|
|
|
|
|
|
|
|
|
|
Previous: ASSET BACKED SECURITIES CORP, 8-K, 2000-08-25 |
Next: ASSET BACKED SECURITIES CORP, 8-K, EX-99.2, 2000-08-25 |
EXHIBIT 99.1
TERM SHEET DATED AUGUST 16, 2000
ASSET BACKED SECURITIES CORPORATION
DEPOSITOR
[GRAPHIC OMITTED]
SELLER/SERVICER
(A SUBSIDIARY OF)
[GRAPHIC OMITTED]
ASSET BACKED SECURITIES CORPORATION, LONG BEACH HOME EQUITY LOAN TRUST,
SERIES 2000-LB1
$1,500,000,000 (APPROXIMATE)
**Subject to Revision**
SELLER/SERVICER: Long Beach Mortgage Company ("Long Beach")
TRUSTEE: [To be determined]
LEAD UNDERWRITER: Credit Suisse First Boston Corporation
CO-UNDERWRITERS: Lehman Brothers
Morgan Stanley Dean Witter
Prudential Securities
Salomon Smith Barney
OFFERED CERTIFICATES:
OFFERED SECURITIES
MODIFIED
AVERAGE LIFE FIRST LAST DURATION
CLASS TRANCHE TYPE PRINCIPAL RATINGS (M/F) (YRS)(1) PAY PAY(1) (YRS)(1)
----------------------------------------------------------------------------------------------
FIXED RATE LOAN GROUP
----------------------------------------------------------------------------------------
AF1 SENIOR 104,800,000 Aaa/AAA 0.85 9/00 2/02 0.79
----------------------------------------------------------------------------------------
AF2 SENIOR 73,500,000 Aaa/AAA 2.00 2/02 3/03 1.79
----------------------------------------------------------------------------------------
AF3 SENIOR 34,700,000 Aaa/AAA 3.00 3/03 3/04 2.59
----------------------------------------------------------------------------------------
AF4 SENIOR 42,200,000 Aaa/AAA 4.97 3/04 3/08 3.93
----------------------------------------------------------------------------------------
AF5 SENIOR 22,300,000 Aaa/AAA 7.56 3/08 3/08 5.47
----------------------------------------------------------------------------------------
AF6 SENIOR 37,500,000 Aaa/AAA 5.80 10/02 3/08 4.48
----------------------------------------------------------------------------------------
M1F Mezzanine 25,313,000 Aa2/AA 5.48 9/03 3/08 4.20
----------------------------------------------------------------------------------------
M2F Mezzanine 19,687,000 A2/A 5.48 9/03 3/08 4.14
----------------------------------------------------------------------------------------
BF Subordinate 14,062,000 Baa3/[BBB] 5.48 9/03 3/08 4.04
----------------------------------------------------------------------------------------
ADJUSTABLE RATE LOAN GROUP
---------------------------------------------------------------------------------------
AV SENIOR 911,250,000 Aaa/AAA 2.33 9/00 03/08 1.97
---------------------------------------------------------------------------------------
M1V Mezzanine 84,375,000 Aa2/AA 5.01 1/04 03/08 4.02
---------------------------------------------------------------------------------------
M2V Mezzanine 64,687,000 A2/A 4.93 10/03 03/08 3.90
---------------------------------------------------------------------------------------
BV Subordinate 56,250,000 Baa3/[BBB] 4.87 9/03 03/0 3.73
---------------------------------------------------------------------------------------
(1) To 10% call.
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.
[GRAPHIC OMITTED]
CUT-OFF DATE: August 1, 2000.
EXPECTED PRICING: Week of August 21, 2000.
EXPECTED SETTLEMENT: Thursday, August 31, 2000 (the actual date
of closing, the "Closing Date").
RECORD DATE: With respect to any Distribution Date, for
the Fixed Rate Certificates the last day of
the month immediately preceding the
calendar month in which such Distribution
Date occurs and for the Floating Rate
Certificates the business day immediately
preceding the distribution date.
DISTRIBUTION DATE: The 21st day of each month (or if such 21st
day is not a business day, the next
succeeding business day) commencing on
September 21, 2000.
CROSS COLLATERALIZATION: None.
ERISA: The Class A Certificates for both groups
are ERISA eligible. Other classes may not
be ERISA eligible.
SMMEA: After the end of the pre-funding period,
the Class A and Class M1 Certificates for
both groups are expected to constitute
"mortgage related securities" for the
purposes of the Secondary Mortgage Market
Enhancement Act of 1984 ("SMMEA"). Other
classes will not be SMMEA eligible.
TAX STATUS -- REMIC: Two "REMICs" for federal income tax
purposes.
CERTIFICATE RATING: It is a condition to the issuance
of the Class A Certificates for both groups
that they receive ratings of "AAA" if rated
by Standard & Poor's, a division of the
McGraw Hill Companies, Inc. ("S&P") or by
Fitch Inc ("Fitch") and "Aaa" if rated by
Moody's Investors Service, Inc.
("Moody's"), that the Class M1 Certificates
receive a rating of "AA" if rated by S&P or
Fitch and "Aa2" if rated by Moody's, that
the M2 Certificates receive a rating of at
least "A" if rated by S&P or Fitch and "A2"
if rated by Moody's, and that the Class B
Certificates receive a rating of at least
"BBB-" if rated by S&P or Fitch and "Baa3"
if rated by Moody's.
OPTIONAL REDEMPTION: The master servicer or an affiliate has the
right to exercise the 10% optional clean-up
call.
ADDITIONAL COLLATERAL AND
OTHER TRUST PROPERTY: The data set forth below with respect to
each Sub-Pool is based solely on the loans
identified for inclusion in each Sub-Pool
as of the related Cut-off Date ("Initial
Home Equity Loans"). Certain additional
loans will be identified for inclusion into
each Sub-Pool prior to the Closing Date
("Additional Home Equity Loans"). During
the 90 days following the Closing Date, the
Trust Fund will purchase subsequent loans
("Subsequent Home Equity Loans").
PRE-FUNDING FEATURE: On the Closing Date, a portion of
the proceeds from the sale of the
Certificates (the "Pre-Funded Amount") will
be deposited with the Trustee in a
segregated account (the "Pre-Funding
Account") and used by the Trust to purchase
Subsequent Home Equity Loans during the
Pre-Funding Period. Any amounts remaining
in the Pre-Funding Account following the
Pre-Funding Period will be (i) paid in
respect of the Class AF Certificates in the
case of amounts which had been allocated to
fund the purchase of Subsequent Home Equity
Loans that are Group I Fixed Rate Home
Equity Loans, (ii) paid in respect of the
Class AV Certificates in the case of
amounts which had been allocated to fund
the purchase of Subsequent Home Equity
Loans that are Group II Adjustable Rate
Home Equity Loans.
P& I ADVANCES: Unless the Servicer determines that any
proposed advance is not recoverable from
the related Home Equity Loan, the Servicer
will be required to advance principal and
interest on the related Home Equity Loans.
The above analysis is not intended to be a prospectus and any
investment decision with respect to the security should be made by you based
solely upon all of the information contained in the final prospectus. Under no
circumstances shall the information presented constitute an offer to sell or the
solicitation of an offer to buy nor shall there be any sale of the securities in
any jurisdiction in which such offer, solicitation or sale would be unlawful
prior to registration or qualification under the securities laws of such
jurisdiction. The securities may not be sold nor may an offer to buy be accepted
prior to the delivery of a final prospectus relating to the securities. The
above preliminary description of the underlying assets has been provided by the
issuer and has not been independently verified by Credit Suisse First Boston.
