SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
----------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) April 25, 1997
Financial Asset Securitization, Inc.
(Exact name of registrant as specified in charter)
Virginia 0-15483 53-1526174
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) Identification No.)
901 East Byrd Street, Richmond, Virginia 23219
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 344-7575
-----------------------------------------------------------------
(Former Name or Former Address if Changed Since Last Report)
<PAGE>
Item 5. Other Events.
The Registrant expects to enter into an underwriting agreement, dated
April 25, 1997, with Donaldson, Lufkin & Jenrette Securities Corporation (the
"Underwriter"), pursuant to which the Underwriter agrees to purchase and offer
for sale to the public, approximately $173,847,073 aggregate initial principal
amount of the Registrant's Mortgage Participation Securities, Series 1997-NAMC
1, Class FXA-1, Class FXA-2, Class FXA-3, Class FXA-4, Class FXA-5, Class FXA-6,
Class FXA-7, Class FXA-8, Class FXA-9, Class FXS, Class FXP, Class A-1, Class
A-2, Class A-3, Class A-4, Class S, Class P, Class B-1, Class B-2, Class B-3,
Class R and Class RP (the "Offered Securities"). The Offered Securities are
registered for sale under the Registrant's effective shelf Registration
Statement on Form S-3 (33-78368), and will be offered pursuant to a Prospectus,
dated April 25, 1997, and a related Prospectus Supplement, dated April 25, 1997,
to be filed with the Securities and Exchange Commission pursuant to the
Securities Act of 1933, as amended, and Rule 424 thereunder.
In connection with the offering of the Offered Securities, the
Underwriter has prepared and disseminated to potential purchasers certain
"Computational Materials" and/or "Structural Terms Sheet(s)," as such terms are
defined in the No-Action response letters to Kidder, Peabody and Co.
Incorporated and certain affiliates thereof (publicly available, May 20, 1994)
and the No- Action response letter to Cleary, Gottlieb, Steen & Hamilton on
behalf of the Public Securities Association (publicly available, February 17,
1995), respectively. In accordance with such No- Action Letter, the Registrant
is filing herewith such Computational Materials and/or Structural Terms Sheet(s)
as Exhibit 99.1.
Exhibits
99.1 Copy of "Computational Materials" and/or "Structural Terms Sheet(s)" as
provided by Donaldson, Lufkin & Jenrette Securities Corporation.
-2-
<PAGE>
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
April 25, 1997 FINANCIAL ASSET SECURITIZATION, INC.
By: /s/ William E. Hardy
--------------------
Name: William E. Hardy
Title: Executive Vice President
-3-
<PAGE>
INDEX TO EXHIBITS
Page
99.1 Copy of "Computational Materials"
and/or "Structural Terms Sheet(s)"
as provided by Donaldson, Lufkin & Jenrette
Securities Corporation.......................................
-4-
Exhibit 99.1
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer A10 Next Payment Date: 05/25/1997
================== Interest Accrues From: 04/01/1997
Class: FXA-6 Par Balance: $4,232,734 Coupon: 7.750000%
8.0% 10.0% 12.0% 15.0% 20.0% 25.0% 30.0%
CPR CPR CPR CPR CPR CPR CPR
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
96.187500 96-06 8.199 8.219 8.250 8.354 8.630 8.827 9.018
96.312500 96-10 8.187 8.205 8.236 8.336 8.601 8.791 8.974
96.437500 96-14 8.174 8.192 8.221 8.317 8.572 8.754 8.929
96.562500 96-18 8.162 8.179 8.207 8.299 8.542 8.717 8.885
96.687500 96-22 8.149 8.165 8.192 8.280 8.513 8.681 8.841
96.812500 96-26 8.137 8.152 8.178 8.262 8.484 8.644 8.798
96.937500 96-30 8.124 8.139 8.163 8.244 8.456 8.607 8.754
97.062500 97-02 8.112 8.126 8.149 8.225 8.427 8.571 8.710
97.187500 97-06 8.099 8.113 8.135 8.207 8.398 8.535 8.666
97.312500 97-10 8.087 8.100 8.120 8.189 8.369 8.498 8.623
97.437500 97-14 8.075 8.087 8.106 8.170 8.340 8.462 8.579
97.562500 97-18 8.062 8.074 8.092 8.152 8.312 8.426 8.536
97.687500 97-22 8.050 8.061 8.078 8.134 8.283 8.390 8.492
97.812500 97-26 8.038 8.048 8.063 8.116 8.254 8.353 8.449
97.937500 97-30 8.026 8.035 8.049 8.098 8.226 8.317 8.406
98.062500 98-02 8.013 8.022 8.035 8.080 8.197 8.281 8.362
98.187500 98-06 8.001 8.009 8.021 8.062 8.169 8.245 8.319
Average Life: 23.729 20.459 16.860 10.955 5.729 4.310 3.484
