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) JULY 7, 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
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(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 19, 1999 By: /s/ Nita Cherry
------------------------------------
Name: Nita Cherry
Title: Authorized Officer
<PAGE>
INDEX TO EXHIBITS
EXHIBIT NO. Document Description
99.1 Computational Materials
**FINAL**
$929,650,000 (APPROXIMATE)
ASSET BACKED SECURITIES CORPORATION
HOME EQUITY LOAN TRUST, SERIES 1999-LB1
TERM SHEET DATED JULY 7, 1999
ASSET BACKED SECURITIES CORPORATION
DEPOSITOR
CREDIT SUISSE FIRST BOSTON MORTGAGE CAPITAL LLC
SELLER
LONG BEACH MORTGAGE COMPANY
SERVICER
SELLER: Credit Suisse First Boston Mortgage Capital LLC
SERVICER: Long Beach Mortgage Company ("Long Beach")
TRUSTEE: The Chase Manhattan Bank
UNDERWRITER: Credit Suisse First Boston Corporation
CERTIFICATE INSURER: MBIA Insurance Corporation
[MBIA LOGO]
<TABLE>
<CAPTION>
OFFERED CERTIFICATES
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CLASS SIZE LOAN EXPECTED CERTIFICATE AVERAGE
CLASS ($MM) GROUP SUBGROUP TRANCHE TYPE RATINGS RATE LIFE
(MOODY'S/DCR/S&P) (YRS.)(1)
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<S> <C> <C> <C> <C> <C> <C> <C>
A-1F $[166,900,000] F I Fixed Rate Pass-through Aaa/AAA/AAA [ ]% 2.98
A-2F [48,600,000] F II Fixed Rate Pass-through Aaa/AAA/AAA [ ]% 2.98
A-3A [292,800,000] A I Floating Rate Pass-through Aaa/AAA/AAA L+ [ ]% 2.78
A-4A [164,900,000] A II Floating Rate Pass-through Aaa/AAA/AAA L+ [ ]% 2.78
A-5A [200,000,000] A I & II Floating Rate Pass-through Aaa/AAA/AAA L+ [ ]% 2.78
A-1OF (2) F I & II Interest Only Certificate -/AAA/AAAr (4) N/A
A-1OA (3) A I & II Interest Only Certificate -/AAA/AAAr (4) N/A
B-1 [56,450,000] F & A I & II Floating Rate Subordinate Baa3/BBB/- L+ [ ]% 5.19
Total $[929,650,000]
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(1) To 10% optional call.
(2) Fixed, non-amortizing Notional Balance will equal the lesser of the
outstanding principal balance of the Loan Group and $[22,000,000]
(3) Fixed, non-amortizing Notional Balance will equal the lesser of the
outstanding principal balance of the Loan group and $67,000,000]
(4) Month Certificate Rate
1-12 5.50%
13-24 4.00%
25-30 2.50%
</TABLE>
PRICING FIXED RATE HOME EQUITY LOANS: 120% of the prepayment assumption
PREPAYMENT (the "FRM PPC") will be applied to the Fixed Rate Home Equity
SPEEDS: Loans for pricing purposes. 120% PPC for the Fixed Rate Home
Equity Loans describes prepayments stating at 4.8% CPR in
month 1, increasing by 1.74545% CPR per month to 24% CPR in
month 12, and remaining at 24% CPR thereafter.
ADJUSTABLE RATE HOME EQUITY LOANS: 25% CPR.
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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.
<PAGE>
THE CERTIFICATES: ORIGINAL CERTIFICATE CERTIFICATE
CERTIFICATES BALANCE(1) RATE
------------- -------------------- ------------
Class A-1F...... $166,900,000 . %(2)
Class A-2F...... $48,600,000 . %(2)
Class A-3A...... $292,800,000 . %(3)(4)
Class A-4A...... $164,900,000 . %(3)(4)
Class A-5A...... $200,000,000 . %(3)(4)
Class A-IOF..... $22,000,000(5) 5.50%(2)(6)
Class A-IOA..... $67,000,000(5) 5.50%(2)(6)
Class B-1....... $56,450,000 . %(3)(4)
Class B-IOF(7).. $8,000,000(5) 7.00%(2)
Class B-IOA(7).. $25,000,000(5) 7.00%(2)
Class P-F(7).... $100 NA
Class P-A(7).... $100 NA
Class X-F(7).... (8) NA
Class X-A(7).... (8) NA
Class R(7)...... (8) NA
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(1) The Original Certificate Balance may be
increased or decreased by up to 5%. Any such
increase or decrease may be allocated
disproportionately among the Classes of
Certificates. Accordingly, any investor's
commitments with respect to the Certificates
may be increased or decreased correspondingly.
(2) Computed on the basis of a 360-day year of
twele 30-day months.
(3) Computed on the basis of a 360-day year and
the actual number of days in the related
Interest Accrual Period.
(4) The lesser of (i) the specified rate per annum
and (ii) the Available Funds Cap for the
related Distribution Date.
(5) These are interest only securities with
notional balances equal to the lesser of the
amounts stated and the outstanding principal
balance fo the related Loan Group, aaaas
specified below in more detail.
(6) The Certificate Rates for the Class A-IOF and
Class A-IOA Certificates are 5.50% for months
1-12, 400% for months 13-24 and 2.50% for
months 25-30.
(7) These classes will not be offered hereby (the
"Non-Offered Certificates"). Any information
with respect to such classes is included
herein solely to provide a better
understanding of the Offered Certificates.
(8) The Class X Certificates and the Class R
Certificates are interest-only and residual
certificates, respectively, and do not have
stated Certificate Balances.
PRICING DATE: July [ ], 1999.
SETTLEMENT DATE: July [ ], 1999 through DTC, [Euroclear or CEDEL].
DENOMINATIONS: $1,000 and multiples of $1 above $1,000
CUT-0FF DATE: Open of business June 1, 1999.
DATED DATE: July 1, 1999.
RECORD DATE: With respect to any Distribution Date, the last day of the
month immediately preceding the calendar month in which such
Distribution Date occurs.
DISTRIBUTION DATE: The 18th of each month, or the next Business Day if the 18th
of the month is not a Business Day. The first Distribution
Date is August 18, 1999.
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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.