All information described above is preliminary, limited in nature and subject to
completion or amendment. Credit Suisse First Boston makes no representations
that the above referenced security will actually perform as described in any
scenario presented.
[GRAPHIC OMITTED]
CREDIT ENHANCEMENT:
CREDIT ENHANCEMENT TABLES
FIXED RATE LOAN GROUP
----------------------------------------------------------------------------
AAA AA A BBB
ENHANCEMENT ENHANCEMENT ENHANCEMENT ENHANCEMENT
PERCENTAGE PERCENTAGE PERCENTAGE PERCENTAGE
----------------------------------------------------------------------------
Initially
(After OC buildup)
Subordination 15.75% 9.00% 3.75%
Overcollateralization 2.50% 2.50% 2.50% 2.50%
Total Enhancement 18.25% 11.50% 6.25% 2.50%
After Anticipated
Stepdown
Subordination 31.50% 18.00% 7.50%
Overcollateralization 5.00% 5.00% 5.00% 5.00%
Total Enhancement 36.50% 23.00% 12.50% 5.00%
----------------------------------------------------------------------------
ADJUSTABLE RATE LOAN GROUP
----------------------------------------------------------------------------
AAA AA A BBB
ENHANCEMENT ENHANCEMENT ENHANCEMENT ENHANCEMENT
PERCENTAGE PERCENTAGE PERCENTAGE PERCENTAGE
----------------------------------------------------------------------------
Initially (After OC
buildup)
Subordination 18.25% 10.75% 5.00%
Overcollateralization 2.00% 2.00% 2.00% 2.00%
Total Enhancement 20.25% 12.75% 7.00% 2.00%
After Anticipated
Stepdown
Subordination 36.50% 21.50% 10.00%
Overcollateralization 4.00% 4.00% 4.00% 4.00%
Total Enhancement 40.50% 25.50% 14.00% 4.00%
-----------------------------------------------------------------------------
OVERCOLLATERALIZATION: Fixed Rate Loan Group: An initial
overcollateralization of [0.25]% building
to [2.50]% of original principal balance,
stepping down on the Stepdown Date to
[5.00]% of the then current principal
balance, subject to the
Overcollateralization Floor.
Adjustable Rate Loan Group: [0.75]% initial
overcollateralization building to [2.00]%
of original principal balance, stepping
down on the Stepdown Date to [4.00]% of the
then current principal balance, subject to
the Overcollateralization Floor.
Overcollateralization Floor: 0.50% of the
respective pool balance at the Cut-Off Date
plus 100% of the outstanding principal
balance of all loans in the respective Loan
Groups that are greater than 270 days
delinquent.
CAP RESERVE FUND: If required a Cap may be provided by a "AA"
rated institution to help reduce the basis
risk inherent in the floating rate
securities. The cap payments may be applied
to the extent needed to pay interest and
principal on the securities and/or to
achieve the required level of
overcollateralization.
INTEREST DISTRIBUTIONS: Interest Collections (net of the Servicing
Fee) will generally be allocated in the
following priority:
Fixed Rate Cash Flows
1. Trustee Fee
2. Class AF1-Class AF6 current
interest plus unpaid interest shortfalls
3. M1F current interest
4. M2F current interest
5. Pari-Passu BF current interest and
Fixed unrated IO interest
6. Principal in accordance with "Principal
Distributions" as described below.
7. Build fixed-rate overcollateralization
to the target level
8. Unpaid interest shortfalls and
reimbursements of principal writedowns
in that order first to the Class M1F,
then to the Class M2F, then to Class BF,
and then to Class B-IOF.
9. Reimbursement for prepayment interest
shortfalls first to the Class AF, then
to the Class M1F, then to the Class M2F
and then to Class BF.
Floating Rate Cash Flows
1. Trustee Fee
2. Cap Premium
3. Class AV current interest plus unpaid
interest shortfalls
4. M1V current interest
5. M2V current interest
6. Pari-Passu BV current interest and ARM
unrated IO interest
7. Principal in accordance with "Principal
Distributions" as described below.
8. Build adjustable-rate
overcollateralization to the target
level
9. Unpaid interest shortfalls and
reimbursements of principal writedowns
in that order first to the Class M1V,
then to the Class M2V, then to Class BV,
and then to Class B-IOV
10. Reimbursement for prepayment interest
shortfalls first to the Class AV, then
to the Class M1V, then to the Class M2V
and then to Class BV
11. Reimbursement of basis risk carryforward
first to the Class AV, then to the
Class M1V, then to the Class M2V, and
then to the Class BV
PRINCIPAL DISTRIBUTIONS: Collections of Principal before the Stepdown
Date, or if a Trigger Event exists, will be
allocated in the following priority:
Fixed Rate Cashflows
1. Pay the Class AF certificates to zero
2. Pay Classes M1F, M2F and BF sequentially
to zero
Floating Rate Cashflows
1. Pay Class AV to zero
2. Pay Classes M1V, M2V and BV sequentially
to zero
Collections of Principal on and after the
Stepdown Date, and if a Trigger Event does
not exist, will be allocated in the
following priority:
Fixed Rate Cashflows
1. Pay the Class AF certificates to their
targeted enhancement level.
2. Pay Classes M1F certificates to their
targeted enhancement level.
3. Pay Classes M2F certificates to their
targeted enhancement level.
4. Pay Classes BF certificates to their
targeted enhancement level.
Floating Rate Cashflows
1. Pay the Class AV certificates to their
targeted enhancement level.
2. Pay Classes M1V certificates to their
targeted enhancement level.
3. Pay Classes M2V certificates to their
targeted enhancement level.
4. Pay Classes BV certificates to their
targeted enhancement level.
Fixed Rate Class AF Cashflows
1. Pay AF6 (NAS) according to the
following Lockout Percentage of its
pro-rata share of the total Class AF
principal:
September 2000 - September 2002 0%
October 2002 - September 2004 20%
October 2004 - September 2005 80%
October 2005 - September 2006 100%
October 2006 and thereafter 300%
2. Pay AF1 to AF6 sequentially
Stepdown Date: the 37th Payment Date
(September 2003)
PRICING SPEED: 4.8% to 24.0% CPR over 12 months for fixed
rate home equity loans (120% PPC where PPC
equals 4% to 20% over 12 months). 27% CPR
for adjustable rate home equity loans.
SERVICING FEE: The servicing fee of 0.50% will be paid
before interest on all bonds.
AVAILABLE FUNDS CAP: Floating Rate Certificates will be subject
to Available Funds Cap The Certificates
will generally be subject to an available
funds cap equal to
For Classes AV, M1V, M2V, and BV: WAC of
Adjustable Rate Loan Group, as applicable,
LESS the sum of (expressed as a percentage
across outstanding balance of Adjustable
Rate Loan Group):
a) Applicable portion of the Servicing Fee,
the Trustee Fee and the Cap Premium
Payment;
b) For the first 30 Distribution Dates
only, the product of (i) [4.125]% and (ii)
the lesser of (x) $[90]MM and (y) the
outstanding balance of the Adjustable Rate
Loans (interest on non-offered B-IOV);
For Class AF5, AF6, M1F, M2F, and BF: WAC
of Fixed Rate Loan Groups LESS the sum of
(expressed as a percentage across
outstanding balance of Fixed Rate Loan
Group):
a) Applicable portion of the Servicing Fee
and the Trustee Fee;
b) For the first 30 Distribution Dates
only, the product of (i) [4.125]% and (ii)
the lesser of (x) $[31]MM and (y) the
outstanding balance of the Fixed Rate Loans
(interest on non-offered B-IOF);
AVAILABLE FUNDS CAP
CARRY FORWARD: If interest collections at a Distribution
Date are insufficient to make required
interest payments to the Floating Rate
Certificates due to the Available Funds
Cap, amounts unpaid to the Floating Rate
Certificates will be carried forward to the
next Distribution Date (the "Carry Forward
Amount"). Carry Forward Amounts at the next
Distribution Date will include interest on
the Carry Forward Amount, calculated at the
applicable Certificate Rate.
