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) December 13, 1999
--------------------------------
Chase Funding, Inc.
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-64131 13-3840732
- --------------------------------------------------------------------------------
(State or other jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) 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., Bear, Stearns & Co. Inc., First Union
Securities, Inc. and Donaldson, Lufkin & Jenrette (collectively, the
"Underwriters") in respect of the Registrant's proposed offering of Chase
Funding Mortgage Loan Asset-Backed Certificates, Series 1999-4 (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.
-2-
<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., Bear,
Stearns & Co. Inc., First
Union Securities, Inc. and
Donaldson, Lufkin & Jenrette
in connection with Chase
Funding Mortgage Loan
Asset-Backed Certificates,
Series 1999-4.
-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: December 14, 1999
By: /s/ Eileen Lindblom
-----------------------------------
Name: Eileen Lindblom
Title: Vice President
-4-
<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.,
Bear, Stearns & Co. Inc., First Union
Securities, Inc. and Donaldson,
Lufkin & Jenrette in connection with
Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 1999-4.
-5-
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
$370,000,000 (APPROXIMATE)
Subject to Revision
December 13, 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>
<TABLE>
<CAPTION>
TERM SHEET
DECEMBER 13, 1999
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 1999-4
$370,000,000 (APPROXIMATE)
SUBJECT TO REVISION
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (S&P /FITCH) WAL(1) TYPE COUPON MATURITY(1)
- ----- ---------- ----------- ---- ---- ------ ---------
<S> <C> <C> <C> <C> <C> <C>
IA-1 43,000,000 AAA/AAA 0.95 SEQ 1M Libor+[ ](2) 9/01
IA-2 18,500,000 AAA/AAA 2.13 SEQ Fixed(2) 7/02
IA-3 18,500,000 AAA/AAA 3.18 SEQ Fixed(2) 12/03
IA-4 16,000,000 AAA/AAA 5.13 SEQ Fixed(2) 9/06
IA-5 11,640,000 AAA/AAA 8.37 SEQ Fixed(2),(3) 7/08
IA-6 11,960,000 AAA/AAA 6.48 NAS Fixed(2) 7/08
IM-1 4,550,000 AA/AA 5.73 MEZ Fixed(2) 7/08
IM-2 2,925,000 A/A 5.73 MEZ Fixed(2) 7/08
IB 2,925,000 BBB/BBB 5.66 SUB Fixed(2) 7/08
IIA-1 205,200,000 AAA/AAA 2.39 PASS-THRU 1M Libor+[ ](3),(4) 3/07
IIM-1 14,760,000 AA/AA 4.93 MEZ 1M Libor+[ ](3),(4) 3/07
IIM-2 10,440,000 A/A 4.88 MEZ 1M Libor+[ ](3),(4) 3/07
IIB 9,600,000 BBB/BBB 4.84 SUB 1M Libor+[ ](3),(4) 3/07
<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>
THIS PAGE 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]
2
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 1999-4, 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., Bear, Stearns & Co. Inc.,
First Union Capital Markets Corp., and Donaldson,
Lufkin & Jenrette.
DEPOSITOR: Chase Funding, Inc.
SELLER AND MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: December 1, 1999
PRICING DATE: [December 14, 1999]
CLOSING DATE: [December 22, 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
January 2000.
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.
THIS PAGE 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]
3
<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.
THIS PAGE 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]
4
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
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 for both
the Group I and Group II Certificates on the
fourth Distribution Date (April 25, 2000).
GROUP I CERTIFICATES
Initial: 0.00%
Target: 1.55% of original balance
Stepdown: 3.10% of current balance
Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
Initial: 0.00%
Target: 2.90% of original balance
Stepdown: 5.80% of current balance
Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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5
<PAGE>
GROUP I - FIXED
GROUP I (FIXED) SUBORDINATION (1): (S&P/FITCH) GROUP I (Subordination)
----------------------
Class IA (AAA/AAA) 9.55%
Class IM-1 (AA/AA) 6.05%
Class IM-2 (A/A) 3.80%
Class IB (BBB/BBB) 1.55%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZES: (S&P/FITCH) GROUP I (Class Sizes)
--------------------
Class IA (AAA/AAA) 92.00%
Class IM-1 (AA/AA) 3.50%
Class IM-2 (A/A) 2.25%
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) 17.40%
Class IIM-1 (AA/AA) 11.25%
Class IIM-2 (A/A) 6.90%
Class IIB (BBB/BBB) 2.90%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II (ARM) CLASS SIZES: (S&P/FITCH) GROUP II (Class Sizes)
---------------------
Class IIA-1 (AAA/AAA) 85.50%
Class IIM-1 (AA/AA) 6.15%
Class IIM-2 (A/A) 4.35%
Class IIB (BBB/BBB) 4.00%
(PRELIMINARY AND SUBJECT TO REVISION)
- --------
(1) The subordination percentages assume that the target overcollateralization
levels of 1.55% for Group I and 2.90% for Group II have been achieved. There
will be no overcollaterization as of the closing date.
THIS PAGE 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]
6
<PAGE>
GROUP I
-------
MORTGAGE LOANS: Fixed-Rate, First Lien, Sub-prime Mortgage Loans
TOTAL GROUP SIZE(*) $130,000,000
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
$9,118,908 of Fixed Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
[CHASE LOGO]
7
<PAGE>
<TABLE>
<CAPTION>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
---------------------------------------------------------------------
GROUP I CERTIFICATES
--------------------
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE ................ 43.000 18.500 18.500 16.000 11.640 11.960 4.550 2.925 2.925
($MM)
EXPECTED RATINGS
S&P ....................... AAA AAA AAA AAA AAA AAA AA A BBB
FITCH ..................... AAA AAA AAA AAA AAA AAA AA A BBB
COUPON .................... 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 2.13 3.18 5.13 8.37 6.48 5.73 5.73 5.66
CALL (YRS) (3)
WTD AVG LIFE .............. 0.95 2.13 3.18 5.13 10.89 6.54 6.19 6.06 5.73
MAT (YRS) (3)
PAYMENT WINDOW ............ 1-21/21 21-31/11 31-48/18 48-81/34 81-103/23 37-103/67 37-103/67 37-103/67 37-103/67
TO CALL (MOS.) (3)
PAYMENT WINDOW ............ 1-21/21 21-31/11 31-48/18 48-81/34 81-194/114 37-113/77 37-157/121 37-139/103 37-120/84
TO MATURITY (MOS.) (3)
EXP MAT TO CALL (3) ....... 9/01 7/02 12/03 9/06 7/08 7/08 7/08 7/08 7/08
EXP MAT TO MATURITY (3) ... 9/01 7/02 12/03 9/06 2/16 5/09 1/13 7/11 12/09
LAST SCHEDULED ............ 11/14 11/14 4/20 10/26 10/29 9/11 10/29 10/29 10/29
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 coupon 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>
THIS PAGE 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]
8
<PAGE>
GROUP II
--------
MORTGAGE LOANS: Adjustable-Rate, First Lien, Sub-prime Mortgage
Loans
TOTAL GROUP SIZE(*): $240,000,000
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
$7,337,215 of Adjustable Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
[CHASE LOGO]
9
<PAGE>
<TABLE>
<CAPTION>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
---------------------------------------------------------------------
GROUP II CERTIFICATES
---------------------
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
----- ----- ----- ---
<S> <C> <C> <C> <C>
205.200 14.760 10.440 9.600
OFFER
SIZE ($MM)
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 2.39 4.93 4.88 4.84
CALL (YRS)(4)
WTD AVG LIFE 2.60 5.43 5.31 5.12
MAT (YRS)(4)
PAYMENT WINDOW 1-87/87 40-87/48 38-87/50 37-87/51
TO CALL (MOS.)(4)
PAYMENT WINDOW 1-195/195 40-158/119 38-142/105 37-124/88
TO MATURITY (MOS.)(4)
EXP MAT TO CALL(4) 3/07 3/07 3/07 3/07
EXP MAT TO MATURITY(4) 3/16 2/13 10/11 4/10
LAST SCHEDULED 11/29 11/29 11/29 11/29
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>
THIS PAGE 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]
10
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
---------------------------------------------------------------------
CASH FLOW 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 certain amounts for the Group II Certificates
as described in the Prospectus Supplement.
8. Any remaining Group I amount is paid to the Residual Certificateholder.
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 certain amounts for the Group I Certificates
as described in the Prospectus Supplement.
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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
---------------------------------------------------------------------
PRINCIPAL PAYDOWN
-----------------
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: UNTIL JANUARY 2009, THE
APPLICABLE CLASS IA-6 LOCKOUT PERCENTAGE MULTIPLIED BY THE CLASS
IA-6 PRO-RATA DISTRIBUTION AMOUNT. FOR JANUARY 2009 AND THEREAFTER,
THE CLASS IA-6 LOCKOUT AMOUNT DISTRIBUTION WILL EQUAL THE GROUP I
CLASS A PRINCIPAL CASHFLOWS.
CLASS IA-6 LOCKOUT PERCENTAGE
---------- ------------------
January 2000 -- December 2002: 0%
January 2003 -- December 2004: 45%
January 2005 -- December 2005: 80%
January 2006 -- December 2006: 100%
January 2007 -- December 2008: 300%
IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS NOT MET:
----------------------------------------------------------------
Group I Certificates:
---------------------
1) To the Class IA-6 Certificateholders -- 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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
REQUIRED SUBORDINATION LEVELS(*)
------------------------------
Group I Group II
------- --------
Class A 19.10% Class A 34.80%
Class M-1 12.10% Class M-1 22.50%
Class M-2 7.60% Class M-2 13.80%
Class B 3.10% Class B 5.80%
-----------
(*)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 January 2003
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 January 2003 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:
19.10% 34.80%
Or Or
(8.00% + 1.55%)*2 (14.50% + 2.90%)*2
(PRELIMINARY AND SUBJECT TO REVISION)
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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<PAGE>
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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $120,881,092
AGGREGATE ORIGINAL PRINCIPAL BALANCE $121,022,028
NUMBER OF MORTGAGE LOANS 1,446
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE 10,000 561,105 83,694
OUTSTANDING PRINCIPAL 9,977 560,657 83,597
BALANCE
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
ORIGINAL TERM (MOS) 120 360 252
STATED REMAINING TERM (MOS) 118 360 250
EXPECTED REMAINING TERM 118 360 250
(MOS)
LOAN AGE (MOS) 0 7 1
CURRENT INTEREST RATE 5.950% 14.250% 9.881%
ORIGINAL LOAN-TO-VALUE 12.77% 95.00% 72.76%
CREDIT SCORE 461 803 620(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 04/1999 11/1999
MATURITY DATES 09/2009 12/2029
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
5.500% to 5.999% 1 $ 109,185 0.1%
6.000% to 6.499% 1 79,174 0.1
6.500% to 6.999% 5 315,846 0.3
7.000% to 7.499% 16 1,694,824 1.4
7.500% to 7.999% 57 4,951,612 4.1
8.000% to 8.499% 60 5,818,941 4.8
8.500% to 8.999% 180 17,318,461 14.3
9.000% to 9.499% 139 13,273,859 11.0
9.500% to 9.999% 271 23,954,043 19.8
10.000% to 10.499% 199 15,319,752 12.7
10.500% to 10.999% 211 17,030,235 14.1
11.000% to 11.499% 111 7,950,971 6.6
11.500% to 11.999% 117 7,895,570 6.5
12.000% to 12.499% 48 2,972,012 2.5
12.500% to 12.999% 17 1,146,602 0.9
13.000% to 13.499% 9 884,508 0.7
13.500% to 13.999% 3 142,753 0.1
14.000% to 14.499% 1 22,746 0.0
---- ------------ ------
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ ======
MORTGAGE RATE RANGE IS FROM: 5.950% TO 14.250%
WEIGHTED AVERAGE IS: 9.881%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
109 to 120 28 $ 1,314,252 1.1%
169 to 180 831 68,790,849 56.9
181 to 192 1 41,546 0.0
229 to 240 51 3,090,525 2.6
289 to 300 3 263,774 0.2
349 to 360 532 47,380,147 39.2
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 118 TO 360
WEIGHTED AVERAGE IS (MONTHS): 250
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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<PAGE>
<TABLE>
<CAPTION>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Up to $100,000 1,056 $ 58,339,971 48.3%
$ 100,001 to $ 150,000 229 27,600,993 22.8
$ 150,001 to $ 200,000 94 16,396,755 13.6
$ 200,001 to $ 250,000 34 7,636,297 6.3
$ 250,001 to $ 300,000 16 4,494,070 3.7
$ 300,001 to $ 350,000 9 2,902,453 2.4
$ 350,001 to $ 400,000 3 1,116,394 0.9
$ 400,001 to $ 450,000 2 881,452 0.7
$ 450,001 to $ 500,000 2 952,051 0.8
$ 550,001 to $ 600,000 1 560,657 0.5
------- ---------- ------
GRAND TOTAL 1,446 $120,881,092 100.0%
======= ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $10,000 TO $561,105
AVERAGE IS: $83,694
</TABLE>
<TABLE>
<CAPTION>
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
10 Yr Fixed 28 $ 1,314,252 1.1%
15 Yr Fixed 313 19,291,349 16.0
16 Yr Fixed 1 41,546 0.0
20 Yr Fixed 51 3,090,525 2.6
25 Yr Fixed 3 263,774 0.2
30 Yr Fixed 532 47,380,147 39.2
Balloon Loan 518 49,499,500 40.9
--- ---------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY
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18
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 16 $ 1,085,722 0.9%
Arkansas 14 760,307 0.6
California 77 11,588,524 9.6
Colorado 36 3,688,598 3.1
Connecticut 11 1,128,212 0.9
Delaware 3 189,981 0.2
District of Columbia 2 175,949 0.1
Florida 256 21,426,099 17.7
Georgia 54 3,291,653 2.7
Idaho 1 84,532 0.1
Illinois 64 5,970,399 4.9
Indiana 59 3,556,746 2.9
Iowa 7 445,090 0.4
Kansas 4 296,408 0.2
Kentucky 21 1,565,209 1.3
Louisiana 56 3,671,806 3.0
Maine 2 185,846 0.2
Maryland 14 956,616 0.8
Massachusetts 28 3,594,811 3.0
Michigan 82 5,151,897 4.3
Minnesota 16 1,424,350 1.2
Mississippi 19 1,067,774 0.9
Missouri 38 1,984,280 1.6
Montana 3 426,571 0.4
Nebraska 2 120,062 0.1
Nevada 2 247,342 0.2
New Hampshire 2 233,463 0.2
New Jersey 25 2,911,979 2.4
New Mexico 11 909,916 0.8
New York 138 16,336,333 13.5
North Carolina 16 1,566,009 1.3
North Dakota 3 85,928 0.1
Ohio 53 3,340,010 2.8
Oklahoma 36 1,830,304 1.5
Oregon 16 1,569,535 1.3
Pennsylvania 25 1,202,110 1.0
Rhode Island 8 706,382 0.6
South Carolina 33 1,687,098 1.4
South Dakota 1 80,000 0.1
Tennessee 115 8,656,875 7.2
Texas 28 1,822,928 1.5
Utah 5 637,678 0.5
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
Vermont 1 42,574 0.0
Virginia 15 997,282 0.8
Washington 9 1,118,367 0.9
West Virginia 2 165,381 0.1
Wisconsin 16 806,157 0.7
Wyoming 1 90,000 0.1
---- ------ ---
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
<TABLE>
<CAPTION>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
50.00% or Less 161 $ 8,889,754 7.4%
50.01% to 55.00% 58 4,472,876 3.7
55.01% to 60.00% 122 9,521,086 7.9
60.01% to 65.00% 100 8,634,054 7.1
65.01% to 70.00% 164 13,068,390 10.8
70.01% to 75.00% 183 15,697,685 13.0
75.01% to 80.00% 352 32,183,576 26.6
80.01% to 85.00% 198 17,450,243 14.4
85.01% to 90.00% 100 9,897,387 8.2
90.01% to 95.00% 8 1,066,042 0.9
----- ----- --- --------- ---
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
LOAN-TO-VALUE RANGE IS FROM: 12.77% TO 95.00%
WEIGHTED AVERAGE IS: 72.76%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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20
<PAGE>
<TABLE>
<CAPTION>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Purchase 356 $ 33,064,590 27.4%
Refinance - Rate/Term 157 13,047,496 10.8
Refinance - Cashout 933 74,769,007 61.9
--- ---------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Single-family Detached 1,159 $ 93,413,366 77.3%
Two- to Four-family Dwelling Unit 129 13,006,785 10.8
Planned Unit Development 59 7,520,546 6.2
Condominium 37 3,248,801 2.7
Small Mixed Use 14 1,287,346 1.1
Manufactured Housing 48 2,404,249 2.0
---- --------- ---
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
<TABLE>
<CAPTION>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Full Documentation 1,144 $ 91,620,489 75.8%
24 Month Bank Statement 97 11,173,222 9.2
Reduced Documentation 42 4,227,015 3.5
Stated Income 163 13,860,366 11.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Owner-occupied 1,263 $109,562,256 90.6%
Second Home 20 1,250,736 1.0
Investment 163 10,068,101 8.3
------ ------------ ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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22
<PAGE>
<TABLE>
<CAPTION>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
0 367 $ 29,514,001 24.4%
1 552 45,110,308 37.3
2 423 36,750,800 30.4
3 68 6,073,872 5.0
4 19 1,600,538 1.3
5 5 998,100 0.8
6 10 722,448 0.6
7 2 111,025 0.1
----- ------------ ------
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
WEIGHTED AVERAGE IS (MONTH): 1
<TABLE>
<CAPTION>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
A O 569 $ 50,553,631 41.8%
A- 460 41,709,469 34.5
B 257 19,789,519 16.4
B- 63 4,184,893 3.5
C 84 3,976,124 3.3
C- 13 667,457 0.6
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
<TABLE>
<CAPTION>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
1999 1,446 $120,881,092 100.0%
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
None 298 $23,773,328 19.7%
12 months 125 14,806,349 12.2
24 months 26 2,935,169 2.4
36 months 484 37,698,890 31.2
60 months 513 41,667,355 34.5
---- ---------- -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
24
<PAGE>
<TABLE>
<CAPTION>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Not Scored 47 $ 3,290,777 2.7%
461 to 500 20 1,728,570 1.4
501 to 550 155 11,129,348 9.2
551 to 600 449 37,517,768 31.0
601 to 650 388 32,931,489 27.2
651 to 700 239 21,428,131 17.7
701 to 750 98 8,376,635 6.9
751 to 800 48 4,268,879 3.5
801 to 803 2 209,496 0.2
------- ---------- ------
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
</TABLE>
CREDIT SCORE RANGE IS FROM: 461 TO 803
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 620
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25
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $232,662,785
AGGREGATE ORIGINAL PRINCIPAL BALANCE $232,783,375
NUMBER OF MORTGAGE LOANS 1,956
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE 18,445 1,000,000 119,010
OUTSTANDING PRINCIPAL BALANCE 18,428 1,000,000 118,948
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ------------------
ORIGINAL TERM (MOS) 360 360 360
STATED REMAINING TERM (MOS) 352 360 359
EXPECTED REMAINING TERM (MOS) 327 360 359
LOAN AGE (MOS) 0 8 1
CURRENT INTEREST RATE 6.500% 13.750% 9.960%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.922%
PERIODIC RATE CAP 1.000% 2.000% 1.472%
GROSS MARGIN 3.250% 8.250% 5.674%
MAXIMUM MORTGAGE RATE 13.500% 20.750% 16.933%
MINIMUM MORTGAGE RATE 6.500% 13.750% 9.961%
MONTHS TO ROLL 4 60 27.110
ORIGINAL LOAN-TO-VALUE 16.73% 95.00% 77.31%
CREDIT SCORE 450 791 601(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1999 11/1999
MATURITY DATES 04/2029 12/2029
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE 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]
26
<PAGE>
<TABLE>
<CAPTION>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
6.500% to 6.999% 2 $ 192,847 0.1%
7.000% to 7.499% 8 1,053,266 0.5
7.500% to 7.999% 35 5,193,875 2.2
8.000% to 8.499% 64 10,049,958 4.3
8.500% to 8.999% 197 30,335,540 13.0
9.000% to 9.499% 203 27,077,152 11.6
9.500% to 9.999% 389 48,515,128 20.9
10.000% to 10.499% 290 33,097,870 14.2
10.500% to 10.999% 354 37,965,587 16.3
11.000% to 11.499% 183 17,930,923 7.7
11.500% to 11.999% 156 14,970,980 6.4
12.000% to 12.499% 55 4,335,479 1.9
12.500% to 12.999% 11 821,623 0.4
13.000% to 13.499% 6 455,356 0.2
13.500% to 13.999% 3 667,201 0.3
---- ------------ ------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
MORTGAGE RATE RANGE IS FROM: 6.500% TO 13.750%
WEIGHTED AVERAGE IS: 9.960%
<TABLE>
<CAPTION>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
349 to 360 1,956 $232,662,785 100.0%
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
REMAINING TERM RANGE IS FROM (MONTHS): 352 TO 360
WEIGHTED AVERAGE IS (MONTHS): 359
THIS PAGE 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]
27
<PAGE>
<TABLE>
<CAPTION>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Up to $100,000 1,032 $ 68,274,081 29.3%
$ 100,001 to $ 150,000 496 61,436,853 26.4
$ 150,001 to $ 200,000 200 34,556,106 14.9
$ 200,001 to $ 250,000 111 25,107,683 10.8
$ 250,001 to $ 300,000 52 14,495,417 6.2
$ 300,001 to $ 350,000 17 5,621,772 2.4
$ 350,001 to $ 400,000 14 5,285,947 2.3
$ 400,001 to $ 450,000 7 2,986,528 1.3
$ 450,001 to $ 500,000 23 11,196,330 4.8
$ 700,001 to $ 750,000 1 747,500 0.3
$ 950,001 to $1,000,000 3 2,954,568 1.3
----- ----------- -------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $18,445 TO $1,000,000
AVERAGE IS: $119,010
</TABLE>
<TABLE>
<CAPTION>
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Six Month LIBOR Loan 31 $ 5,627,808 2.4%
1/29 Loan 45 6,717,893 2.9
2/28 Loan 1,098 134,376,733 57.8
3/27 Loan 738 80,988,229 34.8
5/25 Loan 42 4,773,185 2.1