<PAGE>
TRUST The Trust property is held by the Trustee for the
PROPERTY: benefit of the certificateholders and the Certificate
Insurer. The Trust property includes:
(i) A pool of closed-end, fixed rate and adjustable
rate home equity loans transferred to the Trust at the
Settlement Date secured by first lien deeds of trust or
mortgages primarily on one- to four-family residential
properties (the "Home Equity Loans"),
(ii) Payments on the home equity loans due after the
related Cut-Off date;
(iii) Property that secured a home equity loan which
has been acquired by foreclosure or deed in lieu of
foreclosure.
HOME EQUITY LOANS: o The Home Equity Loans are divided into two Loan
Groups. Loan Group F consists of fixed rate, first
lien, home equity loans (the "Fixed Rate Home Equity
Loans"), and Loan Group A consists of first lien,
hybrid and 6 month-LIBOR adjustable rate home equity
loans (the "Adjustable Rate Home Equity Loans").
o Each Loan Group is divided into two subgroups
("Subgroup I" and "Subgroup II").
o SUBGROUP I OF LOAN GROUP F consists of approximately
$180 MM of conforming balance eligible Fixed Rate
Home Equity Loans.
o Subgroup II OF LOAN GROUP F consists of
approximately $52.5 MM of Fixed Rate Home Equity
Loans without any regard to loan balance
limitations.
o SUBGROUP I OF LOAN GROUP A consists of approximately
$453 MM of conforming balance eligible Adjustable
Rate Home Equity Loans.
o Subgroup II OF LOAN GROUP A consists of
approximately $255 MM of first lien, hybrid and 6
month-LIBOR adjustable rate home equity loans
without any regard to loan balance limitations.
o Loan Group F will have a single overcollateral-
ization target and its subgroups will step down
together. Similarly, Loan Group A will have a single
overcollateralization target and its subgroups
will step down together.
o The separate overcollateralization targets relating
to each Loan Group will step down independently.
CERTIFICATE o Classes A-1F, A-2F, A-IOF and B-IOF will receive
STRUCTURE: interest at their respective Certificate Rates
generated from the sum of all interest payments
collected from Loan Group F during the Due Period
related to a particular Distribution Date, less
applicable fees.
o Classes A-3A, A-4A, A-5A, A-IOA and B-IOA will
receive interest at their respective Certificates
Rates generated from the sum of all interest
payments collected from Loan Group A during the Due
Period related to a particular Distribution Date,
less applicable fees.
o Class B-1 will receive interest from both Loan
Groups F and A as specified below under "Interest on
the Offered Certificates".
o Classes A-1F, A-2F, A-3A, A-4A will receive
principal payments based upon a ratio of the
principal collected from Loans in the related
Subgroup 1, for Classes A-1F and A-3A ("Subgroup I
Certificates"), and from Loans in the related
Subgroup II, for Classes A-2F and A4A ("Subgroup II
Certificates"), to the principal collected from the
respective Loan Group, as described more fully under
section "Principal Distributions on the Offered
Certificates".
o Class A-5A will receive a pro rata share of
principal collected from Subgroup I and Subgroup II
of Loan Group A as described below under "Principal
Distributions on the Offered Certificates".
o Class B-1 will receive principal from Loan Group F
and Loan Group A according to the payment priority
specified below in sections "Principal Distributions
on the Offered Certificates" and "Cash Flow
Priority".
AAA CREDIT Credit enhancement to the AAA certificates will be in
ENHANCEMENT: the form of certificate guaranty insurance policies, a
triple-B rated bond, overcollateralization, and excess
amounts generated from Loan Group F and Loan Group A
for the Certificates, as applicable.
CERTIFICATE The Certificate Insurer will issue two certificate
INSURANCE POLICY: guaranty insurance policies (the "Policies") for the
benefit of the Class A Certificates. These policies
will unconditionally and irrevocably guarantee the
timely payment of interest on and the ultimate payment
of the principal amount of the related class of Class A
Certificates.
If for any reason the Certificate Insurer does not make
the payments required in the related policy, the
holders of the related Offered Certificates will rely
solely on the home equity loans for their payments of
interest and principal and certificateholders may
suffer a loss.
OVERCOLLATERALIZATION: The Certificates will be overcollateralized from the
ASSUMPTIONS: Settlement Date by 1.25%, in the case of Loan Group F,
and 1.15%, in the case of Loan Group A, of the
principal balance of the related Loan Group at the
Cut-Off Date.
Overcollateralization will increase after the
Settlement Date until it reaches the Specified
Subordinated Amount for the related Loan Group by
distributing excess amounts generated from the related
Loan Group at each Distribution Date (except for such
amounts available for distribution on August 18, 1999,
related to interest collected on the Home Equity Loans
during July 1997) to the related classes of
Certificates (such amounts "Subordination Increase
Amounts").
The Specified Subordinated Amount for each Loan Group
with respect to a Distribution Date is (a) prior to the
Stepdown Date, the product of (i) 2.75% for Loan Group
F and 3.00% for Loan Group A and (ii) the sum of the
outstanding principal of the related Loan Group at
Cut-Off Date and the amount of Unrelated Liquidation
Loss Amounts applied to the Component Certificates
related to such Home Equity Loan Group, (b) on and
after the Stepdown Date, the greater of (i) the lesser
of (x) the amount specified in clause (a) above and (y)
the product of 5.50% for Loan Group F and 6.00% for
Loan Group A and the sum of the outstanding principal
balance of the related Home Equity Loans as of the end
of the related Due Period and the amount of Unrelated
Liquidation Loss Amounts applied to the Component
Certificates related to such Loan Group and (ii) the
sum of $________ with respect to Group F and $________
with respect to Group A and the outstanding principal
balance of all Home Equity Loans in the related Loan
Group that are greater than 270 days delinquent;
[provided, however, that on each Distribution Date
during the continuance of a Trigger Event, the
Specified Subordinated Amount will equal the Specified
Subordinated Amount in effect as of the Distribution
Date immediately preceding the date on which such
Trigger Event first occurred].
ALLOCATING Subordination Increase Amounts with respect to Loan
SUBORDINATION Group F will be allocated between Class A-1F and Class
INCREASE AMOUNTS A-2F Certificates as follows: (1) first, pro rata,
TO CLASS A based on cumulative Related Liquidation Loss Amounts in
CERTIFICATES: Subgroup I and Subgroup II of Loan Group F,
respectively, until Subordination Increase Amounts in
an amount equal to such cumulative Related Liquidation
Loss Amounts has been paid to the Class A-1F
Certificates and Class A-2F Certificates on such
Distribution Date or on prior Distribution Dates and
(2) second, the remainder, pro rata to Class A-1F and
Class A-2F based upon the percentage that the
outstanding balance of Home Equity Loans in Subgroup I
or Subgroup II, respectively, represent of the
outstanding balance of all Home Equity Loans in Loan
Group F.
