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Previous: CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP, 8-K, EX-5.1, 2000-12-13 |
Next: PILGRIMS PRIDE CORP, DEF 14A, 2000-12-13 |
TERM SHEET DATED November 3, 2000
Credit Suisse First Boston Mortgage Securities Corp.
Depositor
Credit Suisse First Boston Mortgage Capital LLC
Seller
New Century
Mortgage Corporation
Servicer
Option One
Mortgage Corporation
Servicer
Credit Suisse First Boston Mortgage Securities Corp.
Home Equity Loan Trust, Series 2000-HE1
$1,000,000,000 (Approximate)
**Subject to Revision**
| SELLER: | Credit Suisse First Boston Mortgage Capital LLC ("Credit Suisse First Boston") |
| SERVICERS: | Option One Mortgage Corporation ("Option One") New Century Mortgage Corporation ("New Century") |
| TRUSTEE: | U.S. Bank Trust National Association (a subsidiary of U.S. Bank National Association) |
| SOLE UNDERWRITER: | Credit Suisse First Boston Corporation |
OFFERED SECURITIES
MODIFIED
TRANCHE RATINGS AVERAGE LIFE DURATION
CLASS TYPE PRINCIPAL (M/F)(2) (YRS)(1) FIRST PAY LAST PAY(1) (YRS) (1)
A1 Senior $410,000,000 Aaa/AAA 2.42 1/01 7/08 2.03
A2 Senior 410,000,000 Aaa/AAA 2.42 1/01 7/08 2.03
M1 Mezzanine 72,500,000 Aa2/AA 5.11 4/04 7/08 4.08
M2 Mezzanine 47,500,000 A2/A 5.05 2/04 7/08 3.98
B Subordinate 60,000,000 Baa3/BBB- 5.01 1/04 7/08 3.80
(1) To 10% call. (2) Rated by Moody's and Fitch.
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 description 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.
| CUT-OFF DATE: | December 1, 2000 |
| EXPECTED PRICING: | On or about November 1, 2000 |
| EXPECTED SETTLEMENT: | Expected to settle flat on December 15, 2000 (the actual date of closing, the "Closing Date). |
| RECORD DATE: | With respect to any Distribution Date, the business day immediately preceding the distribution date. |
| DISTRIBUTION DATE: | The 15th day of each month (or if such 15th day is not a business day, the next succeeding business day) commencing on January 15, 2001. |
| INTEREST ACCRUAL: | Interest on the Class A Certificates, Class M1, Class M2 and Class B Certificates will accrue interest for the period beginning on the prior Distribution Date and ending the day preceding the current Distribution Date; interest paid on actual number of days during the period with a 360 day year. |
| CROSS COLLATERALIZATION: | None. |
| ERISA: | The Class A Certificates, the Class M1 and the Class M2 are ERISA eligible. Other classes may not be ERISA eligible. |
| SMMEA: | The Class A Certificates and Class M1, Class M2 and the Class B certificates are expected to constitute "mortgage related securities" for the purposes of the Secondary Mortgage Market Enhancement Act of 1984 ("SMMEA"). |
| TAX STATUS: | REMIC for federal income tax purposes. |
| CERTIFICATE RATING: | It is a condition to the issuance of the Class A Certificates that they receive ratings of "AAA" from Fitch Inc. ("Fitch") and "Aaa" from "Moody's Investors Service, Inc. ("Moody's"), that the Class M1 Certificates receive a rating of "AA" from Fitch and "Aa2" from Moody's, that the M2 Certificates receive a rating of at least "A" from Fitch and "A2" from Moody's, and that the Class B Certificates receive a rating of at least "BBB-" from Fitch and "Baa3" from Moody's. |
| CLASS A CERTIFICATES: | Class A1 and the Class A2 Certificates. |
| STEP DOWN DATE: | The later to occur (a) January 2004, or (b) when the Class A Certificates are paid to zero. |
| TRIGGER EVENT: | When the percentage of mortgage loans that are 60 days or more delinquent exceed 40% of the related Credit Enhancement Percentage. |
| OPTIONAL REDEMPTION: | The Servicer or an affiliate has the right to exercise the 10% optional clean-up call. |
| P&I ADVANCES: | Unless the Servicer determines that any proposed advance is not recoverable from the related mortgage loan, the Servicer will be required to advance principal and interest on the related mortgage loan. |
CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT
Credit Enhancement Tables
----------------------------------------------------------------------
AAA AA A BBB
ENHANCEMENT ENHANCEMENT ENHANCEMENT ENHANCEMENT
PERCENTAGE PERCENTAGE PERCENTAGE PERCENTAGE
------------------- -------------------- ------------------- -------------------- ----------------
Initially
(After OC Buildup)
Subordination 18.00% 10.70% 6.00%
Overcollateralization 2.00% 2.00% 2.00% 2.00%
Total Enhancement 20.00% 12/70% 8.00% 2.00%
After Anticipated
Stepdown
Subordination 36.00% 21.50% 12.00%
Overcollateralization 4.00% 4.00% 4.00% 4.00%
Total Enhancement 40.00% 25.50% 16.00% 4.00%
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 description 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.
