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) September 14, 1999
------------------
Chase Funding, Inc.
------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-64131 13-3840732
- ---------------------------- ------------ -------------------
(State or other jurisdiction (Commission (I.R.S. Employer
of incorporation) File Number) Identification No.)
343 Thornall Street, Edison, New Jersey 08837
- ---------------------------------------- ----------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (732) 205-0600
--------------
Not applicable
--------------------------------------------------------------
(Former name or former address, if changed since last report.)
<PAGE>
ITEM 5. Other Events
Attached as exhibits are certain Structural Term Sheets, Collateral
Term Sheets and Computational Materials (as defined in the no-action letter
dated May 20, 1994 issued by the Securities and Exchange Commission (the
"Commission") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co.
Incorporated and Kidder Structured Asset Corporation, as modified by a no-action
letter issued by the staff of the Commission on May 27, 1994 to the Public
Securities Association (the "PSA") and as further modified by a no-action letter
issued by the staff of the Commission on March 9, 1995 to the PSA) furnished to
the Registrant by Chase Securities Inc., Prudential Securities Incorporated and
First Union Capital Markets Corp. (collectively, the "Underwriters") in respect
of the Registrant's proposed offering of Chase Funding Mortgage Loan
Asset-Backed Certificates, Series 1999-3 (the "Certificates").
The Certificates will be offered pursuant to a Prospectus and related
Prospectus Supplement (together, the "Prospectus"), which will be filed with the
Commission pursuant to Rule 424 under the Securities Act of 1933, as amended
(the "Act"). The Certificates will be registered pursuant to the Act under the
Registrant's Registration Statement on Form S-3 (No. 333-64131) (the
"Registration Statement"). The Registrant hereby incorporates the Structural
Term Sheets, Collateral Term Sheets and Computational Materials by reference in
the Registration Statement.
The Structural Term Sheets, Collateral Term Sheets and Computational
Materials were prepared solely by the Underwriters, and the Registrant did not
prepare or participate in the preparation of the Structural Term Sheets,
Collateral Term Sheets or Computation Materials.
Any statement or information contained in the Structural Term Sheets,
Collateral Term Sheets or Computational Materials shall be deemed to be modified
or superseded for purposes of the Prospectus and the Registration Statement by
statements or information contained in the Prospectus.
<PAGE>
ITEM 7. Financial Statements and Exhibits
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
----------------- -----------
(99) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by Chase
Securities Inc., Prudential Securities
Incorporated and First Union
Capital Markets Corp. in connection
with Chase Funding Mortgage Loan
Asset-Backed Certificates, Series
1999-3.
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CHASE FUNDING, INC.
Date: September 15, 1999
By: /s/ Eileen Lindblom
------------------------------------
Name: Eileen Lindblom
Title: Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Structural Term Sheets, Collateral Term (E)
Sheets and Computational Materials
prepared by Chase Securities Inc.,
Prudential Securities Incorporated
and First Union Capital Markets Corp.
in connection with Chase Funding
Mortgage Loan Asset-Backed Certificates,
Series 1999-3.
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
$380,000,000 (APPROXIMATE)
Subject to Revision
September 14, 1999 - Computational Materials
The analysis in this report is based on information provided by Chase Manhattan
Mortgage Corporation (the "Seller"). Chase Securities Inc. ("CSI") makes no
representations as to the accuracy or completeness of the information contained
herein. The information contained herein is qualified in its entirety by the
information in the Prospectus and Prospectus Supplement for this transaction.
The information contained herein is preliminary as of the date hereof,
supersedes any previous information delivered to you by CSI and will be
superseded by the applicable final Prospectus and Prospectus Supplement and any
other information subsequently filed with the Securities and Exchange
Commission. These materials are subject to change, completion, or amendment from
time to time without notice, and CSI is under no obligation to keep you advised
of such changes. These materials are not intended as an offer or solicitation
with respect to the purchase or sale of any security. Any investment decision
with respect to the securities should be made by you based upon the information
contained in the final Prospectus Supplement and Prospectus relating to the
securities. You should consult your own counsel, accountant, and other advisors
as to the legal, tax, business, financial and related aspects of a purchase of
these securities.
The attached information contains certain tables and other statistical analyses
(the "Computational Materials") which have been prepared by CSI in reliance upon
information furnished by the Seller. They may not be provided to any third party
other than the addressee's legal, tax, financial and/or accounting advisors for
the purposes of evaluating said material. Numerous assumptions were used in
preparing the Computational Materials which may or may not be reflected herein.
As such, no assurance can be given as to the Computational Materials' accuracy,
appropriateness or completeness in any particular context; nor as to whether the
Computational Materials and/or the assumptions upon which they are based reflect
present market conditions or future market performance. These Computational
Materials should not be construed as either projections or predictions or as
legal, tax, financial or accounting advice. Any weighted average lives, yields
and principal payment periods shown in the Computational Materials are based on
prepayment assumptions, and changes in such prepayment assumptions may
dramatically affect such weighted average lives, yields and principal payment
periods. In addition, it is possible that prepayments on the underlying assets
will occur at rates slower or faster than the rates shown in the attached
Computational Materials. Furthermore, unless otherwise provided, the
Computational Materials assume no losses on the underlying assets and no
interest shortfalls. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical underlying assets used in
preparing the Computational Materials. The principal amount and designation of
any security described in the Computational Materials are subject to change
prior to issuance. Neither CSI nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY CSI AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES (OTHER THAN CSI). CSI IS ACTING AS
UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE
PROPOSED TRANSACTION.
<PAGE>
- --------------------------------------------------------------------------------
THE FOLLOWING INFORMATION MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES
REPRESENTATIVE IMMEDIATELY.
CHASE LOGO
- --------------------------------------------------------------------------------
<TABLE>
TERM SHEET
SEPTEMBER 14, 1999
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 1999-3
$380,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<CAPTION>
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (S&P/FITCH) WAL(1) TYPE COUPON MATURITY(1)
- ----- ---------- ------------ ------ ---- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
IA-1 44,000,000 AAA/AAA 0.95 SEQ 1M Libor + [ ](2) 6/01
IA-2 20,000,000 AAA/AAA 2.15 SEQ Fixed(2) 4/02
IA-3 16,500,000 AAA/AAA 3.14 SEQ Fixed(2) 7/03
IA-4 18,000,000 AAA/AAA 5.10 SEQ Fixed(2) 9/06
IA-5 10,850,000 AAA/AAA 8.55 SEQ Fixed(2,3) 5/08
IA-6 12,150,000 AAA/AAA 6.50 NAS Fixed(2) 5/08
IM-1 6,750,000 AA/AA 5.78 MEZ Fixed(2) 5/08
IM-2 3,712,000 A/A 5.78 MEZ Fixed(2) 5/08
IB 3,038,000 BBB/BBB 5.69 SUB Fixed(2) 5/08
IIA-1 207,025,000 AAA/AAA 2.35 PASS-THRU 1M Libor + [ ](3,4) 11/06
IIM-1 15,925,000 AA/AA 4.92 MEZ 1M Libor + [ ](3,4) 11/06
IIM-2 11,025,000 A/A 4.85 MEZ 1M Libor + [ ](3,4) 11/06
IIB 11,025,000 BBB/BBB 4.82 SUB 1M Libor + [ ](3,4) 11/06
<FN>
1 The Group I Certificates will be priced at 23% HEP while the Group II Certificates will be priced at
27% CPR. Assumes 10% call by group.
2 Preliminary, subject to a cap based on the weighted average net loan rate of the Group I Loans.
3 If the 10% cleanup call, with respect to the related Loan Group, is not exercised on the first
distribution date on which it is exercisable, the coupon on the Class IA-5 Certificates will
increase by 50 bps, the margin on the Class IIA-1 Certificates will increase to 2x the IIA-1 margin,
and the margin on the Class IIM-1, IIM-2 and IIB Certificates will increase to 1.5x their related
margins.
4 Subject to an available funds cap and a cap based on the weighted average of the net maximum
lifetime rates on the Group II Loans.
</FN>
</TABLE>
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 1999-3, consisting of:
IA-1, IA-2, IA-3, IA-4, IA-5, IA-6
IM-1, IM-2
IB
Group I Certificates
and
IIA-1
IIM-1, IIM-2
IIB
Group II Certificates
UNDERWRITERS: Chase Securities Inc., Prudential Securities
Incorporated, and First Union Capital
Markets Corp.
DEPOSITOR: Chase Funding, Inc.
SELLER AND MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: September 1, 1999
PRICING DATE: [September 15, 1999]
CLOSING DATE: [September 24, 1999]
DISTRIBUTION DATES: Distribution of principal and interest on
the certificates will be made on the 25th
day of each month or, if such day is not a
business day, on the first business day
thereafter commencing in October 1999.
ERISA CONSIDERATIONS: The Class A Certificates will be ERISA
eligible as of Closing. However, investors
should consult with their counsel with
respect to the consequences under ERISA and
the Internal Revenue Code of an ERISA Plan's
acquisition and ownership of such
Certificates.
LEGAL INVESTMENT: The Class A and M1 Certificates will
constitute "mortgage-related securities" for
the purposes of SMMEA. The Class M-2 and B
Certificates will not constitute
"mortgage-related securities" for the
purposes of SMMEA.
<PAGE>
TAX STATUS: For federal income tax purposes, the Trust
Fund will include two segregated asset
pools, with respect to which elections will
be made to treat each as a "real estate
mortgage investment conduit" ("REMIC").
OPTIONAL TERMINATION: The Master Servicer has the option to
exercise a call on each loan group
individually when the aggregate Stated
Principal Balance for that loan group is
less than or equal to 10% of the aggregate
Stated Principal Balance of the related
group as of the Cut-Off Date (i.e., separate
calls for each group). The call will be
exercised at a price equal to the sum of (i)
the Stated Principal Balance of the Mortgage
Loans in the related loan group (other than
in respect of REO property) plus accrued
interest, (ii) the appraised value of any
REO Property in the related loan group (up
to the Stated Principal Balance of the
related Mortgage Loan), and (iii) any
unreimbursed out-of-pocket costs, expenses
and the principal portion of Advances, in
each case previously incurred by the
Subservicer in the performance of its
servicing obligations in connection with
such mortgage loans.
MORTGAGE LOANS: The mortgage pool will consist of mortgage
loans ("Mortgage Loans") that will be
divided into a fixed rate coupon group
(Group I) and an adjustable-rate coupon
group (Group II). The mortgage loans are
secured by first liens on real properties.
ADMINISTRATIVE FEES: The Master Servicer, Servicer and Trustee
will be paid fees aggregating approximately
51 bps per annum (payable monthly) on the
outstanding principal balance of the
Mortgage Loans.
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
CERTIFICATE STRUCTURE
CREDIT ENHANCEMENT: 1) Excess interest
2) Over-Collateralization
3) Cross-Collateralization
4) Subordination
EXCESS INTEREST: Excess interest cashflows from each group
will be available as credit enhancement for
the related group.
OVERCOLLATERALIZATION: The overcollateralization ("O/C") provisions
are intended to provide for the limited
acceleration of the senior Certificates
relative to the amortization of the related
mortgage group, generally until the required
O/C levels are reached. Accelerated
amortization is achieved by applying certain
excess interest collected on each mortgage
group to the payment of principal on the
related senior Certificates, resulting in
the accumulation of O/C. By paying down the
principal balance of the certificates faster
than the principal amortization of the
related mortgage group, an
overcollateralization amount equal to the
excess of the aggregate principal balance of
the related mortgage group over the
principal balance of the related
Certificates is created. Excess interest
will be directed to build each group's O/C
amount until the respective mortgage group
reaches its required O/C target. Upon this
event, the acceleration feature will cease
unless it is once again necessary to
maintain the required O/C level. For
purposes of applying excess interest to
build each group's O/C amount, excess
interest will begin to be applied to the
Group I Certificates on the fourth
Distribution Date (January 25, 2000) and to
the Group II Certificates on the first
Distribution Date (October 25, 1999).