COUPON STEP-UPS: On the Distribution Date after the earliest
date on which the optional clean up call
can be exercised, the margin on Class AV
floating rate certificates will double and
the margin on the M1V, M2V, and BV
certificates will go up by 50%, the Class
AF5 coupon will increase by 0.50%.
FIXED UNRATED IO: For the first 30 Distribution Dates only,
the product of (i) [4.125]% and (ii) the
lesser of (x) $[31.0]MM and (y) the
outstanding balance of the Fixed Rate Loans
(interest on non-offered B-IOF).
ARM UNRATED IO: For the first 30 Distribution Dates only,
the product of (i) [4.125]% and (ii) the
lesser of (x) $[90]MM and (y) the
outstanding balance of the Adjustable Rate
Loans (interest on non-offered B-IOV);
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.
[GRAPHIC OMITTED]
0 PPC, 0% CPR 50 PPC, 15% CPR 120 PPC, 27% CPR 150 PPC, 35% CPR 200PPC, 45% CPR
--------------------- ------------------ --------------------- ------------------- ---------------------
FIRST LAST FIRST LAST FIRST LAST FIRST LAST FIRST LAST
WAL PAY PAY WAL PAY PAY WAL PAY PAY WAL PAY PAY WAL PAY PAY
------------- ------- ----------- ------ ------ ------ ------- ---- ------- ------ ------- ------ ------
TO
CALL
AF1 11.53 9/00 8/19 1.56 9/00 9/03 0.85 9/00 2/02 0.74 9/00 11/01 0.62 9/00 9/01
AF2 21.30 8/19 3/24 4.52 9/03 1/07 2.00 2/02 3/03 1.65 11/01 9/02 1.30 9/01 4/02
AF3 24.57 3/24 3/26 8.76 1/07 10/11 3.00 3/03 3/04 2.35 9/02 4/03 1.79 4/02 8/02
AF4 26.56 3/26 3/28 13.85 10/11 9/15 4.97 3/04 3/08 3.45 4/03 6/05 2.25 8/02 3/03
AF5 28.09 3/28 6/29 15.06 9/15 9/15 7.56 3/08 3/08 5.57 6/05 5/06 2.79 3/03 10/04
AF6 14.91 10/02 3/29 7.40 10/02 9/15 5.80 10/02 3/08 5.03 10/02 5/06 3.85 10/02 10/04
M1F 25.68 12/22 3/29 11.83 2/07 9/15 5.48 9/03 3/08 4.46 11/03 5/06 4.00 4/04 10/04
M2F 25.67 12/22 1/29 11.83 2/07 9/15 5.48 9/03 3/08 4.40 10/03 5/06 3.69 12/03 10/04
BF 25.63 12/22 10/28 11.83 2/07 9/15 5.48 9/03 3/08 4.38 9/03 5/06 3.55 10/03 10/04
TO
MATURITY
AF1 11.53 9/00 8/19 1.56 9/00 9/03 0.85 9/00 2/02 0.74 9/00 11/01 0.62 9/00 9/01
AF2 21.30 8/19 3/24 4.52 9/03 1/07 2.00 2/02 3/03 1.65 11/01 9/02 1.30 9/01 4/02
AF3 24.57 3/24 3/26 8.76 1/07 10/11 3.00 3/03 3/04 2.35 9/02 4/03 1.79 4/02 8/02
AF4 26.56 3/26 3/28 14.62 10/11 8/19 5.00 3/04 12/08 3.45 4/03 6/05 2.25 8/02 3/03
AF5 28.09 3/28 6/29 22.87 8/19 3/28 11.74 12/08 1/19 8.40 6/05 5/15 2.79 3/03 2/05
AF6 14.91 10/02 3/29 7.45 10/02 1/28 5.97 10/02 10/18 5.70 10/02 2/15 5.53 10/02 4/11
M1F 25.68 12/22 3/29 13.55 2/07 12/26 6.27 9/03 11/15 5.15 11/03 9/12 4.52 4/04 5/09
M2F 25.67 12/22 1/29 13.48 2/07 11/25 6.19 9/03 5/14 5.03 10/03 6/11 4.14 12/03 6/08
BF 25.63 12/22 10/28 13.21 2/07 11/23 5.98 9/03 4/12 4.83 9/03 11/09 3.89 10/03 4/07
------------- ------- ---------- ------- ------ ------ ------------ ------- ------ ------- ------ ----
--------------------------------------------------------------------------------------------------
0 PPC, 0% CPR 50 PPC, 15% CPR 120 PPC, 27% CPR 150 PPC, 35% CPR 200PPC, 45% CPR
--------------------------------------------------------------------------------------------------
FIRST LAST FIRST LAST FIRST LAST FIRST LAST FIRST LAST
WAL PAY PAY WAL PAY PAY WAL PAY PAY WAL PAY PAY WAL PAY PAY
--------------------------------------------------------------------------------------------------
TO
CALL
AV 21.27 9/00 7/29 4.52 9/00 9/15 2.33 9/00 03/08 1.58 9/00 5/06 1.01 9/00 5/03
M1V 27.55 6/25 7/29 9.14 10/04 9/15 5.01 1/04 3/08 4.62 6/04 5/06 3.51 5/03 10/04
M2V 27.55 6/25 7/29 9.14 10/04 9/15 4.93 10/03 3/08 4.16 1/04 5/06 4.04 4/04 10/04
BV 27.55 6/25 7/29 9.08 10/04 9/15 4.87 9/03 3/08 3.97 9/03 5/06 3.54 10/03 10/04
TO
MATURITY
AV 21.33 9/00 8/30 4.76 9/00 3/27 2.51 9/00 12/16 1.71 9/00 10/12 1.01 9/00 5/03
M1V 27.70 6/25 7/30 9.75 10/04 4/24 5.47 1/04 4/14 4.93 6/04 9/10 4.63 5/03 6/09
M2V 27.69 6/25 6/30 9.65 10/04 6/22 5.32 10/03 11/12 4.43 1/04 9/09 4.39 4/04 3/07
BV 27.66 6/25 5/30 9.28 10/04 8/19 5.06 9/03 1/11 4.08 9/0 4/08 3.63 10/03 3/06
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.
[GRAPHIC OMITTED]
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, thirty-six month, or sixty 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 information concerning the Initial Home Equity Loans presented below is based actual balances on a pool originated through July 31, 2000. The issuer intends to acquire and sell Additional Home Equity Loans to the Trust on the Closing Date and Subsequent Loans to the Trust thereafter. Although the characteristics of the final pool of Home Equity Loans will differ from the characteristics of the Initial Home Equity Loans shown below, the issuer does not expect that the characteristics of the Additional and Subsequent Home Equity Loans sold to the Trust will vary materially from those of the Initial Home Equity Loans herein.