| OVERCOLLATERALIZATION: | An initial overcollateralization of 0.00% 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 pool balance at the Cut-Off Date. |
| INTEREST DISTRIBUTIONS: | Interest Collections (net of the Servicing Fee) will generally be allocated in the following priority: |
| 1. | Trustee Fee |
| 2. | Cap Fee |
| 3. | Class A Certificates current interest plus unpaid interest shortfalls. |
| 4. | M1 current interest. |
| 5. | M2 current interest. |
| 6. | Pari-Passu Class B current interest and unrated IO interest. |
| 7. | Principal in accordance with "Principal Distributions" as described below. |
| 8. | Build overcollateralization to the target level. |
| 9. | Unpaid interest shortfalls and reimbursements of principal writedowns in that order first to the Class M1, then to the Class M2, then to Class B, and then to Class B-I0. |
| 10. | Reimbursement for prepayment interest shortfalls first to the Class A, then to the Class M1, then to the Class M2 and then to Class B. |
| PRINCIPAL DISTRIBUTIONS: | Collections of Principal before the Stepdown Date, or if a Trigger Event exists, will be allocated in the following priority: |
| 1. | Pay the Class A Certificates to zero. |
| 2. | Pay Classes M1, M2 and B 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: |
| 1. | Pay the Class A Certificates to their targeted enhancement level. |
| 2. | Pay the Class M1 certificates to their targeted enhancement level. |
| 3. | Pay the Class M2 certificates to their targeted enhancement level. |
| 4. | Pay the Class B certificates to their targeted enhancement level. |
| PRICING SPEED: | 26% CPR |
| SERVICING FEE: | The servicing fee of 0.50% will be paid before interest on all bonds. |
| TRUSTEE FEE: | .0035% |
| AVAILABLE FUNDS CAP: |
The Certificates will generally be subject to an available funds cap equal to For Classes A, M1, M2, and B: WAC LESS the sum of (expressed as a percentage across outstanding balance); a) Applicable portion of the Servicing Fee, the Trustee Fee, the Cap Fee. b) For the first 30 Distribution Dates only, the product of (i) 8.30% and (ii) the lesser of (x) $45 million and (y) the outstanding principal balance. |
| AVAILABLE FUNDS CAP CARRY FORWARD |
If interest collections at a Distribution Date are insufficient to make required interest payments to the Certificates due to the Available Funds Cap, amounts unpaid to the 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 A Certificates will double and the margin on the M1, M2, and B certificates will go up by 50%. |
| UNRATED IO: | For the first 30 Distribution Dates only, the product of (i) 8.30% and (ii) the lesser of (x) $45MM and (y) the outstanding balance (interest on non-offered B-I0); |
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 description 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.
AVAILABLE FUNDS CAP SCHEDULE
-------------------------------------------- -------------------------------------------- Period Date Funds Cap Period Date Funds Cap -------------------------------------------- -------------------------------------------- 0 43 6/15/2004 15.43 1 12/15/2000 9.56 44 7/15/2004 15.43 2 1/15/2001 9.55 45 8/15/2004 15.43 3 2/15/2001 9.54 46 9/15/2004 16.15 4 3/15/2001 9.53 47 10/15/2004 16.15 5 4/15/2001 9.52 48 11/15/2004 16.15 6 5/15/2001 9.51 49 12/15/2004 16.15 7 6/15/2001 9.50 50 1/15/2005 16.15 8 7/15/2001 9.49 51 2/15/2005 16.15 9 8/15/2001 9.48 52 3/15/2005 16.45 10 9/15/2001 9.46 53 4/15/2005 16.45 11 10/15/2001 9.45 54 5/15/2005 16.45 12 11/15/2001 9.44 55 6/15/2005 16.45 13 12/15/2001 9.43 56 7/15/2005 16.45 14 1/15/2002 9.41 57 8/15/2005 16.45 15 2/15/2002 9.40 58 9/15/2005 16.64 16 3/15/2002 9.39 59 10/15/2005 16.64 17 4/15/2002 9.37 60 11/15/2005 16.64 18 5/15/2002 9.36 61 12/15/2005 16.64 19 6/15/2002 9.34 62 1/15/2006 16.64 20 7/15/2002 9.33 63 2/15/2006 16.64 21 8/15/2002 9.31 64 3/15/2006 16.64 22 9/15/2002 11.04 65 4/15/2006 16.64 23 10/15/2002 11.02 66 5/15/2006 16.64 24 11/15/2002 11.00 67 6/15/2006 16.64 25 12/15/2002 10.99 68 7/15/2006 16.64 26 1/15/2003 10.97 69 8/15/2006 16.64 27 2/15/2003 10.95 70 9/15/2006 16.64 28 3/15/2003 11.93 71 10/15/2006 16.64 29 4/15/2003 11.91 72 11/15/2006 16.64 30 5/15/2003 11.89 73 12/15/2006 16.64 31 6/15/2003 12.67 74 1/15/2007 16.64 32 7/15/2003 12.67 75 2/15/2007 16.64 33 8/15/2003 12.67 76 3/15/2007 16.64 34 9/15/2003 14.01 77 4/15/2007 16.64 35 10/15/2003 14.01 78 5/15/2007 16.64 36 11/15/2003 14.01 79 6/15/2007 16.64 37 12/15/2003 14.13 80 7/15/2007 16.64 38 1/15/2004 14.13 81 8/15/2007 16.64 39 2/15/2004 14.13 82 9/15/2007 16.64 40 3/15/2004 15.43 83 10/15/2007 16.64 41 4/15/2004 15.43 84 11/15/2007 16.64 42 5/15/2004 15.43
PREPAYMENT SENSITIVITIES
------------- -------------------- -------------------- --------------------- -------------------- --------------------
0% CPR 15% CPR 26% CPR 35% CPR 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
A 20.87 1/01 2/30 4.40 1/01 6/14 2.42 1/01 7/08 1.56 1/01 4/06 1.02 1/01 9/03
M1 27.50 7/25 2/30 8.86 2/05 6/14 5.11 4/04 7/08 4.57 10/04 4/06 3.35 9/03 10/04
M2 27.50 7/25 2/30 8.86 2/05 6/14 5.05 2/04 7/08 4.13 5/04 4/06 3.83 10/04 10/04
B 27.50 7/25 2/30 8.85 2/05 6/14 5.01 1/04 7/08 3.94 1/04 4/06 3.57 2/04 10/04
To Maturity
A 20.89 1/01 11/30 4.73. 1/01 5/27 2.63 1/01 12/17 1.71 1/01 2/13 1.02 1/01 9/03
M1 27.58 7/25 10/30 9.72 2/05 6/24 5.64 4/04 2/15 4.95 10/04 1/11 4.64 9/03 10/09
M2 27.57 7/25 10/30 9.64 2/05 8/22 5.53 2/04 9/13 4.48 5/04 12/09 4.53 10/04 7/07
B 27.55 7/25 9/30 9.31 2/05 8/20 5.28 1/04 3/12 4.13 1/04 12/08 3.72 2/04 9/06
------------- ------ ------ ------ ------ ------ ------ ------- ------ ------ ------ ------ ------ ------ ------ ------
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 description 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.