Other 2 178,937 0.1
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Arizona 31 $ 2,819,494 1.2%
Arkansas 6 379,044 0.2
California 141 27,548,095 11.8
Colorado 115 14,928,584 6.4
Connecticut 23 2,885,162 1.2
Delaware 1 107,893 0.0
District of Columbia 4 616,108 0.3
Florida 203 21,804,498 9.4
Georgia 55 9,293,639 4.0
Hawaii 2 645,000 0.3
Idaho 6 523,248 0.2
Illinois 112 12,227,579 5.3
Indiana 29 2,400,659 1.0
Iowa 3 200,376 0.1
Kansas 2 269,871 0.1
Kentucky 9 837,360 0.4
Louisiana 13 1,401,937 0.6
Maine 3 240,782 0.1
Maryland 27 3,367,701 1.4
Massachusetts 59 8,930,540 3.8
Michigan 230 20,997,716 9.0
Minnesota 50 5,489,601 2.4
Mississippi 11 648,668 0.3
Missouri 75 5,354,600 2.3
Montana 7 795,194 0.3
Nebraska 2 101,305 0.0
Nevada 7 899,703 0.4
New Hampshire 10 914,895 0.4
New Jersey 65 10,150,746 4.4
New Mexico 11 1,035,273 0.4
New York 103 16,763,118 7.2
North Carolina 29 3,125,683 1.3
Ohio 79 7,583,308 3.3
Oklahoma 10 979,485 0.4
Oregon 16 2,040,665 0.9
Pennsylvania 20 2,009,521 0.9
Rhode Island 14 1,770,876 0.8
South Carolina 33 2,911,116 1.3
Tennessee 68 6,550,799 2.8
Texas 75 7,688,079 3.3
Utah 18 2,686,876 1.2
Vermont 12 962,945 0.4
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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<PAGE>
Virginia 24 4,387,173 1.9
Washington 54 8,199,463 3.5
West Virginia 3 140,924 0.1
Wisconsin 83 6,793,531 2.9
Wyoming 3 253,952 0.1
------- ------------ - ------
GRAND TOTAL 1,956 $232,662,785 1 100.0%
===== ============ = =====
</TABLE>
<TABLE>
<CAPTION>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
50.00% or Less 67 $6,415,558 2.8%
50.01% to 55.00% 21 2,471,356 1.1
55.01% to 60.00% 68 8,345,093 3.6
60.01% to 65.00% 85 9,675,960 4.2
65.01% to 70.00% 225 28,042,865 12.1
70.01% to 75.00% 279 32,553,299 14.0
75.01% to 80.00% 523 66,109,033 28.4
80.01% to 85.00% 407 46,966,391 20.2
85.01% to 90.00% 276 31,660,897 13.6
90.01% to 95.00% 5 422,334 0.2
------ ----------- ------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
LOAN-TO-VALUE RANGE IS FROM: 16.73% TO 95.00%
WEIGHTED AVERAGE IS: 77.31%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
30
<PAGE>
<TABLE>
<CAPTION>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Purchase 867 $104,980,208 45.1%
Refinance - Rate/Term 182 19,352,684 8.3
Refinance - Cashout 907 108,329,893 46.6
--- ----------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Single-family Detached 1,553 $184,895,114 79.5%
Two- to Four-family Dwelling Unit 157 17,968,298 7.7
Condominium 78 7,672,571 3.3
Planned Unit Development 125 18,763,159 8.1
Small Mixed Use 1 161,053 0.1
Manufactured Housing 42 3,202,592 1.4
------ ----------- ------
GRAND TOTAL 1,956 $232,662,785 100.0%
====== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Full Documentation 1,437 $157,287,972 67.6%
24 Month Bank Statement 199 31,337,724 13.5
Reduced Documentation 71 12,559,342 5.4
Stated Income 249 31,477,748 13.5
----- ------------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Owner-occupied 1,770 $215,941,369 92.8%
Second Home 19 2,104,883 0.9
Investment 167 14,616,533 6.3
------ ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
====== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
0 599 $ 72,309,279 31.1%
1 768 92,347,490 39.7
2 527 61,511,573 26.4
3 33 3,507,320 1.5
4 19 1,843,607 0.8
5 3 349,276 0.2
6 4 491,771 0.2
7 1 105,857 0.0
8 2 196,612 0.1
---- ----------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
WEIGHTED AVERAGE IS (MONTH): 1
<TABLE>
<CAPTION>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
A O 592 $ 77,768,577 33.4%
A- 674 84,637,110 36.4
B 380 41,956,755 18.0
B- 104 9,654,783 4.1
C 156 14,583,914 6.3
C- 50 4,061,646 1.7
---- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
1999 1,956 $232,662,785 100.0%
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
<TABLE>
<CAPTION>
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
13.500% to 13.999% 4 $ 417,614 0.2%
14.000% to 14.499% 10 1,860,021 0.8
14.500% to 14.999% 38 5,627,496 2.4
15.000% to 15.499% 68 10,091,331 4.3
15.500% to 15.999% 202 31,462,520 13.5
16.000% to 16.499% 201 26,976,550 11.6
16.500% to 16.999% 383 47,249,605 20.3
17.000% to 17.499% 287 32,600,345 14.0
17.500% to 17.999% 354 37,908,655 16.3
18.000% to 18.499% 183 17,735,908 7.6
18.500% to 18.999% 152 14,508,068 6.2
19.000% to 19.499% 54 4,280,493 1.8
19.500% to 19.999% 11 821,623 0.4
20.000% to 20.499% 6 455,356 0.2
20.500% to 20.999% 3 667,201 0.3
---- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============= =====
</TABLE>
MAXIMUM MORTGAGE RATE RANGE IS FROM: 13.500% TO 20.750%
WEIGHTED AVERAGE IS: 16.933%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
34
<PAGE>
<TABLE>
<CAPTION>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
None 803 $ 98,097,157 42.2%
12 months 13 1,852,448 0.8
24 months 431 58,797,448 25.3
36 months 596 63,538,302 27.3
60 months 113 10,377,431 4.5
--- ---------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Apr 2000 12 $ 1,998,157 0.9%
May 2000 15 2,914,852 1.3
Jun 2000 4 714,800 0.3
Sep 2000 1 49,954 0.0
Oct 2000 19 2,785,890 1.2
Nov 2000 16 2,379,529 1.0
Dec 2000 9 1,502,520 0.6
Apr 2001 1 69,495 0.0
May 2001 1 105,857 0.0
Jun 2001 4 491,771 0.2
Jul 2001 2 202,851 0.1
Aug 2001 13 1,227,261 0.5
Sep 2001 22 2,107,483 0.9
Oct 2001 290 34,498,476 14.8
Nov 2001 429 52,066,332 22.4
Dec 2001 336 43,607,207 18.7
Apr 2002 1 127,116 0.1
Jul 2002 1 146,425 0.1
Aug 2002 6 616,346 0.3
Sep 2002 10 1,349,883 0.6
Oct 2002 194 21,014,942 9.0
Nov 2002 290 32,946,342 14.2
Dec 2002 238 24,966,112 10.7
Oct 2004 12 1,214,109 0.5
Nov 2004 18 2,040,435 0.9
Dec 2004 12 1,518,640 0.7
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
36
<PAGE>
<TABLE>
<CAPTION>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
<S> <C> <C> <C>
Not Scored 44 $ 5,600,839 2.4%
450 to 500 62 6,594,723 2.8
501 to 550 331 37,751,537 16.2
551 to 600 661 79,545,143 34.2
601 to 650 468 56,116,928 24.1
651 to 700 259 31,499,755 13.5
701 to 750 108 13,160,085 5.7
751 to 791 23 2,393,776 1.0
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
</TABLE>
CREDIT SCORE RANGE IS FROM: 450 TO 791
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 601
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DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
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<PAGE>
<TABLE>
<CAPTION>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
ORIGINAL
AMORTIZATION
ORIGINAL TERM TERM REMAINING TERM
CURRENT BALANCE MORTGAGE RATE NET MORTGAGE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
<S> <C> <C> <C> <C> <C> <C>
$53,233,593.60 10.064% 9.554% 180 360 179
1,413,395.59 9.510% 9.000% 120 120 119
20,746,631.02 9.574% 9.064% 180 180 179
3,368,344.22 9.786% 9.276% 239 239 238
51,238,035.57 9.831% 9.321% 360 360 358
</TABLE>
<TABLE>
<CAPTION>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF
MONTHS
ORIGINAL REMAINING UNTIL
NET TERM TERM RESET NEXT RATE
CURRENT MORTGAGE MORTGAGE IN IN GROSS INITIAL RATE PERIODIC MAXIMUM MINIMUM CHANGE ADJUSTMENT
BALANCE RATE RATE (MONTHS) (MONTHS) MARGIN CHANGE CAP CAP RATE RATE FREQUENCY DATE INDEX
------- ---- ---- ------- ------ ------ ---------- --- ------ ---- --------- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$12,735,033.36 9.636% 9.126% 360 359 4.981% 1.544% 1.000% 16.180% 9.634% 6 8 6 Mo. LIBOR
138,614,415.28 9.960% 9.450% 360 359 5.878% 2.998% 1.498% 16.956% 9.960% 6 23 6 Mo. LIBOR
83,726,840.48 10.042% 9.532% 360 359 5.462% 3.000% 1.501% 17.040% 10.043% 6 35 6 Mo. LIBOR
4,923,710.88 9.416% 8.906% 360 359 5.326% 3.000% 1.500% 16.416% 9.416% 6 59 6 Mo. LIBOR
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
------------------------------------------------------------
<S> <C> <C> <C>
PAYMENT DATE AVAILABLE FUNDS CAP(1)(2) PAYMENT DATE AVAILABLE FUNDS CAP(1)(2)
------------ ------------------------- ------------ -------------------------
1/25/00 9.450 9/25/03 11.904
2/25/00 9.450 10/25/03 11.904
3/25/00 9.450 11/25/03 11.904
4/25/00 9.450 12/25/03 11.904
5/25/00 9.469 1/25/04 11.904
6/25/00 9.489 2/25/04 11.904
7/25/00 9.509 3/25/04 11.904
8/25/00 9.531 4/25/04 11.904
9/25/00 9.629 5/25/04 11.904
10/25/00 9.652 6/25/04 11.904
11/25/00 9.678 7/25/04 11.904
12/25/00 9.702 8/25/04 11.904
1/25/01 9.730 9/25/04 11.904
2/25/01 9.762 10/25/04 11.904
3/25/01 9.801 11/25/04 11.904
4/25/01 9.848 12/25/04 11.947
5/25/01 9.891 1/25/05 11.947
6/25/01 9.937 2/25/05 11.947
7/25/01 9.983 3/25/05 11.947
8/25/01 10.009 4/25/05 11.947
9/25/01 10.022 5/25/05 11.947
10/25/01 10.037 6/25/05 11.947
11/25/01 10.051 7/25/05 11.947
12/25/01 11.291 8/25/05 11.947
1/25/02 11.309 9/25/05 11.947
2/25/02 11.327 11/25/05 11.947
3/25/02 11.345 11/25/05 11.947
4/25/02 11.364 12/25/05 11.947
5/25/02 11.384 1/25/06 11.947
6/25/02 11.404 2/25/06 11.947
7/25/02 11.425 3/25/06 11.947
8/25/02 11.446 4/25/06 11.947
9/25/02 11.469 5/25/06 11.947
10/25/02 11.491 6/25/06 11.947
11/25/02 11.515 7/25/06 11.947
12/25/02 12.107 8/25/06 11.947
1/25/03 12.134 9/25/06 11.947
2/25/03 11.904 10/25/06 11.947
3/25/03 11.904 11/25/06 11.947
4/25/03 11.904 12/25/06 11.947
5/25/03 11.904 1/25/07 11.947
6/25/03 11.904 2/25/07 11.947
7/25/03 11.904 3/25/07 11.947
8/25/03 11.904
(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.
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO 10% CALL)
-----------------------------------
BOND IA-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C> <C>
99-21 25.089 52.033 57.352 68.688 78.221
99-22 24.626 49.114 53.950 64.253 72.918
99-23 24.162 46.197 50.548 59.819 67.616
99-24 23.699 43.282 47.149 55.388 62.317
99-25 23.236 40.367 43.750 50.958 57.019
99-26 22.773 37.454 40.353 46.530 51.724
99-27 22.310 34.542 36.957 42.104 46.432
99-28 21.848 31.631 33.563 37.679 41.141
99-29 21.385 28.722 30.170 33.257 35.852
99-30 20.923 25.813 26.779 28.836 30.566
99-31 20.462 22.906 23.389 24.417 25.282
100-0 20.000 20.000 20.000 20.000 20.000
100-1 19.539 17.095 16.613 15.585 14.720
100-2 19.078 14.192 13.227 11.171 9.443
100-3 18.617 11.289 9.842 6.759 4.167
100-4 18.156 8.388 6.459 2.349 -1.106
100-5 17.696 5.488 3.078 -2.059 -6.378
100-6 17.235 2.589 -0.303 -6.465 -11.647
100-7 16.775 -0.308 -3.682 -10.870 -16.913
100-8 16.316 -3.204 -7.059 -15.272 -22.178
100-9 15.856 -6.100 -10.435 -19.673 -27.441
100-10 15.397 -8.993 -13.810 -24.072 -32.701
100-11 14.938 -11.886 -17.184 -28.470 -37.959
AVG LIFE 9.84 1.11 0.95 0.72 0.60
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/14 1/02 9/01 2/01 12/00
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-2
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.171 7.130 7.118 7.091 7.065
99-22 7.167 7.116 7.102 7.068 7.036
99-23 7.164 7.102 7.086 7.045 7.007
99-24 7.160 7.089 7.069 7.022 6.977
99-25 7.157 7.075 7.053 6.999 6.948
99-26 7.153 7.062 7.037 6.976 6.919
99-27 7.150 7.048 7.020 6.953 6.890
99-28 7.147 7.035 7.004 6.930 6.860
99-29 7.143 7.021 6.988 6.907 6.831
99-30 7.140 7.008 6.972 6.884 6.802
99-31 7.136 6.994 6.955 6.861 6.773
*100-0 7.133 6.981 6.939 6.838 6.744
100-1 7.129 6.967 6.923 6.815 6.714
100-2 7.126 6.954 6.906 6.792 6.685
100-3 7.122 6.940 6.890 6.769 6.656
100-4 7.119 6.927 6.874 6.747 6.627
100-5 7.115 6.913 6.858 6.724 6.598
100-6 7.112 6.900 6.842 6.701 6.569
100-7 7.108 6.886 6.825 6.678 6.540
100-8 7.105 6.873 6.809 6.655 6.511
100-9 7.101 6.859 6.793 6.632 6.482
100-10 7.098 6.846 6.777 6.609 6.453
100-11 7.094 6.832 6.761 6.587 6.424
AVG LIFE 14.93 2.60 2.13 1.47 1.14
DURATION 8.95 2.30 1.91 1.36 1.07
FIRST PAY 11/14 1/02 9/01 2/01 12/00
LAST PAY 11/14 2/03 7/02 9/01 4/01
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-3
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.248 7.223 7.214 7.191 7.170
99-22 7.245 7.214 7.203 7.175 7.148
99-23 7.241 7.205 7.192 7.158 7.126
99-24 7.238 7.195 7.180 7.141 7.104
99-25 7.234 7.186 7.169 7.125 7.082
99-26 7.231 7.177 7.158 7.108 7.061
99-27 7.228 7.168 7.146 7.092 7.039
99-28 7.224 7.159 7.135 7.075 7.017
99-29 7.221 7.149 7.124 7.058 6.995
99-30 7.218 7.140 7.112 7.042 6.974
99-31 7.214 7.131 7.101 7.025 6.952
*100-0 7.211 7.122 7.090 7.008 6.930
100-1 7.207 7.113 7.079 6.992 6.908
100-2 7.204 7.103 7.067 6.975 6.887
100-3 7.201 7.094 7.056 6.959 6.865
100-4 7.197 7.085 7.045 6.942 6.843
100-5 7.194 7.076 7.033 6.926 6.822
100-6 7.191 7.067 7.022 6.909 6.800
100-7 7.187 7.057 7.011 6.892 6.778
100-8 7.184 7.048 7.000 6.876 6.757
100-9 7.180 7.039 6.988 6.859 6.735
100-10 7.177 7.030 6.977 6.843 6.713
100-11 7.174 7.021 6.966 6.826 6.692
AVG LIFE 15.94 4.02 3.18 2.08 1.56
DURATION 9.22 3.38 2.76 1.87 1.43
FIRST PAY 11/14 2/03 7/02 9/01 4/01
LAST PAY 9/19 1/05 12/03 5/02 10/01
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-4
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-20.50 7.532 7.519 7.512 7.492 7.473
99-21.50 7.529 7.513 7.504 7.480 7.456
99-22.50 7.527 7.507 7.497 7.468 7.439
99-23.50 7.524 7.501 7.489 7.456 7.423
99-24.50 7.521 7.495 7.482 7.443 7.406
99-25.50 7.518 7.489 7.474 7.431 7.389
99-26.50 7.515 7.483 7.466 7.419 7.373
99-27.50 7.512 7.477 7.459 7.407 7.356
99-28.50 7.509 7.471 7.451 7.395 7.339
99-29.50 7.506 7.466 7.444 7.383 7.323
99-30.50 7.503 7.460 7.436 7.371 7.306
*99-31.50 7.501 7.454 7.429 7.358 7.290
100-00.50 7.498 7.448 7.421 7.346 7.273
100-01.50 7.495 7.442 7.413 7.334 7.256
100-02.50 7.492 7.436 7.406 7.322 7.240
100-03.50 7.489 7.430 7.398 7.310 7.223
100-04.50 7.486 7.424 7.391 7.298 7.207
100-05.50 7.483 7.418 7.383 7.286 7.190
100-06.50 7.480 7.412 7.376 7.274 7.174
100-07.50 7.478 7.406 7.368 7.262 7.157
100-08.50 7.475 7.400 7.361 7.250 7.141
100-09.50 7.472 7.394 7.353 7.238 7.124
100-10.50 7.469 7.389 7.346 7.225 7.107
AVG LIFE 23.62 7.00 5.13 2.96 2.09
DURATION 10.79 5.25 4.12 2.57 1.88
FIRST PAY 9/19 1/05 12/03 5/02 10/01
LAST PAY 9/26 2/10 9/06 10/03 5/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-5
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-20.50 7.870 7.862 7.858 7.844 7.817
99-21.50 7.867 7.857 7.853 7.836 7.804
99-22.50 7.864 7.853 7.848 7.828 7.791
99-23.50 7.862 7.848 7.842 7.820 7.777
99-24.50 7.859 7.844 7.837 7.812 7.764
99-25.50 7.856 7.840 7.832 7.804 7.751
99-26.50 7.853 7.835 7.827 7.796 7.738
99-27.50 7.850 7.831 7.821 7.788 7.724
99-28.50 7.847 7.826 7.816 7.780 7.711
99-29.50 7.845 7.822 7.811 7.772 7.698
99-30.50 7.842 7.817 7.806 7.764 7.685
*99-31.50 7.839 7.813 7.800 7.756 7.671
100-00.50 7.836 7.808 7.795 7.748 7.658
100-01.50 7.833 7.804 7.790 7.740 7.645
100-02.50 7.830 7.799 7.785 7.732 7.632
100-03.50 7.828 7.795 7.780 7.724 7.618
100-04.50 7.825 7.791 7.774 7.716 7.605
100-05.50 7.822 7.786 7.769 7.708 7.592
100-06.50 7.819 7.782 7.764 7.701 7.579
100-07.50 7.816 7.777 7.759 7.693 7.565
100-08.50 7.813 7.773 7.753 7.685 7.552
100-09.50 7.811 7.768 7.748 7.677 7.539
100-10.50 7.808 7.764 7.743 7.669 7.526
AVG LIFE 27.07 10.57 8.37 4.85 2.69
DURATION 10.99 6.99 5.96 3.90 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 1/27 7/10 7/08 7/05 12/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-6
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.497 7.490 7.489 7.483 7.474
99-22 7.492 7.484 7.482 7.476 7.465
99-23 7.488 7.478 7.476 7.468 7.455
99-24 7.483 7.472 7.470 7.461 7.446
99-25 7.478 7.466 7.463 7.453 7.437
99-26 7.474 7.459 7.457 7.446 7.427
99-27 7.469 7.453 7.451 7.438 7.418
99-28 7.464 7.447 7.444 7.430 7.409
99-29 7.460 7.441 7.438 7.423 7.399
99-30 7.455 7.435 7.432 7.415 7.390
99-31 7.450 7.429 7.426 7.408 7.380
*100-0 7.446 7.423 7.419 7.401 7.371
100-1 7.441 7.417 7.413 7.393 7.362
100-2 7.437 7.411 7.407 7.386 7.352
100-3 7.432 7.405 7.400 7.378 7.343
100-4 7.427 7.399 7.394 7.371 7.334
100-5 7.423 7.393 7.388 7.363 7.324
100-6 7.418 7.387 7.381 7.356 7.315
100-7 7.414 7.381 7.375 7.348 7.306
100-8 7.409 7.374 7.369 7.341 7.296
100-9 7.404 7.368 7.363 7.333 7.287
100-10 7.400 7.362 7.356 7.326 7.278
100-11 7.395 7.356 7.350 7.318 7.269
AVG LIFE 9.82 6.82 6.48 5.17 3.97
DURATION 6.72 5.12 4.93 4.15 3.33
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 7/08 7/05 12/03
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.880 7.864 7.858 7.846 7.842
99-22 7.877 7.858 7.851 7.837 7.832
99-23 7.874 7.852 7.844 7.828 7.823
99-24 7.870 7.846 7.837 7.819 7.813
99-25 7.867 7.840 7.830 7.809 7.803
99-26 7.864 7.834 7.823 7.800 7.793
99-27 7.861 7.828 7.815 7.791 7.783
99-28 7.858 7.822 7.808 7.782 7.773
99-29 7.855 7.816 7.801 7.773 7.763
99-30 7.851 7.810 7.794 7.763 7.753
99-31 7.848 7.803 7.787 7.754 7.743
*100-0 7.845 7.797 7.780 7.745 7.733
100-1 7.842 7.791 7.773 7.736 7.723
100-2 7.839 7.785 7.766 7.727 7.713
100-3 7.835 7.779 7.759 7.717 7.703
100-4 7.832 7.773 7.752 7.708 7.694
100-5 7.829 7.767 7.744 7.699 7.684
100-6 7.826 7.761 7.737 7.690 7.674
100-7 7.823 7.755 7.730 7.681 7.664
100-8 7.820 7.749 7.723 7.672 7.654
100-9 7.816 7.743 7.716 7.662 7.644
100-10 7.813 7.737 7.709 7.653 7.634
100-11 7.810 7.731 7.702 7.644 7.624
AVG LIFE 20.62 7.09 5.73 4.11 3.74
DURATION 9.78 5.15 4.38 3.38 3.14
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-2
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 8.385 8.366 8.359 8.344 8.337
99-22 8.381 8.359 8.351 8.334 8.326
99-23 8.378 8.353 8.344 8.325 8.315
99-24 8.375 8.347 8.337 8.316 8.305
99-25 8.371 8.341 8.330 8.306 8.294
99-26 8.368 8.335 8.322 8.297 8.284
99-27 8.365 8.329 8.315 8.287 8.273
99-28 8.361 8.322 8.308 8.278 8.263
99-29 8.358 8.316 8.301 8.268 8.252
99-30 8.355 8.310 8.294 8.259 8.242
99-31 8.351 8.304 8.286 8.249 8.231
*100-0 8.348 8.298 8.279 8.240 8.221
100-1 8.345 8.292 8.272 8.231 8.210
100-2 8.341 8.285 8.265 8.221 8.200
100-3 8.338 8.279 8.257 8.212 8.189
100-4 8.335 8.273 8.250 8.202 8.179
100-5 8.331 8.267 8.243 8.193 8.168
100-6 8.328 8.261 8.236 8.184 8.158
100-7 8.325 8.255 8.229 8.174 8.147
100-8 8.322 8.249 8.222 8.165 8.137
100-9 8.318 8.242 8.214 8.155 8.126
100-10 8.315 8.236 8.207 8.146 8.116
100-11 8.312 8.230 8.200 8.137 8.105
AVG LIFE 20.62 7.09 5.73 4.06 3.54
DURATION 9.40 5.05 4.32 3.30 2.96
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IB
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
98- 6 9.309 9.422 9.464 9.554 9.607
98- 7 9.305 9.415 9.456 9.544 9.595
98- 8 9.302 9.409 9.449 9.534 9.584
98- 9 9.298 9.402 9.441 9.525 9.573
98-10 9.295 9.396 9.434 9.515 9.562
98-11 9.291 9.389 9.426 9.505 9.550
98-12 9.287 9.383 9.418 9.495 9.539
98-13 9.284 9.376 9.411 9.485 9.528
98-14 9.280 9.370 9.403 9.475 9.516
98-15 9.277 9.363 9.396 9.465 9.505
98-16 9.273 9.357 9.388 9.455 9.494
*98-17 9.270 9.350 9.380 9.445 9.482
98-18 9.266 9.344 9.373 9.435 9.471
98-19 9.262 9.337 9.365 9.425 9.460
98-20 9.259 9.331 9.358 9.415 9.449
98-21 9.255 9.324 9.350 9.405 9.437
98-22 9.252 9.318 9.342 9.395 9.426
98-23 9.248 9.311 9.335 9.385 9.415
98-24 9.244 9.305 9.327 9.376 9.404
98-25 9.241 9.298 9.320 9.366 9.392
98-26 9.237 9.292 9.312 9.356 9.381
98-27 9.234 9.285 9.305 9.346 9.370
98-28 9.230 9.279 9.297 9.336 9.359
AVG LIFE 20.53 7.00 5.66 3.98 3.39
DURATION 8.79 4.85 4.15 3.18 2.80
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIA-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 36.296 46.238 49.448 61.199 73.733
99-22 35.995 45.031 47.948 58.629 70.021
99-23 35.695 43.825 46.449 56.060 66.310
99-24 35.395 42.619 44.951 53.492 62.602
99-25 35.095 41.414 43.454 50.926 58.895
99-26 34.795 40.210 41.958 48.361 55.190
99-27 34.496 39.007 40.463 45.797 51.487
99-28 34.196 37.804 38.968 43.235 47.786
99-29 33.897 36.602 37.475 40.674 44.087
99-30 33.598 35.401 35.982 38.115 40.389
99-31 33.299 34.200 34.491 35.557 36.694
100-0 33.000 33.000 33.000 33.000 33.000
100-1 32.701 31.801 31.510 30.445 29.308
100-2 32.403 30.602 30.021 27.891 25.618
100-3 32.104 29.405 28.533 25.338 21.930
100-4 31.806 28.208 27.046 22.786 18.243
100-5 31.508 27.011 25.559 20.236 14.559
100-6 31.210 25.816 24.074 17.688 10.876
100-7 30.912 24.621 22.589 15.141 7.195
100-8 30.615 23.427 21.106 12.595 3.516
100-9 30.317 22.233 19.623 10.050 -0.161
100-10 30.020 21.040 18.141 7.507 -3.836
100-11 29.722 19.848 16.660 4.965 -7.510
AVG LIFE 20.45 3.08 2.39 1.29 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 1/29 3/09 3/07 5/04 4/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 67.854 72.117 73.316 74.075 79.619
99-22 67.594 71.468 72.559 73.248 78.288
99-23 67.334 70.820 71.801 72.422 76.957
99-24 67.074 70.173 71.045 71.596 75.626
99-25 66.815 69.525 70.288 70.771 74.297
99-26 66.555 68.878 69.532 69.945 72.967
99-27 66.296 68.231 68.776 69.120 71.638
99-28 66.036 67.584 68.020 68.296 70.310
99-29 65.777 66.938 67.265 67.471 68.981
99-30 65.518 66.292 66.509 66.647 67.654
99-31 65.259 65.646 65.755 65.824 66.327
100-0 65.000 65.000 65.000 65.000 65.000
100-1 64.741 64.355 64.246 64.177 63.674
100-2 64.483 63.709 63.492 63.354 62.348
