.61
Missouri 5 646,526 0.25
Montana 1 109,432 0.04
Nebraska 4 516,098 0.20
Nevada 77 11,035,965 4.33
New Jersey 20 4,187,319 1.64
New Mexico 5 734,992 0.29
New York 17 5,006,547 1.96
North Carolina 10 767,032 0.30
Ohio 5 822,563 0.32
Oklahoma 1 254,621 0.10
Oregon 35 5,530,240 2.17
Pennsylvania 5 1,435,171 0.56
South Carolina 9 573,661 0.23
Tennessee 6 442,700 0.17
Texas 84 12,580,583 4.93
Utah 20 4,539,509 1.78
Virginia 3 335,191 0.13
Washington 32 5,673,046 2.22
Wisconsin 3 217,532 0.09
Wyoming 4 657,334 0.26
------ ------------- -------
Total(1) 1,264 $255,117,725 100.00%
====== ============= ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
CURRENT MORTGAGE RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Range of Mortgage Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
6.500% to 6.999% 5 $ 1,261,481 0.49%
7.000% to 7.499% 12 2,986,288 1.17
7.500% to 7.999% 45 11,360,564 4.45
8.000% to 8.499% 72 19,895,775 7.80
8.500% to 8.999% 306 73,077,234 28.65
9.000% to 9.499% 153 32,419,007 12.71
9.500% to 9.999% 343 69,305,338 27.17
10.000% to 10.499% 110 16,724,612 6.56
10.500% to 10.999% 132 16,662,673 6.53
11.000% to 11.499% 30 3,781,975 1.48
11.500% to 11.999% 32 5,276,437 2.07
12.000% to 12.499% 17 1,370,672 0.54
12.500% to 12.999% 7 995,667 0.39
----- ------------ --------
Total(1) 1,264 $255,117,725 100.00%
====== ============ =========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
REMAINING MONTHS TO MATURITY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
<S> <C> <C> <C>
61 to 120 1 $ 34,429 0.01%
181 to 300 2 109,648 0.04
301 to 360 1,261 254,973,648 99.94
------- --------------- ------
Total(1) 1,264 $ 255,117,725 100.00%
======= =============== ======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Loan-to- Number of Aggregate Remaining Loans by Remaining
Value Ratio Loans Principal Balance Principal Balance
<S> <C> <C> <C>
50.00% or less 23 $ 3,511,140 1.38%
50.01% to 55.00% 10 2,202,505 0.86
55.01% to 60.00% 26 5,372,775 2.11
60.01% to 65.00% 46 9,401,637 3.69
65.01% to 70.00% 110 19,091,500 7.48
70.01% to 75.00% 178 36,804,754 14.43
75.01% to 80.00% 435 82,574,481 32.37
80.01% to 85.00% 336 75,672,928 29.66
85.01% to 90.00% 100 20,486,006 8.03
------- --------------- -----
Total(1) 1,264 $ 255,117,725 100.00%
======= =============== ======
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
PRODUCT TYPE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Product Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
2/28 1,097 $ 214,972,301 84.26%
3/27 81 17,354,964 6.80
Six-Month LIBOR 86 22,790,459 8.93
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
LOAN PROGRAM OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Fast Trac 92 $ 23,359,484 9.16%
Full Documentation 899 180,616,368 70.80
Stated Income 273 51,141,872 20.05
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PURPOSE OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Purpose Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Purchase 629 $ 106,358,953 41.69%
Refinance - No Cash Out 253 54,675,378 21.43
Refinance Equity Take-Out 382 94,083,395 36.88
------ ---------------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
RISK CATEGORY OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
<S> <C> <C> <C>
A- 732 $ 162,797,396 63.81%
B 173 32,774,706 12.85
B- 145 26,688,475 10.46
C 157 21,266,214 8.34
C- 1 868,868 0.34
D 56 10,722,066 4.20
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
PROPERTY TYPES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Single Family 433 $ 143,503,746 56.25%
2 to 4 units 12 5,104,088 2.00
Condo 353 40,738,863 15.97
Manufactured Home 125 10,541,209 4.13