HOME EQUITY LOANS
(GROUP II)The Home Equity Loans consist of first lien hybrid and 6-month LIBOR closed-end home equity loans. The 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 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 on actual balances on a pool originated through October 31, 2000.
HOME EQUITY LOANS (GROUP II)
| Number of Loans: Wgt. Avg. Contract Rate: Range of Rates: Wgt. Avg. Orig. Maturity Wgt. Avg. Rem. Maturity Avg. Rem. Principal Balance Wgt. Avg. Orig. LTV |
4,038 10.553% 7.30% to 15.70% 359.9 months 358.7 months $123,511 77.36% |
HOME EQUITY LOANS (GROUP II)
PRINCIPAL BALANCES AT ORIGINATION OF THE LOANS
Number of Aggregate Original % Loans by Original
Principal Balance at Origination Loans Principal Balance Principal Balance
$ 0.01 - $25,000.00 37 $ 843,005.00 0.17%
$ 25,000.01 - $50,000.00 557 22,431,392.00 4.50
$ 50,000.01 - $75,000.00 936 58,805,518.00 11.79
$ 75,000.01 - $100,000.00 779 68,218,005.50 13.68
$ 100,000.01 - $125,000.00 628 70,442,323.00 14.12
$ 125,000.01 - $150,000.00 463 63,454,141.00 12.72
$ 250,000.01 - $300,000.00 272 74,751,704.00 14.98
$ 300,000.01 - $400,000.00 258 87,909,647.00 17.62
$ 400,000.01 - $500,000.00 92 41,418,848.00 8.30
$ 500,000.01 - $600,000.00 7 3,880,350.00 0.78
$ 600,000.01 - $700,000.00 3 2,051,250.00 0.41
$ 700,000.01 - $900,000.00 5 3,691,800.00 0.74
$ 900,000.01 - $1,000,000.00 1 950,000.00 0.19
- ---------- ----
Total(1) 4,038 $ 498,847,983.50 100.0%
===== ================ ======
-----------------
(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 description 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.
HOME EQUITY LOANS (GROUP II)
REMAINING PRINCIPAL BALANCES OF THE LOANS
Remaining Number of Aggregate Remaining % Loans by Remaining
Principal Balance Loans Principal Balance Principal Balance
$ 0.01 - $25,000.00 37 $ 842,972.98 0.17%
$ 25,000.01 - $50,000.00 557 22,428,544.46 4.50
$ 50,000.01 - $75,000.00 937 58,849,524.62 11.80
$ 75,000.01 - $100,000.00 779 68,210,324.67 13.68
$ 100,000.01 - $125,000.00 628 70,450,870.47 14.13
$ 125,000.01 - $150,000.00 462 63,321,584.36 12.70
$ 250,000.01 - $300,000.00 272 74,744,421.04 14.99
$ 300,000.01 - $400,000.00 258 87,899,721.51 17.62
$ 400,000.01 - $500,000.00 92 41,416,233.89 8.30
$ 500,000.01 - $600,000.00 7 3,879,683.30 0.78
$ 600,000.01 - $700,000.00 3 2,050,982.86 0.41
$ 700,000.01 - $900,000.00 5 3,691,458.42 0.74
$ 900,000.01 - $1,000,000.00 1 950,000.00 0.19
- ---------- ----
Total(1) 4,038 $ 498,736,322.58 100.0%
===== ================== ======
-----------------
(1) Percentages do not add to 100% due to rounding
HOME EQUITY LOANS (GROUP II)
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
Number of Aggregate Remaining % Loans by Remaining
State Loans Principal Balance Principal Balance
California 686 $ 159,633,911.11 32.01%
Florida 361 33,757,851.80 6.77
Illinois 228 24,238,234.35 4.86
Michigan 253 21,550,745.22 4.32
Texas 211 19,988,907.39 4.01
Massachusetts 117 18,965,632.33 3.80
Colorado 107 15,257,911.30 3.06
Ohio 200 14,575,294.79 2.92
Washington 91 14,247,540.10 2.86
Minnesota 135 13,793,708.76 2.77
Others 1,649 162,726,585.43 32.63
----- -------------- -----
Total(1) 4,038 $ 498,736,322.58 100.0%
===== ================ ======
-----------------------
(1) Percentages do not add to 100% due to rounding.