GROUP I CERTIFICATES
Initial: 0.00%
Target: 1.50% of original balance
Stepdown: 3.00% of current balance
Floor: 0.50% of original balance
Stepup: 2.75% (5.50%) of original
(current) balance, if applicable.
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
Initial: 0.00%
Target: 2.50% of original balance
Stepdown: 5.00% of current balance
Floor: 0.50% of original balance
Stepup: 3.50% (7.00%) of original
(current) balance, if applicable.
(PRELIMINARY AND SUBJECT TO REVISION)
As described herein, upon the occurrence of
a Stepup Trigger Event, the required O/C
levels will increase.
CROSS-
COLLATERALIZATION: Excess interest from each of the two
mortgage groups, if not needed to credit
enhance its own group will be available to
credit enhance the other group.
GROUP I - FIXED
GROUP I (FIXED) SUBORDINATION(1): (S&P/FITCH) GROUP I
(Subordination)
----------- ---------------
Class IA (AAA/AAA) 11.50%
Class IM-1 (AA/AA) 6.50%
Class IM-2 (A/A) 3.75%
Class IB (BBB/BBB) 1.50%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZE(1): (S&P/FITCH) GROUP I
(Class Sizes)
----------- -------------
Class IA (AAA/AAA) 90.00%
Class IM-1 (AA/AA) 5.00%
Class IM-2 (A/A) 2.75%
Class IB (BBB/BBB) 2.25%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II - ARM
GROUP II (ARM) SUBORDINATION(1): (S&P/FITCH) GROUP II
(Subordination)
----------- ---------------
Class IIA-1 (AAA/AAA) 18.00%
Class IIM-1 (AA/AA) 11.50%
Class IIM-2 (A/A) 7.00%
Class IIB (BBB/BBB) 2.50%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II (ARM) CLASS SIZES: (S&P/FITCH) GROUP II
(Class Sizes)
----------- -------------
Class IIA-1 (AAA/AAA) 84.50%
Class IIM-1 (AA/AA) 6.50%
Class IIM-2 (A/A) 4.50%
Class IIB (BBB/BBB) 4.50%
(PRELIMINARY AND SUBJECT TO REVISION)
(1) The subordination percentages assume that the target overcollateralization
level of 1.50% for Group I and 2.50% for Group II has been achieved. There will
be no overcollaterization as of the closing date.
<PAGE>
GROUP I
MORTGAGE LOANS: Fixed-Rate, First Lien, Sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $135,000,000
PREPAYMENT ASSUMPTION: 23% HEP (2.3% - 23% CPR Ramp over 10 months)
FIXED RATE WAC CAP: Preliminarily, the Pass-Through Rate of each
class of the Group I Certificates will be
subject to the Group I WAC Cap which is a
per annum rate equal to the weighted average
net mortgage rate on the Fixed Rate Mortgage
Loans.
INTEREST ACCRUAL: For the Class IA-1 Certificates, interest
will initially accrue from the Closing Date
to (but excluding) the first Distribution
Date, and thereafter, from the prior
Distribution Date to (but excluding) the
current Distribution Date. For all Group I
Certificates except the Class IA-1, interest
will accrue during the calendar month
preceding the month of distribution.
PAYMENT DELAY: For Class IA-1, 0 days. For all other Group
I Certificates, 24 days.
INT. PMT. BASIS: For Class IA-1, actual/360. For all other
Group I Certificates, 30/360.
COUPON STEP UP: If the 10% Clean-Up Call for the Group I
Certificates is not exercised on the first
distribution date on which it is
exercisable, the Pass-Through Rate on the
Class IA-5 Certificates will increase by 50
bps.
* The Mortgage Pool as of the Closing Date will include approximately
$34,717,484 of Fixed Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen days
of, the closing date.
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
GROUP I CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE 44.000 20.000 16.500 18.000 10.850 12.150 6.750 3.712 3.038
($MM)
EXPECTED RATINGS
S&P AAA AAA AAA AAA AAA AAA AA A BBB
FITCH AAA AAA AAA AAA AAA AAA AA A BBB
1M Libor Fixed(1) Fixed(1) Fixed(1) Fixed(1,2) Fixed(1) Fixed(1) Fixed(1) Fixed(1)
+ [ ](1)
WTD AVG LIFE 0.95 2.15 3.14 5.10 8.55 6.50 5.78 5.78 5.69
CALL (YRS)(3)
WTD AVG LIFE 0.95 2.15 3.14 5.10 11.27 6.55 6.27 6.13 5.77
MAT (YRS)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-46/16 46-84/39 84-104/21 37-104/68 37-104/68 37-104/68 37-104/68
TO CALL (MOS.)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-46/16 46-84/39 84-201/118 37-113/77 37-166/130 37-143/107 37-121/85
TO MATURITY (MOS.)(3)
EXP MAT TO CALL(3) 6/01 4/02 7/03 9/06 5/08 5/08 5/08 5/08 5/08
EXP MAT TO MATURITY(3) 6/01 4/02 7/03 9/06 6/16 2/09 7/13 8/11 10/09
LAST SCHEDULED 8/14 8/14 8/21 4/27 7/29 9/11 7/29 7/29 7/29
DISTRIBUTION DATE(4)
<FN>
(1) Preliminary, subject to a cap based on the weighted average net loan rate of the Group I Loans.
(2) If the 10% cleanup call for Group I is not exercised on the first distribution date on which it is exercisable, the on
the Class IA-5 Certificates will increase by 50 bps.
(3) The Group I Certificates will be priced at 23% HEP.
(4) Assumes 0% HEP, no losses, and no excess interest will be applied to principal.
</FN>
</TABLE>
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-Rate, First Lien, Sub-prime
Mortgage Loans
TOTAL GROUP SIZE*: $245,000,000
PREPAYMENT ASSUMPTION: 27% CPR
ADJUSTABLE RATE
AVAILABLE FUNDS CAP: Preliminarily, the Pass-Through Rate of the
Group II Certificates will be subject to the
Group II Available Funds Cap which is a per
annum rate equal to 12 times the quotient of
(x) the total scheduled interest on the
Adjustable Rate Mortgage Loans in the
Adjustable Rate Mortgage Loan Group based on
the net mortgage rates in effect on the
related due date, divided by (y) the
aggregate principal balance of the Group II
Certificates as of the first day of the
applicable accrual period.
LIFETIME WAC CAP: All Group II Pass-Through Rates will be also
subject to a cap equal to a weighted average
net lifetime rate on the underlying mortgage
loans. Any interest shortfall due to the
maximum lifetime WAC cap will not be
reimbursed.
INTEREST ACCRUAL: For Group II Certificates, interest will
initially accrue from the Closing Date to
(but excluding) the first Distribution Date,
and thereafter, from the prior Distribution
Date to (but excluding) the current
Distribution Date.
PAYMENT DELAY: 0 days
INT. PMT. BASIS: Actual/360
SHORTFALL
REIMBURSEMENT: If on any Distribution Date the Pass-Through
Rate is limited by the Available Funds Cap,
the amount of such interest that would have
been distributed if the Pass-Through Rate
had not been so limited by the Available
Funds Cap and the aggregate of such
shortfalls from previous Distribution Dates
together with accrued interest at the
Pass-Through Rate will be carried over to
the next Distribution Date until paid
(herein referred to as "Carryover"). Such
reimbursement will only come from interest
on the Group II loans and will be paid only
on a subordinated basis. No such Group II
Certificate Carryover will be paid once the
Group II Certificate principal balance has
been reduced to zero.
COUPON STEP UP: If the 10% Clean-Up Call for the Group II
Certificates is not exercised on the first
distribution date on which it is
exercisable, (i) the margin on the Class
IIA-1 Certificates will increase to 2x the
Class IIA-1 margin, and (ii) the margins on
the Class IIM-1, Class IIM2 and Class IIB
Certificates will increase to 1.5x their
related margins.
* The Mortgage Pool as of the Closing Date will include approximately
$49,960,072 of Adjustable Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen days
of, the closing date.
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
GROUP II CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
----- ----- ----- -----
<S> <C> <C> <C> <C>
OFFER
SIZE ($MM) 207.025 15.925 11.025 11.025
EXPECTED RATINGS
S&P AAA AA A BBB
FITCH AAA AA A BBB
COUPON 1M Libor + [](1,2) 1M Libor + [](1,3) 1M Libor + [](1,3) 1M Libor + [](1,3)
WTD AVG LIFE 2.35 4.92 4.85 4.82
CALL (YRS)(4)
WTD AVG LIFE 2.56 5.43 5.31 5.09
MAT (YRS)(4)
PAYMENT WINDOW 1-86/86 40-86/47 38-86/49 37-86/50
TO CALL (MOS.)(4)
PAYMENT WINDOW 1-195/195 40-159/120 38-142/105 37-124/88
TO MATURITY (MOS.)(4)
EXP MAT TO CALL(4) 11/06 11/06 11/06 11/06
EXP MAT TO MATURITY(4) 12/15 12/12 7/11 1/10
LAST SCHEDULED 9/29 9/29 9/29 9/29
DISTRIBUTION DATE(5)
<FN>
(1) Subject to an available funds cap and a cap based on the weighted average of the net maximum lifetime rate on the Group II
Loans.
(2) If the 10% cleanup call is not exercised on the first distribution date on which it is exercisable, the margin of the Class
IIA-1 Certificates will increase to 2x the IIA-1 margin.
(3) If the 10% cleanup call is not exercised on the first distribution date on which it is exercisable, the margin on the Class
IIM-1, IIM-2 and IIB Certificates will increase to 1.5x their related margins.
(4) The Group II Certificates will be priced at 27% CPR.
(5) Assumes 0% CPR, no losses, and no excess interest will be applied to principal.
</FN>
</TABLE>
<PAGE>
Chase Funding, Mortgage Loan Asset-Backed Certificates, Series 1999-3
CASH FLOW PRIORITY
CASHFLOW PRIORITY: GROUP I CERTIFICATES
1) Repayment of any unrecoverable, unreimbursed Servicer advances.
2) Servicing Fees and Trustee/Master Servicing Fees.
3) Group I available interest funds, as follows: monthly interest,
including any interest carryforward to the Class IA
Certificates, on a pro-rata basis, then monthly interest,
including any interest carryforward to the Class IM-1
Certificates, then to the Class IM-2 Certificates and then to
the Class IB Certificates in a similar manner.
4) Group I available principal funds, as follows: monthly principal
sequentially to the Class IA Certificates as described under
"PRINCIPAL PAYDOWN", then monthly principal to the Class IM-1
Certificates as described under "PRINCIPAL PAYDOWN", then
monthly principal to the Class IM-2 Certificates as described
under "PRINCIPAL PAYDOWN", then monthly principal to the Class
IB Certificates as described under "PRINCIPAL PAYDOWN."
5) Excess Group I interest to Group I Certificates in the order as
described under "PRINCIPAL PAYDOWN" to build O/C to the required
level.
6) Excess Group I interest to pay Group I subordinate principal
shortfalls.
7) Excess Group I interest to pay amounts under items 1 through 6
under "Group II Certificates" below.