FIXED RATE HOME EQUITY LOANS
Number of Loans: 2,639
Wgt. Avg. Contract Rate 10.75%
Range of Rates: 7.50% to 14.99%
Wgt. Avg. Orig. Maturity: 340.96 months
Wgt. Avg. Rem. Maturity: 339.04 months
Avg. Rem. Principal Balance: $84,400
Wgt. Avg. Orig. LTV: 74.47%
ADJUSTABLE RATE HOME EQUITY LOANS
Number of Loans: 7,104
Wgt. Avg. Contract Rate 10.67%
Range of Rates: 7.99% to 15.10%
Wgt. Avg. Orig. Maturity: 359.99 months
Wgt. Avg. Rem. Maturity: 359.16 months
Avg. Rem. Principal Balance: $123,563
Wgt. Avg. Orig. LTV: 78.16%
Wgt. Avg. Margin: 6.34%
Wgt. Avg. Life Floor: 10.67%
Wgt. Avg. Life Cap: 16.68%
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.
[GRAPHIC OMITTED]
% of Group I-F
Number of Aggregate Original Loans by Original
Principal Balance at Origination Loans Principal Balance Principal Balance
-------------------------------- --------- ------------------ ------------------
$ 0.01 - $ 10,000.00 1 $10,000 0.00%
$ 10,000.01 - $ 20,000.00 32 612,125 0.27
$ 20,000.01 - $ 30,000.00 205 5,384,162 2.41
$ 30,000.01 - $ 40,000.00 318 11,324,952 5.08
$ 40,000.01 - $ 50,000.00 334 15,163,174 6.80
$ 50,000.01 - $ 60,000.00 339 18,853,116 8.45
$ 60,000.01 - $ 70,000.00 288 18,712,625 8.39
$ 70,000.01 - $ 80,000.00 198 14,811,167 6.64
$ 80,000.01 - $ 90,000.00 145 12,321,338 5.52
$ 90,000.01 - $100,000.00 117 11,209,333 5.02
$100,000.01 - $110,000.00 99 10,452,895 4.68
$110,000.01 - $120,000.00 80 9,201,071 4.12
$120,000.01 - $130,000.00 64 8,027,958 3.60
$130,000.01 - $140,000.00 61 8,233,930 3.69
$140,000.01 - $150,000.00 56 8,150,925 3.65
$150,000.01 - $160,000.00 38 5,914,905 2.65
$160,000.01 - $170,000.00 43 7,112,915 3.19
$170,000.01 - $180,000.00 27 4,723,975 2.12
$180,000.01 - $190,000.00 23 4,283,610 1.92
$190,000.01 - $200,000.00 19 3,719,650 1.67
$200,000.01 - $210,000.00 14 2,877,300 1.29
$210,000.01 - $220,000.00 17 3,668,400 1.64
$220,000.01 - $230,000.00 16 3,611,610 1.62
$230,000.01 - $240,000.00 8 1,878,597 0.84
$240,000.01 - $250,000.00 6 1,479,150 0.66
$250,000.01 - $350,000.00 54 15,460,790 6.93
$350,000.01 - $450,000.00 22 8,567,300 3.84
$450,000.01+ 15 7,359,770 3.30
Total(1) 2,639 $223,126,742 100.0%
-------------------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group I-F
Remaining Number of Aggregate Remaining Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
------------------ -------- ------------------- -----------------
$ 0.01 - $ 10,000.00 1 $9,982 0.00%
$ 10,000.01 - $ 20,000.00 32 606,463 0.27
$ 20,000.01 - $ 30,000.00 205 5,357,969 2.41
$ 30,000.01 - $ 40,000.00 318 11,305,218 5.08
$ 40,000.01 - $ 50,000.00 336 15,221,720 6.83
$ 50,000.01 - $ 60,000.00 337 18,728,526 8.41
$ 60,000.01 - $ 70,000.00 289 18,751,342 8.42
$ 70,000.01 - $ 80,000.00 199 14,878,242 6.68
$ 80,000.01 - $ 90,000.00 143 12,138,672 5.45
$ 90,000.01 - $100,000.00 118 11,294,316 5.07
$100,000.01 - $110,000.00 99 10,449,612 4.69
$110,000.01 - $120,000.00 81 9,313,506 4.18
$120,000.01 - $130,000.00 64 8,028,564 3.60
$130,000.01 - $140,000.00 59 7,963,999 3.58
$140,000.01 - $150,000.00 57 8,287,410 3.72
$150,000.01 - $160,000.00 37 5,757,634 2.58
$160,000.01 - $170,000.00 43 7,104,927 3.19
$170,000.01 - $180,000.00 27 4,715,262 2.12
$180,000.01 - $190,000.00 24 4,470,317 2.01
$190,000.01 - $200,000.00 18 3,522,070 1.58
$200,000.01 - $210,000.00 14 2,875,392 1.29
$210,000.01 - $220,000.00 17 3,665,544 1.65
$220,000.01 - $230,000.00 16 3,605,599 1.62
$230,000.01 - $240,000.00 8 1,877,836 0.84
$240,000.01 - $250,000.00 6 1,476,416 0.66
$250,000.01 - $350,000.00 54 15,413,184 6.92
$350,000.01 - $450,000.00 22 8,557,589 3.84
$450,000.01+ 15 7,355,580 3.30
Total(1) 2,639 $222,732,892 100.0%
-----------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
State Loans Principal Balance Principal Balance
----- ---------- ------------------ ------------------
Alabama 78 $4,839,018 2.17%
Alaska 2 189,795 0.09
Arizona 55 4,270,980 1.92
Arkansas 26 1,198,864 0.54
California 309 38,069,410 17.09
Colorado 69 7,126,819 3.20
Connecticut 10 1,488,278 0.67
Delaware 1 22,294 0.01
Florida 208 13,795,220 6.19
Georgia 56 4,044,237 1.82
Hawaii 48 9,502,711 4.27
Idaho 7 562,688 0.25
Illinois 49 4,203,490 1.89
Indiana 35 1,885,010 0.85
Iowa 24 1,394,831 0.63
Kentucky 16 929,073 0.42
Louisiana 73 3,955,566 1.78
Maine 3 153,531 0.07
Maryland 19 2,031,790 0.91
Massachusetts 54 7,433,008 3.34
Michigan 118 8,047,193 3.61
Minnesota 28 2,159,927 0.97
Mississippi 46 2,634,880 1.18
Missouri 40 2,706,581 1.22
Montana 8 527,558 0.24
Nebraska 29 1,889,644 0.85
Nevada 11 1,193,377 0.54
New Hampshire 8 828,012 0.37
New Jersey 16 2,528,155 1.14
New Mexico 16 1,558,789 0.70
New York 195 23,299,425 10.46
North Carolina 89 6,317,709 2.84
Ohio 143 9,905,286 4.45
Oklahoma 68 3,238,360 1.45
Oregon 45 4,131,085 1.85
Pennsylvania 52 2,669,935 1.20
Rhode Island 13 955,133 0.43
South Carolina 43 2,841,428 1.28
South Dakota 5 260,421 0.12
Tennessee 51 2,837,279 1.27
Texas 361 25,641,663 11.51
Utah 7 950,264 0.43
Virginia 36 2,863,368 1.29
Washington 24 2,586,599 1.16
Washington DC 12 989,758 0.44
West Virginia 23 1,311,992 0.59
Wisconsin 8 593,973 0.27
Wyoming 2 168,483 0.08
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Mortgage Rate Loans Principal Balance Principal Balance
------------- --------- ------------------ ----------------
7.500% to 7.999% 1 $57,196 0.03%
8.000% to 8.499% 35 4,168,132 1.87
8.500% to 8.999% 135 18,242,031 8.19
9.000% to 9.499% 105 11,348,645 5.10
9.500% to 9.999% 426 48,052,703 21.57
10.000% to 10.499% 183 17,063,734 7.66
10.500% to 10.999% 483 43,907,447 19.71
11.000% to 11.499% 204 14,229,595 6.39
11.500% to 11.999% 409 27,346,030 12.28
12.000% to 12.499% 163 9,767,085 4.39
12.500% to 12.999% 264 16,546,351 7.43
13.000% to 13.499% 76 4,229,252 1.90
13.500% to 13.999% 100 5,274,027 2.37
14.000% to 14.499% 35 1,704,104 0.77
14.500% to 14.999% 20 796,562 0.36
Total(1) 2,639 $222,732,892 100.0%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
---------------- -------- ------------------ -----------------
61 to 120 23 $950,062 0.43%
121 to 180 300 19,201,541 8.62
181 to 300 72 4,628,710 2.08
301 to 360 2,244 197,952,579 88.87
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
>
% of Group I-F
Original Loan-to-Value Number of Aggregate Remaining Loans by Remaining
Ratio Loans Principal Balance Principal Balance
---------------------- --------- ------------------- ------------------
50% or less 203 $11,872,407 5.33%
50.01% to 55.00% 75 5,880,286 2.64
55.01% to 60.00% 131 9,995,418 4.49
60.01% to 65.00% 230 17,791,477 7.99
65.01% to 70.00% 246 20,470,616 9.19
70.01% to 75.00% 397 31,787,414 14.27
75.01% to 80.00% 739 62,596,357 28.10
80.01% to 85.00% 527 51,450,476 23.10
85.01% to 90.00% 91 10,888,441 4.89
Total(1) 2,639 $222,732,892 100.00%
--------------
(1) Percentages do not add to 100% due to rounding.