Mod Dur ( 97-06 ): 10.318 9.744 8.924 6.983 4.434 3.513 2.928
Start Date: 12/2017 03/2014 07/2010 06/2005 07/2002 04/2001 07/2000
End Date: 10/2024 09/2022 09/2019 08/2013 08/2003 11/2001 01/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer A11 Next Payment Date: 05/25/1997
================== Interest Accrues From: 04/01/1997
Class: FXA-7 Par Balance: $1,012,822 Coupon: 7.750000%
8.0% 10.0% 12.0% 15.0% 20.0% 25.0% 30.0%
CPR CPR CPR CPR CPR CPR CPR
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
94.750000 94-24 8.319 8.325 8.335 8.375 8.865 9.161 9.417
94.875000 94-28 8.307 8.312 8.323 8.362 8.838 9.126 9.375
95.000000 95-00 8.295 8.300 8.310 8.348 8.811 9.091 9.333
95.125000 95-04 8.283 8.288 8.298 8.334 8.784 9.057 9.291
95.250000 95-08 8.271 8.276 8.285 8.321 8.758 9.022 9.250
95.375000 95-12 8.259 8.263 8.273 8.307 8.731 8.987 9.208
95.500000 95-16 8.247 8.251 8.260 8.294 8.704 8.952 9.167
95.625000 95-20 8.235 8.239 8.248 8.280 8.677 8.918 9.125
95.750000 95-24 8.223 8.227 8.235 8.267 8.651 8.883 9.084
95.875000 95-28 8.211 8.215 8.223 8.253 8.624 8.849 9.042
96.000000 96-00 8.199 8.203 8.211 8.240 8.598 8.814 9.001
96.125000 96-04 8.187 8.191 8.198 8.226 8.571 8.780 8.960
96.250000 96-08 8.175 8.179 8.186 8.213 8.545 8.745 8.919
96.375000 96-12 8.163 8.167 8.174 8.200 8.519 8.711 8.877
96.500000 96-16 8.151 8.155 8.161 8.186 8.492 8.677 8.836
96.625000 96-20 8.139 8.143 8.149 8.173 8.466 8.643 8.795
96.750000 96-24 8.128 8.131 8.137 8.160 8.440 8.609 8.755
Average Life: 28.622 27.435 25.432 20.468 6.506 4.688 3.782
Mod Dur ( 95-24 ): 10.826 10.701 10.454 9.630 4.881 3.756 3.133
Start Date: 10/2024 09/2022 09/2019 08/2013 08/2003 11/2001 01/2001
End Date: 02/2027 02/2027 02/2027 02/2027 01/2004 01/2002 02/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
==============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1G_offer A1 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/01/1997
Class: A-1 Par Balance: $36,058,366 Coupon: 7.750000%
100% 150% 175% 200% 235% 300% 350% 400% 450% 500%
PSA PSA PSA PSA PSA PSA PSA PSA PSA PSA
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.250000 99-08 7.922 7.935 7.941 7.948 7.956 7.970 7.979 7.988 7.996 8.003
99.375000 99-12 7.898 7.903 7.906 7.909 7.913 7.919 7.924 7.928 7.931 7.935
99.500000 99-16 7.873 7.872 7.871 7.871 7.870 7.869 7.869 7.868 7.868 7.867
99.625000 99-20 7.848 7.841 7.837 7.833 7.828 7.819 7.814 7.809 7.804 7.799
99.750000 99-24 7.823 7.809 7.802 7.795 7.785 7.770 7.759 7.749 7.740 7.731
99.875000 99-28 7.799 7.778 7.767 7.757 7.743 7.720 7.704 7.690 7.676 7.664
100.000000 100-00 7.774 7.747 7.732 7.718 7.700 7.670 7.650 7.631 7.613 7.596
100.125000 100-04 7.750 7.715 7.698 7.681 7.658 7.621 7.595 7.572 7.550 7.529
100.250000 100-08 7.725 7.684 7.663 7.643 7.616 7.571 7.541 7.513 7.486 7.462
100.375000 100-12 7.701 7.653 7.629 7.605 7.573 7.522 7.486 7.454 7.423 7.395
100.500000 100-16 7.676 7.622 7.595 7.567 7.531 7.472 7.432 7.395 7.360 7.328
100.625000 100-20 7.652 7.591 7.560 7.529 7.489 7.423 7.378 7.336 7.298 7.261
100.750000 100-24 7.628 7.561 7.526 7.492 7.447 7.374 7.324 7.278 7.235 7.194
100.875000 100-28 7.604 7.530 7.492 7.454 7.406 7.325 7.270 7.219 7.172 7.128
101.000000 101-00 7.579 7.499 7.458 7.417 7.364 7.276 7.216 7.161 7.110 7.061
101.125000 101-04 7.555 7.468 7.424 7.380 7.322 7.227 7.162 7.103 7.047 6.995
101.250000 101-08 7.531 7.438 7.390 7.342 7.280 7.178 7.109 7.045 6.985 6.929
Average Life: 7.595 5.369 4.656 4.121 3.590 2.969 2.658 2.426 2.244 2.095
Mod Dur (100-08 ): 5.069 3.989 3.594 3.275 2.935 2.506 2.278 2.103 1.962 1.845
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 04/2016 02/2011 12/2008 02/2007 02/2005 03/2003 05/2002 10/2001 05/2001 01/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 7.764%, Wac = 8.024%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer C1 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/25/1997
Class: FXA-8 Par Balance: $23,382,802 Coupon: 5.950000%
75% 85% 95% 100% 125% 135% 150% 175% 200%
PPC PPC PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.000000 99-00 6.420 6.466 6.511 6.534 6.641 6.683 6.745 6.847 6.948
99.125000 99-04 6.370 6.411 6.450 6.469 6.563 6.600 6.654 6.743 6.831
99.250000 99-08 6.320 6.355 6.389 6.405 6.486 6.517 6.563 6.640 6.715