100-3 64.224 63.065 62.738 62.531 61.023
100-4 63.966 62.420 61.985 61.709 59.698
100-5 63.708 61.776 61.232 60.887 58.373
100-6 63.450 61.131 60.479 60.065 57.049
100-7 63.192 60.488 59.726 59.243 55.726
100-8 62.934 59.844 58.974 58.422 54.403
100-9 62.676 59.201 58.222 57.601 53.080
100-10 62.419 58.558 57.470 56.781 51.758
100-11 62.161 57.915 56.719 55.960 50.436
AVG LIFE 27.34 6.04 4.93 4.37 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 1/29 3/09 3/07 5/04 10/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-2
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 117.992 122.233 123.518 125.041 127.781
99-22 117.72 121.574 122.742 124.127 126.617
99-23 117.447 120.916 121.967 123.213 125.453
99-24 117.175 120.257 121.192 122.299 124.29
99-25 116.902 119.599 120.417 121.385 123.128
99-26 116.63 118.941 119.642 120.472 121.965
99-27 116.358 118.284 118.867 119.559 120.803
99-28 116.086 117.626 118.093 118.647 119.642
99-29 115.814 116.969 117.32 117.735 118.481
99-30 115.543 116.313 116.546 116.823 117.320
99-31 115.271 115.656 115.773 115.911 116.160
100-0 115.000 115.000 115.000 115.000 115.000
100-1 114.729 114.344 114.227 114.089 113.841
100-2 114.458 113.688 113.455 113.178 112.681
100-3 114.187 113.033 112.683 112.268 111.523
100-4 113.916 112.378 111.911 111.358 110.364
100-5 113.645 111.723 111.14 110.449 109.207
100-6 113.375 111.068 110.369 109.539 108.049
100-7 113.104 110.414 109.598 108.63 106.892
100-8 112.834 109.76 108.828 107.722 105.735
100-9 112.564 109.106 108.057 106.813 104.579
100-10 112.294 108.452 107.288 105.905 103.423
100-11 112.024 107.799 106.518 104.997 102.268
AVG LIFE 27.34 6.04 4.88 3.93 2.98
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIB
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 273.436 277.584 278.909 281.015 282.978
99-22 273.123 276.893 278.098 280.012 281.796
99-23 272.810 276.203 277.286 279.009 280.614
99-24 272.497 275.512 276.476 278.006 279.433
99-25 272.184 274.822 275.665 277.004 278.253
99-26 271.872 274.133 274.855 276.003 277.073
99-27 271.559 273.443 274.045 275.001 275.893
99-28 271.247 272.754 273.235 274.000 274.713
99-29 270.935 272.065 272.426 273.000 273.534
99-30 270.623 271.376 271.617 271.999 272.356
99-31 270.312 270.688 270.808 271.000 271.178
100-0 270.000 270.000 270.000 270.000 270.000
100-1 269.689 269.312 269.192 269.001 268.823
100-2 269.377 268.625 268.384 268.002 267.646
100-3 269.066 267.938 267.577 267.004 266.469
100-4 268.755 267.251 266.770 266.005 265.293
100-5 268.445 266.564 265.963 265.008 264.118
100-6 268.134 265.878 265.157 264.010 262.942
100-7 267.824 265.192 264.351 263.013 261.767
100-8 267.514 264.506 263.545 262.017 260.593
100-9 267.204 263.820 262.740 261.020 259.419
100-10 266.894 263.135 261.934 260.024 258.245
100-11 266.584 262.450 261.130 259.029 257.072
AVG LIFE 27.34 6.04 4.84 3.66 3.01
FIRST PAY 3/24 1/03 1/03 3/03 12/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-5
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-20.50 7.877 7.928 7.940 7.898 7.817
99-21.50 7.874 7.924 7.935 7.890 7.804
99-22.50 7.871 7.920 7.931 7.883 7.791
99-23.50 7.869 7.916 7.926 7.876 7.777
99-24.50 7.866 7.913 7.922 7.869 7.764
99-25.50 7.863 7.909 7.917 7.861 7.751
99-26.50 7.860 7.905 7.913 7.854 7.738
99-27.50 7.857 7.901 7.908 7.847 7.724
99-28.50 7.855 7.897 7.904 7.840 7.711
99-29.50 7.852 7.893 7.900 7.833 7.698
99-30.50 7.849 7.889 7.895 7.825 7.685
*99-31.50 7.846 7.885 7.891 7.818 7.671
100-00.50 7.843 7.881 7.886 7.811 7.658
100-01.50 7.841 7.877 7.882 7.804 7.645
100-02.50 7.838 7.873 7.877 7.797 7.632
100-03.50 7.835 7.870 7.873 7.789 7.618
100-04.50 7.832 7.866 7.869 7.782 7.605
100-05.50 7.829 7.862 7.864 7.775 7.592
100-06.50 7.827 7.858 7.860 7.768 7.579
100-07.50 7.824 7.854 7.855 7.761 7.565
100-08.50 7.821 7.850 7.851 7.754 7.552
100-09.50 7.818 7.846 7.847 7.746 7.539
100-10.50 7.816 7.842 7.842 7.739 7.526
AVG LIFE 28.37 13.28 10.89 5.64 2.69
DURATION 11.14 7.98 7.02 4.33 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 9/29 9/19 2/16 3/12 12/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-6
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.497 7.490 7.489 7.488 7.483
99-22 7.492 7.484 7.483 7.481 7.476
99-23 7.488 7.478 7.476 7.474 7.468
99-24 7.483 7.472 7.470 7.468 7.461
99-25 7.478 7.466 7.464 7.461 7.453
99-26 7.474 7.459 7.458 7.455 7.446
99-27 7.469 7.453 7.451 7.448 7.438
99-28 7.464 7.447 7.445 7.442 7.431
99-29 7.460 7.441 7.439 7.435 7.423
99-30 7.455 7.435 7.432 7.429 7.416
99-31 7.450 7.429 7.426 7.422 7.408
*100-0 7.446 7.423 7.420 7.415 7.401
100-1 7.441 7.417 7.414 7.409 7.393
100-2 7.437 7.411 7.407 7.402 7.386
100-3 7.432 7.405 7.401 7.396 7.378
100-4 7.427 7.399 7.395 7.389 7.371
100-5 7.423 7.393 7.389 7.383 7.363
100-6 7.418 7.387 7.382 7.376 7.356
100-7 7.414 7.381 7.376 7.370 7.348
100-8 7.409 7.374 7.370 7.363 7.341
100-9 7.404 7.368 7.364 7.357 7.333
100-10 7.400 7.362 7.357 7.350 7.326
100-11 7.395 7.356 7.351 7.344 7.318
AVG LIFE 9.82 6.82 6.54 6.19 5.22
DURATION 6.72 5.12 4.96 4.75 4.16
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 5/09 6/09 8/08
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 7.880 7.865 7.860 7.849 7.845
99-22 7.877 7.859 7.853 7.840 7.835
99-23 7.874 7.854 7.846 7.831 7.826
99-24 7.871 7.848 7.839 7.823 7.816
99-25 7.867 7.842 7.833 7.814 7.807
99-26 7.864 7.836 7.826 7.805 7.797
99-27 7.861 7.830 7.819 7.796 7.788
99-28 7.858 7.824 7.812 7.788 7.778
99-29 7.855 7.819 7.805 7.779 7.769
99-30 7.851 7.813 7.799 7.770 7.759
99-31 7.848 7.807 7.792 7.761 7.750
*100-0 7.845 7.801 7.785 7.753 7.740
100-1 7.842 7.795 7.778 7.744 7.731
100-2 7.839 7.790 7.772 7.735 7.721
100-3 7.836 7.784 7.765 7.726 7.712
100-4 7.832 7.778 7.758 7.718 7.703
100-5 7.829 7.772 7.751 7.709 7.693
100-6 7.826 7.766 7.745 7.700 7.684
100-7 7.823 7.761 7.738 7.692 7.674
100-8 7.820 7.755 7.731 7.683 7.665
100-9 7.817 7.749 7.724 7.674 7.655
100-10 7.813 7.743 7.718 7.665 7.646
100-11 7.810 7.737 7.711 7.657 7.636
AVG LIFE 20.88 7.62 6.19 4.42 3.95
DURATION 9.81 5.35 4.59 3.56 3.28
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 3/29 11/14 1/13 7/08 1/06
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-2
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 8.385 8.367 8.360 8.346 8.339
99-22 8.381 8.361 8.353 8.337 8.329
99-23 8.378 8.355 8.346 8.328 8.319
99-24 8.375 8.349 8.339 8.319 8.308
99-25 8.371 8.343 8.332 8.310 8.298
99-26 8.368 8.337 8.325 8.301 8.288
99-27 8.365 8.331 8.318 8.292 8.278
99-28 8.361 8.325 8.311 8.283 8.268
99-29 8.358 8.319 8.304 8.273 8.257
99-30 8.355 8.313 8.297 8.264 8.247
99-31 8.351 8.307 8.290 8.255 8.237
*100-0 8.348 8.301 8.283 8.246 8.227
100-1 8.345 8.295 8.276 8.237 8.217
100-2 8.342 8.289 8.269 8.228 8.207
100-3 8.338 8.283 8.262 8.219 8.196
100-4 8.335 8.277 8.255 8.210 8.186
100-5 8.332 8.271 8.248 8.201 8.176
100-6 8.328 8.265 8.241 8.192 8.166
100-7 8.325 8.259 8.235 8.183 8.156
100-8 8.322 8.253 8.228 8.174 8.146
100-9 8.319 8.247 8.221 8.165 8.136
100-10 8.315 8.241 8.214 8.156 8.126
100-11 8.312 8.235 8.207 8.147 8.115
AVG LIFE 20.83 7.50 6.06 4.28 3.69
DURATION 9.42 5.20 4.46 3.43 3.06
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 10/28 3/14 7/11 7/07 5/05
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IB
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
98-6 9.309 9.420 9.462 9.551 9.603
98-7 9.305 9.414 9.454 9.541 9.592
98-8 9.302 9.407 9.447 9.531 9.581
98-9 9.298 9.401 9.439 9.521 9.569
98-10 9.295 9.394 9.432 9.511 9.558
98-11 9.291 9.388 9.424 9.502 9.547
98-12 9.287 9.381 9.416 9.492 9.536
98-13 9.284 9.375 9.409 9.482 9.525
98-14 9.280 9.368 9.401 9.472 9.513
98-15 9.277 9.362 9.394 9.462 9.502
98-16 9.273 9.355 9.386 9.452 9.491
*98-17 9.269 9.349 9.379 9.442 9.480
98-18 9.266 9.343 9.371 9.433 9.469
98-19 9.262 9.336 9.364 9.423 9.457
98-20 9.259 9.330 9.356 9.413 9.446
98-21 9.255 9.323 9.349 9.403 9.435
98-22 9.252 9.317 9.341 9.393 9.424
98-23 9.248 9.310 9.334 9.383 9.413
98-24 9.244 9.304 9.326 9.374 9.402
98-25 9.241 9.297 9.319 9.364 9.390
98-26 9.237 9.291 9.311 9.354 9.379
98-27 9.234 9.285 9.304 9.344 9.368
98-28 9.230 9.278 9.296 9.334 9.357
AVG LIFE 20.59 7.10 5.73 4.03 3.42
DURATION 8.80 4.88 4.19 3.21 2.82
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/28 4/12 12/09 6/06 8/04
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIA-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 36.308 47.088 50.275 61.472 73.733
99-22 36.008 45.934 48.851 59.049 70.021
99-23 35.708 44.780 47.428 56.626 66.310
99-24 35.408 43.627 46.006 54.206 62.602
99-25 35.108 42.475 44.584 51.786 58.895
99-26 34.809 41.323 43.164 49.369 55.190
99-27 34.509 40.173 41.745 46.953 51.487
99-28 34.210 39.023 40.326 44.538 47.786
99-29 33.911 37.874 38.909 42.125 44.087
99-30 33.612 36.725 37.493 39.714 40.389
99-31 33.313 35.578 36.077 37.304 36.694
100-0 33.014 34.431 34.662 34.896 33.000
100-1 32.716 33.285 33.249 32.489 29.308
100-2 32.417 32.139 31.836 30.084 25.618
100-3 32.119 30.995 30.425 27.680 21.930
100-4 31.821 29.851 29.014 25.278 18.243
100-5 31.523 28.708 27.604 22.877 14.559
100-6 31.225 27.566 26.195 20.478 10.876
100-7 30.927 26.424 24.787 18.081 7.195
100-8 30.630 25.284 23.380 15.685 3.516
100-9 30.332 24.144 21.974 13.290 -0.161
100-10 30.035 23.004 20.569 10.897 -3.836
100-11 29.738 21.866 19.165 8.506 -7.510
AVG LIFE 20.49 3.35 2.60 1.41 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/29 4/20 3/16 1/10 4/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-1
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 67.880 73.488 74.746 76.466 79.619
99-22 67.620 72.876 74.034 75.724 78.288
99-23 67.360 72.263 73.322 74.982 76.957
99-24 67.101 71.651 72.610 74.241 75.626
99-25 66.841 71.039 71.899 73.500 74.297
99-26 66.582 70.427 71.188 72.759 72.967
99-27 66.323 69.816 70.477 72.018 71.638
99-28 66.063 69.204 69.766 71.278 70.310
99-29 65.804 68.593 69.056 70.538 68.981
99-30 65.546 67.983 68.346 69.798 67.654
99-31 65.287 67.372 67.637 69.059 66.327
100-0 65.028 66.762 66.927 68.320 65.000
100-1 64.770 66.152 66.218 67.581 63.674
100-2 64.511 65.543 65.510 66.842 62.348
100-3 64.253 64.933 64.801 66.103 61.023
100-4 63.995 64.324 64.093 65.365 59.698
100-5 63.737 63.715 63.385 64.627 58.373
100-6 63.479 63.107 62.678 63.890 57.049
100-7 63.221 62.499 61.970 63.152 55.726
100-8 62.964 61.891 61.263 62.415 54.403
100-9 62.706 61.283 60.557 61.678 53.080
100-10 62.449 60.675 59.850 60.942 51.758
100-11 62.192 60.068 59.144 60.206 50.436
AVG LIFE 27.43 6.67 5.43 5.00 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 10/29 7/16 2/13 1/08 10/02
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-2
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 118.033 124.607 126.077 127.456 140.071
99-22 117.760 123.980 125.343 126.589 139.227
99-23 117.488 123.353 124.608 125.721 138.384
99-24 117.216 122.726 123.874 124.854 137.541
99-25 116.944 122.100 123.140 123.988 136.699
99-26 116.672 121.474 122.407 123.121 135.857
99-27 116.400 120.848 121.674 122.255 135.015
99-28 116.128 120.223 120.941 121.390 134.173
99-29 115.857 119.598 120.208 120.524 133.332
99-30 115.585 118.973 119.476 119.659 132.491
99-31 115.314 118.348 118.744 118.794 131.650
100-0 115.043 117.724 118.012 117.930 130.810
100-1 114.772 117.100 117.281 117.066 129.970
100-2 114.501 116.476 116.550 116.202 129.130
100-3 114.230 115.852 115.819 115.338 128.291
100-4 113.960 115.229 115.089 114.475 127.452
100-5 113.689 114.606 114.359 113.612 126.613
100-6 113.419 113.983 113.629 112.750 125.775
100-7 113.149 113.361 112.899 111.887 124.937
100-8 112.879 112.739 112.170 111.025 124.099
100-9 112.609 112.117 111.441 110.164 123.262
100-10 112.339 111.495 110.712 109.302 122.425
100-11 112.069 110.874 109.984 108.441 121.588
AVG LIFE 27.42 6.59 5.31 4.21 4.39
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 9/29 12/14 10/11 3/07 10/06
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIB
0% 80% 100% (PRICING) 150% 200%
<S> <C> <C> <C> <C> <C>
99-21 273.490 281.267 283.002 285.303 306.289
99-22 273.177 280.597 282.218 284.335 305.333
99-23 272.864 279.928 281.434 283.367 304.378
99-24 272.551 279.258 280.650 282.400 303.423
99-25 272.238 278.589 279.867 281.433 302.468
99-26 271.926 277.921 279.084 280.467 301.514
99-27 271.614 277.252 278.302 279.501 300.560
99-28 271.302 276.584 277.520 278.535 299.606
99-29 270.990 275.916 276.738 277.570 298.653
99-30 270.678 275.249 275.956 276.605 297.700
99-31 270.367 274.581 275.175 275.640 296.747
100-0 270.055 273.914 274.394 274.676 295.795
100-1 269.744 273.248 273.613 273.712 294.843
100-2 269.433 272.581 272.833 272.748 293.891
100-3 269.122 271.915 272.053 271.785 292.940
100-4 268.811 271.249 271.273 270.822 291.989
100-5 268.501 270.584 270.494 269.859 291.039
100-6 268.190 269.918 269.715 268.897 290.089
100-7 267.880 269.253 268.936 267.935 289.139
100-8 267.570 268.589 268.158 266.974 288.189
100-9 267.260 267.924 267.380 266.013 287.240
100-10 266.950 267.260 266.602 265.052 286.291
100-11 266.641 266.596 265.825 264.092 285.343
AVG LIFE 27.40 6.39 5.12 3.83 3.87
FIRST PAY 3/24 1/03 1/03 3/03 5/03
LAST PAY 8/29 2/13 4/10 4/06 5/04
</TABLE>
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<PAGE>
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
$370,000,000 (APPROXIMATE)
Subject to Revision
December 13, 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>
<TABLE>
TERM SHEET
DECEMBER 13, 1999
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 1999-4
$370,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<CAPTION>
Ratings Bond Exp Final
Class Amount ($) (S&P /Fitch) WAL(1) Type Coupon Maturity(1)
----- ---------- ------------ ------ ---- ------ -----------
<S> <C> <C> <C> <C> <C> <C>
IA-1 43,000,000 AAA/AAA 0.95 SEQ 1M Libor + [ ](2) 9/01
IA-2 18,500,000 AAA/AAA 2.13 SEQ Fixed(2) 7/02
IA-3 18,500,000 AAA/AAA 3.18 SEQ Fixed(2) 12/03
IA-4 16,000,000 AAA/AAA 5.13 SEQ Fixed(2) 9/06
IA-5 11,640,000 AAA/AAA 8.37 SEQ Fixed(2),(3) 7/08
IA-6 11,960,000 AAA/AAA 6.48 NAS Fixed(2) 7/08
IM-1 4,550,000 AA/AA 5.73 MEZ Fixed(2) 7/08
IM-2 2,925,000 A/A 5.73 MEZ Fixed(2) 7/08
IB 2,925,000 BBB/BBB 5.66 SUB Fixed(2) 7/08
IIA-1 205,200,000 AAA/AAA 2.39 PASS-THRU 1M Libor + [ ](3),(4) 3/07
IIM-1 14,760,000 AA/AA 4.93 MEZ 1M Libor + [ ](3),(4) 3/07
IIM-2 10,440,000 A/A 4.88 MEZ 1M Libor + [ ](3),(4) 3/07
IIB 9,600,000 BBB/BBB 4.84 SUB 1M Libor + [ ](3),(4) 3/07
<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>
THIS PAGE 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]
2
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed Certificates,
Series 1999-4, 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., Bear, Stearns & Co. Inc., First
Union Securities, Inc., and Donaldson, Lufkin &
Jenrette.
DEPOSITOR: Chase Funding, Inc.
SELLER AND
MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: December 1, 1999
PRICING DATE: [December 14, 1999]
CLOSING DATE: [December 22, 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 January 2000.
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.
THIS PAGE 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]
3
<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.
THIS PAGE 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]
4
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
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 for both the Group I
and Group II Certificates on the fourth Distribution
Date (April 25, 2000).
GROUP I CERTIFICATES
Initial: 0.00%
Stepdown: 3.10% of current balance
Target: 1.55% of original balance
Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
Initial: 0.00%
Stepdown: 5.80% of current balance
Target: 2.90% of original balance
Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
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.
THIS PAGE 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]
5
<PAGE>
GROUP I - FIXED
---------------
GROUP I (FIXED) SUBORDINATION(1): (S&P/FITCH) GROUP I (Subordination)
Class IA (AAA/AAA) 9.55 %
Class IM-1 (AA/AA) 6.05%
Class IM-2 (A/A) 3.80%
Class IB (BBB/BBB) 1.55%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZES: (S&P/FITCH) GROUP I (Class Sizes)
Class IA (AAA/AAA) 92.00%
Class IM-1 (AA/AA) 3.50%
Class IM-2 (A/A) 2.25%
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) 17.40%
Class IIM-1 (AA/AA) 11.25%
Class IIM-2 (A/A) 6.90%
Class IIB (BBB/BBB) 2.90%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II (ARM) CLASS SIZES: (S&P/FITCH) GROUP II (Class Sizes)
Class IIA-1 (AAA/AAA) 85.50%
Class IIM-1 (AA/AA) 6.15%
Class IIM-2 (A/A) 4.35%
Class IIB (BBB/BBB) 4.00%
(PRELIMINARY AND SUBJECT TO REVISION)
(1) The subordination percentages assume that the target overcollateralization
levels of 1.55% for Group I and 2.90% for Group II have been achieved.
There will be no overcollaterization as of the closing date.
THIS PAGE 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]
6
<PAGE>
GROUP I
MORTGAGE LOANS: Fixed-Rate, First Lien, Sub-prime Mortgage Loans
TOTAL GROUP SIZE*: $130,000,000
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
$9,118,908 of Fixed Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO]
7
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
GROUP I CERTIFICATES
<CAPTION>
Class Class Class Class Class Class Class Class Class
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
------ ------ ------ ------ ------ ------ ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Offer Size 43.000 18.500 18.500 16.000 11.640 11.960 4.550 2.925 2.925
($MM)
Expected Ratings
S&P AAA AAA AAA AAA AAA AAA AA A BBB
Fitch AAA AAA AAA AAA AAA AAA AA A BBB
Coupon 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 2.13 3.18 5.13 8.37 6.48 5.73 5.73 5.66
Call (yrs)(3)
Wtd Avg Life 0.95 2.13 3.18 5.13 10.89 6.54 6.19 6.06 5.73
Mat (yrs)(3)
Payment window 1-21/21 21-31/11 31-48/18 48-81/34 81-103/23 37-103/67 37-103/67 37-103/67 37-103/67
to Call (mos.)(3)
Payment window 1-21/21 21-31/11 31-48/18 48-81/34 81-194/114 37-113/77 37-157/121 37-139/103 37-120/84
to Maturity (mos.)(3)
Exp Mat to Call(3) 9/01 7/02 12/03 9/06 7/08 7/08 7/08 7/08 7/08
Exp Mat to Maturity(3) 9/01 7/02 12/03 9/06 2/16 5/09 1/13 7/11 12/09
Last Scheduled 11/14 11/14 4/20 10/26 10/29 9/11 10/29 10/29 10/29
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 coupon 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>
THIS PAGE 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]
8
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-Rate, First Lien, Sub-prime Mortgage Loans
TOTAL GROUP SIZE*: $240,000,000
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
$7,337,215 of Adjustable Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO]
9
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
GROUP II CERTIFICATES
<CAPTION>
Class Class Class Class
IIA-1 IIM-1 IIM-2 IIB
----- ----- ----- -----
<S> <C> <C> <C> <C>
205.200 14.760 10.440 9.600
Offer
Size ($MM)
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 2.39 4.93 4.88 4.84
Call (yrs)(4)
Wtd Avg Life 2.60 5.43 5.31 5.12
Mat (yrs)(4)
Payment window 1-87/87 40-87/48 38-87/50 37-87/51
to Call (mos.)(4)
Payment window 1-195/195 40-158/119 38-142/105 37-124/88
to Maturity (mos.)(4)
Exp Mat to Call(4) 3/07 3/07 3/07 3/07
Exp Mat to Maturity(4) 3/16 2/13 10/11 4/10
Last Scheduled 11/29 11/29 11/29 11/29
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>
THIS PAGE 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]
10
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
CASH FLOW 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 certain amounts for the Group II
Certificates as described in the Prospectus Supplement.
8. Any remaining Group I amount is paid to the Residual Certificateholder.
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 certain amounts for the Group I
Certificates as described in the Prospectus Supplement.
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.
THIS PAGE 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]
11
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
PRINCIPAL PAYDOWN
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: UNTIL JANUARY
2009, THE APPLICABLE CLASS IA-6 LOCKOUT PERCENTAGE
MULTIPLIED BY THE CLASS IA-6 PRO-RATA DISTRIBUTION
AMOUNT. FOR JANUARY 2009 AND THEREAFTER, THE CLASS IA-6
LOCKOUT AMOUNT DISTRIBUTION WILL EQUAL THE GROUP I CLASS
A PRINCIPAL CASHFLOWS.
CLASS IA-6 LOCKOUT PERCENTAGE
January 2000 -- December 2002: 0%
January 2003 -- December 2004: 45%
January 2005 -- December 2005: 80%
January 2006 -- December 2006: 100%
January 2007 -- December 2008: 300%
IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS
NOT MET:
Group I Certificates:
---------------------
1) To the Class IA-6 Certificateholders -- 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.