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
------- --------- ----------------- ------------------
Fast Track 62 $5,935,689 2.66%
Full Documentation 2,220 187,611,362 84.23
Stated Income 357 29,185,841 13.10
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group I-F
Loans by
Number of Aggregate Remaining Remaining Principal
Purpose Loans Principal Balance Balance
------- -------- ------------------- ------------------
Purchase 767 $57,071,940 25.62%
Refinance Equity Take Out 1,343 112,318,620 50.43
Refinance No Cash Out 529 53,342,332 23.95
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
------------- --------- ------------------- ------------------
A- 1,260 $122,976,669 55.21%
B 426 37,085,476 16.65
B- 358 27,568,217 12.38
C 488 28,175,653 12.65
D 107 6,926,877 3.11
Total(1) 2,639 $222,732,892 100.00%
--------------
(1) Percentages do not add to 100% due to rounding.
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
------------- --------- ------------------- -----------------
2 to 4 units 93 $9,302,417 4.18%
Condo 101 7,983,522 3.58
Manufactured Home 186 12,075,140 5.42
Planned Unit Development 99 11,359,589 5.10
Single Family 2,156 181,842,209 81.64
Townhouse 4 170,014 0.08
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group I-F
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
---------------- --------- ------------------- -------------------
Non-Owner Occupied 267 $17,007,549 7.64%
Owner Occupied 2,354 204,233,313 91.69
Second Home 18 1,492,029 0.67
Total(1) 2,639 $222,732,892 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Principal Balance at Number of Aggregate Original Loans by Original
Origination Loans Principal Balance Principal Balance
-------------------- --------- ------------------ ------------------
$ 10,000.01 - $ 20,000.00 16 $307,250 0.03%
$ 20,000.01 - $ 30,000.00 172 4,530,508 0.52
$ 30,000.01 - $ 40,000.00 336 11,964,254 1.36
$ 40,000.01 - $ 50,000.00 479 21,774,149 2.48
$ 50,000.01 - $ 60,000.00 590 32,757,190 3.73
$ 60,000.01 - $ 70,000.00 573 37,494,446 4.27
$ 70,000.01 - $ 80,000.00 542 40,772,247 4.64
$ 80,000.01 - $ 90,000.00 525 44,729,233 5.09
$ 90,000.01 - $100,000.00 475 45,348,968 5.16
$100,000.01 - $110,000.00 400 42,028,398 4.79
$110,000.01 - $120,000.00 387 44,624,558 5.08
$120,000.01 - $130,000.00 307 38,397,336 4.37
$130,000.01 - $140,000.00 293 39,579,516 4.51
$140,000.01 - $150,000.00 232 33,718,613 3.84
$150,000.01 - $160,000.00 191 29,711,007 3.38
$160,000.01 - $170,000.00 176 29,204,234 3.33
$170,000.01 - $180,000.00 157 27,587,863 3.14
$180,000.01 - $190,000.00 114 21,162,924 2.41
$190,000.01 - $200,000.00 125 24,500,598 2.79
$200,000.01 - $210,000.00 96 19,692,397 2.24
$210,000.01 - $220,000.00 74 15,929,702 1.81
$220,000.01 - $230,000.00 65 14,634,064 1.67
$230,000.01 - $240,000.00 64 15,097,509 1.72
$240,000.01 - $250,000.00 62 15,230,038 1.73
$250,000.01 - $350,000.00 391 114,110,911 12.99
$350,000.01 - $450,000.00 166 65,327,879 7.44
$450,000.01 + 96 48,008,252 5.47
Total(1) 7,104 $878,224,044 100.00%
-------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Remaining Number of Aggregate Remaining Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
----------------- --------- ------------------- ------------------
$ 10,000.01 - $ 20,000.00 16 $303,866 0.03%
$ 20,000.01 - $ 30,000.00 173 4,555,238 0.52
$ 30,000.01 - $ 40,000.00 335 11,926,574 1.36
$ 40,000.01 - $ 50,000.00 479 21,761,410 2.48
$ 50,000.01 - $ 60,000.00 591 32,801,118 3.74
$ 60,000.01 - $ 70,000.00 572 37,415,326 4.26
$ 70,000.01 - $ 80,000.00 544 40,913,721 4.66
$ 80,000.01 - $ 90,000.00 524 44,628,388 5.08
$ 90,000.01 - $100,000.00 475 45,335,251 5.16
$100,000.01 - $110,000.00 400 42,019,705 4.79
$110,000.01 - $120,000.00 387 44,612,794 5.08
$120,000.01 - $130,000.00 309 38,651,579 4.40
$130,000.01 - $140,000.00 290 39,173,362 4.46
$140,000.01 - $150,000.00 232 33,706,885 3.84
$150,000.01 - $160,000.00 192 29,855,632 3.40
$160,000.01 - $170,000.00 176 29,201,883 3.33
$170,000.01 - $180,000.00 157 27,585,958 3.14
$180,000.01 - $190,000.00 113 20,974,889 2.39
$190,000.01 - $200,000.00 125 24,488,679 2.79
$200,000.01 - $210,000.00 96 19,684,403 2.24
$210,000.01 - $220,000.00 75 16,141,235 1.84
$220,000.01 - $230,000.00 65 14,637,996 1.67
$230,000.01 - $240,000.00 63 14,859,839 1.69
$240,000.01 - $250,000.00 62 15,223,429 1.73
$250,000.01 - $350,000.00 391 114,061,310 12.99
$350,000.01 - $450,000.00 167 65,736,768 7.49
$450,000.01 + 95 47,533,757 5.42
Total(1) 7,104 $877,790,996 100.00%
--------------
(1 Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
State Loans Principal Balance Principal Balance
----- --------- ------------------- -------------------
Alabama 65 $ 5,004,141 0.57%
Alaska 16 2,033,462 0.23
Arizona 162 17,076,692 1.95
Arkansas 27 1,818,874 0.21
California 1,397 272,777,937 31.08
Colorado 681 95,295,798 10.86
Connecticut 28 3,123,091 0.36
Delaware 3 190,597 0.02
Florida 270 25,664,617 2.92
Georgia 76 7,905,232 0.90
Hawaii 24 5,518,438 0.63
Idaho 52 4,300,813 0.49
Illinois 293 34,088,385 3.88
Indiana 92 6,101,598 0.70
Iowa 127 8,128,238 0.93
Kansas 41 2,661,018 0.30