99.375000 99-12 6.270 6.300 6.328 6.341 6.408 6.434 6.473 6.537 6.599
99.500000 99-16 6.221 6.244 6.267 6.278 6.331 6.352 6.383 6.434 6.484
99.625000 99-20 6.172 6.189 6.206 6.214 6.254 6.270 6.293 6.331 6.368
99.750000 99-24 6.122 6.134 6.145 6.151 6.177 6.188 6.203 6.228 6.253
99.875000 99-28 6.073 6.079 6.085 6.087 6.101 6.106 6.114 6.126 6.139
100.000000 100-00 6.024 6.024 6.024 6.024 6.024 6.024 6.024 6.024 6.024
100.125000 100-04 5.975 5.969 5.964 5.961 5.948 5.943 5.935 5.922 5.910
100.250000 100-08 5.926 5.915 5.904 5.898 5.872 5.861 5.846 5.821 5.796
100.375000 100-12 5.878 5.860 5.844 5.835 5.796 5.780 5.757 5.719 5.682
100.500000 100-16 5.829 5.806 5.784 5.773 5.720 5.699 5.669 5.618 5.569
100.625000 100-20 5.781 5.752 5.724 5.710 5.644 5.619 5.580 5.517 5.455
Average Life: 2.992 2.627 2.353 2.238 1.813 1.689 1.533 1.330 1.177
Mod Dur ( 99-24 ): 2.545 2.276 2.065 1.975 1.631 1.528 1.396 1.223 1.089
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 06/2007 05/2005 03/2004 09/2003 03/2002 10/2001 04/2001 09/2000 04/2000
<CAPTION>
Start Period End Period Start Amount End Amount
------------ ---------- ------------ ----------
<S> <C>
1 Mon Libor 1 360 5.500000 5.500000
</TABLE>
Coupon Formula: (1 Mon Libor) + 0.45%, 8.5% Cap, 0.45% Floor
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer C1 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/25/1997
Class: FXA-8 Par Balance: $23,382,802 Coupon: 5.950000%
75% 100% 115% 125% 150% 175% 200% 250% 300%
PPC PPC PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- ----- ----- -----
Price DM DM DM DM DM DM DM DM DM
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
100.937500 100-30 9.4 -0.9 -6.7 -10.5 -19.9 -29.1 -38.2 -55.9 -73.2
101.062500 101-02 4.7 -6.9 -13.6 -17.9 -28.5 -38.9 -49.2 -69.2 -88.8
101.187500 101-06 0.0 -13.0 -20.4 -25.2 -37.0 -48.7 -60.1 -82.6 -104.5
Average Life: 2.992 2.238 1.959 1.813 1.533 1.330 1.177 0.961 0.815
Mod Dur (100-06 ): 2.554 1.982 1.757 1.637 1.401 1.227 1.093 0.901 0.770
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 06/2007 09/2003 09/2002 03/2002 04/2001 09/2000 04/2000 08/1999 03/1999
<CAPTION>
Start Period End Period Start Amount End Amount
------------ ---------- ------------ ----------
<S> <C>
1 Mon Libor 1 360 5.500000 5.500000
</TABLE>
Coupon Formula: (1 Mon Libor) + 0.45%, 8.5% Cap, 0.45% Floor
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_new D1 Next Payment Date: 05/25/1997
=============== Interest Accrues From: 04/25/1997
Class: FXA-8 Par Balance: $27,186,120 Coupon: 5.950000%
75% 85% 90% 95% 100% 125% 135% 150% 175% 200%
PPC PPC PPC PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price DM DM DM DM DM DM DM DM DM DM
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.000000 99-00 82.9 87.3 89.5 91.6 93.6 103.6 107.4 113.1 122.4 131.5
99.125000 99-04 78.2 82.0 83.9 85.7 87.5 96.2 99.6 104.5 112.7 120.6
99.250000 99-08 73.4 76.7 78.3 79.8 81.4 88.8 91.7 96.0 102.9 109.7
99.375000 99-12 68.6 71.4 72.7 74.0 75.3 81.5 83.9 87.4 93.2 98.9
99.500000 99-16 63.9 66.1 67.1 68.2 69.2 74.2 76.1 78.9 83.5 88.1
99.625000 99-20 59.1 60.8 61.6 62.4 63.1 66.8 68.3 70.4 73.9 77.3
99.750000 99-24 54.4 55.5 56.0 56.6 57.1 59.5 60.5 61.9 64.2 66.5
99.875000 99-28 49.7 50.2 50.5 50.8 51.0 52.3 52.7 53.4 54.6 55.7
100.000000 100-00 45.0 45.0 45.0 45.0 45.0 45.0 45.0 45.0 45.0 45.0
100.125000 100-04 40.3 39.7 39.5 39.2 39.0 37.7 37.2 36.5 35.4 34.2
100.250000 100-08 35.6 34.5 34.0 33.5 32.9 30.5 29.5 28.1 25.8 23.5
100.375000 100-12 30.9 29.3 28.5 27.7 26.9 23.2 21.8 19.7 16.2 12.9
100.500000 100-16 26.2 24.1 23.0 22.0 20.9 16.0 14.1 11.3 6.7 2.2
100.625000 100-20 21.6 18.9 17.5 16.2 15.0 8.8 6.4 2.9 -2.8 -8.4
Average Life: 3.044 2.677 2.530 2.401 2.287 1.861 1.737 1.581 1.379 1.226
Mod Dur ( 99-24 ): 2.585 2.316 2.205 2.106 2.016 1.673 1.570 1.439 1.266 1.133
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 08/2007 07/2005 11/2004 04/2004 10/2003 03/2002 11/2001 05/2001 10/2000 05/2000
<CAPTION>
Start Period End Period Start Amount End Amount
------------ ---------- ------------ ----------
<S> <C>
1 Mon Libor 1 360 5.500000 5.500000
Coupon Formula: (1 Mon Libor) + 0.45%, 8.5% Cap, 0.45% Floor
</TABLE>
Collateral Assumptions: Pass-Thru = 8.468%, Wac = 8.728%, Wam = 359, Wala