8) Any remaining Group I amount is paid to the Residual
Certificateholder.
CASHFLOW PRIORITY: GROUP II CERTIFICATES
1) Repayment of any unrecoverable, unreimbursed Servicer advances.
2) Servicing Fees, Trustee/Master Servicing Fees.
3) Group II available interest funds, as follows: monthly interest,
including any interest carryforward to the Class IIA-1
Certificates, then monthly interest, including any interest
carryforward to the Class IIM-1 Certificates, then to the Class
IIM-2 Certificates and then to the Class IIB Certificates in a
similar manner.
4) Group II available principal funds, as follows: monthly
principal to the Class IIA-1 Certificates as described under
"PRINCIPAL PAYDOWN", then monthly principal to the Class IIM-1
Certificates as described under "PRINCIPAL PAYDOWN", then
monthly principal to the Class IIM-2 Certificates as described
under "PRINCIPAL PAYDOWN", then monthly principal to the Class
IIB Certificates as described under "PRINCIPAL PAYDOWN."
5) Excess Group II interest to Group II Certificates in the order
as described under "PRINCIPAL PAYDOWN" to build O/C to the
required level.
6) Excess Group II interest to pay Group II subordinate principal
shortfalls.
7) Excess Group II interest to pay amounts under items 1 through 6
under "Group I Certificates" above.
8) Excess Group II interest to pay any Group II Certificate
Carryover resulting from the imposition of the available funds
cap.
9) Any remaining Group II amount is paid to the Residual
Certificateholder.
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
PRINCIPAL PAYDOWN
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT:
UNTIL OCTOBER 2008, THE APPLICABLE CLASS
IA-6 LOCKOUT PERCENTAGE MULTIPLIED BY THE
CLASS IA-6 PRO-RATA DISTRIBUTION AMOUNT. FOR
OCTOBER 2008 AND THEREAFTER, THE CLASS IA-6
LOCKOUT AMOUNT DISTRIBUTION WILL EQUAL THE
GROUP I CLASS A PRINCIPAL CASHFLOWS.
CLASS IA-6 LOCKOUT PERCENTAGE
October 1999 -- September 2002: 0%
October 2002 -- September 2004: 45%
October 2004 -- September 2005: 80%
October 2005 -- September 2006: 100%
October 2006 -- September 2008: 300%
IF THE SUBORDINATE CLASS PRINCIPAL
DISTRIBUTION TEST IS NOT MET:
Group I Certificates:
1) To the Class IA-6 Certificate-
holders -- the Class IA-6 Lockout
Distribution Amount
2) All remaining scheduled and
unscheduled Group I principal will
be paid sequentially to the Class
IA Certificates.
If the aggregate principal balance of
the subordinated Certificates is
reduced to zero, distribution of
principal to the Class IA Certificates
will be made on a pro rata basis, and
not in accordance with the above
priorities.
Group II Certificates:
1) All scheduled and unscheduled Group
II principal will be paid to the
Class IIA-1 Certificates.
IF THE SUBORDINATE CLASS PRINCIPAL
DISTRIBUTION TEST IS MET:
With respect to each Group, all Certificates
will be entitled to receive payments of
principal, in the following order of
priority: first sequentially to the Class A
Certificates (in the same order of priority
as is the case prior to the test being met),
second to the Class M-1 Certificates, third
to the Class M-2 Certificates, and fourth to
the Class B Certificates.
If the Subordinate Class Principal
Distribution Test is met, principal will be
distributed up to amounts that will keep the
subordination for each class at its required
level.
<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
------- --------
Class A 23.00% Class A 36.00%
Class M-1 13.00% Class M-1 23.00%
Class M-2 7.50% Class M-2 14.00%
Class B 3.00% Class B 5.00%
*Includes overcollateralization
(PRELIMINARY AND SUBJECT TO REVISION)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION
TEST IS MET IF:
i) The Distribution Date is on or after
the October 2002 Distribution Date; and
ii) The applicable Subordinate Class
Principal Distribution Date has
occurred (as described below); and
iii) A Trigger Event does not exist (a
Trigger Event exists if current Senior
Enhancement Percentage is not greater
than or equal to a multiple of the 60+
Day delinquency percentage (including
foreclosures and REOs) (2x for Group I;
2.5x for Group II)).
(PRELIMINARY AND SUBJECT TO REVISION)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION
DATE:
For each group, the later of (i) the October
2002 Distribution Date and (ii) the first
Distribution Date on which the applicable
Senior Enhancement Percentage (i.e., the sum
of the Subordinate Certificates + the O/C
amount for the applicable group divided by
the aggregate Loan Balance of the Mortgage
Loans for such group) is greater than or
equal to the applicable Senior Specified
Enhancement Percentage (including O/C),
which is equal to two times the initial AAA
subordination.
Group I Senior Group II Senior
Specified Enhancement Specified Enhancement
Percentage: Percentage:
------------------- ---------------------
23.00% 36.00%
Or Or
(10.00% + 1.50%)*2 (15.50% + 2.50%)*2
(PRELIMINARY AND SUBJECT TO REVISION)
<PAGE>
STEPUP TRIGGER EVENT:
With respect to either Loan Group, if the
delinquency or loss performance of the
related Mortgage Loans equals or exceeds
certain triggers, a "Stepup Trigger Event"
will occur with respect to the related Loan
Group. Upon such occurrence, the amount of
net excess cashflow required to be applied
as the "extra principal distribution amount"
with respect to the Certificates will
increase, causing a more rapid amortization
of the Certificates.
With respect to each Loan group, a "Stepup
Trigger Event" exists with respect to a
Distribution Date (and thereafter will exist
with respect to each subsequent Distribution
Date until such time as a Stepup Trigger
Event no longer exists with respect to such
Loan Group) if either
(A) Realized Losses with respect to the
respective Mortgage Loans in a Loan Group as
of such Distribution Date equal or exceed
the following levels (expressed as a
percentage of aggregate principal balance of
the respective Loan Group as of the Cut-Off
Date):
DISTRIBUTION DATE OCCURRING IN GROUP I GROUP II
PERCENTAGE PERCENTAGE
October 1999 through September 2001 0.6000% 0.9500%
October 2001 through September 2002 0.7700% 1.1875%
October 2002 through September 2003 1.2350% 1.9000%
October 2003 through September 2004 1.8525% 2.8500%
October 2004 and thereafter 2.4700% 3.8000%
(PRELIMINARY AND SUBJECT TO REVISION)
or (B) the three month rolling average of
the Mortgage Loans in a Loan Group that are
60 days or more delinquent (calculated as
set forth in the Pooling and Servicing
Agreement) as of such Distribution Date
equals or exceeds the following levels
(expressed as a percentage of the aggregate
principal balance of the respective Loan
Group as of such Distribution Date):
DISTRIBUTION DATE OCCURRING IN GROUP I GROUP II
PERCENTAGE PERCENTAGE
October 1999 through September 2003 7.0000% 8.0000%
October 2003 through September 2005 8.0000% 10.0000%
October 2005 through September 2006 9.0000% 11.0000%
October 2006 through September 2007 10.0000% 12.0000%
October 2007 and thereafter 11.0000% 13.0000%
(PRELIMINARY AND SUBJECT TO REVISION)
Prospectus: The Certificates will be offered pursuant to a
Prospectus which includes a Prospectus Supplement (together,
the "Prospectus"). Complete information with respect to the
Certificates and the Mortgage Loans is contained in the
Prospectus. The foregoing is qualified in its entirety by the
information appearing in the Prospectus. To the extent that
the foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Certificates may not be consummated unless the purchaser has
received the Prospectus.
Further
Information: Please call David Howard at (212) 834-5125, Peggy Wallace at
(212) 834-5519, Lou Violante at (212) 834-5034, Paul Park at
(212) 834-5033, Paul Scialabba at (212) 834-5173, Jee Hong at
(212) 834-5295, or Joyce Huang at (212) 834-5529.
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $100,282,516
AGGREGATE ORIGINAL PRINCIPAL BALANCE $100,390,761
NUMBER OF MORTGAGE LOANS 1,210
MINIMUM MAXIMUM AVERAGE(1)
ORIGINAL PRINCIPAL BALANCE $10,800 $498,000 $82,968
OUTSTANDING PRINCIPAL BALANCE $10,797 $497,786 $82,878
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
ORIGINAL TERM (MOS) 120 360 265
STATED REMAINING TERM (MOS) 116 360 263
EXPECTED REMAINING TERM (MOS) 116 360 263
LOAN AGE (MOS) 0 13 1
CURRENT INTEREST RATE 5.950% 13.990% 9.892%
ORIGINAL LOAN-TO-VALUE 10.83% 95.00% 74.31%
CREDIT SCORE 461 799 612
EARLIEST LATEST
ORIGINATION DATES 07/1998 08/1999
MATURITY DATES 05/2009 09/2029
NOTES:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
5.500% to 5.999% 2 $ 170,506 0.2%
6.000% to 6.499% 3 292,634 0.3
6.500% to 6.999% 2 76,540 0.1
7.000% to 7.499% 12 1,151,785 1.1
7.500% to 7.999% 37 3,299,579 3.3
8.000% to 8.499% 59 5,801,273 5.8
8.500% to 8.999% 163 14,714,310 14.7
9.000% to 9.499% 96 8,237,790 8.2
9.500% to 9.999% 245 21,899,694 21.8
10.000% to 10.499% 152 13,269,602 13.2
10.500% to 10.999% 186 14,457,906 14.4
11.000% to 11.499% 89 6,430,848 6.4
11.500% to 11.999% 99 7,088,376 7.1
12.000% to 12.499% 33 1,902,770 1.9
12.500% to 12.999% 17 857,405 0.9
13.000% to 13.499% 7 356,086 0.4