THIS PAGE 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]
12
<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
------- --------
Class A 19.10% Class A 34.80%
Class M-1 12.10% Class M-1 22.50%
Class M-2 7.60% Class M-2 13.80%
Class B 3.10% Class B 5.80%
*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 January
2003 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 January 2003
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:
------------------- -------------------
19.10% 34.80%
Or Or
(8.00% + 1.55%)*2 (14.50% + 2.90%)*2
(PRELIMINARY AND SUBJECT TO REVISION)
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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13
<PAGE>
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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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14
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $120,881,092
AGGREGATE ORIGINAL PRINCIPAL BALANCE $121,022,028
NUMBER OF MORTGAGE LOANS 1,446
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE 10,000 561,105 83,694
OUTSTANDING PRINCIPAL BALANCE 9,977 560,657 83,597
MINIMUM MAXIMUM WEIGHTED
AVERAGE(2)
------- ------- ----------
ORIGINAL TERM (MOS) 120 360 252
STATED REMAINING TERM (MOS) 118 360 250
EXPECTED REMAINING TERM (MOS) 118 360 250
LOAN AGE (MOS) 0 7 1
CURRENT INTEREST RATE 5.950% 14.250% 9.881%
ORIGINAL LOAN-TO-VALUE 12.77% 95.00% 72.76%
CREDIT SCORE 461 803 620(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 04/1999 11/1999
MATURITY DATES 09/2009 12/2029
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE 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]
15
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
AGGREGATE
NUMBER OF MORTGAGE PRINCIPAL BALANCE PERCENT OF LOAN
MORTGAGE RATES LOANS OUTSTANDING GROUP
-------------- ------------------ ----------------- ---------------
5.500% to 5.999% 1 $ 109,185 0.1%
6.000% to 6.499% 1 79,174 0.1
6.500% to 6.999% 5 315,846 0.3
7.000% to 7.499% 16 1,694,824 1.4
7.500% to 7.999% 57 4,951,612 4.1
8.000% to 8.499% 60 5,818,941 4.8
8.500% to 8.999% 180 17,318,461 14.3
9.000% to 9.499% 139 13,273,859 11.0
9.500% to 9.999% 271 23,954,043 19.8
10.000% to 10.499% 199 15,319,752 12.7
10.500% to 10.999% 211 17,030,235 14.1
11.000% to 11.499% 111 7,950,971 6.6
11.500% to 11.999% 117 7,895,570 6.5
12.000% to 12.499% 48 2,972,012 2.5
12.500% to 12.999% 17 1,146,602 0.9
13.000% to 13.499% 9 884,508 0.7
13.500% to 13.999% 3 142,753 0.1
14.000% to 14.499% 1 22,746 0.0
- ------ ---
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 5.950% TO 14.250%
WEIGHTED AVERAGE IS: 9.881%
THIS PAGE 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]
16
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
REMAINING TERM NUMBER OF MORTGAGE AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) LOANS BALANCE OUTSTANDING LOAN GROUP
- -------------- ------------------ ------------------- ----------
109 to 120 28 $ 1,314,252 1.1%
169 to 180 831 68,790,849 56.9
181 to 192 1 41,546 0.0
229 to 240 51 3,090,525 2.6
289 to 300 3 263,774 0.2
349 to 360 532 47,380,147 39.2
--- ---------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 118 TO 360
WEIGHTED AVERAGE IS (MONTHS): 250
THIS PAGE 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]
17
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL AGGREGATE
MORTGAGE PRINCIPAL
LOAN PRINCIPAL NUMBER OF BALANCE PERCENT OF
BALANCES MORTGAGE LOANS OUTSTANDING LOAN GROUP
----------------- -------------- ----------- ----------
Up to $100,000 1,056 $ 58,339,971 48.3%
$ 100,001 to $150,000 229 27,600,993 22.8
$ 150,001 to $200,000 94 16,396,755 13.6
$ 200,001 to $250,000 34 7,636,297 6.3
$ 250,001 to $300,000 16 4,494,070 3.7
$ 300,001 to $350,000 9 2,902,453 2.4
$ 350,001 to $400,000 3 1,116,394 0.9
$ 400,001 to $450,000 2 881,452 0.7
$ 450,001 to $500,000 2 952,051 0.8
$ 550,001 to $600,000 1 560,657 0.5
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $10,000 TO $561,105
AVERAGE IS: $83,694
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF LOAN
PRODUCT TYPE MORTGAGE LOANS OUTSTANDING GROUP
- ------------ -------------- ----------- ---------------
10 Yr Fixed 28 $ 1,314,252 1.1%
15 Yr Fixed 313 19,291,349 16.0
16 Yr Fixed 1 41,546 0.0
20 Yr Fixed 51 3,090,525 2.6
25 Yr Fixed 3 263,774 0.2
30 Yr Fixed 532 47,380,147 39.2
Balloon Loan 518 49,499,500 40.9
--- ---------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
THIS PAGE 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]
18
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
FIXED RATE MORTGAGE LOAN GROUP
AGGREGATE
NUMBER OF PRINCIPAL BALANCE PERCENT OF LOAN
STATES MORTGAGE LOANS OUTSTANDING GROUP
------ -------------- ----------------- ---------------
Arizona 16 $ 1,085,722 0.9%
Arkansas 14 760,307 0.6
California 77 11,588,524 9.6
Colorado 36 3,688,598 3.1
Connecticut 11 1,128,212 0.9
Delaware 3 189,981 0.2
District of Columbia 2 175,949 0.1
Florida 256 21,426,099 17.7
Georgia 54 3,291,653 2.7
Idaho 1 84,532 0.1
Illinois 64 5,970,399 4.9
Indiana 59 3,556,746 2.9
Iowa 7 445,090 0.4
Kansas 4 296,408 0.2
Kentucky 21 1,565,209 1.3
Louisiana 56 3,671,806 3.0
Maine 2 185,846 0.2
Maryland 14 956,616 0.8
Massachusetts 28 3,594,811 3.0
Michigan 82 5,151,897 4.3
Minnesota 16 1,424,350 1.2
Mississippi 19 1,067,774 0.9
Missouri 38 1,984,280 1.6
Montana 3 426,571 0.4
Nebraska 2 120,062 0.1
Nevada 2 247,342 0.2
New Hampshire 2 233,463 0.2
New Jersey 25 2,911,979 2.4
New Mexico 11 909,916 0.8
New York 138 16,336,333 13.5
North Carolina 16 1,566,009 1.3
North Dakota 3 85,928 0.1
Ohio 53 3,340,010 2.8
Oklahoma 36 1,830,304 1.5
Oregon 16 1,569,535 1.3
Pennsylvania 25 1,202,110 1.0
Rhode Island 8 706,382 0.6
South Carolina 33 1,687,098 1.4
South Dakota 1 80,000 0.1
Tennessee 115 8,656,875 7.2
Texas 28 1,822,928 1.5
Utah 5 637,678 0.5
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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19
<PAGE>
Vermont 1 42,574 0.0
Virginia 15 997,282 0.8
Washington 9 1,118,367 0.9
West Virginia 2 165,381 0.1
Wisconsin 16 806,157 0.7
Wyoming 1 90,000 0.1
- ------ ---
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 - FIXED
RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
RANGE OF LOAN-TO-VALUE NUMBER OF BALANCE PERCENT OF
RATIOS MORTGAGE LOANS OUTSTANDING LOAN GROUP
- ---------------------- -------------- ----------- ----------
50.00% or Less 161 $ 8,889,754 7.4%
50.01% to 55.00% 58 4,472,876 3.7
55.01% to 60.00% 122 9,521,086 7.9
60.01% to 65.00% 100 8,634,054 7.1
65.01% to 70.00% 164 13,068,390 10.8
70.01% to 75.00% 183 15,697,685 13.0
75.01% to 80.00% 352 32,183,576 26.6
80.01% to 85.00% 198 17,450,243 14.4
85.01% to 90.00% 100 9,897,387 8.2
90.01% to 95.00% 8 1,066,042 0.9
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 12.77% TO 95.00%
WEIGHTED AVERAGE IS: 72.76%
THIS PAGE 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]
20
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
Purchase 356 $ 33,064,590 27.4%
Refinance - Rate/Term 157 13,047,496 10.8
Refinance - Cashout 933 74,769,007 61.9
--- ---------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING LOAN GROUP
------------- -------------- ----------- ----------
Single-family Detached 1,159 $ 93,413,366 77.3%
Two- to Four-family 129 13,006,785 10.8
Dwelling Unit
Planned Unit Development 59 7,520,546 6.2
Condominium 37 3,248,801 2.7
Small Mixed Use 14 1,287,346 1.1
Manufactured Housing 48 2,404,249 2.0
----- --------- ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
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21
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF
DOCUMENTATION MORTGAGE LOANS OUTSTANDING LOAN GROUP
------------- -------------- ----------- ----------
Full Documentation 1,144 $ 91,620,489 75.8%
24 Month Bank Statement 97 11,173,222 9.2
Reduced Documentation 42 4,227,015 3.5
Stated Income 163 13,860,366 11.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
Owner-occupied 1,263 $109,562,256 90.6%
Second Home 20 1,250,736 1.0
Investment 163 10,068,101 8.3
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
THIS PAGE 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]
22
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ----------------- -------------- ------------------- ----------
0 367 $ 29,514,001 24.4%
1 552 45,110,308 37.3
2 423 36,750,800 30.4
3 68 6,073,872 5.0
4 19 1,600,538 1.3
5 5 998,100 0.8
6 10 722,448 0.6
7 2 111,025 0.1
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
A O 569 $ 50,553,631 41.8%
A- 460 41,709,469 34.5
B 257 19,789,519 16.4
B- 63 4,184,893 3.5
C 84 3,976,124 3.3
C- 13 667,457 0.6
--- ------------ ----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
THIS PAGE 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]
23
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------- -------------- ------------------- ----------
1999 1,446 $120,881,092 100.0%
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
PREPAYMENT NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------ -------------- ------------------- ----------
None 298 $ 23,773,328 19.7%
12 months 125 14,806,349 12.2
24 months 26 2,935,169 2.4
36 months 484 37,698,890 31.2
60 months 513 41,667,355 34.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
THIS PAGE 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]
24
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------- -------------- ------------------- ----------
Not Scored 47 $ 3,290,777 2.7%
461 to 500 20 1,728,570 1.4
501 to 550 155 11,129,348 9.2
551 to 600 449 37,517,768 31.0
601 to 650 388 32,931,489 27.2
651 to 700 239 21,428,131 17.7
701 to 750 98 8,376,635 6.9
751 to 800 48 4,268,879 3.5
801 to 803 2 209,496 0.2
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 461 TO 803
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 620
THIS PAGE 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]
25
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $232,662,785
AGGREGATE ORIGINAL PRINCIPAL BALANCE $232,783,375
NUMBER OF MORTGAGE LOANS 1,956
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE 18,445 1,000,000 119,010
OUTSTANDING PRINCIPAL BALANCE 18,428 1,000,000 118,948
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- -------------------
ORIGINAL TERM (MOS) 360 360 360
STATED REMAINING TERM (MOS) 352 360 359
EXPECTED REMAINING TERM (MOS) 327 360 359
LOAN AGE (MOS) 0 8 1
CURRENT INTEREST RATE 6.500% 13.750% 9.960%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.922%
PERIODIC RATE CAP 1.000% 2.000% 1.472%
GROSS MARGIN 3.250% 8.250% 5.674%
MAXIMUM MORTGAGE RATE 13.500% 20.750% 16.933%
MINIMUM MORTGAGE RATE 6.500% 13.750% 9.961%
MONTHS TO ROLL 4 60 27.110
ORIGINAL LOAN-TO-VALUE 16.73% 95.00% 77.31%
CREDIT SCORE 450 791 601(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1999 11/1999
MATURITY DATES 04/2029 12/2029
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE 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]
26
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
6.500% to 6.999% 2 $ 192,847 0.1%
7.000% to 7.499% 8 1,053,266 0.5
7.500% to 7.999% 35 5,193,875 2.2
8.000% to 8.499% 64 10,049,958 4.3
8.500% to 8.999% 197 30,335,540 13.0
9.000% to 9.499% 203 27,077,152 11.6
9.500% to 9.999% 389 48,515,128 20.9
10.000% to 10.499% 290 33,097,870 14.2
10.500% to 10.999% 354 37,965,587 16.3
11.000% to 11.499% 183 17,930,923 7.7
11.500% to 11.999% 156 14,970,980 6.4
12.000% to 12.499% 55 4,335,479 1.9
12.500% to 12.999% 11 821,623 0.4
13.000% to 13.499% 6 455,356 0.2
13.500% to 13.999% 3 667,201 0.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 6.500% TO 13.750%
WEIGHTED AVERAGE IS: 9.960%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
REMAINING TERM NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
349 to 360 1,956 $232,662,785 100.0%
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 352 TO 360
WEIGHTED AVERAGE IS (MONTHS): 359
THIS PAGE 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]
27
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
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 1,032 $ 68,274,081 29.3%
$ 100,001 to $ 150,000 496 61,436,853 26.4
$ 150,001 to $ 200,000 200 34,556,106 14.9
$ 200,001 to $ 250,000 111 25,107,683 10.8
$ 250,001 to $ 300,000 52 14,495,417 6.2
$ 300,001 to $ 350,000 17 5,621,772 2.4
$ 350,001 to $ 400,000 14 5,285,947 2.3
$ 400,001 to $ 450,000 7 2,986,528 1.3
$ 450,001 to $ 500,000 23 11,196,330 4.8
$ 700,001 to $ 750,000 1 747,500 0.3
$ 950,001 to $ 1,000,000 3 2,954,568 1.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $18,445 TO $1,000,000
AVERAGE IS: $119,010
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF
PRODUCT TYPE MORTGAGE LOANS OUTSTANDING LOAN GROUP
------------ -------------- ----------- ----------
Six Month LIBOR Loan 31 $ 5,627,808 2.4%
1/29 Loan 45 6,717,893 2.9
2/28 Loan 1,098 134,376,733 57.8
3/27 Loan 738 80,988,229 34.8
5/25 Loan 42 4,773,185 2.1
Other 2 178,937 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
28
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------
Arizona 31 $ 2,819,494 1.2%
Arkansas 6 379,044 0.2
California 141 27,548,095 11.8
Colorado 115 14,928,584 6.4
Connecticut 23 2,885,162 1.2
Delaware 1 107,893 0.0
District of Columbia 4 616,108 0.3
Florida 203 21,804,498 9.4
Georgia 55 9,293,639 4.0
Hawaii 2 645,000 0.3
Idaho 6 523,248 0.2
Illinois 112 12,227,579 5.3
Indiana 29 2,400,659 1.0
Iowa 3 200,376 0.1
Kansas 2 269,871 0.1
Kentucky 9 837,360 0.4
Louisiana 13 1,401,937 0.6
Maine 3 240,782 0.1
Maryland 27 3,367,701 1.4
Massachusetts 59 8,930,540 3.8
Michigan 230 20,997,716 9.0
Minnesota 50 5,489,601 2.4
Mississippi 11 648,668 0.3
Missouri 75 5,354,600 2.3
Montana 7 795,194 0.3
Nebraska 2 101,305 0.0
Nevada 7 899,703 0.4
New Hampshire 10 914,895 0.4
New Jersey 65 10,150,746 4.4
New Mexico 11 1,035,273 0.4
New York 103 16,763,118 7.2
North Carolina 29 3,125,683 1.3
Ohio 79 7,583,308 3.3
Oklahoma 10 979,485 0.4
Oregon 16 2,040,665 0.9
Pennsylvania 20 2,009,521 0.9
Rhode Island 14 1,770,876 0.8
South Carolina 33 2,911,116 1.3
Tennessee 68 6,550,799 2.8
Texas 75 7,688,079 3.3
Utah 18 2,686,876 1.2
Vermont 12 962,945 0.4
THIS PAGE 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]
29
<PAGE>
Virginia 24 4,387,173 1.9
Washington 54 8,199,463 3.5
West Virginia 3 140,924 0.1
Wisconsin 83 6,793,531 2.9
Wyoming 3 253,952 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF LOAN-TO-VALUE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ---------------------- -------------- ------------------- ----------
50.00% or Less 67 $ 6,415,558 2.8%
50.01% to 55.00% 21 2,471,356 1.1
55.01% to 60.00% 68 8,345,093 3.6
60.01% to 65.00% 85 9,675,960 4.2
65.01% to 70.00% 225 28,042,865 12.1
70.01% to 75.00% 279 32,553,299 14.0
75.01% to 80.00% 523 66,109,033 28.4
80.01% to 85.00% 407 46,966,391 20.2
85.01% to 90.00% 276 31,660,897 13.6
90.01% to 95.00% 5 422,334 0.2
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 16.73% TO 95.00%
WEIGHTED AVERAGE IS: 77.31%
THIS PAGE 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]
30
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
Purchase 867 $104,980,208 45.1%
Refinance - Rate/Term 182 19,352,684 8.3
Refinance - Cashout 907 108,329,893 46.6
----- ----------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF
PROPERTY TYPE MORTGAGE LOANS OUTSTANDING LOAN GROUP
------------- -------------- ----------- ----------
Single-family Detached 1,553 $184,895,114 79.5%
Two- to Four-family Dwelling 157 17,968,298 7.7
Unit
Condominium 78 7,672,571 3.3
Planned Unit Development 125 18,763,159 8.1
Small Mixed Use 1 161,053 0.1
Manufactured Housing 42 3,202,592 1.4
----- ----------- -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
31
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
AGGREGATE
PRINCIPAL
NUMBER OF BALANCE PERCENT OF
DOCUMENTATION MORTGAGE LOANS OUTSTANDING LOAN GROUP
------------- -------------- ----------- ----------
Full Documentation 1,437 $157,287,972 67.6%
24 Month Bank Statement 199 31,337,724 13.5
Reduced Documentation 71 12,559,342 5.4
Stated Income 249 31,477,748 13.5
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
Owner-occupied 1,770 $215,941,369 92.8%
Second Home 19 2,104,883 0.9
Investment 167 14,616,533 6.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
32
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
MORTGAGE LOAN AGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
(MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ----------------- -------------- ------------------- ----------
0 599 $ 72,309,279 31.1%
1 768 92,347,490 39.7
2 527 61,511,573 26.4
3 33 3,507,320 1.5
4 19 1,843,607 0.8
5 3 349,276 0.2
6 4 491,771 0.2
7 1 105,857 0.0
8 2 196,612 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------ -------------- ------------------- ----------
A O 592 $ 77,768,577 33.4%
A- 674 84,637,110 36.4
B 380 41,956,755 18.0
B- 104 9,654,783 4.1
C 156 14,583,914 6.3
C- 50 4,061,646 1.7
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
33
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------- -------------- ------------------- ----------
1999 1,956 $232,662,785 100.0%
----- ------------ ------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ ======
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MAXIMUM MORTGAGE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
---------------- -------------- ------------------- ----------
13.500% to 13.999% 4 $ 417,614 0.2%
14.000% to 14.499% 10 1,860,021 0.8
14.500% to 14.999% 38 5,627,496 2.4
15.000% to 15.499% 68 10,091,331 4.3
15.500% to 15.999% 202 31,462,520 13.5
16.000% to 16.499% 201 26,976,550 11.6
16.500% to 16.999% 383 47,249,605 20.3
17.000% to 17.499% 287 32,600,345 14.0
17.500% to 17.999% 354 37,908,655 16.3
18.000% to 18.499% 183 17,735,908 7.6
18.500% to 18.999% 152 14,508,068 6.2
19.000% to 19.499% 54 4,280,493 1.8
19.500% to 19.999% 11 821,623 0.4
20.000% to 20.499% 6 455,356 0.2
20.500% to 20.999% 3 667,201 0.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
MAXIMUM MORTGAGE RATE RANGE IS FROM: 13.500% to 20.750%
WEIGHTED AVERAGE IS: 16.933%
THIS PAGE 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]
34
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
PREPAYMENT NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------------ -------------- ------------------- ----------
None 803 $ 98,097,157 42.2%
12 months 13 1,852,448 0.8
24 months 431 58,797,448 25.3
36 months 596 63,538,302 27.3
60 months 113 10,377,431 4.5
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
35
<PAGE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NEXT ADJUSTMENT NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- --------------- -------------- ------------------- ----------
Apr 2000 12 $ 1,998,157 0.9%
May 2000 15 2,914,852 1.3
Jun 2000 4 714,800 0.3
Sep 2000 1 49,954 0.0
Oct 2000 19 2,785,890 1.2
Nov 2000 16 2,379,529 1.0
Dec 2000 9 1,502,520 0.6
Apr 2001 1 69,495 0.0
May 2001 1 105,857 0.0
Jun 2001 4 491,771 0.2
Jul 2001 2 202,851 0.1
Aug 2001 13 1,227,261 0.5
Sep 2001 22 2,107,483 0.9
Oct 2001 290 34,498,476 14.8
Nov 2001 429 52,066,332 22.4
Dec 2001 336 43,607,207 18.7
Apr 2002 1 127,116 0.1
Jul 2002 1 146,425 0.1
Aug 2002 6 616,346 0.3
Sep 2002 10 1,349,883 0.6
Oct 2002 194 21,014,942 9.0
Nov 2002 290 32,946,342 14.2
Dec 2002 238 24,966,112 10.7
Oct 2004 12 1,214,109 0.5
Nov 2004 18 2,040,435 0.9
Dec 2004 12 1,518,640 0.7
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
THIS PAGE 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]
36
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
- ------------- -------------- ------------------- ----------
Not Scored 44 $ 5,600,839 2.4%
450 to 500 62 6,594,723 2.8
501 to 550 331 37,751,537 16.2
551 to 600 661 79,545,143 34.2
601 to 650 468 56,116,928 24.1
651 to 700 259 31,499,755 13.5
701 to 750 108 13,160,085 5.7
751 to 791 23 2,393,776 1.0
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 450 TO 791
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 601
THIS PAGE 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]
37
<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
FIXED RATE MORTGAGE LOAN GROUP
ORIGINAL
NET ORIGINAL AMORTIZATION REMAINING
MORTGAGE MORTGAGE TERM TERM TERM
CURRENT BALANCE RATE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
- --------------- -------- -------- ----------- ------------ -----------
$53,233,593.60 10.064% 9.554% 180 360 179
1,413,395.59 9.510% 9.000% 120 120 119
20,746,631.02 9.574% 9.064% 180 180 179
3,368,344.22 9.786% 9.276% 239 239 238
51,238,035.57 9.831% 9.321% 360 360 358
<TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF
MONTHS
ORIGINAL UNTIL
NET TERM REMAINING INITIAL RESET NEXT RATE
CURRENT MORTGAGE MORTGAGE (IN TERM GROSS RATE PERIODIC MAXIMUM MINIMUM CHANGE ADJUSTMENT
BALANCE RATE RATE MONTHS) (IN MONTHS) MARGIN CHANGE CAP CAP RATE RATE FREQUENCY DATE INDEX
------- ---- ---- ------- ----------- ------ ---------- --- ---- ---- --------- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$12,735,033.36 9.636% 9.126% 360 359 4.981% 1.544% 1.000% 16.180% 9.634% 6 8 6 Mo. LIBOR
138,614,415.28 9.960% 9.450% 360 359 5.878% 2.998% 1.498% 16.956% 9.960% 6 23 6 Mo. LIBOR
83,726,840.48 10.042% 9.532% 360 359 5.462% 3.000% 1.501% 17.040% 10.043% 6 35 6 Mo. LIBOR
4,923,710.88 9.416% 8.906% 360 359 5.326% 3.000% 1.500% 16.416% 9.416% 6 59 6 Mo. LIBOR
</TABLE>
THIS PAGE 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]
38
<PAGE>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
Available Available
Payment Date Funds Cap(1)(2) Payment Date Funds Cap(1)(2)
------------ --------------- ------------ ---------------
1/25/00 9.450 9/25/03 11.904
2/25/00 9.450 10/25/03 11.904
3/25/00 9.450 11/25/03 11.904
4/25/00 9.450 12/25/03 11.904
5/25/00 9.469 1/25/04 11.904
6/25/00 9.489 2/25/04 11.904
7/25/00 9.509 3/25/04 11.904
8/25/00 9.531 4/25/04 11.904
9/25/00 9.629 5/25/04 11.904
10/25/00 9.652 6/25/04 11.904
11/25/00 9.678 7/25/04 11.904
12/25/00 9.702 8/25/04 11.904
1/25/01 9.730 9/25/04 11.904
2/25/01 9.762 10/25/04 11.904
3/25/01 9.801 11/25/04 11.904
4/25/01 9.848 12/25/04 11.947
5/25/01 9.891 1/25/05 11.947
6/25/01 9.937 2/25/05 11.947
7/25/01 9.983 3/25/05 11.947
8/25/01 10.009 4/25/05 11.947
9/25/01 10.022 5/25/05 11.947
10/25/01 10.037 6/25/05 11.947
11/25/01 10.051 7/25/05 11.947
12/25/01 11.291 8/25/05 11.947
1/25/02 11.309 9/25/05 11.947
2/25/02 11.327 10/25/05 11.947
3/25/02 11.345 11/25/05 11.947
4/25/02 11.364 12/25/05 11.947
5/25/02 11.384 1/25/06 11.947
6/25/02 11.404 2/25/06 11.947
7/25/02 11.425 3/25/06 11.947
8/25/02 11.446 4/25/06 11.947
9/25/02 11.469 5/25/06 11.947
10/25/02 11.491 6/25/06 11.947
11/25/02 11.515 7/25/06 11.947
12/25/02 12.107 8/25/06 11.947
1/25/03 12.134 9/25/06 11.947
2/25/03 11.904 10/25/06 11.947
3/25/03 11.904 11/25/06 11.947
4/25/03 11.904 12/25/06 11.947
5/25/03 11.904 1/25/07 11.947
6/25/03 11.904 2/25/07 11.947
7/25/03 11.904 3/25/07 11.947
8/25/03 11.904
(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.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
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[CHASE LOGO]
39