Townhouse 11 931,756 0.37
PUD 330 54,298,063 21.28
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
OCCUPANCY STATUS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Owner Occupied 1,169 $ 243,027,884 95.26%
Non-Owner Occupied 78 9,087,797 3.56
Second Home 17 3,002,044 1.18
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
MONTH AND YEAR OF NEXT RATE ADJUSTMENT OF THE LOANS
<TABLE>
<CAPTION>
Aggregate % of Subgroup II
Month and Year of Next Number of Remaining Principal Loans by Remaining
Rate Adjustment Loans Balance Principal Balance
<S> <C> <C> <C>
July 1999 24 $ 6,193,658 2.43%
August 1999 22 5,771,632 2.26
September 1999 17 5,214,998 2.04
October 1999 10 2,921,684 1.15
November 1999 3 619,734 0.24
December 1999 11 2,937,621 1.15
July 2000 1 647,848 0.25
August 2000 3 509,907 0.20
September 2000 2 653,793 0.26
October 2000 5 1,447,965 0.57
November 2000 12 2,980,978 1.17
December 2000 122 22,350,485 8.76
January 2001 336 68,131,956 26.71
February 2001 243 47,199,004 18.50
March 2001 285 56,811,097 22.27
April 2001 87 13,370,400 5.24
November 2001 1 264,453 0.10
December 2001 10 2,640,512 1.04
January 2002 15 3,407,348 1.34
February 2002 27 6,666,934 2.61
March 2002 21 3,172,795 1.24
April 2002 7 1,202,922 0.47
------ --------------- --------
Total 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
GROSS MARGINS OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Range of Margins Loans Principal Balance Principal Balance
<S> <C> <C> <C>
4.000% to 4.499% 1 $ 228,962 0.09%
4.500% to 4.999% 3 861,252 0.34
5.000% to 5.499% 4 922,049 0.36
5.500% to 5.999% 113 23,414,940 9.18
6.000% to 6.499% 141 25,683,634 10.07
6.500% to 6.999% 985 200,218,401 78.48
7.000% to 7.499% 12 1,719,424 0.67
7.500% to 7.999% 2 1,113,131 0.44
8.000% to 8.499% 1 660,671 0.26
8.500% to 8.999% 1 246,312 0.10
9.500% + 1 48,950 0.02
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
<PAGE>
MAXIMUM LOAN RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Range of Maximum Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
12.500% to 12.999% 5 $ 1,261,481 0.49%
13.000% to 13.499% 14 3,533,597 1.39
13.500% to 13.999% 45 11,189,501 4.39
14.000% to 14.499% 71 19,750,809 7.74
14.500% to 14.999% 306 73,462,357 28.80
15.000% to 15.499% 154 32,491,433 12.74
15.500% to 15.999% 336 67,336,677 26.39
16.000% to 16.499% 112 17,171,192 6.73
16.500% to 16.999% 134 17,444,389 6.84
17.000% to 17.499% 29 3,675,747 1.44
17.500% to 17.999% 33 5,327,975 2.09
18.000% to 18.499% 18 1,476,900 0.58
18.500% to 18.999% 7 995,667 0.39
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
MINIMUM LOAN RATES OF THE LOANS
<TABLE>
<CAPTION>
% of Subgroup II
Number of Aggregate Remaining Loans by Remaining
Range of Minimum Rates Loans Principal Balance Principal Balance
<S> <C> <C> <C>
6.500% to 6.999% 5 $ 1,261,481 0.49%
7.000% to 7.499% 14 3,533,597 1.39
7.500% to 7.999% 45 11,189,501 4.39
8.000% to 8.499% 71 19,750,809 7.74
8.500% to 8.999% 306 73,462,357 28.80
9.000% to 9.499% 154 32,491,433 12.74
9.500% to 9.999% 340 68,326,856 26.78
10.000% to 10.499% 111 17,014,267 6.67
10.500% to 10.999% 132 16,662,673 6.53
11.000% to 11.499% 30 3,781,975 1.48
11.500% to 11.999% 32 5,276,437 2.07
12.000% to 12.499% 17 1,370,672 0.54
12.500% to 12.999% 7 995,667 0.39
------ --------------- --------
Total(1) 1,264 $ 255,117,725 100.00%
====== =============== ========
- ---------------
(1) Percentages may not add to 100% due to rounding.
</TABLE>
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall he information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the ssecurities
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.