13.500% to 13.999% 8 275,412 0.3
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 5.950% TO 13.990%
WEIGHTED AVERAGE IS: 9.892%
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
REMAINING TERM NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------- -------------- ------------------- ----------
109 to 120 12 $ 491,349 0.5%
157 to 168 1 83,742 0.1
169 to 180 642 50,657,212 50.5
217 to 228 1 50,941 0.1
229 to 240 45 2,517,436 2.5
289 to 300 4 264,382 0.3
337 to 348 4 257,311 0.3
349 to 360 501 45,960,143 45.8
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ -----
REMAINING TERM RANGE IS FROM (MONTHS): 116 TO 360
WEIGHTED AVERAGE IS (MONTHS): 263
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------------- -------------- ------------------- ----------
Up to $100,000 890 $ 50,231,984 50.1%
$ 100,001 to $ 150,000 187 22,478,919 22.4
$ 150,001 to $ 200,000 82 13,937,537 13.9
$ 200,001 to $ 250,000 26 5,955,042 5.9
$ 250,001 to $ 300,000 16 4,413,059 4.4
$ 300,001 to $ 350,000 5 1,641,562 1.6
$ 350,001 to $ 400,000 3 1,126,627 1.1
$ 450,001 to $ 500,000 1 497,786 0.5
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE
RANGE IS FROM: $10,800 TO $498,000
AVERAGE IS: $82,968
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
10 Yr Fixed 12 $ 491,349 0.5%
15 Yr Fixed 219 13,103,857 13.1
20 Yr Fixed 46 2,568,377 2.6
25 Yr Fixed 4 264,382 0.3
30 Yr Fixed 505 46,217,454 46.1
Balloon Loan 424 37,637,097 37.5
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------ -------------- ------------------- ----------
Arizona 27 $ 1,990,214 2.0%
Arkansas 23 1,116,081 1.1
California 41 5,515,139 5.5
Colorado 33 3,769,339 3.8
Connecticut 9 1,010,865 1.0
Delaware 2 142,200 0.1
District of Columbia 1 50,234 0.1
Florida 148 12,019,678 12.0
Georgia 48 3,334,390 3.3
Idaho 4 274,640 0.3
Illinois 21 1,496,114 1.5
Indiana 60 3,924,498 3.9
Iowa 7 325,036 0.3
Kansas 6 258,237 0.3
Kentucky 10 477,888 0.5
Louisiana 41 2,782,459 2.8
Maine 2 180,000 0.2
Maryland 17 1,630,060 1.6
Massachusetts 16 2,069,126 2.1
Michigan 84 5,564,698 5.5
Minnesota 7 803,259 0.8
Mississippi 12 663,998 0.7
Missouri 21 1,221,818 1.2
Montana 2 260,068 0.3
Nebraska 3 177,767 0.2
Nevada 8 966,190 1.0
New Hampshire 1 68,767 0.1
New Jersey 28 3,338,245 3.3
New Mexico 9 540,503 0.5
New York 110 13,669,678 13.6
North Carolina 42 3,112,798 3.1
Ohio 56 3,406,556 3.4
Oklahoma 19 1,112,409 1.1
Oregon 17 2,582,448 2.6
Pennsylvania 35 1,943,213 1.9
Rhode Island 3 173,967 0.2
South Carolina 46 3,399,732 3.4
South Dakota 2 102,963 0.1
Tennessee 73 4,622,168 4.6
Texas 27 1,956,272 2.0
Utah 9 1,143,345 1.1
Vermont 2 204,179 0.2
Virginia 14 1,529,174 1.5
Washington 36 3,828,695 3.8
West Virginia 8 330,328 0.3
Wisconsin 19 1,131,118 1.1
Wyoming 1 61,965 0.1
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
RANGE OF NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------- -------------- ------------------- ----------
50.00% or Less 111 $ 7,298,397 7.3%
50.01% to 55.00% 37 2,344,096 2.3
55.01% to 60.00% 79 4,666,566 4.7
60.01% to 65.00% 74 4,994,581 5.0
65.01% to 70.00% 142 10,502,486 10.5
70.01% to 75.00% 197 17,676,846 17.6
75.01% to 80.00% 306 28,776,470 28.7
80.01% to 85.00% 117 9,688,660 9.7
85.01% to 90.00% 132 12,853,016 12.8
90.01% to 95.00% 15 1,481,398 1.5
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 10.83% TO 95.00%
WEIGHTED AVERAGE IS: 74.31%
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
Purchase 271 $ 24,992,554 24.9%
Refinance - Rate/Term 138 11,490,470 11.5
Refinance - Cashout 801 63,799,493 63.6
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
Single-family Detached 959 $ 77,290,652 77.1%
Two- to Four-family
Dwelling Unit 98 9,003,873 9.0
Planned Unit Development 50 6,573,322 6.6
Condominium 35 2,443,384 2.4
Small Mixed Use 10 1,309,489 1.3
Manufactured Housing 58 3,661,797 3.7
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
Full Documentation 990 $ 78,684,229 78.5%
24 Month Bank Statement 58 6,913,464 6.9
Reduced Documentation 41 4,155,174 4.1
Stated Income 121 10,529,649 10.5
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
Owner-occupied 1,069 $ 91,129,445 90.9%
Second Home 14 1,108,651 1.1
Investment 127 8,044,420 8.0
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ----------------- -------------- ------------------- ----------
0 434 $ 35,990,298 35.9%
1 408 32,558,915 32.5
2 116 10,190,991 10.2
3 144 12,115,771 12.1
4 68 5,717,622 5.7
5 18 1,435,039 1.4
6 4 320,483 0.3
7 2 210,586 0.2
8 3 374,563 0.4
9 2 277,890 0.3
10 4 350,339 0.3
11 1 348,025 0.3
12 4 257,311 0.3
13 2 134,683 0.1
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------ -------------- ------------------- ----------
A O 413 $ 37,378,511 37.3%
A- 406 36,327,917 36.2
B 225 16,621,176 16.6
B- 55 3,672,883 3.7
C 90 5,216,086 5.2
C- 21 1,065,943 1.1
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------- -------------- ------------------- ----------
1998 14 $ 1,566,683 1.6%
1999 1,196 98,715,834 98.4
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
PREPAYMENT PENALTIES NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------- -------------- ------------------- ----------
None 267 $ 19,442,098 19.4%
12 months 108 12,947,666 12.9
24 months 68 6,837,846 6.8
36 months 424 34,523,644 34.4
60 months 343 26,531,262 26.5
----- ------------ -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------ -------------- ------------------- ----------
Unscored 57 $ 4,439,736 4.4%
456 to 500 21 1,427,941 1.4
501 to 550 191 14,546,702 14.5
551 to 600 341 27,422,563 27.3
601 to 650 329 28,821,715 28.7
651 to 700 174 15,671,153 15.6
701 to 750 77 6,427,977 6.4
751 to 799 20 1,524,729 1.5
----- ----------- -----
GRAND TOTAL 1,210 $100,282,516 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 461 TO 799
WEIGHTED AVERAGE IS: 612
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $195,039,928
AGGREGATE ORIGINAL PRINCIPAL BALANCE $195,117,778
NUMBER OF MORTGAGE LOANS 1,577
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE $14,400 $975,000 $123,727
OUTSTANDING PRINCIPAL BALANCE $14,393 $973,979 $123,678
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- -------------------
ORIGINAL TERM (MOS) 360 360 360
STATED REMAINING TERM (MOS) 347 360 359
EXPECTED REMAINING TERM (MOS) 322 360 359
LOAN AGE (MOS) 0 13 1
CURRENT INTEREST RATE 6.000% 13.400% 9.748%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.885%
PERIODIC RATE CAP 1.000% 1.500% 1.458%
GROSS MARGIN 2.000% 8.000% 5.651%
MAXIMUM MORTGAGE RATE 12.000% 20.400% 16.716%
MINIMUM MORTGAGE RATE 6.000% 13.400% 9.748%
MONTHS TO ROLL 4 60 26.409
ORIGINAL LOAN-TO-VALUE 15.67% 90.00% 77.53%
CREDIT SCORE 456 783 602
EARLIEST LATEST
-------- ------
ORIGINATION DATES 07/1998 08/1999
MATURITY DATES 08/2028 09/2029
NOTES:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
6.000% to 6.499% 2 $ 245,651 0.1%
6.500% to 6.999% 4 599,505 0.3
7.000% to 7.499% 14 1,670,710 0.9
7.500% to 7.999% 34 5,517,040 2.8
8.000% to 8.499% 84 12,378,100 6.3
8.500% to 8.999% 156 23,974,189 12.3
9.000% to 9.499% 207 27,660,165 14.2
9.500% to 9.999% 352 44,965,355 23.1
10.000% to 10.499% 241 29,453,381 15.1
10.500% to 10.999% 261 27,504,400 14.1
11.000% to 11.499% 110 10,922,918 5.6
11.500% to 11.999% 70 6,635,445 3.4
12.000% to 12.499% 23 1,896,024 1.0
12.500% to 12.999% 12 1,021,447 0.5
13.000% to 13.499% 7 595,599 0.3
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ ======
MORTGAGE RATE RANGE IS FROM: 6.000% TO 13.400%
WEIGHTED AVERAGE IS: 9.748%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ----------------------- -------------- ------------------- ----------
337 to 348 2 $ 604,009 0.3%
349 to 360 1,575 194,435,920 99.7
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 347 TO 360
WEIGHTED AVERAGE IS (MONTHS): 359
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------------- -------------- ------------------- ----------
Up to $100,000 762 $ 50,796,020 26.0%
$ 100,001 to $ 150,000 421 51,682,298 26.5
$ 150,001 to $ 200,000 172 29,793,480 15.3
$ 200,001 to $ 250,000 107 23,734,156 12.2
$ 250,001 to $ 300,000 52 14,258,054 7.3
$ 300,001 to $ 350,000 28 9,108,423 4.7
$ 350,001 to $ 400,000 14 5,299,398 2.7
$ 400,001 to $ 450,000 8 3,336,342 1.7
$ 450,001 to $ 500,000 11 5,411,778 2.8
$ 600,001 to $ 650,000 1 646,000 0.3
$ 950,001 to $1,000,000 1 973,979 0.5
------ ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $14,400 TO $975,000
AVERAGE IS: $123,727
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
Six Month LIBOR Loan 40 $ 6,088,018 3.1%
1/29 Loan 63 9,835,681 5.0
2/28 Loan 933 116,167,612 59.6
3/27 Loan 512 59,163,770 30.3
5/25 Loan 29 3,784,847 1.9
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------ -------------- ------------------- ----------
Arizona 30 $ 4,244,228 2.2%
Arkansas 2 295,139 0.2
California 117 24,237,535 12.4
Colorado 94 12,583,285 6.5
Connecticut 25 4,556,831 2.3
Delaware 7 1,243,857 0.6
District of Columbia 4 611,710 0.3
Florida 138 15,790,658 8.1
Georgia 47 4,745,436 2.4
Hawaii 1 192,000 0.1
Idaho 5 546,642 0.3
Illinois 85 10,863,930 5.6
Indiana 28 2,314,623 1.2
Iowa 4 307,179 0.2