HOME EQUITY LOANS (GROUP II)
CURRENT MORTGAGE RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Mortgage Rate Loans Principal Balance Principal Balance
7.001 to 7.500% 7 $ 1,627,389.78 0.33%
7.501 to 8.000% 19 4,147,814.62 0.83
8.001 to 8.500% 62 13,212,594.15 2.65
8.501 to 9.000% 185 38,299,031.70 7.68
9.001 to 9.500% 259 44,641,939.77 8.95
9.501 to 10.000% 548 80,355,765.97 16.11
10.001 to 10.500% 606 74,638,556.97 14.97
10.501 to 11.000% 788 95,307,458.51 19.11
11.001 to 11.500% 489 51,749,109.69 10.38
11.501 to 12.000% 442 43,638,414.15 8.75
12.001 to 12.500% 261 22,845,121.03 4.58
12.501 to 13.000% 160 14,207,767.85 2.85
13.001 to 13.500% 88 6,057,481.46 1.21
13.501 to 14.000% 61 4,546,505.18 0.91
14.001 to 14.500% 40 2,491,293.63 0.50
14.501 to 15.000% 19 764,178.12 0.15
15.001 to 15.500% 3 172,750.00 0.03
15.501 to 16.000% 1 33,150.00 0.01
- --------- ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== =====
-----------------
(1) Percentage do not add to 100% due to rounding
REMAINING MONTHS TO MATURITY OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
169 TO 180 5 $ 240,940.40 0.05%
337 TO 348 1 98,141.47 0.02
349 TO 360 4,032 498,397,240.71 99.93
----- --------------- -----
Total(1) 4,038 $498,736,322.58 100.00%
===== =============== =======
-----------------
(1) Percentage do not add to 100% due to rounding
HOME EQUITY LOANS (GROUP II)
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Original Loan-to-Value Ratio Loans Principal Balance Principal Balance
50% or less 165 $ 12,898,098.25 2.59%
50.001% to 60.000% 203 23,590,409.23 4.73
60.001% to 70.000% 602 75,573,558.62 15.15
70.001% to 75.000% 583 72,011,486.47 14.44
75.001% to 80.000% 1,361 166,107,635.11 33.31
80.001% to 85.000% 490 65,315,553.16 13.10
85.001% to 90.000% 561 74,635,333.34 14.96
90.001% to 95.000% 73 8,604,248.40 1.73
-- ------------ ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
-----------------
(1) Percentages do not add to 100% due to rounding
LOAN PROGRAM OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Program Loans Principal Balance Principal Balance
Full Documentation 2,690 $312,936,916.71 62.70%
Stated Documentation 1,116 147,287,179.65 29.53
Limited Documentation 213 35,463,646.81 7.11
Non Income Qualify-std 18 2,752,828.73 0.55
Non Income Verify-std 1 295,750.68 0.06
- ---------- ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
-----------------
(1) Percentages do not add to 100% due to rounding
PURPOSE OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Purpose Loans Principal Balance Principal Balance
Purchase 1,383 $174,369,404.93 34.96%
Refinance-Rate Term 585 70,220,176.99 14.08
Refinance-Cash Out 2,070 254,146,740.66 50.96
----- --------------- -------
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
-----------------
(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 description 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.
HOME EQUITY LOANS (GROUP II)
FICO SCORES
Number of Aggregate Remaining % Loans by Remaining
Fico Scores Loans Principal Balance Principal Balance
TBD 47 $ 4,139,919.04 0.83%
426 to 450 1 50,366.18 0.01
451 to 475 30 2,283,987.11 0.46
476 to 500 122 12,351,834.57 2.48
501 to 525 663 68,468,210.49 13.73
526 to 550 638 71,987,359.36 14.43
551 to 575 628 77,621,518.49 15.56
576 to 600 593 76,301,917.55 15.30
601 to 625 500 67,876,217.12 13.61
626 to 650 359 51,108,243.59 10.25
651 to 675 231 32,860,542.88 6.59
676 to 700 113 16,055,536.68 3.22
701 to 725 51 7,620,746.85 1.53
726 to 750 33 5,957,777.35 1.19
751 to 775 20 2,990,130.98 0.60
776 to 800 8 950,014.34 0.19
801 to 825 1 112,000.00 0.02
- ---------- ----
Total (1) 4,038 $498,736,322.58 100.0%
===== =============== ======
-----------------
(1) Percentages do not add to 100% due to rounding.
PROPERTY TYPES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Property Type Loans Principal Balance Principal Balance
Single Family Residence 3,261 $ 397,957,835.73 79.79%
Deminimus PUD 236 39,353,769.84 7.89
2-4 Family 183 24,647,681.54 4.94
Condo 100 11,243,086.20 2.25
PUD 61 8,191,452.26 1.64
Condo-Low Rise <5 floors 87 7,941,429.87 1.59
Manufactured Housing 43 3,126,138.65 0.63
Single Family Attached 32 2,716,516.67 0.54
Condo-High Rise >8 Floors 20 2,003,311.23 0.40
2 Family 8 753,033.51 0.15
4 Family 5 621,142.63 0.12
Modular Home 1 90,953.21 0.02
3 Family 1 89,971.24 0.02
- --------- ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
----------------
(1) Percentage do not add to 100% due to rounding.
HOME EQUITY LOAN (GROUP II)
OCCUPANCY STATUS OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
Owner Occupied 3,742 $ 473,494,474.53 94.94%
Investment 263 20,802,901.61 4.17
Second Home 33 4,438,946.44 0.89
-- ------------ ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
----------------
(1) Percentage do not add to 100% due to rounding.