Kentucky 19 1,230,592 0.14
Louisiana 3 481,950 0.05
Maine 30 2,852,522 0.32
Maryland 32 4,064,877 0.46
Massachusetts 185 31,385,717 3.58
Michigan 405 34,547,309 3.94
Minnesota 186 20,013,870 2.28
Mississippi 44 2,840,715 0.32
Missouri 135 8,984,891 1.02
Montana 35 3,293,429 0.38
Nebraska 120 8,323,955 0.95
Nevada 151 17,651,466 2.01
New Hampshire 22 2,105,675 0.24
New Jersey 62 9,491,824 1.08
New Mexico 44 4,545,747 0.52
New York 129 20,780,178 2.37
North Carolina 195 17,651,220 2.01
North Dakota 6 467,414 0.05
Ohio 277 21,651,144 2.47
Oklahoma 90 5,411,555 0.62
Oregon 241 29,528,035 3.36
Pennsylvania 50 3,592,010 0.41
Rhode Island 30 3,137,336 0.36
South Carolina 131 10,334,592 1.18
South Dakota 19 1,519,610 .17
Tennessee 74 6,119,045 .70
Texas 468 44,032,444 5.02
Utah 192 24,011,962 2.74
Vermont 4 260,850 .03
Virginia 48 4,876,353 0.56
Washington 260 35,291,824 4.02
Washington DC 11 1,464,056 0.17
West Virginia 7 478,079 0.05
Wisconsin 32 2,201,731 0.25
Wyoming 13 1,478,091 0.17
Total(1) 7,104 $877,790,996 100.00%
--------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Mortgage Rates Loans Principal Balance Principal Balance
-------------- --------- ------------------ -----------------
7.500% to 7.999% 1 $249,663 0.03%
8.000% to 8.499% 27 5,383,440 0.61
8.500% to 8.999% 215 36,658,449 4.18
9.000% to 9.499% 286 50,200,686 5.72
9.500% to 9.999% 1,218 195,980,538 22.33
10.000% to 10.499% 781 107,517,441 12.25
10.500% to 10.999% 1,709 216,291,863 24.64
11.000% to 11.499% 768 80,415,986 9.16
11.500% to 11.999% 1,012 97,008,180 11.05
12.000% to 12.499% 417 35,404,939 4.03
12.500% to 12.999% 422 36,126,310 4.12
13.000% to 13.499% 147 10,255,441 1.17
13.500% to 13.999% 78 5,058,409 0.58
14.000% to 14.499% 15 947,471 0.11
14.500% to 14.999% 7 262,980 0.03
15.000% to 15.499% 1 29,200 0.00
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
---------------- ---------- ------------------- ------------------
121 to 180 1 $44,855 0.01%
181 to 300 1 41,946 0.00
301 to 360 7,102 877,704,195 99.99
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Product Type Loans Principal Balance Principal Balance
------------ --------- ------------------- ------------------
2/28 LIBOR 6,335 791,148,915 90.13%
3/27 LIBOR 143 17,475,986 1.99
5/25 LIBOR 592 63,769,046 7.26
6mo adj/LIBOR 34 5,397,049 0.61
Total(1) 7,104 877,790,996 100.00%
--------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Original Loan-to-Value Number of Aggregate Remaining Loans by Remaining
Ratio Loans Principal Balance Principal Balance
---------------------- --------- ------------------- ------------------
50% or less 198 $18,934,241 2.16%
50.01% to 55.00% 103 9,924,068 1.13
55.01% to 60.00% 186 20,569,721 2.34
60.01% to 65.00% 449 48,252,652 5.50
65.01% to 70.00% 490 56,599,105 6.45
70.01% to 75.00% 1,000 107,331,182 12.23
75.01% to 80.00% 2,292 279,684,281 31.86
80.01% to 85.00% 2,009 271,142,316 30.89
85.01% to 90.00% 377 65,353,430 7.45
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Program Loans Principal Balance Principal Balance
------- --------- ------------------ ------------------
Fast Track 243 $41,696,808 4.75%
Full Doc 5,884 705,680,313 80.39
Stated Inc 977 130,413,876 14.86
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Purpose Loans Principal Balance Principal Balance
------- --------- ------------------- ------------------
Purchase 3,478 $408,482,969 46.54%
Refinance - No Cash Out 2,332 297,072,010 33.84
Refinance Equity Take-Out 1,294 172,236,017 19.62
Total(1) 7,104 $877,790 ,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Risk Category Loans Principal Balance Principal Balance
------------ --------- ------------------- ------------------
A- 2,869 $435,312,486 49.59%
B 1,045 130,618,878 14.88
B- 1,259 138,975,498 15.83
C 1,574 138,329,903 15.76
D 357 34,554,231 3.94
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Property Type Loans Principal Balance Principal Balance
------------- --------- ------------------- ------------------
2 to 4 units 208 $30,430,425 3.47%
Condo 406 48,593,197 5.54
Manufactured Homes 589 48,491,554 5.52
Planned Unit Development 458 80,754,661 9.20
Single Family 5,433 668,585,622 76.17
Townhouse 10 935,537 0.11
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
---------------- --------- ------------------- ------------------
Non-Owner Occupied 375 $34,936,929 3.98%
Owner Occupied 6,692 837,590,744 95.42
Second Home 37 5,263,323 0.60
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Month of Next Rate Number of Aggregate Remaining Loans by Remaining
Adjustment Loans Principal Balance Principal Balance
------------------ --------- ------------------- ------------------
October 2000 1 $229,752 0.03%
December 2000 16 2,571,452 0.29
January 2001 15 1,929,846 0.22
February 2001 2 666,000 0.08
August 2001 1 169,682 0.02
September 2001 28 3,821,218 0.44
October 2001 44 3,977,569 0.45
November 2001 14 1,271,362 0.14
December 2001 41 4,804,493 0.55
January 2002 73 8,696,769 0.99
February 2002 39 5,051,672 0.58
March 2002 132 19,248,207 2.19
April 2002 168 20,587,246 2.35
May 2002 241 31,393,727 3.58
June 2002 1,752 223,069,035 25.41