Kansas 2 329,348 0.2
Kentucky 16 1,640,638 0.8
Louisiana 15 1,185,134 0.6
Maine 1 143,500 0.1
Maryland 19 1,970,051 1.0
Massachusetts 46 7,046,631 3.6
Michigan 178 17,769,419 9.1
Minnesota 41 4,606,716 2.4
Mississippi 7 537,974 0.3
Missouri 50 3,761,234 1.9
Montana 4 539,479 0.3
Nebraska 1 50,000 0.0
Nevada 3 443,173 0.2
New Hampshire 3 453,170 0.2
New Jersey 52 7,286,064 3.7
New Mexico 28 2,764,971 1.4
New York 78 13,939,631 7.1
North Carolina 32 4,056,874 2.1
North Dakota 1 36,000 0.0
Ohio 72 7,098,230 3.6
Oklahoma 8 592,972 0.3
Oregon 13 1,976,139 1.0
Pennsylvania 28 2,384,657 1.2
Rhode Island 10 856,365 0.4
South Carolina 26 3,405,909 1.7
Tennessee 53 4,626,994 2.4
Texas 52 7,030,603 3.6
Utah 15 1,888,255 1.0
Vermont 3 290,593 0.1
Virginia 21 2,664,836 1.4
Washington 29 4,349,575 2.2
West Virginia 2 158,670 0.1
Wisconsin 80 6,569,969 3.4
Wyoming 1 53,102 0.0
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
<PAGE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------- -------------- ------------------- ----------
50.00% or Less 64 $ 6,191,171 3.2%
50.01% to 55.00% 13 1,125,444 0.6
55.01% to 60.00% 51 6,824,882 3.5
60.01% to 65.00% 75 10,264,793 5.3
65.01% to 70.00% 141 16,302,832 8.4
70.01% to 75.00% 215 24,165,779 12.4
75.01% to 80.00% 500 64,964,934 33.3
80.01% to 85.00% 328 42,378,144 21.7
85.01% to 90.00% 190 22,821,951 11.7
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 15.67% TO 90.00%
WEIGHTED AVERAGE IS: 77.53%
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
Purchase 680 $ 84,629,190 43.4%
Refinance - Rate/Term 155 18,026,013 9.2
Refinance - Cashout 742 92,384,726 47.4
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
Single-family Detached 1,255 $153,949,045 78.9%
Two- to Four-family
Dwelling Unit 115 13,468,713 6.9
Condominium 66 7,744,874 4.0
Planned Unit Development 116 17,968,994 9.2
Manufactured Housing 25 1,908,302 1.0
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
Full Documentation 1,190 $138,817,401 71.2%
24 Month Bank Statement 152 24,583,090 12.6
Reduced Documentation 55 9,727,731 5.0
Stated Income 180 21,911,707 11.2
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
<PAGE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
Owner-occupied 1,417 $180,015,218 92.3%
Second Home 20 2,020,944 1.0
Investment 140 13,003,766 6.7
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ----------------- -------------- ------------------- ----------
0 703 $ 84,923,582 43.5%
1 689 86,957,975 44.6
2 142 17,804,895 9.1
3 26 2,874,999 1.5
4 6 603,427 0.3
5 5 633,105 0.3
6 2 508,875 0.3
8 2 129,062 0.1
13 2 604,009 0.3
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
<PAGE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------ -------------- ------------------- ----------
A O 483 $ 64,302,831 33.0 %
A- 537 69,576,199 35.7
B 289 34,066,906 17.5
B- 91 10,397,772 5.3
C 121 12,517,174 6.4
C- 56 4,179,047 2.1
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------- -------------- ------------------- ----------
1998 4 $ 733,071 0.4%
1999 1,573 194,306,858 99.6
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
<PAGE>
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------------- -------------- ------------------- ----------
12.000% to 12.499% 1 $ 135,292 0.1 %
12.500% to 12.999% 2 185,505 0.1
13.000% to 13.499% 2 230,171 0.1
13.500% to 13.999% 4 842,448 0.4
14.000% to 14.499% 19 2,304,887 1.2
14.500% to 14.999% 38 6,140,646 3.1
15.000% to 15.499% 86 13,341,022 6.8
15.500% to 15.999% 155 23,397,386 12.0
16.000% to 16.499% 203 26,403,585 13.5
16.500% to 16.999% 349 45,105,318 23.1
17.000% to 17.499% 241 29,226,053 15.0
17.500% to 17.999% 259 26,889,186 13.8
18.000% to 18.499% 106 10,689,916 5.5
18.500% to 18.999% 71 6,723,923 3.4
19.000% to 19.499% 24 1,976,451 1.0
19.500% to 19.999% 11 932,969 0.5
20.000% to 20.499% 6 515,171 0.3
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
MAXIMUM MORTGAGE RATE RANGE IS FROM: 12.000% TO 20.400%
WEIGHTED AVERAGE IS: 16.716%
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
PREPAYMENT PENALTIES NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------- -------------- ------------------- ----------
None 677 $ 85,221,293 43.7%
12 months 6 577,034 0.3
24 months 386 53,401,115 27.4
36 months 424 47,236,006 24.2
60 months 84 8,604,482 4.4
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------------- -------------- ------------------- ----------
Jan 2000 4 $ 462,345 0.2%
Feb 2000 22 3,585,323 1.8
Mar 2000 14 2,040,350 1.0
Jul 2000 7 734,243 0.4
Aug 2000 26 4,499,681 2.3
Sep 2000 32 5,205,765 2.7
Jan 2001 2 129,062 0.1
Mar 2001 2 508,875 0.3
Apr 2001 3 227,648 0.1
May 2001 5 574,657 0.3
Jun 2001 21 2,322,926 1.2
Jul 2001 91 11,826,391 6.1
Aug 2001 407 51,977,483 26.6
Sep 2001 400 47,996,562 24.6
Apr 2002 2 405,457 0.2
May 2002 1 28,770 0.0
Jun 2002 5 552,073 0.3
Jul 2002 40 4,781,915 2.5
Aug 2002 227 26,137,562 13.4
Sep 2002 237 27,257,993 14.0
Aug 2004 9 1,361,935 0.7
Sep 2004 20 2,422,912 1.2
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------ -------------- ------------------- ----------
Unscored 42 $ 4,190,592 2.1%
456 to 500 37 4,819,647 2.5
501 to 550 257 29,696,571 15.2
551 to 600 532 64,255,771 32.9
601 to 650 424 56,344,768 28.9
651 to 700 196 24,536,651 12.6
701 to 750 75 9,942,991 5.1
751 to 799 14 1,252,937 0.6
----- ------------ -----
GRAND TOTAL 1,577 $195,039,928 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 456 TO 783
WEIGHTED AVERAGE IS: 602
<PAGE>
<TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
WTD WTD
CURRENT PCT. WTD AVG AVG
LOAN OUTSTANDING OF AVERAGE AVG ORIG REM
ASSUMED LOAN CATEGORIES COUNT BALANCE TOTAL BALANCE COUPON TERM TERM
----------------------- ----- ----------- ----- ------- ------ ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
Fixed Rate - Balloon Loan - 240 to 360 Mos 424 37,637,097.16 37.53 88,766.74 9.999% 180 179
Fixed Rate - Fully Amortizing - 0 to 120 Mos 12 491,348.75 0.49 40,945.73 10.217% 120 118
Fixed Rate - Fully Amortizing - 121 to 180 Mos 219 13,103,857.30 13.07 59,834.96 9.495% 180 179
Fixed Rate - Fully Amortizing - 181 to 240 Mos 46 2,568,376.78 2.56 55,834.28 9.829% 240 238
Fixed Rate - Fully Amortizing - 241 to 360 Mos 509 46,481,836.34 46.35 91,319.91 9.917% 360 358
Grand Totals 1,210 100,282,516.33 100.00 82,878.11 9.892% 265 263
</TABLE>
<TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-3
ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
WTD WTD WTD WTD WTD WTD WTD WTD
CURRENT WTD AVG AVG AVG AVG AVG RESET AVG AVG AVG
OUTSTANDING AVG ORIG REM GROSS PERIODIC INIT RT CHG LIFE LIFE MOS.
ASSUMED LOAN CATEGORIES BALANCE COUPON TERM TERM MARGIN CAP CHG CAP FREQ CAP FLOOR TO ROLL INDEX
- ----------------------- ----------- ------ ---- ---- ------ -------- ------- ----- ---- ----- ------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 - 12 Mos. to Roll 16,527,707.63 9.403% 360 359 4.977% 1.018% 1.668% 6 16.035% 9.403% 9 6 Mo. LIBOR
13 - 24 Mos. to Roll 115,563,603.71 9.760% 360 359 5.854% 1.498% 2.997% 6 16.758% 9.759% 23 6 Mo. LIBOR
25 - 36 Mos. to Roll 59,163,770.45 9.881% 360 359 5.466% 1.500% 3.000% 6 16.881% 9.881% 35 6 Mo. LIBOR
49 - 60 Mos. to Roll 3,784,846.70 8.823% 360 360 5.290% 1.500% 3.000% 6 15.823% 8.823% 60 6 Mo. LIBOR
Grand Totals 195,039,928.49 9.748% 360 359 5.651% 1.458% 2.885% 16.716% 9.748% 26
</TABLE>
<PAGE>
<TABLE>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
<CAPTION>
Payment Date Available Funds Cap(1),(2) Payment Date Available Funds Cap(1),(2)
- ------------ -------------------------- ------------ --------------------------
<S> <C> <C> <C>
10/25/99 9.238 10/25/03 11.617
11/25/99 9.263 11/25/03 11.617
12/25/99 9.289 12/25/03 11.617
1/25/00 9.317 1/25/04 11.617
2/25/00 9.344 2/25/04 11.617
3/25/00 9.373 3/25/04 11.617
4/25/00 9.406 4/25/04 11.617
5/25/00 9.436 5/25/04 11.617
6/25/00 9.470 6/25/04 11.617
7/25/00 9.635 7/25/04 11.617
8/25/00 9.673 8/25/04 11.617
9/25/00 9.692 9/25/04 11.617
10/25/00 9.701 10/25/04 11.666
11/25/00 9.710 11/25/04 11.666
12/25/00 9.720 12/25/04 11.666
1/25/01 9.730 1/25/05 11.666
2/25/01 9.740 2/25/05 11.666
3/25/01 9.751 3/25/05 11.666
4/25/01 9.762 4/25/05 11.666
5/25/01 9.773 5/25/05 11.666
6/25/01 9.784 6/25/05 11.666
7/25/01 9.796 7/25/05 11.666
8/25/01 9.808 8/25/05 11.666
9/25/01 11.085 9/25/05 11.666
10/25/01 11.100 10/25/05 11.666
11/25/01 11.115 11/25/05 11.666
12/25/01 11.130 12/25/05 11.666
1/25/02 11.146 1/25/06 11.666
2/25/02 11.163 2/25/06 11.666
3/25/02 11.180 3/25/06 11.666
4/25/02 11.197 4/25/06 11.666
5/25/02 11.215 5/25/06 11.666
6/25/02 11.234 6/25/06 11.666
7/25/02 11.253 7/25/06 11.666
8/25/02 11.273 8/25/06 11.666
9/25/02 11.787 9/25/06 11.666
10/25/02 11.809 10/25/06 11.666
11/25/02 11.617 11/25/06 11.666
12/25/02 11.617
1/25/03 11.617
2/25/03 11.617
3/25/03 11.617
4/25/03 11.617
5/25/03 11.617
6/25/03 11.617
7/25/03 11.617
8/25/03 11.617
9/25/03 11.617
</TABLE>
(1) Available Funds Cap = 12 * (Group II Net interest)/(Group II Total
Certificate balance)
(2) Assumes no losses, 10% cleanup call, 27% CPR, and 1 month and 6 month LIBOR
remains constant.