MONTH OF NEXT RATE ADJUSTMENT OF THE LOANS
Month of Next Rate Number of Aggregate Remaining % Loans by Remaining Adjustment Loans Principal Balance Principal Balance
TBD 18 $ 1,369,520.01 0.27% February 2001 1 98,141.47 0.02 March 2001 2 356,000.00 0.07 September 2001 1 44,850.00 0.01 November 2001 2 193,569.27 0.04 January 2002 1 115,274.38 0.02 May 2002 6 602,803.68 0.12 June 2002 10 1,653,933.38 0.33 July 2002 185 25,039,225.27 5.02 August 2002 913 114,639,278.10 22.99 September 2002 1,293 161,923,326.78 32.47 October 2002 773 87,131,990.98 17.47 April 2003 1 71,445.04 0.01 June 2003 7 833,484.35 0.17 July 2003 53 6,757,168.37 1.35 August 2003 293 34,713,881.22 6.96 September 2003 325 44,687,604.28 8.96 October 2003 154 18,504,826.00 3.71 --- ------------- ---- Total(1) 4,038 $ 498,736,322.58 100.0% ===== ================ ====== -------------- (1) Percentages do not add to 100% due to rounding.
HOME EQUITY LOANS (GROUP II)
GROSS MARGINS OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Gross Margin Loans Principal Balance Principal Balance
TBD 20 $ 1,699,740.01 0.34%
3.001 to 3.500% 7 736,150.00 0.15
3.501 to 4.000% 24 3,092,574.00 0.62
4.001 to 4.500% 107 16,024,752.65 3.21
4.501 to 5.000% 191 28,306,177.26 5.68
5.001 to 5.500% 350 45,729,858.67 9.17
5.501 to 6.000% 1,119 148,857,063.92 29.85
6.001 to 6.500% 1,482 186,068,501.03 37.31
6.501 to 7.000% 618 56,371,510.03 11.30
7.001 to 7.500% 77 7,209,967.50 1.45
7.501 to 8.000% 36 3,995,453.23 0.80
8.001 to 8.500% 3 157,684.80 0.03
8.501 to 9.000% 3 181,024.38 0.04
9.501 to 10.000% 1 305,864.63 0.06
- ---------- ----
Total(1) 4,038 $498,736,322.58 100.0%
===== =============== ======
--------------
(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 description 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.
HOME EQUITY LOANS (GROUP II)
MAXIMUM LOAN RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Maximum Rate Loans Principal Balance Principal Balance
TBD 20 $ 1,699,740.01 0.34%
13.001 to 13.500% 3 984,500.00 0.20
13.501 to 14.000% 13 2,771,453.42 0.56
14.001 to 14.500% 27 4,443,296.48 0.89
14.501 to 15.000% 78 15,402,245.66 3.09
15.001 to 15.500% 121 22,497,403.43 4.51
15.501 to 16.000% 298 46,423,244.52 9.31
16.001 to 16.500% 423 57,789,385.56 11.59
16.501 to 17.000% 731 100,179,360.68 20.09
17.001 to 17.500% 587 72,911,716.61 14.62
17.501 to 18.000% 649 76,146,727.00 15.27
18.001 to 18.500% 392 38,920,412.48 7.80
18.501 to 19.000% 282 27,111,772.26 5.44
19.001 to 19.500% 148 12,417,982.94 2.49
19.501 to 20.000% 93 7,623,222.43 1.53
20.001 to 20.500% 67 4,501,819.43 0.90
20.501 to 21.000% 49 3,788,920.36 0.76
21.001 to 21.500% 36 2,273,236.23 0.46
21.501 to 22.000% 17 643,983.08 0.13
22.001 to 22.500% 3 172,750.00 0.03
22.501 to 23.000% 1 33,150.00 0.01
- --------- ----
Total(1) 4,038 $ 498,736,322.58 100.0%
===== ================ ======
--------------
(1) Percentages do not add to 100% due to rounding.
HOME EQUITY LOANS (GROUP II)
MINIMUM LOAN RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Minimum Rate Loans Principal Balance Principal Balance
TBD 20 $ 1,699,740.01 0.34%
7.001 to 7.500% 7 1,627,389.78 0.33
7.501 to 8.000% 19 4,147,814.62 0.83
8.001 to 8.500% 62 13,212,594.15 2.65
8.501 to 9.000% 184 38,009,190.44 7.62
9.001 to 9.500% 259 44,641,939.77 8.95
9.501 to 10.000% 548 80,355,765.97 16.11
10.001 to 10.500% 605 74,535,556.97 14.94
10.501 to 11.000% 780 94,783,515.75 19.00
11.001 to 11.500% 487 51,568,809.69 10.34
11.501 to 12.000% 439 43,276,191.48 8.68
12.001 to 12.500% 259 22,710,821.03 4.55
12.501 to 13.000% 160 14,207,767.85 2.85
13.001 to 13.500% 85 5,951,348.14 1.19
13.501 to 14.000% 61 4,546,505.18 0.91
14.001 to 14.500% 40 2,491,293.63 0.50
14.501 to 15.000% 19 764,178.12 0.15
15.001 to 15.500% 3 172,750.00 0.03
15.501 to 16.000% 1 33,150.00 0.01
- --------- ----
Total(1) 4,038 $ 498,736,322.58 100.0%
===== ================ ======
--------------
(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 description 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.