= 1; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aprbfltoffer A10 Next Payment Date: 05/25/1997
======================== Interest Accrues From: 04/01/1997
Class: FXA-6 Par Balance: $4,232,734 Coupon: 7.750000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
97.500000 97-16 8.096 8.132 8.178 8.263 8.303 8.396 8.473
97.625000 97-20 8.082 8.116 8.159 8.238 8.276 8.363 8.435
97.750000 97-24 8.068 8.099 8.140 8.214 8.249 8.330 8.397
97.875000 97-28 8.054 8.083 8.120 8.189 8.222 8.297 8.359
98.000000 98-00 8.040 8.067 8.101 8.165 8.195 8.264 8.321
98.125000 98-04 8.026 8.051 8.082 8.140 8.168 8.231 8.284
98.250000 98-08 8.012 8.034 8.063 8.116 8.141 8.198 8.246
98.375000 98-12 7.998 8.018 8.044 8.091 8.114 8.165 8.208
98.500000 98-16 7.984 8.002 8.025 8.067 8.087 8.132 8.170
98.625000 98-20 7.970 7.986 8.006 8.042 8.060 8.099 8.133
98.750000 98-24 7.957 7.970 7.987 8.018 8.033 8.067 8.095
98.875000 98-28 7.943 7.954 7.968 7.994 8.006 8.034 8.058
99.000000 99-00 7.929 7.938 7.949 7.970 7.979 8.002 8.020
99.125000 99-04 7.915 7.922 7.930 7.945 7.953 7.969 7.983
99.250000 99-08 7.902 7.906 7.911 7.921 7.926 7.937 7.946
99.375000 99-12 7.888 7.890 7.892 7.897 7.899 7.904 7.908
99.500000 99-16 7.874 7.874 7.874 7.873 7.873 7.872 7.871
Average Life: 17.361 13.054 9.999 6.958 6.112 4.791 4.058
Mod Dur ( 98-16 ): 9.114 7.820 6.626 5.171 4.683 3.851 3.350
Start Date: 01/2011 12/2006 01/2005 07/2003 11/2002 10/2001 02/2001
End Date: 02/2020 10/2015 04/2012 04/2005 01/2004 06/2002 08/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aprbfltoffer A11 Next Payment Date: 05/25/1997
======================== Interest Accrues From: 04/01/1997
Class: FXA-7 Par Balance: $1,012,822 Coupon: 7.750000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
96.125000 96-04 8.197 8.214 8.237 8.421 8.537 8.700 8.832
96.250000 96-08 8.185 8.201 8.223 8.401 8.512 8.669 8.796
96.375000 96-12 8.173 8.188 8.210 8.380 8.486 8.637 8.759
96.500000 96-16 8.160 8.175 8.196 8.359 8.461 8.606 8.723
96.625000 96-20 8.148 8.163 8.182 8.339 8.436 8.575 8.687
96.750000 96-24 8.136 8.150 8.168 8.318 8.412 8.544 8.651
96.875000 96-28 8.124 8.137 8.155 8.297 8.387 8.513 8.615
97.000000 97-00 8.112 8.124 8.141 8.277 8.362 8.482 8.579
97.125000 97-04 8.100 8.112 8.128 8.256 8.337 8.451 8.543
97.250000 97-08 8.088 8.099 8.114 8.236 8.312 8.420 8.507
97.375000 97-12 8.076 8.086 8.101 8.215 8.287 8.389 8.471
97.500000 97-16 8.064 8.074 8.087 8.195 8.263 8.358 8.436
97.625000 97-20 8.052 8.061 8.074 8.175 8.238 8.328 8.400
97.750000 97-24 8.040 8.048 8.060 8.154 8.213 8.297 8.364
97.875000 97-28 8.028 8.036 8.047 8.134 8.189 8.266 8.329
98.000000 98-00 8.016 8.023 8.033 8.114 8.164 8.236 8.293
98.125000 98-04 8.004 8.011 8.020 8.094 8.140 8.205 8.258
Average Life: 25.689 22.309 19.140 9.280 6.960 5.249 4.383
Mod Dur ( 97-04 ): 10.585 10.060 9.422 6.244 5.157 4.136 3.564
Start Date: 02/2020 10/2015 04/2012 04/2005 01/2004 06/2002 08/2001
End Date: 02/2027 02/2027 02/2027 02/2027 07/2004 09/2002 10/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
================================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aproffer A1 Next Payment Date: 05/25/1997
=================== Interest Accrues From: 04/01/1997
Class: A-1 Par Balance: $36,058,366 Coupon: 7.750000%
100% 150% 175% 200% 235% 300% 350% 400% 450% 500%
PSA PSA PSA PSA PSA PSA PSA PSA PSA PSA
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.250000 99-08 7.922 7.935 7.941 7.948 7.956 7.970 7.979 7.988 7.996 8.003
99.375000 99-12 7.898 7.903 7.906 7.909 7.913 7.919 7.924 7.928 7.931 7.935
99.500000 99-16 7.873 7.872 7.871 7.871 7.870 7.869 7.869 7.868 7.868 7.867
99.625000 99-20 7.848 7.841 7.837 7.833 7.828 7.819 7.814 7.809 7.804 7.799
99.750000 99-24 7.823 7.809 7.802 7.795 7.785 7.770 7.759 7.749 7.740 7.731
99.875000 99-28 7.799 7.778 7.767 7.757 7.743 7.720 7.704 7.690 7.676 7.664
100.000000 100-00 7.774 7.747 7.732 7.718 7.700 7.670 7.650 7.631 7.613 7.596
100.125000 100-04 7.750 7.715 7.698 7.681 7.658 7.621 7.595 7.572 7.550 7.529
100.250000 100-08 7.725 7.684 7.663 7.643 7.616 7.571 7.541 7.513 7.486 7.462
100.375000 100-12 7.701 7.653 7.629 7.605 7.573 7.522 7.486 7.454 7.423 7.395
100.500000 100-16 7.676 7.622 7.595 7.567 7.531 7.472 7.432 7.395 7.360 7.328
100.625000 100-20 7.652 7.591 7.560 7.529 7.489 7.423 7.378 7.336 7.298 7.261