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IA-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 25.089 52.033 57.352 68.688 78.221
99-22 24.626 49.114 53.950 64.253 72.918
99-23 24.162 46.197 50.548 59.819 67.616
99-24 23.699 43.282 47.149 55.388 62.317
99-25 23.236 40.367 43.750 50.958 57.019
99-26 22.773 37.454 40.353 46.530 51.724
99-27 22.310 34.542 36.957 42.104 46.432
99-28 21.848 31.631 33.563 37.679 41.141
99-29 21.385 28.722 30.170 33.257 35.852
99-30 20.923 25.813 26.779 28.836 30.566
99-31 20.462 22.906 23.389 24.417 25.282
100-0 20.000 20.000 20.000 20.000 20.000
100-1 19.539 17.095 16.613 15.585 14.720
100-2 19.078 14.192 13.227 11.171 9.443
100-3 18.617 11.289 9.842 6.759 4.167
100-4 18.156 8.388 6.459 2.349 -1.106
100-5 17.696 5.488 3.078 -2.059 -6.378
100-6 17.235 2.589 -0.303 -6.465 -11.647
100-7 16.775 -0.308 -3.682 -10.870 -16.913
100-8 16.316 -3.204 -7.059 -15.272 -22.178
100-9 15.856 -6.100 -10.435 -19.673 -27.441
100-10 15.397 -8.993 -13.810 -24.072 -32.701
100-11 14.938 -11.886 -17.184 -28.470 -37.959
AVG LIFE 9.84 1.11 0.95 0.72 0.60
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/14 1/02 9/01 2/01 12/00
THIS PAGE 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]
40
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-2
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.171 7.130 7.118 7.091 7.065
99-22 7.167 7.116 7.102 7.068 7.036
99-23 7.164 7.102 7.086 7.045 7.007
99-24 7.160 7.089 7.069 7.022 6.977
99-25 7.157 7.075 7.053 6.999 6.948
99-26 7.153 7.062 7.037 6.976 6.919
99-27 7.150 7.048 7.020 6.953 6.890
99-28 7.147 7.035 7.004 6.930 6.860
99-29 7.143 7.021 6.988 6.907 6.831
99-30 7.140 7.008 6.972 6.884 6.802
99-31 7.136 6.994 6.955 6.861 6.773
*100-0 7.133 6.981 6.939 6.838 6.744
100-1 7.129 6.967 6.923 6.815 6.714
100-2 7.126 6.954 6.906 6.792 6.685
100-3 7.122 6.940 6.890 6.769 6.656
100-4 7.119 6.927 6.874 6.747 6.627
100-5 7.115 6.913 6.858 6.724 6.598
100-6 7.112 6.900 6.842 6.701 6.569
100-7 7.108 6.886 6.825 6.678 6.540
100-8 7.105 6.873 6.809 6.655 6.511
100-9 7.101 6.859 6.793 6.632 6.482
100-10 7.098 6.846 6.777 6.609 6.453
100-11 7.094 6.832 6.761 6.587 6.424
AVG LIFE 14.93 2.60 2.13 1.47 1.14
DURATION 8.95 2.30 1.91 1.36 1.07
FIRST PAY 11/14 1/02 9/01 2/01 12/00
LAST PAY 11/14 2/03 7/02 9/01 4/01
THIS PAGE 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]
41
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-3
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.248 7.223 7.214 7.191 7.170
99-22 7.245 7.214 7.203 7.175 7.148
99-23 7.241 7.205 7.192 7.158 7.126
99-24 7.238 7.195 7.180 7.141 7.104
99-25 7.234 7.186 7.169 7.125 7.082
99-26 7.231 7.177 7.158 7.108 7.061
99-27 7.228 7.168 7.146 7.092 7.039
99-28 7.224 7.159 7.135 7.075 7.017
99-29 7.221 7.149 7.124 7.058 6.995
99-30 7.218 7.140 7.112 7.042 6.974
99-31 7.214 7.131 7.101 7.025 6.952
*100-0 7.211 7.122 7.090 7.008 6.930
100-1 7.207 7.113 7.079 6.992 6.908
100-2 7.204 7.103 7.067 6.975 6.887
100-3 7.201 7.094 7.056 6.959 6.865
100-4 7.197 7.085 7.045 6.942 6.843
100-5 7.194 7.076 7.033 6.926 6.822
100-6 7.191 7.067 7.022 6.909 6.800
100-7 7.187 7.057 7.011 6.892 6.778
100-8 7.184 7.048 7.000 6.876 6.757
100-9 7.180 7.039 6.988 6.859 6.735
100-10 7.177 7.030 6.977 6.843 6.713
100-11 7.174 7.021 6.966 6.826 6.692
AVG LIFE 15.94 4.02 3.18 2.08 1.56
DURATION 9.22 3.38 2.76 1.87 1.43
FIRST PAY 11/14 2/03 7/02 9/01 4/01
LAST PAY 9/19 1/05 12/03 5/02 10/01
THIS PAGE 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]
42
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-4
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-20.50 7.532 7.519 7.512 7.492 7.473
99-21.50 7.529 7.513 7.504 7.480 7.456
99-22.50 7.527 7.507 7.497 7.468 7.439
99-23.50 7.524 7.501 7.489 7.456 7.423
99-24.50 7.521 7.495 7.482 7.443 7.406
99-25.50 7.518 7.489 7.474 7.431 7.389
99-26.50 7.515 7.483 7.466 7.419 7.373
99-27.50 7.512 7.477 7.459 7.407 7.356
99-28.50 7.509 7.471 7.451 7.395 7.339
99-29.50 7.506 7.466 7.444 7.383 7.323
99-30.50 7.503 7.460 7.436 7.371 7.306
*99-31.50 7.501 7.454 7.429 7.358 7.290
100-00.50 7.498 7.448 7.421 7.346 7.273
100-01.50 7.495 7.442 7.413 7.334 7.256
100-02.50 7.492 7.436 7.406 7.322 7.240
100-03.50 7.489 7.430 7.398 7.310 7.223
100-04.50 7.486 7.424 7.391 7.298 7.207
100-05.50 7.483 7.418 7.383 7.286 7.190
100-06.50 7.480 7.412 7.376 7.274 7.174
100-07.50 7.478 7.406 7.368 7.262 7.157
100-08.50 7.475 7.400 7.361 7.250 7.141
100-09.50 7.472 7.394 7.353 7.238 7.124
100-10.50 7.469 7.389 7.346 7.225 7.107
AVG LIFE 23.62 7.00 5.13 2.96 2.09
DURATION 10.79 5.25 4.12 2.57 1.88
FIRST PAY 9/19 1/05 12/03 5/02 10/01
LAST PAY 9/26 2/10 9/06 10/03 5/02
THIS PAGE 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]
43
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-5
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-20.50 7.870 7.862 7.858 7.844 7.817
99-21.50 7.867 7.857 7.853 7.836 7.804
99-22.50 7.864 7.853 7.848 7.828 7.791
99-23.50 7.862 7.848 7.842 7.820 7.777
99-24.50 7.859 7.844 7.837 7.812 7.764
99-25.50 7.856 7.840 7.832 7.804 7.751
99-26.50 7.853 7.835 7.827 7.796 7.738
99-27.50 7.850 7.831 7.821 7.788 7.724
99-28.50 7.847 7.826 7.816 7.780 7.711
99-29.50 7.845 7.822 7.811 7.772 7.698
99-30.50 7.842 7.817 7.806 7.764 7.685
*99-31.50 7.839 7.813 7.800 7.756 7.671
100-00.50 7.836 7.808 7.795 7.748 7.658
100-01.50 7.833 7.804 7.790 7.740 7.645
100-02.50 7.830 7.799 7.785 7.732 7.632
100-03.50 7.828 7.795 7.780 7.724 7.618
100-04.50 7.825 7.791 7.774 7.716 7.605
100-05.50 7.822 7.786 7.769 7.708 7.592
100-06.50 7.819 7.782 7.764 7.701 7.579
100-07.50 7.816 7.777 7.759 7.693 7.565
100-08.50 7.813 7.773 7.753 7.685 7.552
100-09.50 7.811 7.768 7.748 7.677 7.539
100-10.50 7.808 7.764 7.743 7.669 7.526
AVG LIFE 27.07 10.57 8.37 4.85 2.69
DURATION 10.99 6.99 5.96 3.90 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 1/27 7/10 7/08 7/05 12/02
THIS PAGE 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]
44
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-6
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.497 7.490 7.489 7.483 7.474
99-22 7.492 7.484 7.482 7.476 7.465
99-23 7.488 7.478 7.476 7.468 7.455
99-24 7.483 7.472 7.470 7.461 7.446
99-25 7.478 7.466 7.463 7.453 7.437
99-26 7.474 7.459 7.457 7.446 7.427
99-27 7.469 7.453 7.451 7.438 7.418
99-28 7.464 7.447 7.444 7.430 7.409
99-29 7.460 7.441 7.438 7.423 7.399
99-30 7.455 7.435 7.432 7.415 7.390
99-31 7.450 7.429 7.426 7.408 7.380
*100-0 7.446 7.423 7.419 7.401 7.371
100-1 7.441 7.417 7.413 7.393 7.362
100-2 7.437 7.411 7.407 7.386 7.352
100-3 7.432 7.405 7.400 7.378 7.343
100-4 7.427 7.399 7.394 7.371 7.334
100-5 7.423 7.393 7.388 7.363 7.324
100-6 7.418 7.387 7.381 7.356 7.315
100-7 7.414 7.381 7.375 7.348 7.306
100-8 7.409 7.374 7.369 7.341 7.296
100-9 7.404 7.368 7.363 7.333 7.287
100-10 7.400 7.362 7.356 7.326 7.278
100-11 7.395 7.356 7.350 7.318 7.269
AVG LIFE 9.82 6.82 6.48 5.17 3.97
DURATION 6.72 5.12 4.93 4.15 3.33
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 7/08 7/05 12/03
THIS PAGE 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]
45
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.880 7.864 7.858 7.846 7.842
99-22 7.877 7.858 7.851 7.837 7.832
99-23 7.874 7.852 7.844 7.828 7.823
99-24 7.870 7.846 7.837 7.819 7.813
99-25 7.867 7.840 7.830 7.809 7.803
99-26 7.864 7.834 7.823 7.800 7.793
99-27 7.861 7.828 7.815 7.791 7.783
99-28 7.858 7.822 7.808 7.782 7.773
99-29 7.855 7.816 7.801 7.773 7.763
99-30 7.851 7.810 7.794 7.763 7.753
99-31 7.848 7.803 7.787 7.754 7.743
*100-0 7.845 7.797 7.780 7.745 7.733
100-1 7.842 7.791 7.773 7.736 7.723
100-2 7.839 7.785 7.766 7.727 7.713
100-3 7.835 7.779 7.759 7.717 7.703
100-4 7.832 7.773 7.752 7.708 7.694
100-5 7.829 7.767 7.744 7.699 7.684
100-6 7.826 7.761 7.737 7.690 7.674
100-7 7.823 7.755 7.730 7.681 7.664
100-8 7.820 7.749 7.723 7.672 7.654
100-9 7.816 7.743 7.716 7.662 7.644
100-10 7.813 7.737 7.709 7.653 7.634
100-11 7.810 7.731 7.702 7.644 7.624
AVG LIFE 20.62 7.09 5.73 4.11 3.74
DURATION 9.78 5.15 4.38 3.38 3.14
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
THIS PAGE 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]
46
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-2
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 8.385 8.366 8.359 8.344 8.337
99-22 8.381 8.359 8.351 8.334 8.326
99-23 8.378 8.353 8.344 8.325 8.315
99-24 8.375 8.347 8.337 8.316 8.305
99-25 8.371 8.341 8.330 8.306 8.294
99-26 8.368 8.335 8.322 8.297 8.284
99-27 8.365 8.329 8.315 8.287 8.273
99-28 8.361 8.322 8.308 8.278 8.263
99-29 8.358 8.316 8.301 8.268 8.252
99-30 8.355 8.310 8.294 8.259 8.242
99-31 8.351 8.304 8.286 8.249 8.231
*100-0 8.348 8.298 8.279 8.240 8.221
100-1 8.345 8.292 8.272 8.231 8.210
100-2 8.341 8.285 8.265 8.221 8.200
100-3 8.338 8.279 8.257 8.212 8.189
100-4 8.335 8.273 8.250 8.202 8.179
100-5 8.331 8.267 8.243 8.193 8.168
100-6 8.328 8.261 8.236 8.184 8.158
100-7 8.325 8.255 8.229 8.174 8.147
100-8 8.322 8.249 8.222 8.165 8.137
100-9 8.318 8.242 8.214 8.155 8.126
100-10 8.315 8.236 8.207 8.146 8.116
100-11 8.312 8.230 8.200 8.137 8.105
AVG LIFE 20.62 7.09 5.73 4.06 3.54
DURATION 9.40 5.05 4.32 3.30 2.96
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
THIS PAGE 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]
47
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IB
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
98-6 9.309 9.422 9.464 9.554 9.607
98-7 9.305 9.415 9.456 9.544 9.595
98-8 9.302 9.409 9.449 9.534 9.584
98-9 9.298 9.402 9.441 9.525 9.573
98-10 9.295 9.396 9.434 9.515 9.562
98-11 9.291 9.389 9.426 9.505 9.550
98-12 9.287 9.383 9.418 9.495 9.539
98-13 9.284 9.376 9.411 9.485 9.528
98-14 9.280 9.370 9.403 9.475 9.516
98-15 9.277 9.363 9.396 9.465 9.505
98-16 9.273 9.357 9.388 9.455 9.494
*98-17 9.270 9.350 9.380 9.445 9.482
98-18 9.266 9.344 9.373 9.435 9.471
98-19 9.262 9.337 9.365 9.425 9.460
98-20 9.259 9.331 9.358 9.415 9.449
98-21 9.255 9.324 9.350 9.405 9.437
98-22 9.252 9.318 9.342 9.395 9.426
98-23 9.248 9.311 9.335 9.385 9.415
98-24 9.244 9.305 9.327 9.376 9.404
98-25 9.241 9.298 9.320 9.366 9.392
98-26 9.237 9.292 9.312 9.356 9.381
98-27 9.234 9.285 9.305 9.346 9.370
98-28 9.230 9.279 9.297 9.336 9.359
AVG LIFE 20.53 7.00 5.66 3.98 3.39
DURATION 8.79 4.85 4.15 3.18 2.80
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
THIS PAGE 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]
48
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIA-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 36.296 46.238 49.448 61.199 73.733
99-22 35.995 45.031 47.948 58.629 70.021
99-23 35.695 43.825 46.449 56.060 66.310
99-24 35.395 42.619 44.951 53.492 62.602
99-25 35.095 41.414 43.454 50.926 58.895
99-26 34.795 40.210 41.958 48.361 55.190
99-27 34.496 39.007 40.463 45.797 51.487
99-28 34.196 37.804 38.968 43.235 47.786
99-29 33.897 36.602 37.475 40.674 44.087
99-30 33.598 35.401 35.982 38.115 40.389
99-31 33.299 34.200 34.491 35.557 36.694
100-0 33.000 33.000 33.000 33.000 33.000
100-1 32.701 31.801 31.510 30.445 29.308
100-2 32.403 30.602 30.021 27.891 25.618
100-3 32.104 29.405 28.533 25.338 21.930
100-4 31.806 28.208 27.046 22.786 18.243
100-5 31.508 27.011 25.559 20.236 14.559
100-6 31.210 25.816 24.074 17.688 10.876
100-7 30.912 24.621 22.589 15.141 7.195
100-8 30.615 23.427 21.106 12.595 3.516
100-9 30.317 22.233 19.623 10.050 -0.161
100-10 30.020 21.040 18.141 7.507 -3.836
100-11 29.722 19.848 16.660 4.965 -7.510
AVG LIFE 20.45 3.08 2.39 1.29 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 1/29 3/09 3/07 5/04 4/02
THIS PAGE 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]
49
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 67.854 72.117 73.316 74.075 79.619
99-22 67.594 71.468 72.559 73.248 78.288
99-23 67.334 70.820 71.801 72.422 76.957
99-24 67.074 70.173 71.045 71.596 75.626
99-25 66.815 69.525 70.288 70.771 74.297
99-26 66.555 68.878 69.532 69.945 72.967
99-27 66.296 68.231 68.776 69.120 71.638
99-28 66.036 67.584 68.020 68.296 70.310
99-29 65.777 66.938 67.265 67.471 68.981
99-30 65.518 66.292 66.509 66.647 67.654
99-31 65.259 65.646 65.755 65.824 66.327
100-0 65.000 65.000 65.000 65.000 65.000
100-1 64.741 64.355 64.246 64.177 63.674
100-2 64.483 63.709 63.492 63.354 62.348
100-3 64.224 63.065 62.738 62.531 61.023
100-4 63.966 62.420 61.985 61.709 59.698
100-5 63.708 61.776 61.232 60.887 58.373
100-6 63.450 61.131 60.479 60.065 57.049
100-7 63.192 60.488 59.726 59.243 55.726
100-8 62.934 59.844 58.974 58.422 54.403
100-9 62.676 59.201 58.222 57.601 53.080
100-10 62.419 58.558 57.470 56.781 51.758
100-11 62.161 57.915 56.719 55.960 50.436
AVG LIFE 27.34 6.04 4.93 4.37 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 1/29 3/09 3/07 5/04 10/02
THIS PAGE 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]
50
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-2
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 117.992 122.233 123.518 125.041 127.781
99-22 117.72 121.574 122.742 124.127 126.617
99-23 117.447 120.916 121.967 123.213 125.453
99-24 117.175 120.257 121.192 122.299 124.29
99-25 116.902 119.599 120.417 121.385 123.128
99-26 116.63 118.941 119.642 120.472 121.965
99-27 116.358 118.284 118.867 119.559 120.803
99-28 116.086 117.626 118.093 118.647 119.642
99-29 115.814 116.969 117.32 117.735 118.481
99-30 115.543 116.313 116.546 116.823 117.320
99-31 115.271 115.656 115.773 115.911 116.160
100-0 115.000 115.000 115.000 115.000 115.000
100-1 114.729 114.344 114.227 114.089 113.841
100-2 114.458 113.688 113.455 113.178 112.681
100-3 114.187 113.033 112.683 112.268 111.523
100-4 113.916 112.378 111.911 111.358 110.364
100-5 113.645 111.723 111.14 110.449 109.207
100-6 113.375 111.068 110.369 109.539 108.049
100-7 113.104 110.414 109.598 108.63 106.892
100-8 112.834 109.76 108.828 107.722 105.735
100-9 112.564 109.106 108.057 106.813 104.579
100-10 112.294 108.452 107.288 105.905 103.423
100-11 112.024 107.799 106.518 104.997 102.268
AVG LIFE 27.34 6.04 4.88 3.93 2.98
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
THIS PAGE 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]
51
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIB
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 273.436 277.584 278.909 281.015 282.978
99-22 273.123 276.893 278.098 280.012 281.796
99-23 272.810 276.203 277.286 279.009 280.614
99-24 272.497 275.512 276.476 278.006 279.433
99-25 272.184 274.822 275.665 277.004 278.253
99-26 271.872 274.133 274.855 276.003 277.073
99-27 271.559 273.443 274.045 275.001 275.893
99-28 271.247 272.754 273.235 274.000 274.713
99-29 270.935 272.065 272.426 273.000 273.534
99-30 270.623 271.376 271.617 271.999 272.356
99-31 270.312 270.688 270.808 271.000 271.178
100-0 270.000 270.000 270.000 270.000 270.000
100-1 269.689 269.312 269.192 269.001 268.823
100-2 269.377 268.625 268.384 268.002 267.646
100-3 269.066 267.938 267.577 267.004 266.469
100-4 268.755 267.251 266.770 266.005 265.293
100-5 268.445 266.564 265.963 265.008 264.118
100-6 268.134 265.878 265.157 264.010 262.942
100-7 267.824 265.192 264.351 263.013 261.767
100-8 267.514 264.506 263.545 262.017 260.593
100-9 267.204 263.820 262.740 261.020 259.419
100-10 266.894 263.135 261.934 260.024 258.245
100-11 266.584 262.450 261.130 259.029 257.072
AVG LIFE 27.34 6.04 4.84 3.66 3.01
FIRST PAY 3/24 1/03 1/03 3/03 12/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
THIS PAGE 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]
52
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-5
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-20.50 7.877 7.928 7.940 7.898 7.817
99-21.50 7.874 7.924 7.935 7.890 7.804
99-22.50 7.871 7.920 7.931 7.883 7.791
99-23.50 7.869 7.916 7.926 7.876 7.777
99-24.50 7.866 7.913 7.922 7.869 7.764
99-25.50 7.863 7.909 7.917 7.861 7.751
99-26.50 7.860 7.905 7.913 7.854 7.738
99-27.50 7.857 7.901 7.908 7.847 7.724
99-28.50 7.855 7.897 7.904 7.840 7.711
99-29.50 7.852 7.893 7.900 7.833 7.698
99-30.50 7.849 7.889 7.895 7.825 7.685
*99-31.50 7.846 7.885 7.891 7.818 7.671
100-00.50 7.843 7.881 7.886 7.811 7.658
100-01.50 7.841 7.877 7.882 7.804 7.645
100-02.50 7.838 7.873 7.877 7.797 7.632
100-03.50 7.835 7.870 7.873 7.789 7.618
100-04.50 7.832 7.866 7.869 7.782 7.605
100-05.50 7.829 7.862 7.864 7.775 7.592
100-06.50 7.827 7.858 7.860 7.768 7.579
100-07.50 7.824 7.854 7.855 7.761 7.565
100-08.50 7.821 7.850 7.851 7.754 7.552
100-09.50 7.818 7.846 7.847 7.746 7.539
100-10.50 7.816 7.842 7.842 7.739 7.526
AVG LIFE 28.37 13.28 10.89 5.64 2.69
DURATION 11.14 7.98 7.02 4.33 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 9/29 9/19 2/16 3/12 12/02
THIS PAGE 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]
53
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-6
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.497 7.490 7.489 7.488 7.483
99-22 7.492 7.484 7.483 7.481 7.476
99-23 7.488 7.478 7.476 7.474 7.468
99-24 7.483 7.472 7.470 7.468 7.461
99-25 7.478 7.466 7.464 7.461 7.453
99-26 7.474 7.459 7.458 7.455 7.446
99-27 7.469 7.453 7.451 7.448 7.438
99-28 7.464 7.447 7.445 7.442 7.431
99-29 7.460 7.441 7.439 7.435 7.423
99-30 7.455 7.435 7.432 7.429 7.416
99-31 7.450 7.429 7.426 7.422 7.408
*100-0 7.446 7.423 7.420 7.415 7.401
100-1 7.441 7.417 7.414 7.409 7.393
100-2 7.437 7.411 7.407 7.402 7.386
100-3 7.432 7.405 7.401 7.396 7.378
100-4 7.427 7.399 7.395 7.389 7.371
100-5 7.423 7.393 7.389 7.383 7.363
100-6 7.418 7.387 7.382 7.376 7.356
100-7 7.414 7.381 7.376 7.370 7.348
100-8 7.409 7.374 7.370 7.363 7.341
100-9 7.404 7.368 7.364 7.357 7.333
100-10 7.400 7.362 7.357 7.350 7.326
100-11 7.395 7.356 7.351 7.344 7.318
AVG LIFE 9.82 6.82 6.54 6.19 5.22
DURATION 6.72 5.12 4.96 4.75 4.16
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 5/09 6/09 8/08
THIS PAGE 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]
54
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 7.880 7.865 7.860 7.849 7.845
99-22 7.877 7.859 7.853 7.840 7.835
99-23 7.874 7.854 7.846 7.831 7.826
99-24 7.871 7.848 7.839 7.823 7.816
99-25 7.867 7.842 7.833 7.814 7.807
99-26 7.864 7.836 7.826 7.805 7.797
99-27 7.861 7.830 7.819 7.796 7.788
99-28 7.858 7.824 7.812 7.788 7.778
99-29 7.855 7.819 7.805 7.779 7.769
99-30 7.851 7.813 7.799 7.770 7.759
99-31 7.848 7.807 7.792 7.761 7.750
*100-0 7.845 7.801 7.785 7.753 7.740
100-1 7.842 7.795 7.778 7.744 7.731
100-2 7.839 7.790 7.772 7.735 7.721
100-3 7.836 7.784 7.765 7.726 7.712
100-4 7.832 7.778 7.758 7.718 7.703
100-5 7.829 7.772 7.751 7.709 7.693
100-6 7.826 7.766 7.745 7.700 7.684
100-7 7.823 7.761 7.738 7.692 7.674
100-8 7.820 7.755 7.731 7.683 7.665
100-9 7.817 7.749 7.724 7.674 7.655
100-10 7.813 7.743 7.718 7.665 7.646
100-11 7.810 7.737 7.711 7.657 7.636
AVG LIFE 20.88 7.62 6.19 4.42 3.95
DURATION 9.81 5.35 4.59 3.56 3.28
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 3/29 11/14 1/13 7/08 1/06
THIS PAGE 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]
55
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-2
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 8.385 8.367 8.360 8.346 8.339
99-22 8.381 8.361 8.353 8.337 8.329
99-23 8.378 8.355 8.346 8.328 8.319
99-24 8.375 8.349 8.339 8.319 8.308
99-25 8.371 8.343 8.332 8.310 8.298
99-26 8.368 8.337 8.325 8.301 8.288
99-27 8.365 8.331 8.318 8.292 8.278
99-28 8.361 8.325 8.311 8.283 8.268
99-29 8.358 8.319 8.304 8.273 8.257
99-30 8.355 8.313 8.297 8.264 8.247
99-31 8.351 8.307 8.290 8.255 8.237
*100-0 8.348 8.301 8.283 8.246 8.227
100-1 8.345 8.295 8.276 8.237 8.217
100-2 8.342 8.289 8.269 8.228 8.207
100-3 8.338 8.283 8.262 8.219 8.196
100-4 8.335 8.277 8.255 8.210 8.186
100-5 8.332 8.271 8.248 8.201 8.176
100-6 8.328 8.265 8.241 8.192 8.166
100-7 8.325 8.259 8.235 8.183 8.156
100-8 8.322 8.253 8.228 8.174 8.146
100-9 8.319 8.247 8.221 8.165 8.136
100-10 8.315 8.241 8.214 8.156 8.126
100-11 8.312 8.235 8.207 8.147 8.115
AVG LIFE 20.83 7.50 6.06 4.28 3.69
DURATION 9.42 5.20 4.46 3.43 3.06
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 10/28 3/14 7/11 7/07 5/05
THIS PAGE 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]
56
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IB
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
98-6 9.309 9.420 9.462 9.551 9.603
98-7 9.305 9.414 9.454 9.541 9.592
98-8 9.302 9.407 9.447 9.531 9.581
98-9 9.298 9.401 9.439 9.521 9.569
98-10 9.295 9.394 9.432 9.511 9.558
98-11 9.291 9.388 9.424 9.502 9.547
98-12 9.287 9.381 9.416 9.492 9.536
98-13 9.284 9.375 9.409 9.482 9.525
98-14 9.280 9.368 9.401 9.472 9.513
98-15 9.277 9.362 9.394 9.462 9.502
98-16 9.273 9.355 9.386 9.452 9.491
*98-17 9.269 9.349 9.379 9.442 9.480
98-18 9.266 9.343 9.371 9.433 9.469
98-19 9.262 9.336 9.364 9.423 9.457
98-20 9.259 9.330 9.356 9.413 9.446
98-21 9.255 9.323 9.349 9.403 9.435
98-22 9.252 9.317 9.341 9.393 9.424
98-23 9.248 9.310 9.334 9.383 9.413
98-24 9.244 9.304 9.326 9.374 9.402
98-25 9.241 9.297 9.319 9.364 9.390
98-26 9.237 9.291 9.311 9.354 9.379
98-27 9.234 9.285 9.304 9.344 9.368
98-28 9.230 9.278 9.296 9.334 9.357
AVG LIFE 20.59 7.10 5.73 4.03 3.42
DURATION 8.80 4.88 4.19 3.21 2.82
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/28 4/12 12/09 6/06 8/04
THIS PAGE 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]
57
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIA-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 36.308 47.088 50.275 61.472 73.733
99-22 36.008 45.934 48.851 59.049 70.021
99-23 35.708 44.780 47.428 56.626 66.310
99-24 35.408 43.627 46.006 54.206 62.602
99-25 35.108 42.475 44.584 51.786 58.895
99-26 34.809 41.323 43.164 49.369 55.190
99-27 34.509 40.173 41.745 46.953 51.487
99-28 34.210 39.023 40.326 44.538 47.786
99-29 33.911 37.874 38.909 42.125 44.087
99-30 33.612 36.725 37.493 39.714 40.389
99-31 33.313 35.578 36.077 37.304 36.694
100-0 33.014 34.431 34.662 34.896 33.000
100-1 32.716 33.285 33.249 32.489 29.308
100-2 32.417 32.139 31.836 30.084 25.618
100-3 32.119 30.995 30.425 27.680 21.930
100-4 31.821 29.851 29.014 25.278 18.243
100-5 31.523 28.708 27.604 22.877 14.559
100-6 31.225 27.566 26.195 20.478 10.876
100-7 30.927 26.424 24.787 18.081 7.195
100-8 30.630 25.284 23.380 15.685 3.516
100-9 30.332 24.144 21.974 13.290 -0.161
100-10 30.035 23.004 20.569 10.897 -3.836
100-11 29.738 21.866 19.165 8.506 -7.510
AVG LIFE 20.49 3.35 2.60 1.41 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/29 4/20 3/16 1/10 4/02
THIS PAGE 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]
58
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-1
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 67.880 73.488 74.746 76.466 79.619
99-22 67.620 72.876 74.034 75.724 78.288
99-23 67.360 72.263 73.322 74.982 76.957
99-24 67.101 71.651 72.610 74.241 75.626
99-25 66.841 71.039 71.899 73.500 74.297
99-26 66.582 70.427 71.188 72.759 72.967
99-27 66.323 69.816 70.477 72.018 71.638
99-28 66.063 69.204 69.766 71.278 70.310
99-29 65.804 68.593 69.056 70.538 68.981
99-30 65.546 67.983 68.346 69.798 67.654
99-31 65.287 67.372 67.637 69.059 66.327
100-0 65.028 66.762 66.927 68.320 65.000
100-1 64.770 66.152 66.218 67.581 63.674
100-2 64.511 65.543 65.510 66.842 62.348