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IA-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 58.061 69.016 78.629 87.093 94.746
99-17 55.988 66.257 75.267 83.200 90.373
99-18 53.916 63.498 71.906 79.309 86.003
99-19 51.845 60.741 68.546 75.420 81.634
99-20 49.775 57.985 65.189 71.532 77.267
99-21 47.705 55.230 61.832 67.646 72.902
99-22 45.637 52.476 58.477 63.761 68.538
99-23 43.569 49.723 55.123 59.878 64.176
99-24 41.502 46.971 51.770 55.996 59.816
99-25 39.436 44.221 48.419 52.116 55.458
99-26 37.371 41.472 45.070 48.238 51.102
99-27 35.307 38.724 41.721 44.361 46.747
99-28 33.244 35.977 38.374 40.485 42.394
99-29 31.182 33.231 35.029 36.612 38.043
99-30 29.120 30.486 31.684 32.740 33.694
99-31 27.060 27.742 28.342 28.869 29.346
100- 0 25.000 25.000 25.000 25.000 25.000
100- 1 22.941 22.259 21.660 21.133 20.656
100- 2 20.883 19.519 18.321 17.267 16.314
100- 3 18.826 16.779 14.984 13.402 11.973
100- 4 16.770 14.042 11.648 9.540 7.634
100- 5 14.715 11.305 8.313 5.679 3.297
100- 6 12.660 8.569 4.980 1.819 -1.038
AVG LIFE 1.587 1.173 0.954 0.820 0.728
FIRST PAY 10/99 10/99 10/99 10/99 10/99
LAST PAY 11/02 11/01 6/01 2/01 12/00
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-2
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 7.253 7.256 7.259 7.261 7.264
99-17 7.244 7.243 7.242 7.242 7.241
99-18 7.235 7.230 7.226 7.222 7.218
99-19 7.226 7.218 7.210 7.202 7.195
99-20 7.216 7.205 7.194 7.183 7.172
99-21 7.207 7.192 7.177 7.163 7.150
99-22 7.198 7.179 7.161 7.144 7.127
99-23 7.189 7.166 7.145 7.124 7.104
99-24 7.180 7.154 7.129 7.105 7.081
99-25 7.171 7.141 7.113 7.085 7.058
99-26 7.161 7.128 7.096 7.066 7.036
99-27 7.152 7.115 7.080 7.046 7.013
99-28 7.143 7.103 7.064 7.027 6.990
99-29 7.134 7.090 7.048 7.007 6.967
99-30 7.125 7.077 7.032 6.988 6.945
99-31 7.116 7.064 7.016 6.968 6.922
100- 0 7.107 7.052 6.999 6.949 6.899
100- 1 7.098 7.039 6.983 6.929 6.877
100- 2 7.088 7.026 6.967 6.910 6.854
100- 3 7.079 7.014 6.951 6.890 6.831
100- 4 7.070 7.001 6.935 6.871 6.809
100- 5 7.061 6.988 6.919 6.851 6.786
100- 6 7.052 6.975 6.903 6.832 6.763
AVG LIFE 4.059 2.785 2.146 1.754 1.491
DURATION 3.407 2.444 1.926 1.597 1.370
FIRST PAY 11/02 11/01 6/01 2/01 12/00
LAST PAY 10/04 2/03 4/02 10/01 6/01
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-3
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 7.451 7.452 7.453 7.454 7.455
99-17 7.445 7.443 7.442 7.440 7.438
99-18 7.439 7.434 7.430 7.425 7.421
99-19 7.432 7.426 7.418 7.411 7.404
99-20 7.426 7.417 7.407 7.397 7.387
99-21 7.420 7.408 7.395 7.382 7.371
99-22 7.414 7.399 7.384 7.368 7.354
99-23 7.407 7.390 7.372 7.354 7.337
99-24 7.401 7.381 7.361 7.340 7.320
99-25 7.395 7.372 7.349 7.325 7.303
99-26 7.389 7.364 7.338 7.311 7.286
99-27 7.383 7.355 7.326 7.297 7.270
99-28 7.376 7.346 7.315 7.282 7.253
99-29 7.370 7.337 7.303 7.268 7.236
99-30 7.364 7.328 7.292 7.254 7.219
99-31 7.358 7.319 7.281 7.240 7.202
100- 0 7.351 7.311 7.269 7.225 7.186
100- 1 7.345 7.302 7.258 7.211 7.169
100- 2 7.339 7.293 7.246 7.197 7.152
100- 3 7.333 7.284 7.235 7.183 7.135
100- 4 7.327 7.275 7.223 7.168 7.119
100- 5 7.320 7.266 7.212 7.154 7.102
100- 6 7.314 7.258 7.200 7.140 7.085
AVG LIFE 6.524 4.244 3.139 2.464 2.063
DURATION 4.999 3.524 2.711 2.182 1.853
FIRST PAY 10/04 2/03 4/02 10/01 6/01
LAST PAY 6/08 12/04 7/03 7/02 1/2
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-4
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 7.855 7.854 7.853 7.852 7.850
99-17 7.850 7.848 7.845 7.842 7.838
99-18 7.846 7.843 7.837 7.832 7.825
99-19 7.842 7.837 7.830 7.822 7.813
99-20 7.838 7.831 7.822 7.813 7.800
99-21 7.834 7.826 7.814 7.803 7.788
99-22 7.830 7.820 7.807 7.793 7.776
99-23 7.826 7.814 7.799 7.783 7.763
99-24 7.822 7.809 7.791 7.773 7.751
99-25 7.817 7.803 7.784 7.764 7.738
99-26 7.813 7.797 7.776 7.754 7.726
99-27 7.809 7.792 7.768 7.744 7.713
99-28 7.805 7.786 7.761 7.734 7.701
99-29 7.801 7.780 7.753 7.725 7.688
99-30 7.797 7.775 7.745 7.715 7.676
99-31 7.793 7.769 7.738 7.705 7.663
100- 0 7.789 7.764 7.730 7.695 7.651
100- 1 7.785 7.758 7.722 7.686 7.639
100- 2 7.780 7.752 7.715 7.676 7.626
100- 3 7.776 7.747 7.707 7.666 7.614
100- 4 7.772 7.741 7.699 7.656 7.601
100- 5 7.768 7.736 7.692 7.647 7.589
100- 6 7.764 7.730 7.684 7.637 7.577
AVG LIFE 12.118 7.673 5.103 3.826 2.895
DURATION 7.570 5.530 4.059 3.191 2.502
FIRST PAY 6/08 12/04 7/03 7/02 1/02
LAST PAY 8/14 11/10 9/06 9/04 8/03
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-5
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.074 8.074 8.073 8.072 8.070
99-17 8.070 8.069 8.068 8.065 8.062
99-18 8.067 8.065 8.062 8.059 8.054
99-19 8.063 8.061 8.057 8.052 8.046
99-20 8.059 8.056 8.052 8.046 8.038
99-21 8.056 8.052 8.047 8.039 8.030
99-22 8.052 8.048 8.041 8.033 8.022
99-23 8.048 8.043 8.036 8.026 8.014
99-24 8.045 8.039 8.031 8.020 8.006
99-25 8.041 8.035 8.026 8.013 7.998
99-26 8.037 8.031 8.021 8.007 7.990
99-27 8.034 8.026 8.015 8.000 7.982
99-28 8.030 8.022 8.010 7.994 7.974
99-29 8.026 8.018 8.005 7.987 7.967
99-30 8.023 8.013 8.000 7.981 7.959
99-31 8.019 8.009 7.995 7.974 7.951
100- 0 8.015 8.005 7.990 7.968 7.943
100- 1 8.011 8.001 7.984 7.961 7.935
100- 2 8.008 7.996 7.979 7.955 7.927
100- 3 8.004 7.992 7.974 7.948 7.919
100- 4 8.000 7.988 7.969 7.942 7.911
100- 5 7.997 7.983 7.964 7.935 7.903
100- 6 7.993 7.979 7.958 7.929 7.895
AVG LIFE 14.919 11.415 8.552 6.347 4.907
DURATION 8.457 7.257 5.997 4.806 3.916
FIRST PAY 8/14 11/10 9/06 9/04 8/03
LAST PAY 8/14 2/11 5/08 8/06 5/05
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-6
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 7.721 7.721 7.721 7.721 7.721
99-17 7.715 7.715 7.715 7.714 7.713
99-18 7.710 7.709 7.708 7.707 7.706
99-19 7.704 7.703 7.702 7.700 7.698
99-20 7.698 7.697 7.696 7.694 7.691
99-21 7.692 7.691 7.689 7.687 7.683
99-22 7.686 7.684 7.683 7.680 7.676
99-23 7.681 7.678 7.676 7.673 7.668
99-24 7.675 7.672 7.670 7.666 7.661
99-25 7.669 7.666 7.664 7.660 7.653
99-26 7.663 7.660 7.657 7.653 7.646
99-27 7.658 7.654 7.651 7.646 7.639
99-28 7.652 7.648 7.645 7.639 7.631
99-29 7.646 7.642 7.638 7.632 7.624
99-30 7.640 7.636 7.632 7.626 7.616
99-31 7.635 7.630 7.626 7.619 7.609
100- 0 7.629 7.624 7.619 7.612 7.601
100- 1 7.623 7.618 7.613 7.605 7.594
100- 2 7.617 7.612 7.607 7.598 7.586
100- 3 7.612 7.606 7.600 7.592 7.579
100- 4 7.606 7.599 7.594 7.585 7.572
100- 5 7.600 7.593 7.588 7.578 7.564
100- 6 7.594 7.587 7.581 7.571 7.557
AVG LIFE 7.398 6.902 6.497 5.914 5.249
DURATION 5.403 5.125 4.902 4.577 4.177
FIRST PAY 10/02 10/02 10/02 12/02 3/03
LAST PAY 7/09 4/09 5/08 8/06 5/05
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.187 8.186 8.184 8.183 8.181
99-17 8.182 8.180 8.177 8.174 8.172
99-18 8.178 8.174 8.170 8.166 8.163
99-19 8.173 8.168 8.162 8.158 8.154
99-20 8.168 8.162 8.155 8.149 8.145
99-21 8.164 8.156 8.148 8.141 8.135
99-22 8.159 8.151 8.141 8.133 8.126
99-23 8.154 8.145 8.134 8.124 8.117
99-24 8.150 8.139 8.127 8.116 8.108
99-25 8.145 8.133 8.120 8.108 8.099
99-26 8.140 8.127 8.112 8.099 8.089
99-27 8.136 8.121 8.105 8.091 8.080
99-28 8.131 8.116 8.098 8.083 8.071
99-29 8.126 8.110 8.091 8.074 8.062
99-30 8.122 8.104 8.084 8.066 8.053
99-31 8.117 8.098 8.077 8.058 8.043
100- 0 8.112 8.092 8.070 8.049 8.034
100- 1 8.108 8.087 8.063 8.041 8.025
100- 2 8.103 8.081 8.056 8.033 8.016
100- 3 8.099 8.075 8.048 8.025 8.007
100- 4 8.094 8.069 8.041 8.016 7.998
100- 5 8.089 8.063 8.034 8.008 7.988
100- 6 8.085 8.058 8.027 8.000 7.979
AVG LIFE 10.592 7.621 5.782 4.734 4.157
DURATION 6.705 5.357 4.369 3.746 3.387
FIRST PAY 3/05 6/03 10/02 11/02 12/02
LAST PAY 8/14 2/11 5/08 8/06 5/05
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-2
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.843 8.840 8.836 8.833 8.831
99-17 8.838 8.834 8.829 8.825 8.821
99-18 8.833 8.828 8.822 8.816 8.812
99-19 8.828 8.822 8.815 8.808 8.802
99-20 8.824 8.816 8.807 8.799 8.793
99-21 8.819 8.810 8.800 8.791 8.783
99-22 8.814 8.804 8.793 8.782 8.774
99-23 8.809 8.798 8.785 8.774 8.764
99-24 8.804 8.792 8.778 8.765 8.755
99-25 8.799 8.786 8.771 8.757 8.745
99-26 8.795 8.780 8.763 8.748 8.736
99-27 8.790 8.774 8.756 8.740 8.726
99-28 8.785 8.768 8.749 8.731 8.717
99-29 8.780 8.762 8.742 8.723 8.707
99-30 8.776 8.756 8.734 8.714 8.698
99-31 8.771 8.750 8.727 8.706 8.688
100- 0 8.766 8.744 8.720 8.697 8.679
100- 1 8.761 8.738 8.713 8.689 8.669
100- 2 8.756 8.732 8.705 8.680 8.660