100.750000 100-24 7.628 7.561 7.526 7.492 7.447 7.374 7.324 7.278 7.235 7.194
100.875000 100-28 7.604 7.530 7.492 7.454 7.406 7.325 7.270 7.219 7.172 7.128
101.000000 101-00 7.579 7.499 7.458 7.417 7.364 7.276 7.216 7.161 7.110 7.061
101.125000 101-04 7.555 7.468 7.424 7.380 7.322 7.227 7.162 7.103 7.047 6.995
101.250000 101-08 7.531 7.438 7.390 7.342 7.280 7.178 7.109 7.045 6.985 6.929
Average Life: 7.595 5.369 4.656 4.121 3.590 2.969 2.658 2.426 2.244 2.095
Mod Dur (100-08 ): 5.069 3.989 3.594 3.275 2.935 2.506 2.278 2.103 1.962 1.845
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 04/2016 02/2011 12/2008 02/2007 02/2005 03/2003 05/2002 10/2001 05/2001 01/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 7.764%, Wac = 8.024%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aproffer A2 Next Payment Date: 05/25/1997
=================== Interest Accrues From: 04/01/1997
Class: A-2 Par Balance: $6,359,051 Coupon: 7.750000%
100% 150% 175% 200% 235% 300% 350% 400% 450% 500%
PSA PSA PSA PSA PSA PSA PSA PSA PSA PSA
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
96.500000 96-16 8.172 8.203 8.226 8.254 8.308 8.443 8.538 8.620 8.692 8.756
96.625000 96-20 8.159 8.189 8.211 8.238 8.290 8.419 8.510 8.588 8.657 8.718
96.750000 96-24 8.147 8.175 8.196 8.222 8.271 8.395 8.482 8.556 8.622 8.681
96.875000 96-28 8.134 8.161 8.181 8.206 8.253 8.371 8.453 8.525 8.588 8.643
97.000000 97-00 8.122 8.147 8.166 8.190 8.234 8.347 8.425 8.493 8.553 8.606
97.125000 97-04 8.109 8.133 8.151 8.174 8.216 8.323 8.397 8.461 8.518 8.569
97.250000 97-08 8.096 8.119 8.136 8.158 8.198 8.299 8.369 8.430 8.484 8.532
97.375000 97-12 8.084 8.106 8.122 8.142 8.179 8.275 8.341 8.399 8.449 8.494
97.500000 97-16 8.071 8.092 8.107 8.126 8.161 8.251 8.313 8.367 8.415 8.457
97.625000 97-20 8.059 8.078 8.092 8.110 8.143 8.227 8.285 8.336 8.381 8.420
97.750000 97-24 8.046 8.064 8.077 8.094 8.125 8.203 8.258 8.305 8.346 8.383
97.875000 97-28 8.034 8.051 8.063 8.078 8.107 8.179 8.230 8.273 8.312 8.346
98.000000 98-00 8.022 8.037 8.048 8.062 8.089 8.155 8.202 8.242 8.278 8.309
98.125000 98-04 8.009 8.023 8.033 8.046 8.071 8.132 8.174 8.211 8.244 8.273
98.250000 98-08 7.997 8.010 8.019 8.031 8.053 8.108 8.147 8.180 8.210 8.236
98.375000 98-12 7.984 7.996 8.004 8.015 8.034 8.084 8.119 8.149 8.176 8.199
98.500000 98-16 7.972 7.982 7.990 7.999 8.017 8.061 8.092 8.118 8.142 8.162
Average Life: 22.879 18.123 15.832 13.698 10.989 7.307 5.948 5.140 4.590 4.194
Mod Dur ( 97-16 ): 10.193 9.234 8.637 7.984 6.993 5.328 4.566 4.065 3.705 3.435
Start Date: 04/2016 02/2011 12/2008 02/2007 02/2005 03/2003 05/2002 10/2001 05/2001 01/2001
End Date: 08/2024 06/2021 05/2019 02/2017 12/2013 09/2007 06/2004 04/2003 06/2002 12/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 7.764%, Wac = 8.024%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
=============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aproffer A3 Next Payment Date: 05/25/1997
=================== Interest Accrues From: 04/01/1997
Class: A-3 Par Balance: $1,497,511 Coupon: 7.750000%
100% 150% 175% 200% 235% 300% 350% 400% 450% 500%
PSA PSA PSA PSA PSA PSA PSA PSA PSA PSA
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
95.500000 95-16 8.247 8.254 8.261 8.270 8.290 8.370 8.601 8.727 8.833 8.928
95.625000 95-20 8.235 8.242 8.248 8.258 8.277 8.354 8.578 8.700 8.803 8.894
95.750000 95-24 8.223 8.230 8.236 8.245 8.264 8.338 8.555 8.673 8.772 8.860
95.875000 95-28 8.211 8.217 8.224 8.232 8.250 8.322 8.531 8.645 8.741 8.826
96.000000 96-00 8.199 8.205 8.211 8.220 8.237 8.306 8.508 8.618 8.711 8.793
96.125000 96-04 8.187 8.193 8.199 8.207 8.224 8.291 8.485 8.591 8.680 8.759
96.250000 96-08 8.175 8.181 8.186 8.194 8.210 8.275 8.462 8.564 8.649 8.726
96.375000 96-12 8.163 8.169 8.174 8.182 8.197 8.259 8.439 8.536 8.619 8.692
96.500000 96-16 8.151 8.157 8.162 8.169 8.184 8.243 8.416 8.509 8.588 8.659
96.625000 96-20 8.140 8.145 8.150 8.156 8.171 8.228 8.393 8.482 8.558 8.625
96.750000 96-24 8.128 8.133 8.137 8.144 8.158 8.212 8.370 8.455 8.528 8.592
96.875000 96-28 8.116 8.121 8.125 8.131 8.144 8.196 8.347 8.428 8.497 8.559
97.000000 97-00 8.104 8.109 8.113 8.119 8.131 8.181 8.324 8.402 8.467 8.525
97.125000 97-04 8.093 8.097 8.101 8.106 8.118 8.165 8.301 8.375 8.437 8.492