ORIGINAL TERM TO EXPIRATION OF PREPAYMENT PENALTY
Original Number Number of Aggregate Remaining % Loans by Remaining of Months to Expiration Loans Principal Balance Principal Balance
None (No Penalty) 435 $ 51,914,651.93 10.41% 12 86 15,692,157.02 3.15 24 2,509 312,730,481.12 62.70 27 3 414,244.21 0.08 30 3 267,148.00 0.05 36 790 95,439,440.44 19.14 42 16 1,827,403.06 0.37 48 53 7,062,520.00 1.42 60 143 13,388,276.80 2.68 --- ------------- ---- Total(1) 4,038 $ 498,736,322.58 100.0% ===== ================ ====== -------------- (1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
The Home Equity Loans consist of first lien hybrid and 6-month LIBOR closed-end home equity loans. The 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 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 on actual balances originated through October 31, 2000.
TOTAL HOME EQUITY LOANS
| Number of Loans: Wgt. Avg. Contract Rate: Range of Rates: Wgt. Avg. Orig. Maturity Wgt. Avg. Rem. Maturity Avg. Rem. Principal Balance Wgt. Avg. FICO Wgt. Avg. Margin: Wgt. Avg. Orig. LTV |
7,535 10.554% 7.05% to 15.70% 359.9 months 358.7 months $125,855 585 5.94% 77.93% |
TOTAL HOME EQUITY LOANS
PRINCIPAL BALANCES AT ORIGINATION OF THE LOANS
Number of Aggregate Original % Loans by Original
Principal Balance at Origination Loans Principal Balance Principal Balance
$ 0.01 - $25,000.00 61 $ 1,385,600.00 0.15%
$ 25,000.01 - $50,000.00 872 35,145,181.00 3.71
$ 50,000.01 - $75,000.00 1,488 92,821,348.00 9.79
$ 75,000.01 - $100,000.00 1,251 109,539,853.50 11.55
$100,000.01 - $125,000.00 1,035 116,121,491.35 12.24
$125,000.01 - $150,000.00 751 102,881,000.00 10.85
$150,000.01 - $175,000.00 530 85,682,034.00 9.03
$175,000.01 - $200,000.00 378 70,762,524.00 7.46
$200,000.01 - $250,000.00 504 112,681,623.00 11.88
$250,000.01 - $300,000.00 299 81,555,328.00 8.60
$300,000.01 - $400,000.00 258 87,909,647.00 9.27
$400,000.01 - $500,000.00 92 41,418,848.00 4.37
$500,000.01 - $600,000.00 7 3,880,350.00 0.41
$600,000.01 - $700,000.00 3 2,051,250.00 0.22
$700,000.01 - $900,000.00 5 3,691,800.00 0.39
$900,000.01 - $1,000,000.00 1 950,000.00 0.10
- ---------- ----
Total(1) 7,535 $948,317,159.07 100.0%
===== =============== ======
-----------------
(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 description 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.
TOTAL HOME EQUITY LOANS
REMAINING PRINCIPAL BALANCES OF THE LOANS
Remaining Number of Aggregate Remaining % Loans by Remaining Principal Balance Loans Principal Balance Principal Balance
$ 0.01 - $25,000.00 61 $ 1,385,539.42 0.15% $ 25,000.01 - $50,000.00 872 35,140,995.94 3.71 $ 50,000.01 - $75,000.00 1,489 92,860,237.48 9.79 $ 75,000.01 - $100,000.00 1,251 109,528,607.93 11.55 $ 100,000.01 - $125,000.00 1,036 116,248,334.55 12.26 $ 125,000.01 - $150,000.00 749 102,618,179.31 10.82 $ 150,000.01 - $175,000.00 530 85,672,034.00 9.03 $ 175,000.01 - $200,000.00 378 70,755,433.49 7.46 $ 200,000.01 - $250,000.00 504 112,672,288.24 11.88 $ 250,000.01 - $300,000.00 299 81,547,428.73 8.60 $ 300,000.01 - $400,000.00 258 87,899,721.51 9.27 $ 400,000.01 - $500,000.00 92 41,416,233.89 4.37 $ 500,000.01 - $600,000.00 7 3,879,683.30 0.41 $ 600,000.01 - $700,000.00 3 2,050,982.86 0.22 $ 700,000.01 - $900,000.00 5 3,691,458.42 0.39 $ 900,000.01 - $1,000,000.00 1 950,000.00 0.10 - ---------- ---- Total(1) 7,535 $ 948,317,159.07 100.00% ===== ================ ======= ----------------- (1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
GEOGRAPHIC DISTRIBUTION OF MORTGAGED PROPERTIES
Number of Aggregate Remaining % Loans by Remaining
State Loans Principal Balance Principal Balance
California 1,483 $ 297,279,041.87 31.35%
Florida 627 61,654,648.29 6.50
Illinois 443 51,784,177.43 5.46
Massachusetts 275 43,250,259.68 4.56
Michigan 435 39,109,578.99 4.12
Texas 344 34,199,073.17 3.61
Colorado 228 33,008,667.20 3.48
Georgia 244 28,555,306.61 3.01
Minnesota 243 27,129,273.58 2.86
Washington 169 26,631,700.13 2.81
Others 3,044 305,715,432.12 32.24
----- -------------- -----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
CURRENT MORTGAGE RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Mortgage Rate Loans Principal Balance Principal Balance
7.001 to 7.500% 11 $ 2,472,687.66 0.26%
7.501 to 8.000% 34 6,881,165.88 0.73
8.001 to 8.500% 131 24,256,948.65 2.56
8.501 to 9.000% 330 61,506,490.57 6.49
9.001 to 9.500% 522 84,944,446.75 8.96
9.501 to 10.000% 1,147 166,083,051.33 17.51
10.001 to 10.500% 1,155 147,993,379.53 15.61
10.501 to 11.000% 1,427 179,049,954.60 18.88
11.001 to 11.500% 882 98,142,138.60 10.35
11.501 to 12.000% 820 86,974,445.65 9.17
12.001 to 12.500% 443 41,726,465.01 4.40
12.501 to 13.000% 275 24,255,026.82 2.56
13.001 to 13.500% 150 10,956,940.80 1.16
13.501 to 14.000% 112 7,653,348.46 0.81
14.001 to 14.500% 68 4,076,946.54 0.43
14.501 to 15.000% 24 1,137,822.02 0.12
15.001 to 15.500% 3 172,750.00 0.02
15.501 to 16.000% 1 33,150.00 0.00
- --------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== =================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
REMAINING MONTHS TO MATURITY THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Months Remaining Loans Principal Balance Principal Balance
169 to 180 8 $ 413,140.40 0.04%
337 to 348 3 251,736.66 0.03
349 to 360 7,524 947,652,282.01 99.93
----- ---------------- -----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================ ======
-----------------
(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 description 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.