100- 3 8.752 8.726 8.698 8.672 8.650
100- 4 8.747 8.721 8.691 8.663 8.641
100- 5 8.742 8.715 8.684 8.655 8.632
100- 6 8.737 8.709 8.676 8.647 8.622
AVG LIFE 10.592 7.621 5.782 4.714 4.085
DURATION 6.491 5.221 4.278 3.666 3.282
FIRST PAY 3/05 6/03 10/02 10/02 11/02
LAST PAY 8/14 2/11 5/08 8/06 5/05
<PAGE>
YIELDS GIVEN PRICES TABLE (TO 10% CALL)
BOND IB
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
95-31.50 9.721 9.856 10.006 10.147 10.265
96-00.50 9.716 9.850 9.998 10.138 10.255
96-01.50 9.711 9.843 9.990 10.129 10.245
96-02.50 9.706 9.837 9.983 10.120 10.235
96-03.50 9.701 9.831 9.975 10.111 10.224
96-04.50 9.696 9.824 9.967 10.102 10.214
96-05.50 9.690 9.818 9.959 10.092 10.204
96-06.50 9.685 9.811 9.951 10.083 10.194
96-07.50 9.680 9.805 9.944 10.074 10.183
96-08.50 9.675 9.798 9.936 10.065 10.173
96-09.50 9.670 9.792 9.928 10.056 10.163
*96-10.50 9.665 9.786 9.920 10.047 10.153
96-11.50 9.659 9.779 9.912 10.038 10.143
96-12.50 9.654 9.773 9.905 10.029 10.132
96-13.50 9.649 9.766 9.897 10.020 10.122
96-14.50 9.644 9.760 9.889 10.010 10.112
96-15.50 9.639 9.754 9.881 10.001 10.102
96-16.50 9.634 9.747 9.873 9.992 10.092
96-17.50 9.629 9.741 9.866 9.983 10.081
96-18.50 9.624 9.735 9.858 9.974 10.071
96-19.50 9.618 9.728 9.850 9.965 10.061
96-20.50 9.613 9.722 9.842 9.956 10.051
96-21.50 9.608 9.715 9.835 9.947 10.041
AVG LIFE 10.522 7.507 5.695 4.628 3.991
DURATION 6.270 5.040 4.138 3.541 3.161
FIRST PAY 3/05 6/03 10/02 10/02 10/02
LAST PAY 8/14 2/11 5/08 8/06 5/05
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIA-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 49.773 54.899 60.853 68.413 79.050
99-17 48.971 53.775 59.355 66.441 76.411
99-18 48.170 52.652 57.859 64.470 73.774
99-19 47.369 51.529 56.363 62.500 71.138
99-20 46.568 50.408 54.868 60.532 68.503
99-21 45.768 49.287 53.374 58.564 65.870
99-22 44.969 48.166 51.881 56.598 63.239
99-23 44.170 47.047 50.389 54.633 60.609
99-24 43.371 45.928 48.898 52.669 57.980
99-25 42.573 44.809 47.407 50.706 55.352
99-26 41.775 43.692 45.918 48.745 52.726
99-27 40.978 42.575 44.429 46.784 50.102
99-28 40.182 41.458 42.942 44.825 47.479
99-29 39.385 40.343 41.455 42.867 44.857
99-30 38.590 39.228 39.969 40.910 42.237
99-31 37.795 38.114 38.484 38.955 39.618
100-0 37.000 37.000 37.000 37.000 37.000
100-1 36.206 35.887 35.517 35.047 34.384
100-2 35.412 34.775 34.035 33.094 31.769
100-3 34.619 33.663 32.553 31.143 29.156
100-4 33.826 32.552 31.073 29.193 26.544
100-5 33.034 31.442 29.593 27.245 23.933
100-6 32.242 30.333 28.114 25.297 21.324
AVG LIFE 4.939 3.267 2.345 1.727 1.250
FIRST PAY 10/99 10/99 10/99 10/99 10/99
LAST PAY 7/14 8/09 11/06 4/05 2/04
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 68.929 71.488 73.794 74.802 74.874
99-17 68.494 70.893 73.055 74.000 74.067
99-18 68.060 70.299 72.316 73.198 73.261
99-19 67.626 69.704 71.577 72.396 72.454
99-20 67.192 69.110 70.839 71.595 71.649
99-21 66.758 68.516 70.101 70.794 70.843
99-22 66.325 67.923 69.363 69.993 70.038
99-23 65.892 67.330 68.625 69.192 69.233
99-24 65.458 66.736 67.888 68.392 68.428
99-25 65.026 66.144 67.151 67.592 67.623
99-26 64.593 65.551 66.414 66.792 66.819
99-27 64.160 64.958 65.678 65.993 66.015
99-28 63.728 64.366 64.942 65.194 65.212
99-29 63.296 63.774 64.206 64.395 64.408
99-30 62.864 63.183 63.470 63.596 63.605
99-31 62.432 62.591 62.735 62.798 62.803
100- 0 62.000 62.000 62.000 62.000 62.000
100- 1 61.568 61.409 61.265 61.202 61.198
100- 2 61.137 60.818 60.531 60.405 60.396
100- 3 60.706 60.228 59.797 59.608 59.594
100- 4 60.275 59.637 59.063 58.811 58.793
100- 5 59.844 59.047 58.329 58.014 57.992
100- 6 59.414 58.458 57.596 57.218 57.191
AVG LIFE 9.761 6.457 4.917 4.427 4.382
FIRST PAY 5/04 10/02 1/03 5/03 10/03
LAST PAY 7/14 8/09 11/06 4/05 2/04
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-2
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 127.123 129.675 132.119 133.723 134.291
99-17 126.677 129.069 131.360 132.863 133.396
99-18 126.230 128.462 130.600 132.003 132.500
99-19 125.784 127.856 129.841 131.144 131.606
99-20 125.338 127.251 129.083 130.285 130.711
99-21 124.892 126.645 128.324 129.426 129.817
99-22 124.446 126.040 127.566 128.568 128.923
99-23 124.001 125.435 126.808 127.709 128.029
99-24 123.556 124.830 126.050 126.852 127.136
99-25 123.111 124.225 125.293 125.994 126.243
99-26 122.666 123.621 124.536 125.137 125.350
99-27 122.221 123.017 123.779 124.280 124.457
99-28 121.776 122.413 123.023 123.423 123.565
99-29 121.332 121.809 122.267 122.567 122.674
99-30 120.888 121.206 121.511 121.711 121.782
99-31 120.444 120.603 120.755 120.855 120.891
100- 0 120.000 120.000 120.000 120.000 120.000
100- 1 119.556 119.397 119.245 119.145 119.109
100- 2 119.113 118.795 118.490 118.290 118.219
100- 3 118.670 118.193 117.736 117.436 117.329
100- 4 118.227 117.591 116.982 116.582 116.440
100- 5 117.784 116.989 116.228 115.728 115.550
100- 6 117.341 116.388 115.474 114.874 114.661
AVG LIFE 9.761 6.457 4.853 4.156 3.946
FIRST PAY 5/04 10/02 11/02 1/03 3/03
LAST PAY 7/14 8/09 11/06 4/05 2/04
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIB
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 317.778 320.300 322.802 324.677 325.882
99-17 317.290 319.654 322.000 323.757 324.887
99-18 316.803 319.009 321.198 322.838 323.892
99-19 316.315 318.364 320.396 321.918 322.898
99-20 315.828 317.719 319.594 321.000 321.903
99-21 315.341 317.074 318.793 320.081 320.909
99-22 314.855 316.430 317.992 319.163 319.916
99-23 314.368 315.785 317.191 318.245 318.923
99-24 313.882 315.142 316.391 317.328 317.930
99-25 313.396 314.498 315.591 316.410 316.937
99-26 312.910 313.855 314.791 315.494 315.945
99-27 312.425 313.211 313.992 314.577 314.953
99-28 311.939 312.569 313.193 313.661 313.962
99-29 311.454 311.926 312.394 312.745 312.971
99-30 310.969 311.284 311.596 311.830 311.980
99-31 310.485 310.642 310.798 310.915 310.990
100- 0 310.000 310.000 310.000 310.000 310.000
100- 1 309.516 309.359 309.203 309.086 309.010
100- 2 309.032 308.717 308.405 308.172 308.021
100- 3 308.548 308.076 307.609 307.258 307.032
100- 4 308.064 307.436 306.812 306.344 306.044
100- 5 307.581 306.795 306.016 305.431 305.055
100- 6 307.097 306.155 305.220 304.519 304.067
AVG LIFE 9.761 6.457 4.816 4.030 3.643
FIRST PAY 5/04 10/02 10/02 11/02 11/02
LAST PAY 7/14 8/09 11/06 4/05 2/04
<PAGE>
YIELDS GIVEN PRICES TABLE (TO MATURITY)
BOND IA-5
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.113 8.134 8.154 8.151 8.120
99-17 8.109 8.130 8.149 8.146 8.112
99-18 8.106 8.127 8.145 8.140 8.105
99-19 8.103 8.123 8.141 8.135 8.098
99-20 8.099 8.119 8.136 8.129 8.091
99-21 8.096 8.115 8.132 8.124 8.084
99-22 8.092 8.111 8.127 8.118 8.076
99-23 8.089 8.108 8.123 8.113 8.069
99-24 8.085 8.104 8.119 8.107 8.062
99-25 8.082 8.100 8.114 8.102 8.055
99-26 8.079 8.096 8.110 8.096 8.048
99-27 8.075 8.092 8.106 8.091 8.040
99-28 8.072 8.089 8.101 8.085 8.033
99-29 8.068 8.085 8.097 8.080 8.026
99-30 8.065 8.081 8.092 8.074 8.019
99-31 8.062 8.077 8.088 8.069 8.012
100-0 8.058 8.073 8.084 8.063 8.004
100-1 8.055 8.070 8.079 8.058 7.997
100-2 8.051 8.066 8.075 8.052 7.990
100-3 8.048 8.062 8.071 8.047 7.983
100-4 8.045 8.058 8.066 8.041 7.976
100-5 8.041 8.055 8.062 8.036 7.969
100-6 8.038 8.051 8.057 8.031 7.961
AVG LIFE 17.896 14.337 11.268 8.210 5.704
DURATION 9.153 8.225 7.112 5.680 4.331
FIRST PAY 8/14 11/10 9/06 9/04 8/03
LAST PAY 7/26 3/21 6/16 8/14 1/12
<PAGE>
YIELDS GIVEN PRICES TABLE (TO MATURITY)
BOND IA-6
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 7.721 7.721 7.721 7.721 7.721
99-17 7.715 7.715 7.715 7.714 7.714
99-18 7.710 7.709 7.708 7.708 7.708
99-19 7.704 7.703 7.702 7.701 7.701
99-20 7.698 7.697 7.696 7.695 7.695
99-21 7.692 7.691 7.689 7.688 7.688
99-22 7.686 7.684 7.683 7.682 7.682
99-23 7.681 7.678 7.677 7.676 7.675
99-24 7.675 7.672 7.670 7.669 7.668
99-25 7.669 7.666 7.664 7.663 7.662
99-26 7.663 7.660 7.658 7.656 7.655
99-27 7.658 7.654 7.651 7.650 7.649
99-28 7.652 7.648 7.645 7.643 7.642
99-29 7.646 7.642 7.639 7.637 7.636
99-30 7.640 7.636 7.632 7.630 7.629
99-31 7.635 7.630 7.626 7.624 7.623
100- 0 7.629 7.624 7.620 7.617 7.616
100- 1 7.623 7.618 7.613 7.611 7.610
100- 2 7.617 7.612 7.607 7.604 7.603
100- 3 7.612 7.606 7.601 7.598 7.597
100- 4 7.606 7.599 7.595 7.591 7.590
100- 5 7.600 7.593 7.588 7.585 7.583
100- 6 7.594 7.587 7.582 7.578 7.577
AVG LIFE 7.398 6.902 6.551 6.340 6.257