97.250000 97-08 8.081 8.085 8.089 8.094 8.105 8.149 8.278 8.348 8.407 8.459
97.375000 97-12 8.069 8.073 8.077 8.082 8.092 8.134 8.255 8.321 8.377 8.426
97.500000 97-16 8.058 8.061 8.065 8.069 8.079 8.118 8.232 8.294 8.347 8.393
Average Life: 28.561 26.735 25.323 23.619 20.875 14.649 7.776 6.279 5.411 4.822
Mod Dur ( 96-16 ): 10.878 10.674 10.490 10.237 9.751 8.186 5.584 4.759 4.231 3.852
Start Date: 08/2024 06/2021 05/2019 02/2017 12/2013 09/2007 06/2004 04/2003 06/2002 12/2001
End Date: 03/2027 03/2027 03/2027 03/2027 03/2027 03/2027 03/2027 03/2027 03/2027 03/2027
</TABLE>
Collateral Assumptions: Pass-Thru = 7.764%, Wac = 8.024%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aproffer J1 Next Payment Date: 05/25/1997
=================== Interest Accrues From: 04/01/1997
Class: A-4 NAS Par Balance: $10,978,732 Coupon: 7.750000%
100% 150% 175% 200% 235% 300% 350% 400% 450% 500%
PSA PSA PSA PSA PSA PSA PSA PSA PSA PSA
----- ----- ----- ----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.250000 99-08 7.905 7.907 7.908 7.909 7.910 7.911 7.912 7.915 7.918 7.920
99.375000 99-12 7.890 7.890 7.891 7.891 7.892 7.892 7.893 7.894 7.895 7.897
99.500000 99-16 7.874 7.874 7.874 7.874 7.874 7.874 7.874 7.873 7.873 7.873
99.625000 99-20 7.859 7.857 7.857 7.857 7.856 7.855 7.854 7.853 7.851 7.849
99.750000 99-24 7.843 7.841 7.840 7.839 7.838 7.836 7.835 7.832 7.829 7.826
99.875000 99-28 7.828 7.825 7.823 7.822 7.820 7.818 7.816 7.812 7.807 7.802
100.000000 100-00 7.812 7.808 7.806 7.805 7.803 7.799 7.796 7.791 7.785 7.779
100.125000 100-04 7.797 7.792 7.790 7.788 7.785 7.780 7.777 7.771 7.763 7.755
100.250000 100-08 7.781 7.776 7.773 7.770 7.767 7.762 7.758 7.750 7.741 7.732
100.375000 100-12 7.766 7.759 7.756 7.753 7.750 7.743 7.739 7.730 7.719 7.708
100.500000 100-16 7.751 7.743 7.739 7.736 7.732 7.725 7.720 7.709 7.698 7.685
100.625000 100-20 7.735 7.727 7.723 7.719 7.714 7.706 7.701 7.689 7.676 7.662
100.750000 100-24 7.720 7.711 7.706 7.702 7.697 7.688 7.682 7.669 7.654 7.639
100.875000 100-28 7.705 7.694 7.690 7.685 7.679 7.670 7.663 7.648 7.632 7.615
101.000000 101-00 7.689 7.678 7.673 7.668 7.662 7.651 7.644 7.628 7.611 7.592
101.125000 101-04 7.674 7.662 7.657 7.651 7.644 7.633 7.625 7.608 7.589 7.569
101.250000 101-08 7.659 7.646 7.640 7.634 7.627 7.615 7.606 7.588 7.567 7.546
Average Life: 15.123 13.497 12.845 12.277 11.598 10.613 10.010 9.018 8.143 7.393
Mod Dur (100-08 ): 8.055 7.597 7.403 7.230 7.014 6.683 6.467 6.062 5.664 5.294
Start Date: 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997 05/1997
End Date: 02/2027 02/2027 02/2027 02/2027 02/2027 02/2027 02/2027 02/2027 02/2027 02/2027
</TABLE>
Collateral Assumptions: Pass-Thru = 7.764%, Wac = 8.024%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
===============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer C2 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/25/1997
Class: FXA-9 Notional Balance: $23,382,802 Implied Coupon: 2.550000%
Index Shift Reset
Shift Periods Periods| 5.0% CPR | 7.0% CPR | 10.0% CPR | 12.0% CPR |15.0% CPR |20.0% CPR |25.0% CPR |30.0% CPR |40.0% CPR |
------- ------- -------| ----------| ----------| ----------| ----------|----------|----------|----------|----------|----------|
<S> <C> | | | | | | | | | |
200 BP IMMED | 9.50 | 3.55 | -7.45 | -16.64 | -30.79 | -53.37 | -74.90 | -95.33 | -131.23 |
| | | | | | | | | |
150 BP IMMED | 32.28 | 26.14 | 16.02 | 8.32 | -4.04 | -25.22 | -46.59 | -67.72 | -107.16 |
| | | | | | | | | |
100 BP IMMED | 56.08 | 49.61 | 39.33 | 31.96 | 20.17 | -0.55 | -22.04 | -43.80 | -85.96 |
| | | | | | | | | |
50 BP IMMED | 81.06 | 74.23 | 63.50 | 55.99 | 44.17 | 23.30 | 1.41 | -21.06 | -65.68 |
| | | | | | | | | |
0 BP IMMED | 107.24 | 100.03 | 88.72 | 80.89 | 68.70 | 47.29 | 24.76 | 1.46 | -45.61 |
| | | | | | | | | |
-50 BP IMMED | 134.63 | 127.02 | 115.08 | 106.85 | 94.10 | 71.84 | 48.46 | 24.21 | -25.36 |
| | | | | | | | | |
-100 BP IMMED | 163.29 | 155.23 | 142.63 | 133.93 | 120.51 | 97.21 | 72.80 | 47.47 | -4.71 |
| | | | | | | | | |
-150 BP IMMED | 193.23 | 184.71 | 171.39 | 162.20 | 148.04 | 123.53 | 97.94 | 71.41 | 16.49 |
| | | | | | | | | |
-200 BP IMMED | 224.50 | 215.47 | 201.39 | 191.69 | 176.73 | 150.89 | 124.00 | 96.14 | 38.33 |
| | | | | | | | | |
Mcly Duration (Row 5): | 1.04 | 1.03 | 1.01 | 1.00 | 0.97 | 0.92 | 0.86 | 0.80 | 0.69 |