Subordination Increase Amounts with respect to Loan
Group A will be allocated among Class A-3A, Class A-4A
and Class A-5A Certificates as follows: (1) first, an
amount equal to the product of (a) the Class A-5A
Percentage (as defined under "Principal Distributions
on the Offered Certificates") and (b) the related
Subordination Increase Amount, will be paid to the
Class A-5A Certificates, (2) second, pro rata, based on
cumulative Related Liquidation Loss Amounts in the
Subgroup I and Subgroup II of Loan Group A,
respectively, until Subordination Increase Amounts in
an amount equal to such cumulative Related Liquidation
Loss Amounts has been paid to the Class A-3A
Certificates and Class A-4A Certificates on such
Distribution Date or on prior Distribution Dates and
(3) third, the remainder, pro rata to Class A-3A and
Class A-4A based upon the upon the percentage that the
outstanding balance of Home Equity Loans in Subgroup I
or Subgroup II, respectively, represent of the
outstanding balance of all Home Equity Loans in Loan
Group A.
STEPDOWN DATE: The later of (i) the 37th Distribution Date or (ii)
the Distribution Date on which only 50% of the
Certificates issued from a respective Loan Group remain
outstanding.
TRIPLE-A RATED Loan Group F will support one triple-A rated interest
INTEREST ONLY only certificate, the Class A-IOF, and Loan Group A
CERTIFICATES: will support another triple-A rated interest only
certificate, the Class A-IOA. Each triple-A rated IO
will have a fixed notional balance (a "Notional
Balance") equal to the lesser of (i) approximately
9.50% of the principal balance at the Cut-Off Date of
the respective Loan Group and (ii) at any Distribution
Date, the outstanding principal balance of the
respective Loan Group. The Class A-IOF and Class A-IOA
will have a Certificate Rate according to the following
schedule:
MONTH CERTIFICATE RATE
1-12 5.50%
13-24 4.00%
25-30 2.50%
These Certificates will be paid interest on each of the
first 30 Distribution Dates, after which no interest
will be payable on these Certificates. See "Interest on
the Offered Certificates" for more details.
UNRATED INTEREST Loan Group F will support an unrated interest only
ONLY CERTIFICATES: certificate, the Class B-IOF, with a Certificate Rate
of 7.00% and Notional Balance equal to the lesser of
(i) $8 MM and (ii) the outstanding principal balance of
Loan Group F. Loan Group A will support another unrated
interest only certificate, the Class B-IOF, with a
Certificate Rate of 7.00% and Notional Balance equal to
the lesser of (i) $25 MM and (ii) the outstanding
principal balance of Loan Group A.
These Certificates will be paid interest pari passu
with the Class B-1 on each of the first 36 Distribution
Dates, after which no interest will be payable on these
Certificates. See "Interest on the Offered
Certificates" for more details.
CLASS B-1 The Class B-1 Certificate will consist of two component
COMPONENT certificates (the "Class B-1F Component Certificate"
CERTIFICATES: and "Class B-1A Component Certificate", respectively,
and together the "Class B-1 Component Certificates") to
which interest, principal payments, Related Liquidation
Loss Amounts and Unrelated Liquidation Loss Amounts
will be allocated. The sum of amounts paid to each of
the Class B-1 Component Certificates will be paid to
the Class B-1 Certificates. The components may not be
traded separately.
The Original Class B-1F Component Certificate Balance
is approximately $14 MM, and the Original Class B-1A
Component Certificate Balance is approximately $43 MM.
The Class B-1F Component Balance and Class B-1A
Component Balance at any Distribution Date will equal
the Original Class B-1F Component Certificate Balance
and Original Class B-1A Component Certificate Balance,
respectively, less the sum of (i) principal payments
and (ii) Related Liquidation Loss Amounts and Unrelated
Liquidation Loss Amounts, as applicable, applied on all
prior Distribution Dates.
At any Distribution Date, the Class B-1 Certificate
Balance will be equal to the sum of the Class B-1F
Component Balance and Class B-1A Component Balance.
Calculation of the Senior Enhancement Percentage, as
specified below, for each of Loan Group F and Loan
Group A will reference the Class B-1F Component
Balance and Class B-1A Component Balance,
respectively.
CLASS A-3A, CLASS Each of these Certificates will be subject to an
A-4A, CLASS A-5A available funds cap equal to the weighted average
AVAILABLE FUNDS coupon across Home Equity Loans in the related Loan
CAP: Group less the sum of: (a) an amount, expressed as an
annual percentage rate across the outstanding principal
balance of such Loan Cap: Group, equal to the sum of
the Servicing Fee on the related Loans, the Trustee Fee
on the related aggregate outstanding Certificate
Balances, and the Certificate Insurer Fee on the
related aggregate outstanding Class A Certificate
Balances, in each Case payable with respect to the
related Distribution Date, (b) interest payable on
Class A-IOA and Class B-IOA Certificates and (c) a
0.50% credit enhancement carve out.
CLASS B-1 The Class B-1F Component Certificate and the Class B-1
COMPONENT A Component Certificate will each be subject to
CERTIFICATE AVAILABLE separate available funds caps, each of which is equal
FUNDS CAPS: to the weighted average coupon across Home Equity Loans
in the related Loan Group less the sum of: (a) an
amount, expressed as an annual percentage rate across
the outstanding principal balance of the related Loan
Group, equal to the sum of the Servicing Fee, the
Trustee Fee on the related outstanding Certificate
Balance, and the Certificate Insurer Fee on the
aggregate outstanding principal balance of the related
Class A Certificates, in each case payable with respect
to the related Distribution Date, (b) interest payable
on the related Class A Certificates, (c) the interest
payable on the Class B-IOF Certificates, in the case of
the Class B-1F Component Certificate, and the Class
B-IOA Certificates, in the case of the Class B-1A
Component Certificate, and (d) a 0.50% credit
enhancement carve out.
AVAILABLE FUNDS In the event that interest collections for a
CAP CARRYOVER: Distribution Date are insufficient to make the required
interest payments on any floating rate certificates due
to the Available Funds Cap, the unpaid interest due
amount will be carried forward to the succeeding
Distribution Date (the "Carry Forward Amount"). To the
extent legally permissible, the Carry Forward Amount at
the succeeding Distribution Date will include interest
on the Carry Forward Amount, calculated at the
applicable Certificate Rate. The Certificate Insurer
will not insure payment of any Carry Forward Amounts.