TOTAL HOME EQUITY LOANS
ORIGINAL LOAN-TO-VALUE RATIO OF THE LOANS
Number of Aggregate Remaining % of Loans by Remaining
Original Loan to-Value Ratio Loans Principal Balance Principal Balance
50% or less 282 $ 23,591,015.08 2.49%
50.001% to 60.000% 342 40,830,686.33 4.31
60.001% to 70.000% 1,115 135,083,064.52 14.24
70.001% to 75.000% 1,019 124,717,784.86 13.15
75.001% to 80.000% 2,512 313,302,907.26 33.04
80.001% to 85.000% 977 135,838,140.73 14.32
85.001% to 90.000% 1,159 158,550,406.98 16.72
90.001% to 95.000% 129 16,403,153.31 1.73
--- ------------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================ =======
-----------------
(1) Percentages do not add to 100% due to rounding.
LOAN PROGRAM OF THE LOANS
Number of Aggregate Remaining % of Loans by Remaining
Program Loans Principal Balance Principal Balance
Full Documentation 5,010 $ 602,306,851.53 63.51%
Stated Documentation 2,095 277,219,787.85 29.23
Limited Documentation 394 63,229,055.32 6.67
Non Income Qualify-std 33 5,068,313.69 0.53
Non Income Verify-std 3 493,150.68 0.05
- ---------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
PURPOSE OF THE LOANS
Number of Aggregate Remaining % of Loans by Remaining
Purpose Loans Principal Balance Principal Balance
Purchase 2,565 $ 325,058,136.60 34.28%
Refinance-Rate Term 1,065 131,373,739.96 13.85
Refinance-Cash Out 3,905 491,885,282.51 51.87
----- ------------------ -----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(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 description 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.
TOTAL HOME EQUITY LOANS
FICO SCORES
Number of Aggregate Remaining % Loans by Remaining
Fico Scores Loans Principal Balance Principal Balance
TBD 77 $ 7,225,882.16 0.76%
426 to 450 1 50,366.18 0.01
451 to 475 44 3,732,933.14 0.39
476 to 500 223 24,149,942.47 2.55
501 to 525 1202 129,516,030.89 13.66
526 to 550 1256 154,964,097.37 16.34
551 to 575 1202 150,963,228.46 15.92
576 to 600 1135 146,980,901.50 15.50
601 to 625 905 121,449,281.86 12.81
626 to 650 656 91,717,338.97 9.67
651 to 675 397 55,048,340.68 5.80
676 to 700 218 30,795,956.79 3.25
701 to 725 104 14,129,083.33 1.49
726 to 750 60 9,858,878.55 1.04
751 to 775 40 5,570,908.48 0.59
776 to 800 13 1,923,988.24 0.20
801 to 825 2 240,000.00 0.03
- ---------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
PROPERTY TYPES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Property Type Loans Principal Balance Principal Balancea
Single Family Residence 6,034 $ 748,810,347.00 78.96%
Deminimus PUD 493 79,737,394.19 8.41
2-4 Family 355 48,015,101.86 5.06
Condo 197 23,192,205.46 2.45
PUD 117 16,142,242.15 1.70
Condo-Low Rise<5 floors 156 15,738,257.98 1.66
Manufactured Housing 63 4,932,685.34 0.52
Single Family Attached 56 4,855,653.34 0.51
Condo-High Rise>8 Floors 32 3,355,521.04 0.35
4 Family 12 1,673,990.05 0.18
2 Family 16 1,414,386.21 0.15
3 Family 2 243,671.24 0.03
Modular Home 2 205,703.21 0.02
- ---------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(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 description 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.