July 2002 2,235 274,933,425 31.32
August 2002 1,568 194,168,694 22.12
September 2002 6 357,820 0.04
October 2002 3 201,134 0.02
November 2002 3 273,061 0.03
December 2002 3 413,074 0.05
February 2003 3 306,275 0.03
March 2003 1 91,635 0.01
April 2003 4 545,705 0.06
May 2003 8 1,061,070 0.12
June 2003 13 2,305,411 0.26
July 2003 8 1,617,268 0.18
August 2003 90 10,259,350 1.17
December 2004 2 457,805 0.05
January 2005 6 647,133 0.07
February 2005 9 798,042 0.09
March 2005 13 1,691,055 0.19
April 2005 26 3,376,460 0.38
May 2005 153 16,014,225 1.82
June 2005 160 17,620,291 2.01
July 2005 157 16,048,355 1.83
August 2005 66 7,115,680 0.81
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Gross Margin Loans Principal Balance Principal Balance
------------ --------- ------------------- -----------------
4.000% to 4.499% 3 $648,565 0.07%
4.500% to 4.999% 4 653,945 0.07
5.000% to 5.499% 147 20,524,768 2.34
5.500% to 5.999% 1,804 245,318,547 27.95
6.000% to 6.499% 1,573 176,637,515 20.12
6.500% to 6.999% 3,545 431,468,826 49.15
7.000% to 7.499% 18 1,606,394 0.18
7.500% to 7.999% 10 932,436 0.11
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Maximum Rate Loans Principal Balance Principal Balance
------------ --------- ------------------- -------------------
13.500% to 13.999% 1 $249,663 0.03%
14.000% to 14.499% 27 5,383,440 0.61
14.500% to 14.999% 214 36,574,543 4.17
15.000% to 15.499% 286 50,200,686 5.72
15.500% to 15.999% 1,206 194,081,667 22.11
16.000% to 16.499% 777 106,712,237 12.16
16.500% to 16.999% 1,714 217,568,629 24.79
17.000% to 17.499% 766 80,350,622 9.15
17.500% to 17.999% 1,017 97,483,082 11.11
18.000% to 18.499% 421 36,158,194 4.12
18.500% to 18.999% 425 36,223,553 4.13
19.000% to 19.499% 148 10,305,776 1.17
19.500% to 19.999% 79 5,259,254 0.60
20.000% to 20.499% 15 947,471 0.11
20.500% to 20.999% 7 262,980 0.03
21.000% to 21.499% 1 29,200 0.00
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
% of Group II-A
Number of Aggregate Remaining Loans by Remaining
Minimum Rate Loans Principal Balance Principal Balance
------------ --------- ------------------- -----------------
7.500% to 7.999% 1 $249,663 0.03%
8.000% to 8.499% 27 5,383,440 0.61
8.500% to 8.999% 215 36,658,449 4.18
9.000% to 9.499% 286 50,200,686 5.72
9.500% to 9.999% 1,218 195,980,538 22.33
10.000% to 10.499% 781 107,517,441 12.25
10.500% to 10.999% 1,710 216,358,841 24.65
11.000% to 11.499% 767 80,349,009 9.15
11.500% to 11.999% 1,013 97,086,930 11.06
12.000% to 12.499% 417 35,404,939 4.03
12.500% to 12.999% 421 36,047,560 4.11
13.000% to 13.499% 147 10,255,441 1.17
13.500% to 13.999% 78 5,058,409 0.58
14.000% to 14.499% 15 947,471 0.11
14.500% to 14.999% 7 262,980 0.03
15.000% + 1 29,200 0.00
Total(1) 7,104 $877,790,996 100.00%
---------------
(1) Percentages do not add to 100% due to rounding.
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.
[GRAPHIC OMITTED]
AVAILABLE AVAILABLE AVAILABLE
PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP
------ ---- --------- ------ ---- --------- ------ ---- ----------
1 9/21/00 9.88 41 1/21/04 13.04 81 5/21/07 16.06
2 10/21/00 9.65 42 2/21/04 13.62 82 6/21/07 16.06
3 11/21/00 9.63 43 3/21/04 13.71 83 7/21/07 16.06
4 12/21/00 9.61 44 4/21/04 13.95 84 8/21/07 16.11
5 1/21/01 9.60 45 5/21/04 13.95 85 9/21/07 16.12
6 2/21/01 9.59 46 6/21/04 13.95 86 10/21/07 16.13
7 3/21/01 9.58 47 7/21/04 13.96 87 11/21/07 16.13
8 4/21/01 9.56 48 8/21/04 14.55 88 12/21/07 16.13
9 5/21/01 9.54 49 9/21/04 14.63 89 1/21/08 16.13
10 6/21/01 9.52 50 10/21/04 14.87 90 2/21/08 16.18
11 7/21/01 9.50 51 11/21/04 14.87 91 3/21/08 16.18
12 8/21/01 9.49 52 12/21/04 14.87 92 4/21/08 16.19
13 9/21/01 9.48 53 1/21/05 14.88 93 5/21/08 16.19
14 10/21/01 9.46 54 2/21/05 15.46 94 6/21/08 16.19
15 11/21/01 9.44 55 3/21/05 15.55 95 7/21/08 16.19
16 12/21/01 9.41 56 4/21/05 15.77 96 8/21/08 16.19
17 1/21/02 9.39 57 5/21/05 15.77 97 9/21/08 16.19
18 2/21/02 9.38 58 6/21/05 15.77 98 10/21/08 16.19
19 3/21/02 9.36 59 7/21/05 15.77 99 11/21/08 16.19
20 4/21/02 9.33 60 8/21/05 15.83 100 12/21/08 16.19
21 5/21/02 9.31 61 9/21/05 15.84 101 1/21/09 16.19
22 6/21/02 9.28 62 10/21/05 15.85 102 2/21/09 16.19
23 7/21/02 9.26 63 11/21/05 15.85 103 3/21/09 16.19
24 8/21/02 9.83 64 12/21/05 15.85 104 4/21/09 16.19
25 9/21/02 10.31 65 1/21/06 15.86 105 5/21/09 16.19
26 10/21/02 10.54 66 2/21/06 15.91 106 6/21/09 16.19
27 11/21/02 10.52 67 3/21/06 15.92 107 7/21/09 16.19
28 12/21/02 10.50 68 4/21/06 15.93 108 8/21/09 16.19
29 1/21/03 10.48 69 5/21/06 15.93 109 9/21/09 16.19
30 2/21/03 11.06 70 6/21/06 15.93 110 10/21/09 16.19
31 3/21/03 11.85 71 7/21/06 15.93 111 11/21/09 16.19
32 4/21/03 12.10 72 8/21/06 15.98 112 12/21/09 16.19
33 5/21/03 12.10 73 9/21/06 15.98 113 1/21/10 16.19
34 6/21/03 12.10 74 10/21/06 16.00 114 2/21/10 16.19
35 7/21/03 12.10 75 11/21/06 16.00 115 3/21/10 16.19
36 8/21/03 12.70 76 12/21/06 16.00 116 4/21/10 16.19
37 9/21/03 12.79 77 1/21/07 16.00 117 5/21/10 16.19
38 10/21/03 13.03 78 2/21/07 16.05 118 6/21/10 16.19
39 11/21/03 13.03 79 3/21/07 16.05 119 7/21/10 16.19
40 12/21/03 13.03 80 4/21/07 16.06 120 8/21/10 16.19
N.B.: Based on 1 month and 6 month LIBOR of 20%.