DELINQUENCY Each month the Servicer will determine the amount of
ADVANCES, SERVICING any unpaid interest and principal due on the Home
ADVANCES AND Equity Loans due to delinquent payments. If the
COMPENSATING Servicer believes that such unpaid interest and
INTEREST: principal can be recovered, then the Servicer will
advance such unpaid interest (net of the Servicing Fee)
and principal to the Trust. The Servicer will also pay
expenses in connection with loss mitigation strategies.
The Trust will reimburse the Servicer for such advances
and expenses from future collections on the related
home equity loan.
The Servicer will provide to the Trust any shortfall in
the anticipated collection of interest on the Home
Equity Loans (net of the Servicing Fee) that is caused
by a full prepayment of a Home Equity Loan up to the
amount of the Servicing Fee.
DUE PERIOD: The Due Period with respect to any Distribution Date is
the period beginning the 2nd day of the calendar month
preceding the calendar month of such Distribution Date
and ending on the 1st of the calendar month of such
Distribution Date.
INTEREST ACCRUAL The Interest Accrual Period for all fixed rate
PERIOD: certificates for any Distribution Date is the calendar
month immediately preceding the Distribution Date,
assumed to consist of 30 days regardless of the actual
number of days in the month. The Interest Accrual
Period for all floating rate certificates for any
Distribution Date is the actual number of days in the
period beginning on the previous Distribution Date (or
the Settlement Date, for the first Distribution Date)
and ending on the day immediately preceding such
Distribution Date.
INTEREST ON THE Interest will accrue for the fixed rate certificates on
OFFER CERTIFICATES: the outstanding Class A-1F Principal Balance, Class
A-2F Principal Balance, Class A-IOF Notional Balance,
Class A-IOA Notional Balance, Class B-IOF Notional
Balance, and Class B-IOA Notional Balance. Interest due
to certificateholders on these fixed rate certificates
each Distribution Date is equal to 1/12 multiplied by
the applicable Certificate Rate (stated as an annual
percentage) multiplied by the applicable Certificate or
Notional Balance.
Interest will accrue on the floating rate certificates
on the outstanding Class A-3A Principal Balance, Class
A-4A Principal Balance, Class A-5A Principal Balance,
the Class B-1F Component Balance and the Class B-1A
Component Balance, as applicable, for any Distribution
Date over the related Interest Accrual Period. Interest
on the floating rate certificates will accrue on an
Actual/360 basis at the applicable Certificate Rate on
the applicable Certificate Balance.
The Certificate Balance for any class at any
Distribution Date is equal to the Original Certificate
Balance of such class less the sum of (i) all amounts
paid as principal and (ii) any Related Liquidiation
Loss Amounts and Unrelated Liquidiation Loss Amounts
applied to such class, as applicable, on all prior
Distribution Dates.
The Notional Balance for any interest only certificate
at any Distribution Date is equal to the lesser of (i)
the Notional Balance specified at the Settlement Date
and (ii) the outstanding principal balance of the Fixed
Rate Home Equity Loans or Adjustable Rate Home Equity
Loans, as applicable, at such Distribution Date.
DISTRIBUTIONS: The Available Interest Distribution Amount for Loan
Group F and Loan Group A, for any Distribution Date,
will consist of all interest due to and received by the
Trust on Home Equity Loans in Loan Group F and Loan
Group A, respectively, for the Due Period, less the
Servicing Fee of 0.50% per annum, related to such
Distribution Date.
The Available Principal for distribution to the Offered
Certificates for each Loan Group consists of the sum of
(i) The principal portion of all scheduled monthly
payments on the Home Equity Loans in the related
Loan Group actually received by the Servicer
during the related Due Period, related Delinquency
Advances with respect to principal for the related
Due Period, and any full or partial prepayments of
principal received by the Servicer on such Loans
during the Due Period to the extent such amounts
are received by the Trustee;
(ii) The outstanding principal balance of each Home
Equity Loan in the related Loan Group repurchased
by the Originator or purchased by the Servicer or
majority holders of the Class X-IOF Certificate or
Class X-IOA Certificate during the Due Period;
(iii) The excess, if any, of the outstanding principal
balance of a Home Equity Loan in the related Loan
Group being replaced over the outstanding
principal balance of a Qualified Substitute Home
Equity Loan plus accrued and unpaid interest and
advances;
(iv) All Net Liquidation Proceeds actually collected by
or on behalf of the Servicer during the Due Period
with respect to Liquidated Home Equity Loans in
the related Loan Group;
(v) The amount of any excess collections required to
be distributed to satisfy the required level of
overcollateralization applicable to the respective
Loan Group;
(vi) The principal portion of the proceeds received by
the Trustee with respect to the related Loan Group
upon termination of the Trust;
Less
Any decrease in the required level of
overcollateralization of the related Loan Group.
Distributions on the Offered Certificates will be made
as specified below under "Allocating Subordination
Increase Amounts to Class A Certificates", "Principal
Distributions on the Offered Certificates" and
"Certificate Cash Flow Priority".
PRINCIPAL Prior to the related Stepdown Date or if the related
DISTRIBUTIONS ON THE Delinquency Trigger is in effect, Available Principal
OFFERED CERTIFICATES: will generally be distributed first to the Class A
Certificates for each Loan Group until the Class A
Principal Balance is equal to zero, and then to the
Class B-1F Component Certificates and the Class B-1A
Component Certificates, as applicable, until the Class
B-1F Component Balance and the Class B-1A Component
Balance, respectively, equals zero. See "Certificate
Cash Flow Priority" for further details.