TOTAL HOME EQUITY LOANS
OCCUPANCY STATUS OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Occupancy Status Loans Principal Balance Principal Balance
Owner Occupied 7,028 $ 902,639,410.07 95.18%
Investment 447 38,129,484.27 4.02
Second Home 60 7,548,264.73 0.80
-- ------------ ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
MONTH OF NEXT RATE ADJUSTMENT OF THE LOANS
Month of Next Rate Number of Aggregate Remaining % Loans by Remaining Adjustment Loans Principal Balance Principal Balance
TBD 25 $ 1,932,505.68 0.20% February 2001 1 98,141.47 0.01 March 2001 3 414,500.00 0.04 April 2001 1 66,000.00 0.01 July 2001 1 65,279.01 0.01 September 2001 2 133,166.18 0.01 November 2001 2 193,569.27 0.02 January 2002 1 115,274.38 0.01 April 2002 1 55,854.69 0.01 May 2002 9 998,880.36 0.11 June 2002 24 3,157,271.74 0.33 July 2002 361 48,301,077.02 5.09 August 2002 1680 214,364,737.52 22.60 September 2002 2448 313,468,009.12 33.06 October 2002 1441 168,149,934.95 17.73 April 2003 1 71,445.04 0.01 May 2003 1 49,249.60 0.01 June 2003 7 833,484.35 0.09 July 2003 119 15,447,787.81 1.63 August 2003 550 67,515,997.28 7.12 September 2003 595 80,984,788.60 8.54 October 2003 262 31,900,205.00 3.36 --- ------------- ---- Total(1) 7,535 $ 948,317,159.07 100.00% ===== ================== ======= ----------------- (1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
GROSS MARGINS OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Gross Margin Loans Principal Balance Principal Balance
TBD 27 $ 2,262,725.68 0.24%
2.501 to 3.000% 1 220,500.00 0.02
3.001 to 3.500% 15 2,108,150.00 0.22
3.501 to 4.000% 53 6,819,713.11 0.72
4.001 to 4.500% 225 33,550,888.88 3.54
4.501 to 5.000% 406 57,885,821.93 6.10
5.001 to 5.500% 682 88,947,054.97 9.38
5.501 to 6.000% 2082 279,664,079.42 29.49
6.001 to 6.500% 2747 351,734,808.74 37.09
6.501 to 7.000% 1093 105,213,450.48 11.09
7.001 to 7.500% 125 12,178,384.31 1.28
7.501 to 8.000% 61 6,015,219.23 0.63
8.001 to 8.500% 10 920,695.27 0.10
8.501 to 9.000% 6 435,852.42 0.05
9.001 to 9.500% 1 53,950.00 0.01
9.501 to 10.000% 1 305,864.63 0.03
- ---------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== ======
-----------------
(1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
MAXIMUM LOAN RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Maximum Rate Loans Principal Balance Principal Balance
TBD 27 $ 2,262,725.68 0.24%
13.001 to 13.500% 3 984,500.00 0.10
13.501 to 14.000% 23 4,484,471.53 0.47
14.001 to 14.500% 69 10,887,994.08 1.15
14.501 to 15.000% 122 22,456,485.54 2.37
15.001 to 15.500% 249 41,181,699.83 4.34
15.501 to 16.000% 628 94,220,877.45 9.94
16.001 to 16.500% 797 111,741,261.75 11.78
16.501 to 17.000% 1378 189,140,256.51 19.94
17.001 to 17.500% 1119 141,808,064.28 14.95
17.501 to 18.000% 1201 146,743,490.94 15.47
18.001 to 18.500% 693 73,049,348.80 7.70
18.501 to 19.000% 519 53,350,427.49 5.63
19.001 to 19.500% 250 22,579,360.03 2.38
19.501 to 20.000% 174 14,426,961.06 1.52
20.001 to 20.500% 110 7,931,159.26 0.84
20.501 to 21.000% 86 6,102,101.34 0.64
21.001 to 21.500% 61 3,742,446.52 0.39
21.501 to 22.000% 22 1,017,626.98 0.11
22.001 to 22.500% 3 172,750.00 0.02
22.501 to 23.000% 1 33,150.00 0.00
- --------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
TOTAL HOME EQUITY LOANS
MINIMUM LOAN RATES OF THE LOANS
Number of Aggregate Remaining % Loans by Remaining
Maximum Rate Loans Principal Balance Principal Balance
TBD 27 $ 2,262,725.68 0.24%
7.001 to 7.500% 11 2,472,687.66 0.26
7.501 to 8.000% 34 6,881,165.88 0.73
8.001 to 8.500% 131 24,256,948.65 2.56
8.501 to 9.000% 329 61,216,649.31 6.46
9.001 to 9.500% 522 84,944,446.75 8.96
9.501 to 10.000% 1,147 166,083,051.53 17.51
10.001 to 10.500% 1,154 147,890,379.53 15.60
10.501 to 11.000% 1,419 178,526,011.84 18.83
11.001 to 11.500% 880 97,961,838.60 10.33
11.501 to 11.000% 816 86,399,422.98 9.11
12.001 to 12.500% 439 41,497,779.34 4.38
12.501 to 12.000% 272 24,045,226.82 2.54
13.001 to 13.500% 147 10,850,807.48 1.14
13.501 to 14.000% 112 7,653,348.46 0.81
14.001 to 14.500% 67 4,030,946.54 0.43
14.501 to 15.000% 24 1,137,822.02 0.12
15.001 to 15.500% 3 172,750.00 0.02
15.501 to 16.000% 1 33,150.00 0.00
- --------- ----
Total(1) 7,535 $ 948,317,159.07 100.00%
===== ================== =======
-----------------
(1) Percentages do not add to 100% due to rounding.
ORIGINAL TERM TO EXPIRATION OF PREPAYMENT PENALTY
Original Number Number of Aggregate Remaining % of Loans by Remaining of Months to Expiration Loans Principal Balance Principal Balance
None (No Penalty) 745 $ 87,603,576.90 9.24% 12 172 29,195,578.96 3.08 24 4,806 612,714,655.68 64.61 27 4 477,244.21 0.05 30 9 1,415,373.99 0.15 36 1,439 177,432,496.04 18.71 42 24 2,864,153.06 0.30 48 93 12,622,186.67 1.33 60 243 23,991,893.56 2.53 --- ------------- ---- Total(1) 7,535 $ 948,317,159.07 100.00% ===== ================== ======= ----------------- (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 description 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.
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