Average Life (Row 5): | 6.83 | 5.01 | 3.38 | 2.73 | 2.13 | 1.56 | 1.22 | 1.00 | 0.71 |
| | | | | | | | | |
Start Date (Row 5): | 05/97 | 05/97 | 05/97 | 05/97 | 05/97 | 05/97 | 05/97 | 05/97 | 05/97 |
End Date (Row 5): | 12/19 | 12/15 | 03/10 | 11/06 | 12/03 | 11/01 | 11/00 | 03/00 | 05/99 |
| | | | | | | | | |
Prepayment Shift Periods: | IMMED | IMMED | IMMED | IMMED | IMMED | IMMED | IMMED | IMMED | IMMED |
</TABLE>
<TABLE>
<CAPTION>
Percent of Par Dollar Amount
<S> <C>
Bond Price: 2.510000% $586,908 Base Prepayment Speed: 100% CPR
Accrued Interest @ 2.550000%: 0.035417 8,281
Total Investment: 2.545417% $595,190 Base Floater Index: 5.500000% 1 Mon Libor
Coupon Formula: 8.05% - (1 Mon Libor), 8.05% Cap, 0% Floor
Collateral: WHOLE 8.4714922095% 30 Yr
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments
==============================================(TRADE TO SETTLE ON A YIELD
MAINTENANCE BASIS)============================================== The
computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the
securities described herein will be made only pursuant to the terms set
forth in a final prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED
SOLELY BY AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE
SECURITIES CORPORATION AND NOT BY THE ISSUER OF THE
SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aprbfltoffer A5 Next Payment Date: 05/25/1997
======================= Interest Accrues From: 04/01/1997
Class: FXA-3 Par Balance: $11,231,137 Coupon: 7.350000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
99.125000 99-04 7.580 7.599 7.612 7.631 7.643 7.674 7.705
99.250000 99-08 7.542 7.555 7.564 7.576 7.585 7.606 7.627
99.375000 99-12 7.504 7.511 7.515 7.522 7.526 7.537 7.548
99.500000 99-16 7.466 7.467 7.467 7.468 7.468 7.469 7.470
99.625000 99-20 7.429 7.423 7.419 7.413 7.410 7.400 7.391
99.750000 99-24 7.391 7.379 7.371 7.359 7.352 7.332 7.313
99.875000 99-28 7.353 7.335 7.323 7.305 7.294 7.264 7.235
100.000000 100-00 7.315 7.291 7.275 7.251 7.236 7.196 7.157
100.125000 100-04 7.278 7.247 7.227 7.198 7.178 7.128 7.080
100.250000 100-08 7.240 7.204 7.180 7.144 7.120 7.061 7.002
100.375000 100-12 7.202 7.160 7.132 7.090 7.062 6.993 6.925
100.500000 100-16 7.165 7.117 7.085 7.037 7.005 6.926 6.847
100.625000 100-20 7.127 7.073 7.037 6.983 6.947 6.858 6.770
100.750000 100-24 7.090 7.030 6.990 6.930 6.890 6.791 6.693
100.875000 100-28 7.053 6.986 6.942 6.876 6.833 6.724 6.616
101.000000 101-00 7.016 6.943 6.895 6.823 6.775 6.657 6.539
101.125000 101-04 6.978 6.900 6.848 6.770 6.718 6.590 6.462
Average Life: 3.939 3.315 3.000 2.626 2.427 2.040 1.762
Mod Dur (100-04 ): 3.298 2.839 2.599 2.307 2.147 1.831 1.598
Start Date: 02/2000 09/1999 06/1999 03/1999 01/1999 10/1998 08/1998
End Date: 07/2002 08/2001 03/2001 09/2000 06/2000 12/1999 07/1999
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
==============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer A7 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/01/1997
Class: FXA-4 Par Balance: $11,152,169 Coupon: 7.500000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
97.375000 97-12 8.026 8.105 8.154 8.225 8.271 8.385 8.501
97.500000 97-16 8.002 8.076 8.122 8.189 8.232 8.340 8.449
97.625000 97-20 7.977 8.047 8.090 8.153 8.193 8.294 8.396
97.750000 97-24 7.953 8.018 8.058 8.117 8.155 8.248 8.344
97.875000 97-28 7.929 7.989 8.027 8.081 8.116 8.203 8.291
98.000000 98-00 7.905 7.960 7.995 8.045 8.077 8.157 8.239
98.125000 98-04 7.881 7.931 7.963 8.009 8.039 8.112 8.187
98.250000 98-08 7.857 7.903 7.932 7.973 8.000 8.067 8.135
98.375000 98-12 7.833 7.874 7.900 7.938 7.962 8.022 8.083
98.500000 98-16 7.809 7.845 7.868 7.902 7.923 7.977 8.031
98.625000 98-20 7.785 7.817 7.837 7.866 7.885 7.931 7.979
98.750000 98-24 7.761 7.788 7.806 7.831 7.847 7.886 7.927
98.875000 98-28 7.737 7.760 7.774 7.795 7.808 7.842 7.875
99.000000 99-00 7.713 7.731 7.743 7.760 7.770 7.797 7.824
99.125000 99-04 7.689 7.703 7.712 7.724 7.732 7.752 7.772
99.250000 99-08 7.666 7.675 7.680 7.689 7.694 7.707 7.721
99.375000 99-12 7.642 7.646 7.649 7.653 7.656 7.663 7.669
Average Life: 7.092 5.637 5.000 4.301 3.950 3.282 2.801
Mod Dur ( 98-12 ): 5.259 4.409 4.003 3.532 3.285 2.796 2.429
Start Date: 07/2002 08/2001 03/2001 09/2000 06/2000 12/1999 07/1999