After the related Stepdown Date and if the related
Delinquency Trigger is not in effect, payments of
principal are distributed to the Offered Certificates
in the same general priority as described above except
as necessary to direct payments to maintain each of the
following credit enhancement targets, which provides
double the initial enhancement percentage at the
Settlement Date, expressed as a percent of the
outstanding balance of the related Loan Group, for each
class of Certificates:
<TABLE>
<CAPTION>
CREDIT ENHANCEMENT PERCENTAGES
SENIOR CERTIFICATES CLASS B COMPONENTS
LOAN GROUP/COMPONENT F A B-1F B-1A
INITIALLY (AT SETTLEMENT DATE) -- -- ---- ----
<S> <C> <C> <C> <C>
Subordination 6.00% 6.00%
Overcollateralization 2.75% 3.00% 2.75% 3.00%
------- ------ ----- ------
Total Enhancement 8.75% 9.00% 2.75% 3.00%
AFTER STEPDOWN DATE
Subordination 12.00% 12.00%
Overcollateralization 5.50% 6.00% 5.50% 6.00%
------- ------- ------- -------
Total Enhancement 17.50% 18.00% 5.50% 6.00%
</TABLE>
The Classes A-1F and A-3A will be allocated
distributions of principal based on the ratio,
expressed as a percentage, (i) the numerator of such
ratio is the principal received from Home Equity Loans
in Subgroup I of the related Loan Group and (ii) the
denominator of such ratio is the principal received
from Home Equity Loans in the related Loan Group (such
ratio the "Subgroup I Principal Percentage" for the
related Loan Group).
The CLASSES A-2F AND A-4A WILL BE ALLOCATED
DISTRIBUTIONS of principal based on the ratio,
expressed as a percentage, (i) the numerator of such
ratio is the principal received from Home Equity Loans
in Subgroup II of the related Loan Group and (ii) the
denominator of such ratio is the principal received
from Home Equity Loans in the related Loan Group (such
ratio the "Subgroup II Principal Percentage" for the
related Loan Group).
The principal payable to Classes A-1F and A-2F at any
Distribution Date is equal to the product of (i) the
principal collected for Loan Group F and (ii) (a) for
Class A-1F, the Subgroup I Principal Percentage and
(b) for Class A-2F, the Subgroup II Principal
Percentage.
The principal payable to Class A-5A at any Distribution
Date is equal to the product of (i) the ratio,
expressed as a percentage (the "Class A-5A Percentage")
(a) the numerator of which is the Class A-5A Principal
Balance and (b) the denominator of which is the sum of
the Class A-3A Principal Balance, Class A-4A Principal
Balance and Class A-5A Principal Balance; and (ii) the
principal collected for Loan Group A.
The principal payable to Class A-3A and A-4A at any
Distribution Date is equal to the product of (i) the
principal collected for Loan Group A and (ii) (a) for
Class A-3A, the Subgroup I Principal Percentage and (b)
for Class A-4A, the Subgroup II Principal Percentage;
and (iii) (100% - Class A-5A Percentage).
The principal payable to Class B-1 at any Distribution
Date is equal to the sum of principal payable to the
Class B-1F Component Certificate and Class B-1A
Component Certificate at such Distribution Date. The
Class B-1 Component Certificates will not receive any
principal payments prior to the related Stepdown Date.
After the related Stepdown Date, principal will be
payable to each Class B-1 Component Certificate in an
amount necessary to reduce the respective Component
Balance so that all related Certificates satisfy the
Credit Enhancement Percentages specified above in the
table.
LOSSES ON If Net Liquidation Proceeds from Liquidated Loans in
LIQUIDATED HOME the respective Due Period are less than the Scheduled
EQUITY LOANS: Principal Balance of such Liquidated Loans plus accrued
and unpaid interest thereon, the deficiency (a "Related
Liquidation Loss Amount") will be absorbed by the Class
X Certificates related to the Loan Group of such
Liquidated Loans and then, as necessary, by the
applicable Class B-1 Component Certificates. Class B-1
absorbs such Related Liquidation Loss Amounts through
amortization, without payment, of the Class B-1F
Component Balance, to the extent such Liquidated Loans
are from Loan Group F, and of the Class B-1A Component
Balance, to the extent such Liquidated Loans are from
Loan Group A.
Furthermore, to the extent that Related Liquidation
Loss Amounts in a Loan Group at any Distribution Date
are in excess of the sum of (i) amounts available to be
absorbed by the related Class X Certificates and (ii)
the related Class B-1 Component Balance, such excess
Related Liquidation Loss Amounts ("Unrelated
Liquidation Loss Amounts") will be absorbed by the
unrelated Class B-1 Component Certificate, not to
exceed the unrelated Class B-1 Component Certificate
Balance.
Such Related Liquidation Loss Amounts and Unrelated
Liquidation Loss Amounts allocated to the applicable
Class B-1 Component Certificates will be repaid on
future Distribution Dates to the extent funds are
available as detailed below under section "Certificate
Cash Flow Priority".
DELINQUENCY If 125% of 90+ delinquencies for a respective Loan
TRIGGERS: Group equals or exceeds the Senior Enhancement
Percentage for such Loan Group (as set forth in the
table above under section "Principal Distributions on
the Offered Certificates"), the required over
collateralization level will step up to 125% of 90+
delinquencies for such Loan Group.
OPTIONAL PURCHASE The majority holders of the Class X-IOF and Class X-IOA
OF DEFAULTED HOME Certificates have the option, but not the obligation,
EQUITY LOANS: to purchase from the Trust any Fixed Rate Home Equity
Loan or Adjustable Rate Home Equity Loan, respectively,
that becomes 90 days or more delinquent.
OPTIONAL CALL: On any date when the outstanding principal balance of
all certificates issued is less than 10% of their
principal balances at the Cut-Off Date, the majority
holder of the Class X-IOF Certificates will have the
right to purchase the Home Equity Loans from the Trust.
Any such purchase would cause the termination of the
Trust.
ERISA: The Class A Certificates will be ERISA eligible. Other
classes will NOT be ERISA eligible.
SMMEA: The Class A Certificates will constitute "mortgage
related securities" for the purposes of the Secondary
Mortgage Market Enhancement Act of 1984 ("SMMEA") for
so long as they are rated not lower than the second
highest rating category by a Rating Agency and, as
such, will be legal investments for certain entities to
the extent provided in SMMEA. Other classes will NOT be
SMMEA eligible.
FEDERAL TAX The Trust will contain two segregated asset pools with
CONSEQUENCES: respect to which elections will be made to treat each
as a separate "real estate mortgage investment conduit"
(a "REMIC") for federal income tax purposes.
Furthermore, the Offered Certificates will constitute
"regular interests" in a REMIC and will be treated as
debt instruments of such REMIC for federal income tax
purposes with payment terms equivalent to the terms of
such certificates.
CERTIFICATE RATINGS: Before the Offered Certificates can be issued, the
Trust must obtain the following ratings: all Class A
Certificates will be rated "AAA" by Standard and
Poor's, a Division of The McGraw Hill Companies, Inc.