100-3 64.253 64.933 64.801 66.103 61.023
100-4 63.995 64.324 64.093 65.365 59.698
100-5 63.737 63.715 63.385 64.627 58.373
100-6 63.479 63.107 62.678 63.890 57.049
100-7 63.221 62.499 61.970 63.152 55.726
100-8 62.964 61.891 61.263 62.415 54.403
100-9 62.706 61.283 60.557 61.678 53.080
100-10 62.449 60.675 59.850 60.942 51.758
100-11 62.192 60.068 59.144 60.206 50.436
AVG LIFE 27.43 6.67 5.43 5.00 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 10/29 7/16 2/13 1/08 10/02
THIS PAGE 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]
59
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-2
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 118.033 124.607 126.077 127.456 140.071
99-22 117.760 123.980 125.343 126.589 139.227
99-23 117.488 123.353 124.608 125.721 138.384
99-24 117.216 122.726 123.874 124.854 137.541
99-25 116.944 122.100 123.140 123.988 136.699
99-26 116.672 121.474 122.407 123.121 135.857
99-27 116.400 120.848 121.674 122.255 135.015
99-28 116.128 120.223 120.941 121.390 134.173
99-29 115.857 119.598 120.208 120.524 133.332
99-30 115.585 118.973 119.476 119.659 132.491
99-31 115.314 118.348 118.744 118.794 131.650
100-0 115.043 117.724 118.012 117.930 130.810
100-1 114.772 117.100 117.281 117.066 129.970
100-2 114.501 116.476 116.550 116.202 129.130
100-3 114.230 115.852 115.819 115.338 128.291
100-4 113.960 115.229 115.089 114.475 127.452
100-5 113.689 114.606 114.359 113.612 126.613
100-6 113.419 113.983 113.629 112.750 125.775
100-7 113.149 113.361 112.899 111.887 124.937
100-8 112.879 112.739 112.170 111.025 124.099
100-9 112.609 112.117 111.441 110.164 123.262
100-10 112.339 111.495 110.712 109.302 122.425
100-11 112.069 110.874 109.984 108.441 121.588
AVG LIFE 27.42 6.59 5.31 4.21 4.39
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 9/29 12/14 10/11 3/07 10/06
THIS PAGE 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]
60
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIB
100%
0% 80% (PRICING) 150% 200%
-- --- --------- ---- ----
99-21 273.490 281.267 283.002 285.303 306.289
99-22 273.177 280.597 282.218 284.335 305.333
99-23 272.864 279.928 281.434 283.367 304.378
99-24 272.551 279.258 280.650 282.400 303.423
99-25 272.238 278.589 279.867 281.433 302.468
99-26 271.926 277.921 279.084 280.467 301.514
99-27 271.614 277.252 278.302 279.501 300.560
99-28 271.302 276.584 277.520 278.535 299.606
99-29 270.990 275.916 276.738 277.570 298.653
99-30 270.678 275.249 275.956 276.605 297.700
99-31 270.367 274.581 275.175 275.640 296.747
100-0 270.055 273.914 274.394 274.676 295.795
100-1 269.744 273.248 273.613 273.712 294.843
100-2 269.433 272.581 272.833 272.748 293.891
100-3 269.122 271.915 272.053 271.785 292.940
100-4 268.811 271.249 271.273 270.822 291.989
100-5 268.501 270.584 270.494 269.859 291.039
100-6 268.190 269.918 269.715 268.897 290.089
100-7 267.880 269.253 268.936 267.935 289.139
100-8 267.570 268.589 268.158 266.974 288.189
100-9 267.260 267.924 267.380 266.013 287.240
100-10 266.950 267.260 266.602 265.052 286.291
100-11 266.641 266.596 265.825 264.092 285.343
AVG LIFE 27.40 6.39 5.12 3.83 3.87
FIRST PAY 3/24 1/03 1/03 3/03 5/03
LAST PAY 8/29 2/13 4/10 4/06 5/04
THIS PAGE 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]
61
<PAGE>
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
$370,000,000 (APPROXIMATE)
Subject to Revision
The information herein is privileged and confidential and is intended for use by
the addressee only. This document is furnished to you solely by First Union
Securities, Inc. (the "Underwriter") and not by the issuer of the certificates
identified above (the "Certificates") or any other party. Neither the
Underwriter, the issuer of the Certificates, nor any other party makes any
representation to the accuracy or completeness of the information therein. The
information herein is preliminary, and will be superseded by the applicable
prospectus supplement and by any other information subsequently filed with the
Securities and Exchange Commission. This document may not be provided to any
third party other than the addressee's legal, tax, financial and/or accounting
advisors for the purpose of evaluating such information.
This information herein should not be construed as either a prediction or as
legal, tax, and financial or accounting advice.
Any yields or weighted average lives shown herein are based on prepayment and
other assumptions. Actual experience may dramatically affect such yields or
weighted average lives. The principal amount and designation of any security
described herein are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
Certificates has been filed with the Securities and Exchange Commission and is
effective, the final prospectus supplement relating to the Certificates has not
been filed with the Securities and Exchange Commission. This communication shall
not constitute an offer to sell or a solicitation of an offer to buy nor shall
there be any sale of the Offered Certificates in any state in which such offer,
solicitation or sale would be unlawful prior to registration or qualification
under the securities laws of any such state. Prospective purchasers are referred
to the final prospectus and prospectus supplement relating to the Offered
Certificates for definitive terms of the Offered Certificates and the
collateral.
Please be advised that the Certificates may not be appropriate for all
investors. Potential investors must be willing to assume, among other things,
market price volatility, prepayments, yield curve and interest rate risks.
Investors should fully consider the risk of an investment in the Certificates.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
[FIRST UNION LOGO]
FIRST UNION SECURITIES, INC.
<PAGE>
TERM SHEET
DECEMBER 13, 1999
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 1999-4
$370,000,000 (APPROXIMATE)
SUBJECT TO REVISION
- --------------------------------------------------------------------------------
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (S&P /FITCH) WAL(1) TYPE COUPON MATURITY(1)
- ----- ---------- ------------ ------ ---- ------ -----------
- --------------------------------------------------------------------------------
IA-1 43,000,000 AAA/AAA 0.95 SEQ 1M Libor + 9/01
[ ](2)
IA-2 18,500,000 AAA/AAA 2.13 SEQ Fixed(2) 7/02
IA-3 18,500,000 AAA/AAA 3.18 SEQ Fixed(2) 12/03
IA-4 16,000,000 AAA/AAA 5.13 SEQ Fixed(2) 9/06
IA-5 11,640,000 AAA/AAA 8.37 SEQ Fixed(2),(3) 7/08
IA-6 11,960,000 AAA/AAA 6.48 NAS Fixed(2) 7/08
IM-1 4,550,000 AA/AA 5.73 MEZ Fixed(2) 7/08
IM-2 2,925,000 A/A 5.73 MEZ Fixed(2) 7/08
IB 2,925,000 BBB/BBB 5.66 SUB Fixed(2) 7/08
IIA-1 205,200,000 AAA/AAA 2.39 PASS-THRU 1M Libor + 3/07
[ ](3),(4)
IIM-1 14,760,000 AA/AA 4.93 MEZ 1M Libor + 3/07
[ ](3),(4)
IIM-2 10,440,000 A/A 4.88 MEZ 1M Libor + 3/07
[ ](3),(4)
IIB 9,600,000 BBB/BBB 4.84 SUB 1M Libor + 3/07
[ ](3),(4)
- --------------------------------------------------------------------------------
(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.
- ------------------
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
2
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 1999-4, 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., First Union Securities,
Inc., Bear, Stearns & Co. Inc., and Donaldson,
Lufkin & Jenrette.
DEPOSITOR: Chase Funding, Inc.
SELLER AND MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: December 1, 1999
PRICING DATE: [December 14, 1999]
CLOSING DATE: [December 22, 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
January 2000.
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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
3
<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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
4
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
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 for both
the Group I and Group II Certificates on the
fourth Distribution Date (April 25, 2000).
GROUP I CERTIFICATES
Initial: 0.00%
Target: 1.55% of original balance
Stepdown: 3.10% of current balance
Floor: 0.50% of original balance
(Preliminary and Subject to Revision)
GROUP II CERTIFICATES
Initial: 0.00%
Target: 2.90% of original balance
Stepdown: 5.80% of current balance
Floor: 0.50% of original balance
(Preliminary and Subject to Revision)
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.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
5
<PAGE>
GROUP I - FIXED
GROUP I (FIXED) SUBORDINATION(1): (S&P/FITCH) GROUP I (Subordination)
Class IA (AAA/AAA) 9.55%
Class IM-1 (AA/AA) 6.05%
Class IM-2 (A/A) 3.80%
Class IB (BBB/BBB) 1.55%
(Preliminary and Subject to Revision)
GROUP I (FIXED) CLASS SIZES: (S&P/FITCH) GROUP I (Class Sizes)
Class IA (AAA/AAA) 92.00%
Class IM-1 (AA/AA) 3.50%
Class IM-2 (A/A) 2.25%
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) 17.40%
Class IIM-1 (AA/AA) 11.25%
Class IIM-2 (A/A) 6.90%
Class IIB (BBB/BBB) 2.90%
(Preliminary and Subject to Revision)
GROUP II (ARM) CLASS SIZES: (S&P/FITCH) GROUP II (Class Sizes)
Class IIA-1 (AAA/AAA) 85.50%
Class IIM-1 (AA/AA) 6.15%
Class IIM-2 (A/A) 4.35%
Class IIB (BBB/BBB) 4.00%
(Preliminary and Subject to Revision)
(1) The subordination percentages assume that the target overcollateralization
levels of 1.55% for Group I and 2.90% for Group II have been achieved.
There will be no overcollateralization as of the closing date.
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
6
<PAGE>
GROUP I
MORTGAGE LOANS: Fixed-Rate, First Lien, Sub-prime Mortgage Loans
TOTAL GROUP SIZE*: $130,000,000
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
$9,118,908 of Fixed Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
7
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
GROUP I CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
----------- ---------- ---------- ----------- ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE 43.000 18.500 18.500 16.000 11.640 11.960 4.550 2.925 2.925
($MM)
EXPECTED RATINGS
S&P AAA AAA AAA AAA AAA AAA AA A BBB
FITCH AAA AAA AAA AAA AAA AAA AA A BBB
COUPON 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 2.13 3.18 5.13 8.37 6.48 5.73 5.73 5.66
CALL (YRS)(3)
WTD AVG LIFE 0.95 2.13 3.18 5.13 10.89 6.54 6.19 6.06 5.73
MAT (YRS)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-48/18 48-81/34 81-103/23 37-103/67 37-103/67 37-103/67 37-103/67
TO CALL (MOS.)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-48/18 48-81/34 81-194/114 37-113/77 37-157/121 37-139/103 37-120/84
TO MATURITY (MOS.)(3)
EXP MAT TO CALL(3) 9/01 7/02 12/03 9/06 7/08 7/08 7/08 7/08 7/08
EXP MAT TO MATURITY(3) 9/01 7/02 12/03 9/06 2/16 5/09 1/13 7/11 12/09
LAST SCHEDULED 11/14 11/14 4/20 10/26 10/29 9/11 10/29 10/29 10/29
DISTRIBUTION DATE(4)
</TABLE>
(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 coupon 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.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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8
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-Rate, First Lien, Sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $240,000,000
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
$7,337,215 of Adjustable Rate Mortgage Loans that are not included in the
statistical information set forth in this document. Updated statistical
information on the Mortgage Pool (giving effect to the inclusion of such
Mortgage Loans) will be available to purchasers of the Certificates on, and
will be filed with the Securities and Exchange Commission within fifteen
days of, the closing date.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
9
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
GROUP II CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
- ------------------------- ----------------------- ----------------------- ----------------------- ----------------------
<S> <C> <C> <C> <C>
205.200 14.760 10.440 9.600
OFFER
SIZE ($MM)
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 2.39 4.93 4.88 4.84
CALL (YRS)(4)
WTD AVG LIFE 2.60 5.43 5.31 5.12
MAT (YRS)(4)
PAYMENT WINDOW 1-87/87 40-87/48 38-87/50 37-87/51
TO CALL (MOS.)(4)
PAYMENT WINDOW 1-195/195 40-158/119 38-142/105 37-124/88
TO MATURITY (MOS.)(4)
EXP MAT TO CALL(4) 3/07 3/07 3/07 3/07
EXP MAT TO MATURITY(4) 3/16 2/13 10/11 4/10
LAST SCHEDULED 11/29 11/29 11/29 11/29
DISTRIBUTION DATE(5)
</TABLE>
(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.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
10
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
CASH FLOW 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 certain amounts for the Group II
Certificates as described in the Prospectus Supplement.
8. Any remaining Group I amount is paid to the Residual Certificateholder.
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 certain amounts for the Group I
Certificates as described in the Prospectus Supplement.
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.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
11
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-4
PRINCIPAL PAYDOWN
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: UNTIL JANUARY 2009, THE APPLICABLE CLASS
IA-6 LOCKOUT PERCENTAGE MULTIPLIED BY THE CLASS IA-6 PRO-RATA DISTRIBUTION
AMOUNT. FOR JANUARY 2009 AND THEREAFTER, THE CLASS IA-6 LOCKOUT AMOUNT
DISTRIBUTION WILL EQUAL THE GROUP I CLASS A PRINCIPAL CASHFLOWS.
CLASS IA-6 LOCKOUT PERCENTAGE
January 2000 -- December 2002: 0%
January 2003 -- December 2004: 45%
January 2005 -- December 2005: 80%
January 2006 -- December 2006: 100%
January 2007 -- December 2008: 300%
IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS NOT MET:
Group I Certificates:
1) To the Class IA-6 Certificateholders -- 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.
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12
<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
------- --------
Class A 19.10% Class A 34.80%
Class M-1 12.10% Class M-1 22.50%
Class M-2 7.60% Class M-2 13.80%
Class B 3.10% Class B 5.80%
*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 January 2003 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 January 2003 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:
- --------------------- ---------------------
19.10% 34.80%
Or Or
(8.00% + 1.55%)*2 (14.50% + 2.90%)*2
(Preliminary and Subject to Revision)
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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13
<PAGE>
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.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
14
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $120,881,092
AGGREGATE ORIGINAL PRINCIPAL BALANCE $121,022,028
NUMBER OF MORTGAGE LOANS 1,446
MINIMUM MAXIMUM AVERAGE (1)
------- ------- -----------
ORIGINAL PRINCIPAL BALANCE 10,000 561,105 83,694
OUTSTANDING PRINCIPAL BALANCE 9,977 560,657 83,597
MINIMUM MAXIMUM WEIGHTED AVERAGE (2)
------- ------- --------------------
ORIGINAL TERM (MOS) 120 360 252
STATED REMAINING TERM (MOS) 118 360 250
EXPECTED REMAINING TERM (MOS) 118 360 250
LOAN AGE (MOS) 0 7 1
CURRENT INTEREST RATE 5.950% 14.250% 9.881%
ORIGINAL LOAN-TO-VALUE 12.77% 95.00% 72.76%
CREDIT SCORE 461 803 620 (3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 04/1999 11/1999
MATURITY DATES 09/2009 12/2029
Notes:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
(3) Weighting only for loans with scores.
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
15
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
5.500% to 5.999% 1 $ 109,185 0.1%
6.000% to 6.499% 1 79,174 0.1
6.500% to 6.999% 5 315,846 0.3
7.000% to 7.499% 16 1,694,824 1.4
7.500% to 7.999% 57 4,951,612 4.1
8.000% to 8.499% 60 5,818,941 4.8
8.500% to 8.999% 180 17,318,461 14.3
9.000% to 9.499% 139 13,273,859 11.0
9.500% to 9.999% 271 23,954,043 19.8
10.000% to 10.499% 199 15,319,752 12.7
10.500% to 10.999% 211 17,030,235 14.1
11.000% to 11.499% 111 7,950,971 6.6
11.500% to 11.999% 117 7,895,570 6.5
12.000% to 12.499% 48 2,972,012 2.5
12.500% to 12.999% 17 1,146,602 0.9
13.000% to 13.499% 9 884,508 0.7
13.500% to 13.999% 3 142,753 0.1
14.000% to 14.499% 1 22,746 0.0
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 5.950% TO 14.250%
WEIGHTED AVERAGE IS: 9.881%
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
16
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
109 to 120 28 $ 1,314,252 1.1%
169 to 180 831 68,790,849 56.9
181 to 192 1 41,546 0.0
229 to 240 51 3,090,525 2.6
289 to 300 3 263,774 0.2
349 to 360 532 47,380,147 39.2
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 118 TO 360
WEIGHTED AVERAGE IS (MONTHS):250
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
17
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - 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 1,056 $ 58,339,971 48.3%
$ 100,001 to $ 150,000 229 27,600,993 22.8
$ 150,001 to $ 200,000 94 16,396,755 13.6
$ 200,001 to $ 250,000 34 7,636,297 6.3
$ 250,001 to $ 300,000 16 4,494,070 3.7
$ 300,001 to $ 350,000 9 2,902,453 2.4
$ 350,001 to $ 400,000 3 1,116,394 0.9
$ 400,001 to $ 450,000 2 881,452 0.7
$ 450,001 to $ 500,000 2 952,051 0.8
$ 550,001 to $ 600,000 1 560,657 0.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $10,000 TO $561,105
AVERAGE IS: $83,694
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
10 Yr Fixed 28 $ 1,314,252 1.1%
15 Yr Fixed 313 19,291,349 16.0
16 Yr Fixed 1 41,546 0.0
20 Yr Fixed 51 3,090,525 2.6
25 Yr Fixed 3 263,774 0.2
30 Yr Fixed 532 47,380,147 39.2
Balloon Loan 518 49,499,500 40.9
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
18
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 16 $ 1,085,722 0.9%
Arkansas 14 760,307 0.6
California 77 11,588,524 9.6
Colorado 36 3,688,598 3.1
Connecticut 11 1,128,212 0.9
Delaware 3 189,981 0.2
District of Columbia 2 175,949 0.1
Florida 256 21,426,099 17.7
Georgia 54 3,291,653 2.7
Idaho 1 84,532 0.1
Illinois 64 5,970,399 4.9
Indiana 59 3,556,746 2.9
Iowa 7 445,090 0.4
Kansas 4 296,408 0.2
Kentucky 21 1,565,209 1.3
Louisiana 56 3,671,806 3.0
Maine 2 185,846 0.2
Maryland 14 956,616 0.8
Massachusetts 28 3,594,811 3.0
Michigan 82 5,151,897 4.3
Minnesota 16 1,424,350 1.2
Mississippi 19 1,067,774 0.9
Missouri 38 1,984,280 1.6
Montana 3 426,571 0.4
Nebraska 2 120,062 0.1
Nevada 2 247,342 0.2
New Hampshire 2 233,463 0.2
New Jersey 25 2,911,979 2.4
New Mexico 11 909,916 0.8
New York 138 16,336,333 13.5
North Carolina 16 1,566,009 1.3
North Dakota 3 85,928 0.1
Ohio 53 3,340,010 2.8
Oklahoma 36 1,830,304 1.5
Oregon 16 1,569,535 1.3
Pennsylvania 25 1,202,110 1.0
Rhode Island 8 706,382 0.6
South Carolina 33 1,687,098 1.4
South Dakota 1 80,000 0.1
Tennessee 115 8,656,875 7.2
Texas 28 1,822,928 1.5
Utah 5 637,678 0.5
- --------------------------------------------------------------------------------
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[FIRST UNION LOGO]
19
<PAGE>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Vermont 1 42,574 0.0
Virginia 15 997,282 0.8
Washington 9 1,118,367 0.9
West Virginia 2 165,381 0.1
Wisconsin 16 806,157 0.7
Wyoming 1 90,000 0.1
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or Less 161 $ 8,889,754 7.4%
50.01% to 55.00% 58 4,472,876 3.7
55.01% to 60.00% 122 9,521,086 7.9
60.01% to 65.00% 100 8,634,054 7.1
65.01% to 70.00% 164 13,068,390 10.8
70.01% to 75.00% 183 15,697,685 13.0
75.01% to 80.00% 352 32,183,576 26.6
80.01% to 85.00% 198 17,450,243 14.4
85.01% to 90.00% 100 9,897,387 8.2
90.01% to 95.00% 8 1,066,042 0.9
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 12.77% TO 95.00%
WEIGHTED AVERAGE IS: 72.76%
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
20
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 356 $ 33,064,590 27.4%
Refinance - Rate/Term 157 13,047,496 10.8
Refinance - Cashout 933 74,769,007 61.9
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single-family Detached 1,159 $ 93,413,366 77.3%
Two- to Four-family Dwelling Unit 129 13,006,785 10.8
Planned Unit Development 59 7,520,546 6.2
Condominium 37 3,248,801 2.7
Small Mixed Use 14 1,287,346 1.1
Manufactured Housing 48 2,404,249 2.0
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
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[FIRST UNION LOGO]
21
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,144 $ 91,620,489 75.8%
24 Month Bank Statement 97 11,173,222 9.2
Reduced Documentation 42 4,227,015 3.5
Stated Income 163 13,860,366 11.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 1,263 $109,562,256 90.6%
Second Home 20 1,250,736 1.0
Investment 163 10,068,101 8.3
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
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[FIRST UNION LOGO]
22
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 367 $ 29,514,001 24.4%
1 552 45,110,308 37.3
2 423 36,750,800 30.4
3 68 6,073,872 5.0
4 19 1,600,538 1.3
5 5 998,100 0.8
6 10 722,448 0.6
7 2 111,025 0.1
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
A O 569 $ 50,553,631 41.8%
A- 460 41,709,469 34.5
B 257 19,789,519 16.4
B- 63 4,184,893 3.5
C 84 3,976,124 3.3
C- 13 667,457 0.6
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
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[FIRST UNION LOGO]
23
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1999 1,446 $120,881,092 100.0%
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 298 $ 23,773,328 19.7%
12 months 125 14,806,349 12.2
24 months 26 2,935,169 2.4
36 months 484 37,698,890 31.2
60 months 513 41,667,355 34.5
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
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24
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 47 $ 3,290,777 2.7%
461 to 500 20 1,728,570 1.4
501 to 550 155 11,129,348 9.2
551 to 600 449 37,517,768 31.0
601 to 650 388 32,931,489 27.2
651 to 700 239 21,428,131 17.7
701 to 750 98 8,376,635 6.9
751 to 800 48 4,268,879 3.5
801 to 803 2 209,496 0.2
----- ------------ -----
GRAND TOTAL 1,446 $120,881,092 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 461 TO 803
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 620
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25
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $232,662,785
AGGREGATE ORIGINAL PRINCIPAL BALANCE $232,783,375
NUMBER OF MORTGAGE LOANS 1,956
MINIMUM MAXIMUM AVERAGE (1)
------- ------- -----------
ORIGINAL PRINCIPAL BALANCE 18,445 1,000,000 119,010
OUTSTANDING PRINCIPAL BALANCE 18,428 1,000,000 118,948
MINIMUM MAXIMUM WEIGHTED AVERAGE (2)
------- ------- --------------------
ORIGINAL TERM (MOS) 360 360 360
STATED REMAINING TERM (MOS) 352 360 359
EXPECTED REMAINING TERM (MOS) 327 360 359
LOAN AGE (MOS) 0 8 1
CURRENT INTEREST RATE 6.500% 13.750% 9.960%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.922%
PERIODIC RATE CAP 1.000% 2.000% 1.472%
GROSS MARGIN 3.250% 8.250% 5.674%
MAXIMUM MORTGAGE RATE 13.500% 20.750% 16.933%
MINIMUM MORTGAGE RATE 6.500% 13.750% 9.961%
MONTHS TO ROLL 4 60 27.110
ORIGINAL LOAN-TO-VALUE 16.73% 95.00% 77.31%
CREDIT SCORE 450 791 601 (3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1999 11/1999
MATURITY DATES 04/2029 12/2029
Notes:
(1) Sum of Principal Balance divided by total number of loans.