End Date: 06/2007 09/2004 09/2003 09/2002 03/2002 04/2001 09/2000
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358,
Wala = 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
==============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 DLJ97-1F_offer A7 Next Payment Date: 05/25/1997
================= Interest Accrues From: 04/01/1997
Class: FXA-4 Par Balance: $11,152,169 Coupon: 7.500000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
98.375000 98-12 7.833 7.874 7.900 7.938 7.962 8.022 8.083
98.500000 98-16 7.809 7.845 7.868 7.902 7.923 7.977 8.031
98.625000 98-20 7.785 7.817 7.837 7.866 7.885 7.931 7.979
98.750000 98-24 7.761 7.788 7.806 7.831 7.847 7.886 7.927
98.875000 98-28 7.737 7.760 7.774 7.795 7.808 7.842 7.875
99.000000 99-00 7.713 7.731 7.743 7.760 7.770 7.797 7.824
99.125000 99-04 7.689 7.703 7.712 7.724 7.732 7.752 7.772
99.250000 99-08 7.666 7.675 7.680 7.689 7.694 7.707 7.721
99.375000 99-12 7.642 7.646 7.649 7.653 7.656 7.663 7.669
99.500000 99-16 7.618 7.618 7.618 7.618 7.618 7.618 7.618
99.625000 99-20 7.594 7.590 7.587 7.583 7.580 7.574 7.567
99.750000 99-24 7.571 7.562 7.556 7.548 7.542 7.529 7.516
99.875000 99-28 7.547 7.534 7.525 7.513 7.505 7.485 7.465
100.000000 100-00 7.524 7.506 7.494 7.478 7.467 7.441 7.414
100.125000 100-04 7.500 7.477 7.463 7.443 7.429 7.396 7.363
100.250000 100-08 7.477 7.449 7.432 7.408 7.392 7.352 7.312
100.375000 100-12 7.453 7.422 7.402 7.373 7.354 7.308 7.261
Average Life: 7.092 5.637 5.000 4.301 3.950 3.282 2.801
Mod Dur ( 99-12 ): 5.274 4.421 4.014 3.542 3.294 2.804 2.436
Start Date: 07/2002 08/2001 03/2001 09/2000 06/2000 12/1999 07/1999
End Date: 06/2007 09/2004 09/2003 09/2002 03/2002 04/2001 09/2000
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
================================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
<PAGE>
<TABLE>
<CAPTION>
Settlement Date: 04/30/1997 north775aprbfltoffer A9 Next Payment Date: 05/25/1997
======================= Interest Accrues From: 04/01/1997
Class: FXA-5 Par Balance: $3,811,660 Coupon: 7.750000%
75% 90% 100% 115% 125% 150% 175%
PPC PPC PPC PPC PPC PPC PPC
----- ----- ----- ----- ----- ----- -----
Price Yield Yield Yield Yield Yield Yield Yield
- ----------------- ----- ----- ----- ----- ----- ----- -----
<S> <C>
98.500000 98-16 8.009 8.043 8.066 8.096 8.116 8.159 8.201
98.625000 98-20 7.992 8.022 8.042 8.068 8.085 8.123 8.160
98.750000 98-24 7.975 8.001 8.017 8.040 8.055 8.087 8.118
98.875000 98-28 7.958 7.979 7.993 8.012 8.024 8.051 8.077
99.000000 99-00 7.941 7.958 7.969 7.984 7.994 8.015 8.035
99.125000 99-04 7.924 7.937 7.945 7.956 7.963 7.979 7.994
99.250000 99-08 7.907 7.916 7.921 7.928 7.933 7.943 7.953
99.375000 99-12 7.891 7.894 7.897 7.900 7.902 7.907 7.912
99.500000 99-16 7.874 7.873 7.873 7.872 7.872 7.871 7.871
99.625000 99-20 7.857 7.852 7.849 7.845 7.842 7.836 7.830
99.750000 99-24 7.841 7.831 7.825 7.817 7.812 7.800 7.789
99.875000 99-28 7.824 7.810 7.801 7.789 7.781 7.764 7.748
100.000000 100-00 7.807 7.789 7.777 7.762 7.751 7.729 7.707
100.125000 100-04 7.791 7.768 7.754 7.734 7.721 7.694 7.666
100.250000 100-08 7.774 7.747 7.730 7.707 7.691 7.658 7.625
100.375000 100-12 7.757 7.726 7.706 7.679 7.661 7.623 7.585
100.500000 100-16 7.741 7.706 7.682 7.652 7.631 7.587 7.544
Average Life: 11.824 8.334 7.000 5.781 5.190 4.255 3.612
Mod Dur ( 99-16 ): 7.459 5.917 5.211 4.494 4.122 3.496 3.039
Start Date: 06/2007 09/2004 09/2003 09/2002 03/2002 04/2001 09/2000
End Date: 01/2011 12/2006 01/2005 07/2003 11/2002 10/2001 02/2001
</TABLE>
Collateral Assumptions: Pass-Thru = 8.471%, Wac = 8.731%, Wam = 358, Wala
= 2; 30 Days Interest on Prepayments 100% PPC = (1) 4, (2) 5.090909,
(3) 6.181818, (4) 7.272727, (5) 8.363636, (6) 9.454545, (7) 10.545455,
(8) 11.636364, (9) 12.727273, (10) 13.818182, (11) 14.909091, (12-494) 16
==============================================================================
The computational materials contained herein and the data on which they are
based are preliminary and subject to change. Actual sales of the securities
described herein will be made only pursuant to the terms set forth in a final
prospectus.
THESE MATERIALS HAVE BEEN PREPARED AND DISSEMINATED SOLELY BY
AND ON BEHALF OF DONALDSON, LUFKIN & JENRETTE SECURITIES
CORPORATION AND NOT BY THE ISSUER OF THE SECURITIES.