("S&P"), "Aaa" by Moody's Investors Service ("Moody's")
and "AAA" by Duff & Phelps Credit Rating Co. ("DCR");
the Class A-IOF Certificates and Class A-IOA
Certificates will be rated "AAAr" by S&P, and "AAA" by
DCR; and the Class B-1 Certificates will be rated
"Baa3" by Moody's and "BBB" by DCR.
- ----------------------
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.
<PAGE>
CERTIFICATE CASH FLOW PRIORITY
FROM THE AVAILABLE INTEREST DISTRIBUTION AMOUNT AND AVAILABLE PRINCIPAL
GENERATED BY LOAN GROUP F AND INCLUDING ANY FUNDS FROM A DRAW ON THE RELATED
POLICY:
1. To pay the Trustee Fee to the Trustee and the Certificate Insurer Fee to the
Certificate Insurer;
2. To pay Current Interest to the Class A-1F Certificates, the Class A-2F
Certificates and the Class A-IOF Certificates;
3. To pay Current Interest pari passu to the Class B-1F Component Certificate
and the B-IOF Certificates;
4. To reimburse the Certificate Insurer for any amounts due under the related
Certificate Insurance Policy;
5. To pay the Class A-1F Principal Distribution Amount to the Class A-1F
Certificates and the Class A-2F Principal Distribution Amount to the Class A-2F
Certificates;
6. To pay the Class B-1F Component Principal Distribution Amount to the Class
B-1F Component Certificate;
7. To reimburse any Unrelated Liquidation Loss Amounts allocated to the Class
B-1F Component Certificates to the Class B-1F Component Certificate;
8. To reimburse any Related Liquidation Loss Amounts allocated to the Class B-1F
Component Certificate to the Class B-1F Component Certificate;
9. To pay any Carry Forward Amount to the Class B-1F Component Certificate;
10. To reimburse the Servicer for Servicing Advances, Delinquency Advances and
unreimbursed Compensating Interest;
11. To reimburse the Trustee of certain expenses incurred by the Trustee;
12. Any remaining collections to the Non-Offered Certificates, as applicable.
FROM THE AVAILABLE INTEREST DISTRIBUTION AMOUNT AND AVAILABLE PRINCIPAL
GENERATED BY LOAN GROUP A AND INCLUDING ANY FUNDS FROM A DRAW ON THE RELATED
POLICY:
1. To pay the Trustee Fee to the Trustee and the Certificate Insurer Fee to the
Certificate Insurer;
2. To pay Current Interest to the Class A-3A Certificates, the Class A-4A
Certificates, the Class A-5A Certificates and the Class A-IOA Certificates;
3. To pay Current Interest pari passu to the Class B-1A Component Certificates
and the B-IOA Certificates;
4. To reimburse the Certificate Insurer for any amounts due under the related
Certificate Insurance Policy;
5. To pay the Class A-3A Principal Distribution Amount to the Class A-3A
Certificates, the Class A-4A Principal Distribution Amount to the Class A-4A
Certificates and the Class A-5A Principal Distribution Amount to the Class A-5A
Certificates;
6. To pay the Class B-1A Component Principal Distribution Amount to the Class
B-1A Component Certificate;
7. To reimburse any Unrelated Liquidation Loss Amounts allocated to the Class
B-1A Component Certificate to the Class B-1A Component Certificate;
8. To reimburse any Related Liquidation Loss Amounts allocated to the Class B-1A
Component Certificate to the Class B-1A Component Certificate;
9. To pay any Carry Forward Amount to the Class A-3A Certificates, Class A-4A
Certificates and the Class A-5A Certificates;
10. To pay any Carry Forward Amount to the Class B-1A Component Certificate;
11. To reimburse the Servicer for Servicing Advances, Delinquency Advances and
unreimbursed Compensating Interest;
12. To reimburse the Trustee of certain expenses incurred by the Trustee;
13. Any remaining collections to the Non-Offered Certificates, as applicable.
- ----------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
<PAGE>
SENSITIVITY TABLES
<TABLE>
<CAPTION>
CLASS A-1F (TO CALL)
- ---------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE (YEARS) 18.9 6.5 3.6 3.0 2.3 1.6
MODIFIED DURATION 9.4 4.5 2.9 2.4 2.0 1.4
FIRST PRICNIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 3/18/99 2/18/14 6/18/09 5/18/07 11/18/05 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 343 174 118 93 75 52
- -----------------------------------------------------------------------------------------------
CLASS A-2F (TO CALL)
- -----------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -----------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 19.8 6.6 3.7 3.0 2.4 1.6
MODIFIED DURATION 9.6 4.6 2.9 2.4 2.0 1.4
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 3/18/28 2/18/14 6/18/09 5/18/07 11/18/07 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 343 174 118 93 75 52
- ------------------------------------------------------------------------------------------------
CLASS A-3A (TO CALL)
- ------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- ------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.2 4.9 3.6 2.8 2.2 1.5
MODIFIED DURATION 11.6 3.8 3.0 2.4 2.0 1.4
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 3/18/28 2/18/14 6/18/09 5/18/07 11/18/05 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 343 174 118 93 75 52
- -------------------------------------------------------------------------------------------------
CLASS A-4A (TO CALL)
- -------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.2 4.9 3.6 2.8 2.2 1.5
MODIFIED DURATION 11.5 3.8 2.9 2.4 2.0 1.4
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 3/18/28 2/18/14 6/18/09 5/18/07 11/18/05 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 343 174 118 93 75 52
- --------------------------------------------------------------------------------------------------
CLASS A-5A (TO CALL)
- --------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- --------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.2 4.9 3.6 2.8 2.2 1.5