(2) Weighted by Outstanding Principal Balance.
(3) Weighting only for loans with scores.
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26
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
6.500% to 6.999% 2 $ 192,847 0.1%
7.000% to 7.499% 8 1,053,266 0.5
7.500% to 7.999% 35 5,193,875 2.2
8.000% to 8.499% 64 10,049,958 4.3
8.500% to 8.999% 197 30,335,540 13.0
9.000% to 9.499% 203 27,077,152 11.6
9.500% to 9.999% 389 48,515,128 20.9
10.000% to 10.499% 290 33,097,870 14.2
10.500% to 10.999% 354 37,965,587 16.3
11.000% to 11.499% 183 17,930,923 7.7
11.500% to 11.999% 156 14,970,980 6.4
12.000% to 12.499% 55 4,335,479 1.9
12.500% to 12.999% 11 821,623 0.4
13.000% to 13.499% 6 455,356 0.2
13.500% to 13.999% 3 667,201 0.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 6.500% TO 13.750%
WEIGHTED AVERAGE IS: 9.960%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
349 to 360 1,956 $232,662,785 100.0%
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 352 TO 360
WEIGHTED AVERAGE IS (MONTHS): 359
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[FIRST UNION LOGO]
27
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - 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 1,032 $ 68,274,081 29.3%
$ 100,001 to $ 150,000 496 61,436,853 26.4
$ 150,001 to $ 200,000 200 34,556,106 14.9
$ 200,001 to $ 250,000 111 25,107,683 10.8
$ 250,001 to $ 300,000 52 14,495,417 6.2
$ 300,001 to $ 350,000 17 5,621,772 2.4
$ 350,001 to $ 400,000 14 5,285,947 2.3
$ 400,001 to $ 450,000 7 2,986,528 1.3
$ 450,001 to $ 500,000 23 11,196,330 4.8
$ 700,001 to $ 750,000 1 747,500 0.3
$ 950,001 to $1,000,000 3 2,954,568 1.3
----- ------------ ------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $18,445 TO $1,000,000
AVERAGE IS: $119,010
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Six Month LIBOR Loan 31 $ 5,627,808 2.4%
1/29 Loan 45 6,717,893 2.9
2/28 Loan 1,098 134,376,733 57.8
3/27 Loan 738 80,988,229 34.8
5/25 Loan 42 4,773,185 2.1
Other 2 178,937 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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28
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 31 $ 2,819,494 1.2%
Arkansas 6 379,044 0.2
California 141 27,548,095 11.8
Colorado 115 14,928,584 6.4
Connecticut 23 2,885,162 1.2
Delaware 1 107,893 0.0
District of Columbia 4 616,108 0.3
Florida 203 21,804,498 9.4
Georgia 55 9,293,639 4.0
Hawaii 2 645,000 0.3
Idaho 6 523,248 0.2
Illinois 112 12,227,579 5.3
Indiana 29 2,400,659 1.0
Iowa 3 200,376 0.1
Kansas 2 269,871 0.1
Kentucky 9 837,360 0.4
Louisiana 13 1,401,937 0.6
Maine 3 240,782 0.1
Maryland 27 3,367,701 1.4
Massachusetts 59 8,930,540 3.8
Michigan 230 20,997,716 9.0
Minnesota 50 5,489,601 2.4
Mississippi 11 648,668 0.3
Missouri 75 5,354,600 2.3
Montana 7 795,194 0.3
Nebraska 2 101,305 0.0
Nevada 7 899,703 0.4
New Hampshire 10 914,895 0.4
New Jersey 65 10,150,746 4.4
New Mexico 11 1,035,273 0.4
New York 103 16,763,118 7.2
North Carolina 29 3,125,683 1.3
Ohio 79 7,583,308 3.3
Oklahoma 10 979,485 0.4
Oregon 16 2,040,665 0.9
Pennsylvania 20 2,009,521 0.9
Rhode Island 14 1,770,876 0.8
South Carolina 33 2,911,116 1.3
Tennessee 68 6,550,799 2.8
Texas 75 7,688,079 3.3
Utah 18 2,686,876 1.2
Vermont 12 962,945 0.4
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29
<PAGE>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Virginia 24 4,387,173 1.9
Washington 54 8,199,463 3.5
West Virginia 3 140,924 0.1
Wisconsin 83 6,793,531 2.9
Wyoming 3 253,952 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or Less 67 $ 6,415,558 2.8%
50.01% to 55.00% 21 2,471,356 1.1
55.01% to 60.00% 68 8,345,093 3.6
60.01% to 65.00% 85 9,675,960 4.2
65.01% to 70.00% 225 28,042,865 12.1
70.01% to 75.00% 279 32,553,299 14.0
75.01% to 80.00% 523 66,109,033 28.4
80.01% to 85.00% 407 46,966,391 20.2
85.01% to 90.00% 276 31,660,897 13.6
90.01% to 95.00% 5 422,334 0.2
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 16.73% TO 95.00%
WEIGHTED AVERAGE IS: 77.31%
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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30
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 867 $104,980,208 45.1%
Refinance - Rate/Term 182 19,352,684 8.3
Refinance - Cashout 907 108,329,893 46.6
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single-family Detached 1,553 $184,895,114 79.5%
Two- to Four-family Dwelling Unit 157 17,968,298 7.7
Condominium 78 7,672,571 3.3
Planned Unit Development 125 18,763,159 8.1
Small Mixed Use 1 161,053 0.1
Manufactured Housing 42 3,202,592 1.4
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
31
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,437 $157,287,972 67.6%
24 Month Bank Statement 199 31,337,724 13.5
Reduced Documentation 71 12,559,342 5.4
Stated Income 249 31,477,748 13.5
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 1,770 $215,941,369 92.8%
Second Home 19 2,104,883 0.9
Investment 167 14,616,533 6.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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[FIRST UNION LOGO]
32
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 599 $ 72,309,279 31.1%
1 768 92,347,490 39.7
2 527 61,511,573 26.4
3 33 3,507,320 1.5
4 19 1,843,607 0.8
5 3 349,276 0.2
6 4 491,771 0.2
7 1 105,857 0.0
8 2 196,612 0.1
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH):1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
A O 592 $ 77,768,577 33.4%
A- 674 84,637,110 36.4
B 380 41,956,755 18.0
B- 104 9,654,783 4.1
C 156 14,583,914 6.3
C- 50 4,061,646 1.7
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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33
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1999 1,956 $232,662,785 100.0%
----- ------------ ------
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ ======
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
13.500% to 13.999% 4 $ 417,614 0.2%
14.000% to 14.499% 10 1,860,021 0.8
14.500% to 14.999% 38 5,627,496 2.4
15.000% to 15.499% 68 10,091,331 4.3
15.500% to 15.999% 202 31,462,520 13.5
16.000% to 16.499% 201 26,976,550 11.6
16.500% to 16.999% 383 47,249,605 20.3
17.000% to 17.499% 287 32,600,345 14.0
17.500% to 17.999% 354 37,908,655 16.3
18.000% to 18.499% 183 17,735,908 7.6
18.500% to 18.999% 152 14,508,068 6.2
19.000% to 19.499% 54 4,280,493 1.8
19.500% to 19.999% 11 821,623 0.4
20.000% to 20.499% 6 455,356 0.2
20.500% to 20.999% 3 667,201 0.3
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
MAXIMUM MORTGAGE RATE RANGE IS FROM: 13.500% TO 20.750%
WEIGHTED AVERAGE IS: 16.933%
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34
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 803 $ 98,097,157 42.2%
12 months 13 1,852,448 0.8
24 months 431 58,797,448 25.3
36 months 596 63,538,302 27.3
60 months 113 10,377,431 4.5
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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<PAGE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Apr 2000 12 $ 1,998,157 0.9%
May 2000 15 2,914,852 1.3
Jun 2000 4 714,800 0.3
Sep 2000 1 49,954 0.0
Oct 2000 19 2,785,890 1.2
Nov 2000 16 2,379,529 1.0
Dec 2000 9 1,502,520 0.6
Apr 2001 1 69,495 0.0
May 2001 1 105,857 0.0
Jun 2001 4 491,771 0.2
Jul 2001 2 202,851 0.1
Aug 2001 13 1,227,261 0.5
Sep 2001 22 2,107,483 0.9
Oct 2001 290 34,498,476 14.8
Nov 2001 429 52,066,332 22.4
Dec 2001 336 43,607,207 18.7
Apr 2002 1 127,116 0.1
Jul 2002 1 146,425 0.1
Aug 2002 6 616,346 0.3
Sep 2002 10 1,349,883 0.6
Oct 2002 194 21,014,942 9.0
Nov 2002 290 32,946,342 14.2
Dec 2002 238 24,966,112 10.7
Oct 2004 12 1,214,109 0.5
Nov 2004 18 2,040,435 0.9
Dec 2004 12 1,518,640 0.7
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
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36
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 44 $ 5,600,839 2.4%
450 to 500 62 6,594,723 2.8
501 to 550 331 37,751,537 16.2
551 to 600 661 79,545,143 34.2
601 to 650 468 56,116,928 24.1
651 to 700 259 31,499,755 13.5
701 to 750 108 13,160,085 5.7
751 to 791 23 2,393,776 1.0
----- ------------ -----
GRAND TOTAL 1,956 $232,662,785 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 450 TO 791
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 601
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37
<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
ORIGINAL
ORIGINAL AMORTIZATION REMAINING
CURRENT MORTGAGE NET MORTGAGE TERM TERM TERM
BALANCE RATE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
------- ---- ---- ----------- ----------- -----------
$53,233,593.60 10.064% 9.554% 180 360 179
1,413,395.59 9.510% 9.000% 120 120 119
20,746,631.02 9.574% 9.064% 180 180 179
3,368,344.22 9.786% 9.276% 239 239 238
51,238,035.57 9.831% 9.321% 360 360 358
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-4 - FIXED RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
NUMBER OF
ORIGINAL REMAINING INITIAL MONTHS UNTIL
NET TERM TERM RATE RESET NEXT RATE
CURRENT MORTGAGE MORTGAGE (IN (IN GROSS CHANGE PERIODIC MAXIMUM MINIMUM CHANGE ADJUSTMENT
BALANCE RATE RATE MONTHS) MONTHS) MARGIN CAP CAP RATE RATE FREQUENCY DATE INDEX
------- ---- ---- ------- ------- ------ --- --- ---- ---- --------- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$12,735,033.36 9.636% 9.126% 360 359 4.981% 1.544% 1.000% 16.180% 9.634% 6 8 6 Mo. LIBOR
138,614,415.28 9.960% 9.450% 360 359 5.878% 2.998% 1.498% 16.956% 9.960% 6 23 6 Mo. LIBOR
83,726,840.48 10.042% 9.532% 360 359 5.462% 3.000% 1.501% 17.040% 10.043% 6 35 6 Mo. LIBOR
4,923,710.88 9.416% 8.906% 360 359 5.326% 3.000% 1.500% 16.416% 9.416% 6 59 6 Mo. LIBOR
</TABLE>
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<PAGE>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
AVAILABLE FUNDS AVAILABLE FUNDS
PAYMENT DATE CAP (1) (2) PAYMENT DATE CAP (1) (2)
1/25/00 9.450 9/25/03 11.904
2/25/00 9.450 10/25/03 11.904
3/25/00 9.450 11/25/03 11.904
4/25/00 9.450 12/25/03 11.904
5/25/00 9.469 1/25/04 11.904
6/25/00 9.489 2/25/04 11.904
7/25/00 9.509 3/25/04 11.904
8/25/00 9.531 4/25/04 11.904
9/25/00 9.629 5/25/04 11.904
10/25/00 9.652 6/25/04 11.904
11/25/00 9.678 7/25/04 11.904
12/25/00 9.702 8/25/04 11.904
1/25/01 9.730 9/25/04 11.904
2/25/01 9.762 10/25/04 11.904
3/25/01 9.801 11/25/04 11.904
4/25/01 9.848 12/25/04 11.947
5/25/01 9.891 1/25/05 11.947
6/25/01 9.937 2/25/05 11.947
7/25/01 9.983 3/25/05 11.947
8/25/01 10.009 4/25/05 11.947
9/25/01 10.022 5/25/05 11.947
10/25/01 10.037 6/25/05 11.947
11/25/01 10.051 7/25/05 11.947
12/25/01 11.291 8/25/05 11.947
1/25/02 11.309 9/25/05 11.947
2/25/02 11.327 10/25/05 11.947
3/25/02 11.345 11/25/05 11.947
4/25/02 11.364 12/25/05 11.947
5/25/02 11.384 1/25/06 11.947
6/25/02 11.404 2/25/06 11.947
7/25/02 11.425 3/25/06 11.947
8/25/02 11.446 4/25/06 11.947
9/25/02 11.469 5/25/06 11.947
10/25/02 11.491 6/25/06 11.947
11/25/02 11.515 7/25/06 11.947
12/25/02 12.107 8/25/06 11.947
1/25/03 12.134 9/25/06 11.947
2/25/03 11.904 10/25/06 11.947
3/25/03 11.904 11/25/06 11.947
4/25/03 11.904 12/25/06 11.947
5/25/03 11.904 1/25/07 11.947
6/25/03 11.904 2/25/07 11.947
7/25/03 11.904 3/25/07 11.947
8/25/03 11.904
(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.
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<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IA-1
0% 80% 100% 150% 200%
(PRICING)
99-21 25.089 52.033 57.352 68.688 78.221
99-22 24.626 49.114 53.950 64.253 72.918
99-23 24.162 46.197 50.548 59.819 67.616
99-24 23.699 43.282 47.149 55.388 62.317
99-25 23.236 40.367 43.750 50.958 57.019
99-26 22.773 37.454 40.353 46.530 51.724
99-27 22.310 34.542 36.957 42.104 46.432
99-28 21.848 31.631 33.563 37.679 41.141
99-29 21.385 28.722 30.170 33.257 35.852
99-30 20.923 25.813 26.779 28.836 30.566
99-31 20.462 22.906 23.389 24.417 25.282
100-0 20.000 20.000 20.000 20.000 20.000
100-1 19.539 17.095 16.613 15.585 14.720
100-2 19.078 14.192 13.227 11.171 9.443
100-3 18.617 11.289 9.842 6.759 4.167
100-4 18.156 8.388 6.459 2.349 -1.106
100-5 17.696 5.488 3.078 -2.059 -6.378
100-6 17.235 2.589 -0.303 -6.465 -11.647
100-7 16.775 -0.308 -3.682 -10.870 -16.913
100-8 16.316 -3.204 -7.059 -15.272 -22.178
100-9 15.856 -6.100 -10.435 -19.673 -27.441
100-10 15.397 -8.993 -13.810 -24.072 -32.701
100-11 14.938 -11.886 -17.184 -28.470 -37.959
AVG LIFE 9.84 1.11 0.95 0.72 0.60
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/14 1/02 9/01 2/01 12/00
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<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-2
0% 80% 100% 150% 200%
(PRICING)
99-21 7.171 7.130 7.118 7.091 7.065
99-22 7.167 7.116 7.102 7.068 7.036
99-23 7.164 7.102 7.086 7.045 7.007
99-24 7.160 7.089 7.069 7.022 6.977
99-25 7.157 7.075 7.053 6.999 6.948
99-26 7.153 7.062 7.037 6.976 6.919
99-27 7.150 7.048 7.020 6.953 6.890
99-28 7.147 7.035 7.004 6.930 6.860
99-29 7.143 7.021 6.988 6.907 6.831
99-30 7.140 7.008 6.972 6.884 6.802
99-31 7.136 6.994 6.955 6.861 6.773
*100-0 7.133 6.981 6.939 6.838 6.744
100-1 7.129 6.967 6.923 6.815 6.714
100-2 7.126 6.954 6.906 6.792 6.685
100-3 7.122 6.940 6.890 6.769 6.656
100-4 7.119 6.927 6.874 6.747 6.627
100-5 7.115 6.913 6.858 6.724 6.598
100-6 7.112 6.900 6.842 6.701 6.569
100-7 7.108 6.886 6.825 6.678 6.540
100-8 7.105 6.873 6.809 6.655 6.511
100-9 7.101 6.859 6.793 6.632 6.482
100-10 7.098 6.846 6.777 6.609 6.453
100-11 7.094 6.832 6.761 6.587 6.424
AVG LIFE 14.93 2.60 2.13 1.47 1.14
DURATION 8.95 2.30 1.91 1.36 1.07
FIRST PAY 11/14 1/02 9/01 2/01 12/00
LAST PAY 11/14 2/03 7/02 9/01 4/01
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<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-3
0% 80% 100% 150% 200%
(PRICING)
99-21 7.248 7.223 7.214 7.191 7.170
99-22 7.245 7.214 7.203 7.175 7.148
99-23 7.241 7.205 7.192 7.158 7.126
99-24 7.238 7.195 7.180 7.141 7.104
99-25 7.234 7.186 7.169 7.125 7.082
99-26 7.231 7.177 7.158 7.108 7.061
99-27 7.228 7.168 7.146 7.092 7.039
99-28 7.224 7.159 7.135 7.075 7.017
99-29 7.221 7.149 7.124 7.058 6.995
99-30 7.218 7.140 7.112 7.042 6.974
99-31 7.214 7.131 7.101 7.025 6.952
*100-0 7.211 7.122 7.090 7.008 6.930
100-1 7.207 7.113 7.079 6.992 6.908
100-2 7.204 7.103 7.067 6.975 6.887
100-3 7.201 7.094 7.056 6.959 6.865
100-4 7.197 7.085 7.045 6.942 6.843
100-5 7.194 7.076 7.033 6.926 6.822
100-6 7.191 7.067 7.022 6.909 6.800
100-7 7.187 7.057 7.011 6.892 6.778
100-8 7.184 7.048 7.000 6.876 6.757
100-9 7.180 7.039 6.988 6.859 6.735
100-10 7.177 7.030 6.977 6.843 6.713
100-11 7.174 7.021 6.966 6.826 6.692
AVG LIFE 15.94 4.02 3.18 2.08 1.56
DURATION 9.22 3.38 2.76 1.87 1.43
FIRST PAY 11/14 2/03 7/02 9/01 4/01
LAST PAY 9/19 1/05 12/03 5/02 10/01
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<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-4
0% 80% 100% 150% 200%
(PRICING)
99-20.50 7.532 7.519 7.512 7.492 7.473
99-21.50 7.529 7.513 7.504 7.480 7.456
99-22.50 7.527 7.507 7.497 7.468 7.439
99-23.50 7.524 7.501 7.489 7.456 7.423
99-24.50 7.521 7.495 7.482 7.443 7.406
99-25.50 7.518 7.489 7.474 7.431 7.389
99-26.50 7.515 7.483 7.466 7.419 7.373
99-27.50 7.512 7.477 7.459 7.407 7.356
99-28.50 7.509 7.471 7.451 7.395 7.339
99-29.50 7.506 7.466 7.444 7.383 7.323
99-30.50 7.503 7.460 7.436 7.371 7.306
*99-31.50 7.501 7.454 7.429 7.358 7.290
100-00.50 7.498 7.448 7.421 7.346 7.273
100-01.50 7.495 7.442 7.413 7.334 7.256
100-02.50 7.492 7.436 7.406 7.322 7.240
100-03.50 7.489 7.430 7.398 7.310 7.223
100-04.50 7.486 7.424 7.391 7.298 7.207
100-05.50 7.483 7.418 7.383 7.286 7.190
100-06.50 7.480 7.412 7.376 7.274 7.174
100-07.50 7.478 7.406 7.368 7.262 7.157
100-08.50 7.475 7.400 7.361 7.250 7.141
100-09.50 7.472 7.394 7.353 7.238 7.124
100-10.50 7.469 7.389 7.346 7.225 7.107
AVG LIFE 23.62 7.00 5.13 2.96 2.09
DURATION 10.79 5.25 4.12 2.57 1.88
FIRST PAY 9/19 1/05 12/03 5/02 10/01
LAST PAY 9/26 2/10 9/06 10/03 5/02
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<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-5
0% 80% 100% 150% 200%
(PRICING)
99-20.50 7.870 7.862 7.858 7.844 7.817
99-21.50 7.867 7.857 7.853 7.836 7.804
99-22.50 7.864 7.853 7.848 7.828 7.791
99-23.50 7.862 7.848 7.842 7.820 7.777
99-24.50 7.859 7.844 7.837 7.812 7.764
99-25.50 7.856 7.840 7.832 7.804 7.751
99-26.50 7.853 7.835 7.827 7.796 7.738
99-27.50 7.850 7.831 7.821 7.788 7.724
99-28.50 7.847 7.826 7.816 7.780 7.711
99-29.50 7.845 7.822 7.811 7.772 7.698
99-30.50 7.842 7.817 7.806 7.764 7.685
*99-31.50 7.839 7.813 7.800 7.756 7.671
100-00.50 7.836 7.808 7.795 7.748 7.658
100-01.50 7.833 7.804 7.790 7.740 7.645
100-02.50 7.830 7.799 7.785 7.732 7.632
100-03.50 7.828 7.795 7.780 7.724 7.618
100-04.50 7.825 7.791 7.774 7.716 7.605
100-05.50 7.822 7.786 7.769 7.708 7.592
100-06.50 7.819 7.782 7.764 7.701 7.579
100-07.50 7.816 7.777 7.759 7.693 7.565
100-08.50 7.813 7.773 7.753 7.685 7.552
100-09.50 7.811 7.768 7.748 7.677 7.539
100-10.50 7.808 7.764 7.743 7.669 7.526
AVG LIFE 27.07 10.57 8.37 4.85 2.69
DURATION 10.99 6.99 5.96 3.90 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 1/27 7/10 7/08 7/05 12/02
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<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IA-6
0% 80% 100% 150% 200%
(PRICING)
99-21 7.497 7.490 7.489 7.483 7.474
99-22 7.492 7.484 7.482 7.476 7.465
99-23 7.488 7.478 7.476 7.468 7.455
99-24 7.483 7.472 7.470 7.461 7.446
99-25 7.478 7.466 7.463 7.453 7.437
99-26 7.474 7.459 7.457 7.446 7.427
99-27 7.469 7.453 7.451 7.438 7.418
99-28 7.464 7.447 7.444 7.430 7.409
99-29 7.460 7.441 7.438 7.423 7.399
99-30 7.455 7.435 7.432 7.415 7.390
99-31 7.450 7.429 7.426 7.408 7.380
*100-0 7.446 7.423 7.419 7.401 7.371
100-1 7.441 7.417 7.413 7.393 7.362
100-2 7.437 7.411 7.407 7.386 7.352
100-3 7.432 7.405 7.400 7.378 7.343
100-4 7.427 7.399 7.394 7.371 7.334
100-5 7.423 7.393 7.388 7.363 7.324
100-6 7.418 7.387 7.381 7.356 7.315
100-7 7.414 7.381 7.375 7.348 7.306
100-8 7.409 7.374 7.369 7.341 7.296
100-9 7.404 7.368 7.363 7.333 7.287
100-10 7.400 7.362 7.356 7.326 7.278
100-11 7.395 7.356 7.350 7.318 7.269
AVG LIFE 9.82 6.82 6.48 5.17 3.97
DURATION 6.72 5.12 4.93 4.15 3.33
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 7/08 7/05 12/03
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[FIRST UNION LOGO]
45
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-1
0% 80% 100% 150% 200%
(PRICING)
99-21 7.880 7.864 7.858 7.846 7.842