AVAILABLE AVAILABLE AVAILABLE
PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP
------ ---- -------- ----- ---- --------- ------ ---- ----------
121 9/21/10 16.19 161 1/21/14 16.19 201 5/21/17 16.19
122 10/21/10 16.19 162 2/21/14 16.19 202 6/21/17 16.19
123 11/21/10 16.19 163 3/21/14 16.19 203 7/21/17 16.19
124 12/21/10 16.19 164 4/21/14 16.19 204 8/21/17 16.19
125 1/21/11 16.19 165 5/21/14 16.19 205 9/21/17 16.19
126 2/21/11 16.19 166 6/21/14 16.19 206 10/21/17 16.19
127 3/21/11 16.19 167 7/21/14 16.19 207 11/21/17 16.19
128 4/21/11 16.19 168 8/21/14 16.19 208 12/21/17 16.19
129 5/21/11 16.19 169 9/21/14 16.19 209 1/21/18 16.19
130 6/21/11 16.19 170 10/21/14 16.19 210 2/21/18 16.19
131 7/21/11 16.19 171 11/21/14 16.19 211 3/21/18 16.19
132 8/21/11 16.19 172 12/21/14 16.19 212 4/21/18 16.19
133 9/21/11 16.19 173 1/21/15 16.19 213 5/21/18 16.19
134 10/21/11 16.19 174 2/21/15 16.19 214 6/21/18 16.19
135 11/21/11 16.19 175 3/21/15 16.19 215 7/21/18 16.19
136 12/21/11 16.19 176 4/21/15 16.19 216 8/21/18 16.19
137 1/21/12 16.19 177 5/21/15 16.19 217 9/21/18 16.19
138 2/21/12 16.19 178 6/21/15 16.19 218 10/21/18 16.19
139 3/21/12 16.19 179 7/21/15 16.19 219 11/21/18 16.19
140 4/21/12 16.19 180 8/21/15 16.19 220 12/21/18 16.19
141 5/21/12 16.19 181 9/21/15 16.19 221 1/21/19 16.19
142 6/21/12 16.19 182 10/21/15 16.19 222 2/21/19 16.19
143 7/21/12 16.19 183 11/21/15 16.19 223 3/21/19 16.19
144 8/21/12 16.19 184 12/21/15 16.19 224 4/21/19 16.19
145 9/21/12 16.19 185 1/21/16 16.19 225 5/21/19 16.19
146 10/21/12 16.19 186 2/21/16 16.19 226 6/21/19 16.19
147 11/21/12 16.19 187 3/21/16 16.19 227 7/21/19 16.19
148 12/21/12 16.19 188 4/21/16 16.19 228 8/21/19 16.19
149 1/21/13 16.19 189 5/21/16 16.19 229 9/21/19 16.19
150 2/21/13 16.19 190 6/21/16 16.19 230 10/21/19 16.19
151 3/21/13 16.19 191 7/21/16 16.19 231 11/21/19 16.19
152 4/21/13 16.19 192 8/21/16 16.19 232 12/21/19 16.19
153 5/21/13 16.19 193 9/21/16 16.19 233 1/21/20 16.19
154 6/21/13 16.19 194 10/21/16 16.19 234 2/21/20 16.19
155 7/21/13 16.19 195 11/21/16 16.19 235 3/21/20 16.19
156 8/21/13 16.19 196 12/21/16 16.19 236 4/21/20 16.19
157 9/21/13 16.19 197 1/21/17 16.19 237 5/21/20 16.19
158 10/21/13 16.19 198 2/21/17 16.19 238 6/21/20 16.19
159 11/21/13 16.19 199 3/21/17 16.19 239 7/21/20 16.19
160 12/21/13 16.19 200 4/21/17 16.19 240 8/21/20 16.19
N.B.: Based on 1 month and 6 month LIBOR of 20%.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
[GRAPHIC OMITTED]
AVAILABLE AVAILABLE AVAILABLE
PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP PERIOD DATE FUNDS CAP
------ ---- --------- ------ ---- --------- ------ ---- ----------
241 9/21/20 16.19 281 1/21/24 16.20 321 5/21/27 16.20
242 10/21/20 16.19 282 2/21/24 16.20 322 6/21/27 16.20
243 11/21/20 16.19 283 3/21/24 16.20 323 7/21/27 16.20
244 12/21/20 16.19 284 4/21/24 16.20 324 8/21/27 16.20
245 1/21/21 16.19 285 5/21/24 16.20 325 9/21/27 16.20
246 2/21/21 16.19 286 6/21/24 16.20 326 10/21/27 16.20
247 3/21/21 16.19 287 7/21/24 16.20 327 11/21/27 16.20
248 4/21/21 16.19 288 8/21/24 16.20 328 12/21/27 16.20
249 5/21/21 16.20 289 9/21/24 16.20 329 1/21/28 16.20
250 6/21/21 16.20 290 10/21/24 16.20 330 2/21/28 16.20
251 7/21/21 16.20 291 11/21/24 16.20 331 3/21/28 16.20
252 8/21/21 16.20 292 12/21/24 16.20 332 4/21/28 16.20
253 9/21/21 16.20 293 1/21/25 16.20 333 5/21/28 16.20
254 10/21/21 16.20 294 2/21/25 16.20 334 6/21/28 16.20
255 11/21/21 16.20 295 3/21/25 16.20 335 7/21/28 16.20
256 12/21/21 16.20 296 4/21/25 16.20 336 8/21/28 16.20
257 1/21/22 16.20 297 5/21/25 16.20 337 9/21/28 16.20
258 2/21/22 16.20 298 6/21/25 16.20 338 10/21/28 16.20
259 3/21/22 16.20 299 7/21/25 16.20 339 11/21/28 16.20
260 4/21/22 16.20 300 8/21/25 16.20 340 12/21/28 16.20
261 5/21/22 16.20 301 9/21/25 16.20 341 1/21/29 16.20
262 6/21/22 16.20 302 10/21/25 16.20 342 2/21/29 16.20
263 7/21/22 16.20 303 11/21/25 16.20 343 3/21/29 16.20
264 8/21/22 16.20 304 12/21/25 16.20 344 4/21/29 16.20
265 9/21/22 16.20 305 1/21/26 16.20 345 5/21/29 16.20
266 10/21/22 16.20 306 2/21/26 16.20 346 6/21/29 16.20
267 11/21/22 16.20 307 3/21/26 16.20 347 7/21/29 16.20
268 12/21/22 16.20 308 4/21/26 16.20 348 8/21/29 16.20
269 1/21/23 16.20 309 5/21/26 16.20 349 9/21/29 16.20
270 2/21/23 16.20 310 6/21/26 16.20 350 10/21/29 16.20
271 3/21/23 16.20 311 7/21/26 16.20 351 11/21/29 16.20
272 4/21/23 16.20 312 8/21/26 16.20 352 12/21/29 16.20
273 5/21/23 16.20 313 9/21/26 16.20 353 1/21/30 16.20
274 6/21/23 16.20 314 10/21/26 16.20 354 2/21/30 16.21
275 7/21/23 16.20 315 11/21/26 16.20 355 3/21/30 16.21
276 8/21/23 16.20 316 12/21/26 16.20 356 4/21/30 16.21
277 9/21/23 16.20 317 1/21/27 16.20 357 5/21/30 16.21
278 10/21/23 16.20 318 2/21/27 16.20 358 6/21/30 16.22
279 11/21/23 16.20 319 3/21/27 16.20 359 7/21/30 16.23
280 12/21/23 16.20 320 4/21/27 16.20 360 8/21/30 16.28
361 9/21/30 16.28
N.B.: Based on 1 month and 6 month LIBOR of 20%.
o FIXED Class AF1 Certificates 8/2019
Class AF2 Certificates 3/2024
Class AF3 Certificates 3/2026
Class AF4 Certificates 3/2028
Class AF5 Certificates 9/2030
Class AF6 Certificates 3/2029
Class M1F Certificates 3/2029
Class M2F Certificates 1/2029
Class BF Certificates 9/2030
ARMS Class AV Certificates 8/2030
Class M1V Certificates 7/2030
Class M2V Certificates 6/2030
Class BV Certificates 9/2030
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.
[GRAPHIC OMITTED]
|
|