MODIFIED DURATION 11.5 3.8 2.9 2.4 2.0 1.4
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 3/18/28 2/18/14 6/18/09 5/18/07 11/18/05 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 343 174 118 93 75 52
- --------------------------------------------------------------------------------------------------
CLASS B-1 (TO CALL)
- --------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 26.9 9.5 6.5 5.2 4.4 3.7
MODIFIED DURATION 10.3 6.1 4.7 4.0 3.5 3.1
FIRT PRINCIPAL PAYMENT 8/18/21 8/18/03 8/18/02 8/18/02 8/18/02 9/18/02
LAST PRINCIPAL PAYMENT 3/18/28 2/18/14 6/18/09 5/18/07 11/18/05 12/18/03
PRINCIPAL LOCKOUT (MONTHS) 264 48 36 36 36 37
PRINCIPAL WINDOW (MONTHS) 79 126 82 57 39 15
- -------------------------------------------------------------------------------------------------
</TABLE>
- ----------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
<PAGE>
<TABLE>
<CAPTION>
CLASS A-1F (TO MATURITY)
- -------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
AVERAGE LIFE (YEARS) 18.9 7.2 3.9 3.3 2.6 1.8
MODIFIED DURATION 9.4 4.7 3.0 2.6 2.1 1.5
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 1/18/29 12/18/27 8/18/20 5/18/17 9/18/13 9/18/09
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 353 340 252 213 169 121
- --------------------------------------------------------------------------------------------------
CLASS A-2F (TO MATURITY)
- --------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 19.8 7.4 4.0 3.3 2.6 1.8
MODIFIED DURATION 9.6 4.8 3.0 2.6 2.1 1.5
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 1/18/29 12/18/27 8/18/20 5/18/17 9/18/13 9/18/09
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 353 340 252 213 169 121
- -------------------------------------------------------------------------------------------------
CLASS A-3A (TO MATURITY)
- -------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.3 5.2 3.9 3.0 2.4 1.7
MODIFIED DURATION 11.6 3.9 3.1 2.5 2.1 1.5
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 2/18/29 8/18/25 2/18/21 12/18/16 11/18/13 8/18/09
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 354 312 258 208 171 120
- --------------------------------------------------------------------------------------------------
CLASS A-4A (TO MATURITY)
- --------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.2 5.2 3.9 3.0 2.4 1.7
MODIFIED DURATION 11.5 3.9 3.1 2.5 2.1 1.5
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 2/18/29 9/18/25 3/18/21 2/18/17 12/18/13 9/18/09
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 354 313 259 210 172 121
- -------------------------------------------------------------------------------------------------
CLASS A-5A (TO MATURITY)
- -------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 21.2 5.2 3.9 3.0 2.4 1.7
MODIFIED DURATION 11.5 3.9 3.1 2.5 2.1 1.5
FIRT PRINCIPAL PAYMENT 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
LAST PRINCIPAL PAYMENT 2/18/29 9/18/25 3/18/21 2/18/17 12/18/13 9/18/09
PRINCIPAL LOCKOUT (MONTHS) 0 0 0 0 0 0
PRINCIPAL WINDOW (MONTHS) 354 313 259 210 172 121
- -------------------------------------------------------------------------------------------------
CLASS B-1 (TO MATURITY)
- -------------------------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------------------------
AVERAGE LIFE (YEARS) 26.9 10.2 6.9 5.6 4.7 3.9
MODIFIED DURATION 10.3 6.3 4.8 4.1 3.7 3.2
FIRT PRINCIPAL PAYMENT 8/18/21 8/18/03 8/18/02 8/18/02 8/18/02 9/18/02
LAST PRINCIPAL PAYMENT 12/18/28 1/18/24 10/18/14 11/18/11 5/18/09 6/18/06
PRINCIPAL LOCKOUT (MONTHS) 264 48 36 36 36 37
PRINCIPAL WINDOW (MONTHS) 88 245 146 111 81 45
- -------------------------------------------------------------------------------------------------
</TABLE>
- ----------------------
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
<PAGE>
DECREMENT TABLES
CLASS A-1F
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 97 87 77 73 67 57
7/18/01 96 77 59 53 43 30
7/18/02 95 67 45 37 27 14
7/18/03 94 59 35 29 21 11
7/18/04 93 51 28 22 14 7
7/18/05 91 44 22 16 10 4
7/18/06 89 39 17 12 7 2
7/18/07 87 35 14 9 5 1
7/18/08 85 30 11 7 3 0
7/18/09 83 27 8 5 2 0
7/18/10 81 23 6 4 1 0
7/18/11 78 20 5 3 1 0
7/18/12 75 18 4 2 0 0
7/18/13 72 15 3 1 0 0
7/18/14 69 13 2 1 0 0
7/18/15 65 11 2 0 0 0
7/18/16 63 10 1 0 0 0
7/18/17 59 9 1 0 0 0
7/18/18 56 7 0 0 0 0
7/18/19 52 6 0 0 0 0
7/18/20 48 5 0 0 0 0
7/18/21 44 4 0 0 0 0
7/18/22 40 4 0 0 0 0
7/18/23 35 3 0 0 0 0
7/18/24 30 2 0 0 0 0
7/18/25 24 1 0 0 0 0
7/18/26 18 1 0 0 0 0
7/18/27 11 0 0 0 0 0
7/18/28 4 0 0 0 0 0
Average Life: 18.9 7.2 3.9 3.3 2.6 1.8
First Prin Pay: 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
Last Prin Pay: 1/18/29 12/18/27 8/18/20 5/18/17 9/18/13 9/18/09
- ----------------------
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.
<PAGE>
CLASS A-2F
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 98 87 77 73 67 57
7/18/01 97 77 59 53 44 30
7/18/02 96 68 45 37 27 14
7/18/03 95 59 36 29 21 12
7/18/04 94 52 28 22 15 7
7/18/05 93 45 22 16 10 4
7/18/06 91 40 18 12 7 2
7/18/07 90 35 14 9 5 1
7/18/08 88 31 11 7 3 0
7/18/09 86 28 9 5 2 0
7/18/10 84 24 7 4 1 0
7/18/11 82 22 5 3 1 0
7/18/12 80 19 4 2 0 0
7/18/13 77 16 3 1 0 0
7/18/14 74 14 2 1 0 0
7/18/15 71 12 2 0 0 0
7/18/16 68 11 1 0 0 0
7/18/17 65 9 1 0 0 0
7/18/18 61 8 0 0 0 0
7/18/19 57 7 0 0 0 0
7/18/20 53 6 0 0 0 0
7/18/21 48 5 0 0 0 0
7/18/22 43 4 0 0 0 0
7/18/23 38 3 0 0 0 0
7/18/24 33 2 0 0 0 0
7/18/25 27 2 0 0 0 0
7/18/26 20 1 0 0 0 0
7/18/27 13 0 0 0 0 0
7/18/28 5 0 0 0 0 0
Average Life: 19.8 7.4 4.0 3.3 2.6 1.8
First Prin Pay: 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
Last Prin Pay: 1/18/29 12/18/27 8/18/20 5/18/17 9/18/13 9/18/09
- ----------------------
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.