DURATION 5.403 5.125 4.928 4.808 4.758
FIRST PAY 10/02 10/02 10/02 12/02 3/03
LAST PAY 7/09 4/09 2/09 2/09 6/09
<PAGE>
YIELDS GIVEN PRICES TABLE (TO MATURITY)
BOND IM-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.187 8.186 8.184 8.183 8.182
99-17 8.182 8.180 8.177 8.175 8.173
99-18 8.178 8.174 8.171 8.167 8.164
99-19 8.173 8.169 8.164 8.159 8.156
99-20 8.169 8.163 8.157 8.151 8.147
99-21 8.164 8.157 8.150 8.143 8.138
99-22 8.159 8.152 8.143 8.135 8.129
99-23 8.155 8.146 8.137 8.128 8.121
99-24 8.150 8.140 8.130 8.120 8.112
99-25 8.146 8.135 8.123 8.112 8.103
99-26 8.141 8.129 8.116 8.104 8.094
99-27 8.137 8.124 8.109 8.096 8.086
99-28 8.132 8.118 8.102 8.088 8.077
99-29 8.127 8.112 8.096 8.080 8.068
99-30 8.123 8.107 8.089 8.072 8.060
99-31 8.118 8.101 8.082 8.064 8.051
100- 0 8.114 8.095 8.075 8.056 8.042
100- 1 8.109 8.090 8.069 8.049 8.033
100- 2 8.105 8.084 8.062 8.041 8.025
100- 3 8.100 8.079 8.055 8.033 8.016
100- 4 8.096 8.073 8.048 8.025 8.007
100- 5 8.091 8.067 8.041 8.017 7.999
100- 6 8.086 8.062 8.035 8.009 7.990
AVG LIFE 11.035 8.104 6.271 5.121 4.475
DURATION 6.815 5.524 4.576 3.940 3.566
FIRST PAY 3/05 6/03 10/02 11/02 12/02
LAST PAY 12/20 3/15 7/13 10/10 10/08
<PAGE>
YIELDS GIVEN PRICES TABLE (TO MATURITY)
BOND IM-2
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 8.843 8.840 8.837 8.834 8.832
99-17 8.838 8.834 8.830 8.826 8.822
99-18 8.833 8.829 8.823 8.818 8.813
99-19 8.829 8.823 8.816 8.809 8.804
99-20 8.824 8.817 8.809 8.801 8.795
99-21 8.819 8.811 8.802 8.793 8.786
99-22 8.814 8.805 8.795 8.785 8.777
99-23 8.809 8.799 8.788 8.777 8.767
99-24 8.805 8.794 8.781 8.768 8.758
99-25 8.800 8.788 8.773 8.760 8.749
99-26 8.795 8.782 8.766 8.752 8.740
99-27 8.790 8.776 8.759 8.744 8.731
99-28 8.786 8.770 8.752 8.736 8.722
99-29 8.781 8.765 8.745 8.727 8.713
99-30 8.776 8.759 8.738 8.719 8.703
99-31 8.771 8.753 8.731 8.711 8.694
100- 0 8.767 8.747 8.724 8.703 8.685
100- 1 8.762 8.741 8.717 8.695 8.676
100- 2 8.757 8.736 8.710 8.686 8.667
100- 3 8.752 8.730 8.703 8.678 8.658
100- 4 8.748 8.724 8.696 8.670 8.649
100- 5 8.743 8.718 8.689 8.662 8.640
100- 6 8.738 8.712 8.682 8.654 8.631
AVG LIFE 10.787 8.045 6.126 4.983 4.306
DURATION 6.538 5.358 4.422 3.799 3.405
FIRST PAY 3/05 6/03 10/02 10/02 11/02
LAST PAY 11/17 8/14 8/11 3/09 7/07
<PAGE>
YIELDS GIVEN PRICES TABLE (TO MATURITY)
BOND IB
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
95-31.50 9.721 9.852 10.000 10.140 10.257
96-00.50 9.716 9.846 9.992 10.131 10.247
96-01.50 9.711 9.840 9.985 10.122 10.236
96-02.50 9.706 9.833 9.977 10.113 10.226
96-03.50 9.701 9.827 9.969 10.104 10.216
96-04.50 9.696 9.820 9.961 10.095 10.206
96-05.50 9.690 9.814 9.954 10.086 10.196
96-06.50 9.685 9.808 9.946 10.077 10.186
96-07.50 9.680 9.801 9.938 10.068 10.176
96-08.50 9.675 9.795 9.930 10.058 10.165
96-09.50 9.670 9.789 9.923 10.049 10.155
*96-10.50 9.665 9.782 9.915 10.040 10.145
96-11.50 9.659 9.776 9.907 10.031 10.135
96-12.50 9.654 9.769 9.899 10.022 10.125
96-13.50 9.649 9.763 9.892 10.013 10.115
96-14.50 9.644 9.757 9.884 10.004 10.105
96-15.50 9.639 9.750 9.876 9.995 10.095
96-16.50 9.634 9.744 9.868 9.986 10.085
96-17.50 9.629 9.738 9.861 9.977 10.074
96-18.50 9.624 9.731 9.853 9.968 10.064
96-19.50 9.618 9.725 9.845 9.959 10.054
96-20.50 9.613 9.719 9.838 9.950 10.044
96-21.50 9.608 9.712 9.830 9.941 10.034
AVG LIFE 10.522 7.598 5.767 4.682 4.036
DURATION 6.270 5.068 4.167 3.567 3.185
FIRST PAY 3/05 6/03 10/02 10/02 10/02
LAST PAY 8/14 11/12 10/09 9/07 4/06
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIA-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 50.501 55.757 61.586 68.760 78.768
99-17 49.724 54.685 60.172 66.911 76.276
99-18 48.947 53.613 58.760 65.063 73.786
99-19 48.171 52.542 57.348 63.217 71.298
99-20 47.395 51.471 55.938 61.371 68.811
99-21 46.620 50.402 54.528 59.527 66.326
99-22 45.845 49.333 53.120 57.684 63.842
99-23 45.071 48.265 51.712 55.843 61.360
99-24 44.297 47.197 50.305 54.003 58.880
99-25 43.524 46.130 48.900 52.164 56.401
99-26 42.751 45.064 47.495 50.326 53.924
99-27 41.979 43.999 46.091 48.490 51.448
99-28 41.207 42.934 44.688 46.655 48.974
99-29 40.436 41.870 43.286 44.821 46.502
99-30 39.665 40.807 41.886 42.989 44.031
99-31 38.895 39.745 40.486 41.157 41.562
100- 0 38.126 38.683 39.087 39.327 39.095
100- 1 37.356 37.622 37.689 37.499 36.629
100- 2 36.588 36.562 36.292 35.671 34.165
100- 3 35.820 35.502 34.895 33.845 31.702
100- 4 35.052 34.443 33.500 32.020 29.241
100- 5 34.285 33.385 32.106 30.196 26.781
100- 6 33.518 32.328 30.713 28.374 24.323
AVG LIFE 5.293 3.546 2.561 1.890 1.351
FIRST PAY 10/99 10/99 10/99 10/99 10/99
LAST PAY 2/27 3/21 12/15 4/12 10/09
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-1
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 69.873 72.707 75.056 75.912 77.051
99-17 69.456 72.146 74.366 75.159 76.341
99-18 69.039 71.586 73.676 74.406 75.632
99-19 68.622 71.026 72.986 73.654 74.923
99-20 68.206 70.466 72.297 72.901 74.214
99-21 67.789 69.906 71.607 72.149 73.505
99-22 67.373 69.346 70.918 71.398 72.797
99-23 66.957 68.787 70.230 70.646 72.088
99-24 66.542 68.228 69.542 69.895 71.380
99-25 66.126 67.669 68.853 69.144 70.673
99-26 65.711 67.111 68.166 68.394 69.965
99-27 65.296 66.552 67.478 67.644 69.258
99-28 64.881 65.994 66.791 66.894 68.551
99-29 64.466 65.437 66.104 66.144 67.845
99-30 64.051 64.879 65.418 65.395 67.138
99-31 63.637 64.322 64.731 64.645 66.432
100- 0 63.222 63.765 64.045 63.897 65.726
100- 1 62.808 63.208 63.359 63.148 65.021
100- 2 62.394 62.651 62.674 62.400 64.315
100- 3 61.981 62.095 61.989 61.652 63.610
100- 4 61.567 61.539 61.304 60.904 62.905
100- 5 61.154 60.983 60.619 60.157 62.201
100- 6 60.741 60.427 59.935 59.409 61.496
AVG LIFE 10.633 7.126 5.433 4.814 5.106
FIRST PAY 5/04 10/02 1/03 5/03 10/03
LAST PAY 3/24 7/17 12/12 12/09 11/07
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-2
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 128.908 132.140 134.896 136.318 136.698
99-17 128.477 131.564 134.181 135.506 135.850
99-18 128.046 130.988 133.466 134.696 135.002
99-19 127.616 130.412 132.752 133.885 134.154
99-20 127.185 129.837 132.038 133.075 133.307
99-21 126.755 129.262 131.324 132.264 132.460
99-22 126.325 128.687 130.610 131.455 131.614
99-23 125.895 128.112 129.897 130.645 130.767
99-24 125.466 127.538 129.184 129.836 129.921
99-25 125.036 126.964 128.472 129.027 129.076
99-26 124.607 126.390 127.760 128.219 128.230
99-27 124.178 125.816 127.048 127.411 127.385
99-28 123.749 125.243 126.336 126.603 126.541
99-29 123.321 124.670 125.624 125.795 125.696
99-30 122.892 124.097 124.913 124.988 124.852
99-31 122.464 123.524 124.203 124.181 124.008
100- 0 122.036 122.952 123.492 123.375 123.165
100- 1 121.608 122.380 122.782 122.568 122.321
100- 2 121.180 121.808 122.072 121.762 121.478
100- 3 120.753 121.236 121.362 120.957 120.636
100- 4 120.325 120.665 120.653 120.151 119.794
100- 5 119.898 120.094 119.944 119.346 118.952
100- 6 119.471 119.523 119.235 118.541 118.110
AVG LIFE 10.544 7.045 5.306 4.495 4.224
FIRST PAY 5/04 10/02 11/02 1/03 3/03
LAST PAY 6/22 10/15 7/11 11/08 1/07
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIB
50% 75% 100%(PRICING) 125% 150%
--- --- ------------- ---- ----
99-16 320.381 324.174 327.568 329.275 330.468
99-17 319.903 323.546 326.794 328.386 329.506
99-18 319.425 322.919 326.020 327.498 328.545
99-19 318.947 322.292 325.246 326.610 327.584
99-20 318.469 321.666 324.472 325.722 326.623
99-21 317.992 321.040 323.699 324.834 325.662
99-22 317.515 320.414 322.926 323.947 324.702
99-23 317.038 319.788 322.154 323.060 323.742
99-24 316.561 319.162 321.381 322.174 322.783
99-25 316.085 318.537 320.609 321.288 321.824
99-26 315.609 317.912 319.838 320.402 320.865
99-27 315.133 317.287 319.066 319.517 319.907
99-28 314.657 316.663 318.295 318.632 318.949
99-29 314.181 316.039 317.525 317.747 317.991
99-30 313.706 315.415 316.754 316.863 317.034
99-31 313.231 314.792 315.984 315.978 316.077
100- 0 312.756 314.168 315.215 315.095 315.120
100- 1 312.281 313.545 314.445 314.211 314.164
100- 2 311.807 312.922 313.676 313.328 313.208
100- 3 311.332 312.300 312.907 312.446 312.252
100- 4 310.858 311.678 312.139 311.563 311.297
100- 5 310.384 311.056 311.371 310.681 310.342
100- 6 309.911 310.434 310.603 309.800 309.388
AVG LIFE 10.237 6.805 5.088 4.228 3.807
FIRST PAY 5/04 10/02 10/02 11/02 11/02
LAST PAY 2/20 10/13 1/10 9/07 2/06