<PAGE>
CLASS A-3A
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 97 80 74 69 63 52
7/18/01 97 66 57 49 41 27
7/18/02 96 54 43 34 26 12
7/18/03 96 45 35 27 20 11
7/18/04 95 38 28 20 14 6
7/18/05 94 32 22 15 10 4
7/18/06 94 27 17 11 7 2
7/18/07 93 23 14 8 5 1
7/18/08 92 19 11 6 3 0
7/18/09 90 16 9 4 2 0
7/18/10 89 13 7 3 1 0
7/18/11 88 11 5 2 1 0
7/18/12 86 9 4 2 0 0
7/18/13 84 8 3 1 0 0
7/18/14 82 6 3 1 0 0
7/18/15 80 5 2 0 0 0
7/18/16 77 4 1 0 0 0
7/18/17 74 4 1 0 0 0
7/18/18 70 3 1 0 0 0
7/18/19 66 2 0 0 0 0
7/18/20 62 2 0 0 0 0
7/18/21 57 1 0 0 0 0
7/18/22 51 1 0 0 0 0
7/18/23 45 1 0 0 0 0
7/18/24 39 0 0 0 0 0
7/18/25 32 0 0 0 0 0
7/18/26 24 0 0 0 0 0
7/18/27 16 0 0 0 0 0
7/18/28 6 0 0 0 0 0
Average Life: 21.3 5.2 3.9 3.0 2.4 1.7
First Prin Pay: 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
Last Prin Pay: 2/18/29 8/18/25 2/18/21 12/18/16 11/18/13 8/18/09
- ----------------------
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.
<PAGE>
CLASS A-4A
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 97 80 74 69 63 52
7/18/01 96 66 57 49 41 27
7/18/02 96 54 43 34 26 12
7/18/03 95 44 35 27 20 11
7/18/04 95 38 28 20 14 6
7/18/05 94 32 22 15 10 4
7/18/06 93 27 17 11 7 2
7/18/07 92 23 14 8 5 1
7/18/08 91 19 11 6 3 0
7/18/09 90 16 9 5 2 0
7/18/10 89 13 7 3 1 0
7/18/11 88 11 5 2 1 0
7/18/12 86 9 4 2 0 0
7/18/13 84 8 3 1 0 0
7/18/14 82 7 3 1 0 0
7/18/15 79 5 2 0 0 0
7/18/16 77 4 1 0 0 0
7/18/17 74 4 1 0 0 0
7/18/18 70 3 1 0 0 0
7/18/19 66 2 0 0 0 0
7/18/20 62 2 0 0 0 0
7/18/21 57 1 0 0 0 0
7/18/22 51 1 0 0 0 0
7/18/23 45 1 0 0 0 0
7/18/24 39 0 0 0 0 0
7/18/25 32 0 0 0 0 0
7/18/26 24 0 0 0 0 0
7/18/27 16 0 0 0 0 0
7/18/28 6 0 0 0 0 0
Average Life: 21.2 5.2 3.9 3.0 2.4 1.7
First Prin Pay: 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
Last Prin Pay: 2/18/29 9/18/25 3/18/21 2/18/17 12/18/13 9/18/09
- ----------------------
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.
<PAGE>
CLASS A-5A
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 97 80 74 69 63 52
7/18/01 97 66 57 49 41 27
7/18/02 96 54 43 34 26 12
7/18/03 96 45 35 27 20 11
7/18/04 95 38 28 20 14 6
7/18/05 94 32 22 15 10 4
7/18/06 93 27 17 11 7 2
7/18/07 93 23 14 8 5 1
7/18/08 92 19 11 6 3 0
7/18/09 90 16 9 5 2 0
7/18/10 89 13 7 3 1 0
7/18/11 88 11 5 2 1 0
7/18/12 86 9 4 2 0 0
7/18/13 84 8 3 1 0 0
7/18/14 82 6 3 1 0 0
7/18/15 80 5 2 0 0 0
7/18/16 77 4 1 0 0 0
7/18/17 74 4 1 0 0 0
7/18/18 70 3 1 0 0 0
7/18/19 66 2 0 0 0 0
7/18/20 62 2 0 0 0 0
7/18/21 57 1 0 0 0 0
7/18/22 51 1 0 0 0 0
7/18/23 45 1 0 0 0 0
7/18/24 39 0 0 0 0 0
7/18/25 32 0 0 0 0 0
7/18/26 24 0 0 0 0 0
7/18/27 16 0 0 0 0 0
7/18/28 6 0 0 0 0 0
Average Life: 21.2 5.2 3.9 3.0 2.4 1.7
First Prin Pay: 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99 8/18/99
Last Prin Pay: 2/18/29 9/18/25 3/18/21 2/18/17 12/18/13 9/18/09
- ----------------------
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.
<PAGE>
CLASS B-1
(TO MATURITY)
- -------------------------------------------------------------------------------
ARMs (CPR) 0% 15% 20% 25% 30% 40%
FIXED (PPC) 0% 50% 100% 120% 150% 200%
- -------------------------------------------------------------------------------
Initial Percent 100 100 100 100 100 100
7/18/00 100 100 100 100 100 100
7/18/01 100 100 100 100 100 100
7/18/02 100 100 100 100 100 100
7/18/03 100 100 79 62 46 25
7/18/04 100 89 63 46 32 14
7/18/05 100 79 50 34 22 5
7/18/06 100 67 39 26 15 0
7/18/07 100 58 31 19 7 0
7/18/08 100 49 25 13 3 0
7/18/09 100 42 19 7 0 0
7/18/10 100 36 14 3 0 0
7/18/11 100 31 10 0 0 0
7/18/12 100 26 6 0 0 0
7/18/13 100 22 3 0 0 0
7/18/14 100 18 0 0 0 0
7/18/15 100 14 0 0 0 0
7/18/16 100 11 0 0 0 0
7/18/17 100 8 0 0 0 0
7/18/18 100 5 0 0 0 0
7/18/19 100 3 0 0 0 0
7/18/20 100 2 0 0 0 0
7/18/21 100 2 0 0 0 0
7/18/22 98 1 0 0 0 0
7/18/23 95 0 0 0 0 0
7/18/24 83 0 0 0 0 0
7/18/25 68 0 0 0 0 0
7/18/26 52 0 0 0 0 0
7/18/27 33 0 0 0 0 0
7/18/28 10 0 0 0 0 0
Average Life: 26.9 10.2 6.9 5.6 4.7 3.9
First Prin Pay: 8/18/21 8/18/03 8/18/02 8/18/02 8/18/02 9/18/02
Last Prin Pay: 12/18/28 1/18/24 10/18/14 11/18/11 5/18/09 6/18/06
- ----------------------
<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.