99-22 7.877 7.858 7.851 7.837 7.832
99-23 7.874 7.852 7.844 7.828 7.823
99-24 7.870 7.846 7.837 7.819 7.813
99-25 7.867 7.840 7.830 7.809 7.803
99-26 7.864 7.834 7.823 7.800 7.793
99-27 7.861 7.828 7.815 7.791 7.783
99-28 7.858 7.822 7.808 7.782 7.773
99-29 7.855 7.816 7.801 7.773 7.763
99-30 7.851 7.810 7.794 7.763 7.753
99-31 7.848 7.803 7.787 7.754 7.743
*100-0 7.845 7.797 7.780 7.745 7.733
100-1 7.842 7.791 7.773 7.736 7.723
100-2 7.839 7.785 7.766 7.727 7.713
100-3 7.835 7.779 7.759 7.717 7.703
100-4 7.832 7.773 7.752 7.708 7.694
100-5 7.829 7.767 7.744 7.699 7.684
100-6 7.826 7.761 7.737 7.690 7.674
100-7 7.823 7.755 7.730 7.681 7.664
100-8 7.820 7.749 7.723 7.672 7.654
100-9 7.816 7.743 7.716 7.662 7.644
100-10 7.813 7.737 7.709 7.653 7.634
100-11 7.810 7.731 7.702 7.644 7.624
AVG LIFE 20.62 7.09 5.73 4.11 3.74
DURATION 9.78 5.15 4.38 3.38 3.14
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
46
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IM-2
0% 80% 100% 150% 200%
(PRICING)
99-21 8.385 8.366 8.359 8.344 8.337
99-22 8.381 8.359 8.351 8.334 8.326
99-23 8.378 8.353 8.344 8.325 8.315
99-24 8.375 8.347 8.337 8.316 8.305
99-25 8.371 8.341 8.330 8.306 8.294
99-26 8.368 8.335 8.322 8.297 8.284
99-27 8.365 8.329 8.315 8.287 8.273
99-28 8.361 8.322 8.308 8.278 8.263
99-29 8.358 8.316 8.301 8.268 8.252
99-30 8.355 8.310 8.294 8.259 8.242
99-31 8.351 8.304 8.286 8.249 8.231
*100-0 8.348 8.298 8.279 8.240 8.221
100-1 8.345 8.292 8.272 8.231 8.210
100-2 8.341 8.285 8.265 8.221 8.200
100-3 8.338 8.279 8.257 8.212 8.189
100-4 8.335 8.273 8.250 8.202 8.179
100-5 8.331 8.267 8.243 8.193 8.168
100-6 8.328 8.261 8.236 8.184 8.158
100-7 8.325 8.255 8.229 8.174 8.147
100-8 8.322 8.249 8.222 8.165 8.137
100-9 8.318 8.242 8.214 8.155 8.126
100-10 8.315 8.236 8.207 8.146 8.116
100-11 8.312 8.230 8.200 8.137 8.105
AVG LIFE 20.62 7.09 5.73 4.06 3.54
DURATION 9.40 5.05 4.32 3.30 2.96
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
- --------------------------------------------------------------------------------
[FIRST UNION LOGO]
47
<PAGE>
YIELD GIVEN PRICES TABLE (TO 10% CALL)
BOND IB
0% 80% 100% 150% 200%
(PRICING)
98-6 9.309 9.422 9.464 9.554 9.607
98-7 9.305 9.415 9.456 9.544 9.595
98-8 9.302 9.409 9.449 9.534 9.584
98-9 9.298 9.402 9.441 9.525 9.573
98-10 9.295 9.396 9.434 9.515 9.562
98-11 9.291 9.389 9.426 9.505 9.550
98-12 9.287 9.383 9.418 9.495 9.539
98-13 9.284 9.376 9.411 9.485 9.528
98-14 9.280 9.370 9.403 9.475 9.516
98-15 9.277 9.363 9.396 9.465 9.505
98-16 9.273 9.357 9.388 9.455 9.494
*98-17 9.270 9.350 9.380 9.445 9.482
98-18 9.266 9.344 9.373 9.435 9.471
98-19 9.262 9.337 9.365 9.425 9.460
98-20 9.259 9.331 9.358 9.415 9.449
98-21 9.255 9.324 9.350 9.405 9.437
98-22 9.252 9.318 9.342 9.395 9.426
98-23 9.248 9.311 9.335 9.385 9.415
98-24 9.244 9.305 9.327 9.376 9.404
98-25 9.241 9.298 9.320 9.366 9.392
98-26 9.237 9.292 9.312 9.356 9.381
98-27 9.234 9.285 9.305 9.346 9.370
98-28 9.230 9.279 9.297 9.336 9.359
AVG LIFE 20.53 7.00 5.66 3.98 3.39
DURATION 8.79 4.85 4.15 3.18 2.80
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/27 7/10 7/08 7/05 12/03
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
48
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIA-1
0% 80% 100% 150% 200%
(PRICING)
99-21 36.296 46.238 49.448 61.199 73.733
99-22 35.995 45.031 47.948 58.629 70.021
99-23 35.695 43.825 46.449 56.060 66.310
99-24 35.395 42.619 44.951 53.492 62.602
99-25 35.095 41.414 43.454 50.926 58.895
99-26 34.795 40.210 41.958 48.361 55.190
99-27 34.496 39.007 40.463 45.797 51.487
99-28 34.196 37.804 38.968 43.235 47.786
99-29 33.897 36.602 37.475 40.674 44.087
99-30 33.598 35.401 35.982 38.115 40.389
99-31 33.299 34.200 34.491 35.557 36.694
100-0 33.000 33.000 33.000 33.000 33.000
100-1 32.701 31.801 31.510 30.445 29.308
100-2 32.403 30.602 30.021 27.891 25.618
100-3 32.104 29.405 28.533 25.338 21.930
100-4 31.806 28.208 27.046 22.786 18.243
100-5 31.508 27.011 25.559 20.236 14.559
100-6 31.210 25.816 24.074 17.688 10.876
100-7 30.912 24.621 22.589 15.141 7.195
100-8 30.615 23.427 21.106 12.595 3.516
100-9 30.317 22.233 19.623 10.050 -0.161
100-10 30.020 21.040 18.141 7.507 -3.836
100-11 29.722 19.848 16.660 4.965 -7.510
AVG LIFE 20.45 3.08 2.39 1.29 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 1/29 3/09 3/07 5/04 4/02
- --------------------------------------------------------------------------------
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[FIRST UNION LOGO]
49
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-1
0% 80% 100% 150% 200%
(PRICING)
99-21 67.854 72.117 73.316 74.075 79.619
99-22 67.594 71.468 72.559 73.248 78.288
99-23 67.334 70.820 71.801 72.422 76.957
99-24 67.074 70.173 71.045 71.596 75.626
99-25 66.815 69.525 70.288 70.771 74.297
99-26 66.555 68.878 69.532 69.945 72.967
99-27 66.296 68.231 68.776 69.120 71.638
99-28 66.036 67.584 68.020 68.296 70.310
99-29 65.777 66.938 67.265 67.471 68.981
99-30 65.518 66.292 66.509 66.647 67.654
99-31 65.259 65.646 65.755 65.824 66.327
100-0 65.000 65.000 65.000 65.000 65.000
100-1 64.741 64.355 64.246 64.177 63.674
100-2 64.483 63.709 63.492 63.354 62.348
100-3 64.224 63.065 62.738 62.531 61.023
100-4 63.966 62.420 61.985 61.709 59.698
100-5 63.708 61.776 61.232 60.887 58.373
100-6 63.450 61.131 60.479 60.065 57.049
100-7 63.192 60.488 59.726 59.243 55.726
100-8 62.934 59.844 58.974 58.422 54.403
100-9 62.676 59.201 58.222 57.601 53.080
100-10 62.419 58.558 57.470 56.781 51.758
100-11 62.161 57.915 56.719 55.960 50.436
AVG LIFE 27.34 6.04 4.93 4.37 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 1/29 3/09 3/07 5/04 10/02
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
50
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIM-2
0% 80% 100% 150% 200%
(PRICING)
99-21 117.992 122.233 123.518 125.041 127.781
99-22 117.72 121.574 122.742 124.127 126.617
99-23 117.447 120.916 121.967 123.213 125.453
99-24 117.175 120.257 121.192 122.299 124.29
99-25 116.902 119.599 120.417 121.385 123.128
99-26 116.63 118.941 119.642 120.472 121.965
99-27 116.358 118.284 118.867 119.559 120.803
99-28 116.086 117.626 118.093 118.647 119.642
99-29 115.814 116.969 117.32 117.735 118.481
99-30 115.543 116.313 116.546 116.823 117.320
99-31 115.271 115.656 115.773 115.911 116.160
100-0 115.000 115.000 115.000 115.000 115.000
100-1 114.729 114.344 114.227 114.089 113.841
100-2 114.458 113.688 113.455 113.178 112.681
100-3 114.187 113.033 112.683 112.268 111.523
100-4 113.916 112.378 111.911 111.358 110.364
100-5 113.645 111.723 111.14 110.449 109.207
100-6 113.375 111.068 110.369 109.539 108.049
100-7 113.104 110.414 109.598 108.63 106.892
100-8 112.834 109.76 108.828 107.722 105.735
100-9 112.564 109.106 108.057 106.813 104.579
100-10 112.294 108.452 107.288 105.905 103.423
100-11 112.024 107.799 106.518 104.997 102.268
AVG LIFE 27.34 6.04 4.88 3.93 2.98
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
51
<PAGE>
DISCOUNT MARGIN TABLE (TO 10% CALL)
BOND IIB
0% 80% 100% 150% 200%
(PRICING)
99-21 273.436 277.584 278.909 281.015 282.978
99-22 273.123 276.893 278.098 280.012 281.796
99-23 272.810 276.203 277.286 279.009 280.614
99-24 272.497 275.512 276.476 278.006 279.433
99-25 272.184 274.822 275.665 277.004 278.253
99-26 271.872 274.133 274.855 276.003 277.073
99-27 271.559 273.443 274.045 275.001 275.893
99-28 271.247 272.754 273.235 274.000 274.713
99-29 270.935 272.065 272.426 273.000 273.534
99-30 270.623 271.376 271.617 271.999 272.356
99-31 270.312 270.688 270.808 271.000 271.178
100-0 270.000 270.000 270.000 270.000 270.000
100-1 269.689 269.312 269.192 269.001 268.823
100-2 269.377 268.625 268.384 268.002 267.646
100-3 269.066 267.938 267.577 267.004 266.469
100-4 268.755 267.251 266.770 266.005 265.293
100-5 268.445 266.564 265.963 265.008 264.118
100-6 268.134 265.878 265.157 264.010 262.942
100-7 267.824 265.192 264.351 263.013 261.767
100-8 267.514 264.506 263.545 262.017 260.593
100-9 267.204 263.820 262.740 261.020 259.419
100-10 266.894 263.135 261.934 260.024 258.245
100-11 266.584 262.450 261.130 259.029 257.072
AVG LIFE 27.34 6.04 4.84 3.66 3.01
FIRST PAY 3/24 1/03 1/03 3/03 12/02
LAST PAY 1/29 3/09 3/07 5/04 12/02
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
52
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-5
0% 80% 100% 150% 200%
(PRICING)
99-20.50 7.877 7.928 7.940 7.898 7.817
99-21.50 7.874 7.924 7.935 7.890 7.804
99-22.50 7.871 7.920 7.931 7.883 7.791
99-23.50 7.869 7.916 7.926 7.876 7.777
99-24.50 7.866 7.913 7.922 7.869 7.764
99-25.50 7.863 7.909 7.917 7.861 7.751
99-26.50 7.860 7.905 7.913 7.854 7.738
99-27.50 7.857 7.901 7.908 7.847 7.724
99-28.50 7.855 7.897 7.904 7.840 7.711
99-29.50 7.852 7.893 7.900 7.833 7.698
99-30.50 7.849 7.889 7.895 7.825 7.685
*99-31.50 7.846 7.885 7.891 7.818 7.671
100-00.50 7.843 7.881 7.886 7.811 7.658
100-01.50 7.841 7.877 7.882 7.804 7.645
100-02.50 7.838 7.873 7.877 7.797 7.632
100-03.50 7.835 7.870 7.873 7.789 7.618
100-04.50 7.832 7.866 7.869 7.782 7.605
100-05.50 7.829 7.862 7.864 7.775 7.592
100-06.50 7.827 7.858 7.860 7.768 7.579
100-07.50 7.824 7.854 7.855 7.761 7.565
100-08.50 7.821 7.850 7.851 7.754 7.552
100-09.50 7.818 7.846 7.847 7.746 7.539
100-10.50 7.816 7.842 7.842 7.739 7.526
AVG LIFE 28.37 13.28 10.89 5.64 2.69
DURATION 11.14 7.98 7.02 4.33 2.35
FIRST PAY 9/26 2/10 9/06 10/03 5/02
LAST PAY 9/29 9/19 2/16 3/12 12/02
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
53
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IA-6
0% 80% 100% 150% 200%
(PRICING)
99-21 7.497 7.490 7.489 7.488 7.483
99-22 7.492 7.484 7.483 7.481 7.476
99-23 7.488 7.478 7.476 7.474 7.468
99-24 7.483 7.472 7.470 7.468 7.461
99-25 7.478 7.466 7.464 7.461 7.453
99-26 7.474 7.459 7.458 7.455 7.446
99-27 7.469 7.453 7.451 7.448 7.438
99-28 7.464 7.447 7.445 7.442 7.431
99-29 7.460 7.441 7.439 7.435 7.423
99-30 7.455 7.435 7.432 7.429 7.416
99-31 7.450 7.429 7.426 7.422 7.408
*100-0 7.446 7.423 7.420 7.415 7.401
100-1 7.441 7.417 7.414 7.409 7.393
100-2 7.437 7.411 7.407 7.402 7.386
100-3 7.432 7.405 7.401 7.396 7.378
100-4 7.427 7.399 7.395 7.389 7.371
100-5 7.423 7.393 7.389 7.383 7.363
100-6 7.418 7.387 7.382 7.376 7.356
100-7 7.414 7.381 7.376 7.370 7.348
100-8 7.409 7.374 7.370 7.363 7.341
100-9 7.404 7.368 7.364 7.357 7.333
100-10 7.400 7.362 7.357 7.350 7.326
100-11 7.395 7.356 7.351 7.344 7.318
AVG LIFE 9.82 6.82 6.54 6.19 5.22
DURATION 6.72 5.12 4.96 4.75 4.16
FIRST PAY 1/03 1/03 1/03 5/03 12/02
LAST PAY 9/11 6/09 5/09 6/09 8/08
- --------------------------------------------------------------------------------
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
54
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-1
0% 80% 100% 150% 200%
(PRICING)
99-21 7.880 7.865 7.860 7.849 7.845
99-22 7.877 7.859 7.853 7.840 7.835
99-23 7.874 7.854 7.846 7.831 7.826
99-24 7.871 7.848 7.839 7.823 7.816
99-25 7.867 7.842 7.833 7.814 7.807
99-26 7.864 7.836 7.826 7.805 7.797
99-27 7.861 7.830 7.819 7.796 7.788
99-28 7.858 7.824 7.812 7.788 7.778
99-29 7.855 7.819 7.805 7.779 7.769
99-30 7.851 7.813 7.799 7.770 7.759
99-31 7.848 7.807 7.792 7.761 7.750
*100-0 7.845 7.801 7.785 7.753 7.740
100-1 7.842 7.795 7.778 7.744 7.731
100-2 7.839 7.790 7.772 7.735 7.721
100-3 7.836 7.784 7.765 7.726 7.712
100-4 7.832 7.778 7.758 7.718 7.703
100-5 7.829 7.772 7.751 7.709 7.693
100-6 7.826 7.766 7.745 7.700 7.684
100-7 7.823 7.761 7.738 7.692 7.674
100-8 7.820 7.755 7.731 7.683 7.665
100-9 7.817 7.749 7.724 7.674 7.655
100-10 7.813 7.743 7.718 7.665 7.646
100-11 7.810 7.737 7.711 7.657 7.636
AVG LIFE 20.88 7.62 6.19 4.42 3.95
DURATION 9.81 5.35 4.59 3.56 3.28
FIRST PAY 11/14 6/03 1/03 3/03 6/03
LAST PAY 3/29 11/14 1/13 7/08 1/06
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
55
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IM-2
0% 80% 100% 150% 200%
(PRICING)
99-21 8.385 8.367 8.360 8.346 8.339
99-22 8.381 8.361 8.353 8.337 8.329
99-23 8.378 8.355 8.346 8.328 8.319
99-24 8.375 8.349 8.339 8.319 8.308
99-25 8.371 8.343 8.332 8.310 8.298
99-26 8.368 8.337 8.325 8.301 8.288
99-27 8.365 8.331 8.318 8.292 8.278
99-28 8.361 8.325 8.311 8.283 8.268
99-29 8.358 8.319 8.304 8.273 8.257
99-30 8.355 8.313 8.297 8.264 8.247
99-31 8.351 8.307 8.290 8.255 8.237
*100-0 8.348 8.301 8.283 8.246 8.227
100-1 8.345 8.295 8.276 8.237 8.217
100-2 8.342 8.289 8.269 8.228 8.207
100-3 8.338 8.283 8.262 8.219 8.196
100-4 8.335 8.277 8.255 8.210 8.186
100-5 8.332 8.271 8.248 8.201 8.176
100-6 8.328 8.265 8.241 8.192 8.166
100-7 8.325 8.259 8.235 8.183 8.156
100-8 8.322 8.253 8.228 8.174 8.146
100-9 8.319 8.247 8.221 8.165 8.136
100-10 8.315 8.241 8.214 8.156 8.126
100-11 8.312 8.235 8.207 8.147 8.115
AVG LIFE 20.83 7.50 6.06 4.28 3.69
DURATION 9.42 5.20 4.46 3.43 3.06
FIRST PAY 11/14 6/03 1/03 2/03 3/03
LAST PAY 10/28 3/14 7/11 7/07 5/05
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
56
<PAGE>
YIELD GIVEN PRICES TABLE (TO MATURITY)
BOND IB
0% 80% 100% 150% 200%
(PRICING)
98-6 9.309 9.420 9.462 9.551 9.603
98-7 9.305 9.414 9.454 9.541 9.592
98-8 9.302 9.407 9.447 9.531 9.581
98-9 9.298 9.401 9.439 9.521 9.569
98-10 9.295 9.394 9.432 9.511 9.558
98-11 9.291 9.388 9.424 9.502 9.547
98-12 9.287 9.381 9.416 9.492 9.536
98-13 9.284 9.375 9.409 9.482 9.525
98-14 9.280 9.368 9.401 9.472 9.513
98-15 9.277 9.362 9.394 9.462 9.502
98-16 9.273 9.355 9.386 9.452 9.491
*98-17 9.269 9.349 9.379 9.442 9.480
98-18 9.266 9.343 9.371 9.433 9.469
98-19 9.262 9.336 9.364 9.423 9.457
98-20 9.259 9.330 9.356 9.413 9.446
98-21 9.255 9.323 9.349 9.403 9.435
98-22 9.252 9.317 9.341 9.393 9.424
98-23 9.248 9.310 9.334 9.383 9.413
98-24 9.244 9.304 9.326 9.374 9.402
98-25 9.241 9.297 9.319 9.364 9.390
98-26 9.237 9.291 9.311 9.354 9.379
98-27 9.234 9.285 9.304 9.344 9.368
98-28 9.230 9.278 9.296 9.334 9.357
AVG LIFE 20.59 7.10 5.73 4.03 3.42
DURATION 8.80 4.88 4.19 3.21 2.82
FIRST PAY 11/14 6/03 1/03 1/03 2/03
LAST PAY 1/28 4/12 12/09 6/06 8/04
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DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
57
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIA-1
0% 80% 100% 150% 200%
(PRICING)
99-21 36.308 47.088 50.275 61.472 73.733
99-22 36.008 45.934 48.851 59.049 70.021
99-23 35.708 44.780 47.428 56.626 66.310
99-24 35.408 43.627 46.006 54.206 62.602
99-25 35.108 42.475 44.584 51.786 58.895
99-26 34.809 41.323 43.164 49.369 55.190
99-27 34.509 40.173 41.745 46.953 51.487
99-28 34.210 39.023 40.326 44.538 47.786
99-29 33.911 37.874 38.909 42.125 44.087
99-30 33.612 36.725 37.493 39.714 40.389
99-31 33.313 35.578 36.077 37.304 36.694
100-0 33.014 34.431 34.662 34.896 33.000
100-1 32.716 33.285 33.249 32.489 29.308
100-2 32.417 32.139 31.836 30.084 25.618
100-3 32.119 30.995 30.425 27.680 21.930
100-4 31.821 29.851 29.014 25.278 18.243
100-5 31.523 28.708 27.604 22.877 14.559
100-6 31.225 27.566 26.195 20.478 10.876
100-7 30.927 26.424 24.787 18.081 7.195
100-8 30.630 25.284 23.380 15.685 3.516
100-9 30.332 24.144 21.974 13.290 -0.161
100-10 30.035 23.004 20.569 10.897 -3.836
100-11 29.738 21.866 19.165 8.506 -7.510
AVG LIFE 20.49 3.35 2.60 1.41 0.87
FIRST PAY 1/00 1/00 1/00 1/00 1/00
LAST PAY 11/29 4/20 3/16 1/10 4/02
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[FIRST UNION LOGO]
58
<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-1
0% 80% 100% 150% 200%
(PRICING)
99-21 67.880 73.488 74.746 76.466 79.619
99-22 67.620 72.876 74.034 75.724 78.288
99-23 67.360 72.263 73.322 74.982 76.957
99-24 67.101 71.651 72.610 74.241 75.626
99-25 66.841 71.039 71.899 73.500 74.297
99-26 66.582 70.427 71.188 72.759 72.967
99-27 66.323 69.816 70.477 72.018 71.638
99-28 66.063 69.204 69.766 71.278 70.310
99-29 65.804 68.593 69.056 70.538 68.981
99-30 65.546 67.983 68.346 69.798 67.654
99-31 65.287 67.372 67.637 69.059 66.327
100-0 65.028 66.762 66.927 68.320 65.000
100-1 64.770 66.152 66.218 67.581 63.674
100-2 64.511 65.543 65.510 66.842 62.348
100-3 64.253 64.933 64.801 66.103 61.023
100-4 63.995 64.324 64.093 65.365 59.698
100-5 63.737 63.715 63.385 64.627 58.373
100-6 63.479 63.107 62.678 63.890 57.049
100-7 63.221 62.499 61.970 63.152 55.726
100-8 62.964 61.891 61.263 62.415 54.403
100-9 62.706 61.283 60.557 61.678 53.080
100-10 62.449 60.675 59.850 60.942 51.758
100-11 62.192 60.068 59.144 60.206 50.436
AVG LIFE 27.43 6.67 5.43 5.00 2.55
FIRST PAY 3/24 1/03 4/03 1/04 4/02
LAST PAY 10/29 7/16 2/13 1/08 10/02
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
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<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIM-2
0% 80% 100% 150% 200%
(PRICING)
99-21 118.033 124.607 126.077 127.456 140.071
99-22 117.760 123.980 125.343 126.589 139.227
99-23 117.488 123.353 124.608 125.721 138.384
99-24 117.216 122.726 123.874 124.854 137.541
99-25 116.944 122.100 123.140 123.988 136.699
99-26 116.672 121.474 122.407 123.121 135.857
99-27 116.400 120.848 121.674 122.255 135.015
99-28 116.128 120.223 120.941 121.390 134.173
99-29 115.857 119.598 120.208 120.524 133.332
99-30 115.585 118.973 119.476 119.659 132.491
99-31 115.314 118.348 118.744 118.794 131.650
100-0 115.043 117.724 118.012 117.930 130.810
100-1 114.772 117.100 117.281 117.066 129.970
100-2 114.501 116.476 116.550 116.202 129.130
100-3 114.230 115.852 115.819 115.338 128.291
100-4 113.960 115.229 115.089 114.475 127.452
100-5 113.689 114.606 114.359 113.612 126.613
100-6 113.419 113.983 113.629 112.750 125.775
100-7 113.149 113.361 112.899 111.887 124.937
100-8 112.879 112.739 112.170 111.025 124.099
100-9 112.609 112.117 111.441 110.164 123.262
100-10 112.339 111.495 110.712 109.302 122.425
100-11 112.069 110.874 109.984 108.441 121.588
AVG LIFE 27.42 6.59 5.31 4.21 4.39
FIRST PAY 3/24 1/03 2/03 6/03 10/02
LAST PAY 9/29 12/14 10/11 3/07 10/06
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
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<PAGE>
DISCOUNT MARGIN TABLE (TO MATURITY)
BOND IIB
0% 80% 100% 150% 200%
(PRICING)
99-21 273.490 281.267 283.002 285.303 306.289
99-22 273.177 280.597 282.218 284.335 305.333
99-23 272.864 279.928 281.434 283.367 304.378
99-24 272.551 279.258 280.650 282.400 303.423
99-25 272.238 278.589 279.867 281.433 302.468
99-26 271.926 277.921 279.084 280.467 301.514
99-27 271.614 277.252 278.302 279.501 300.560
99-28 271.302 276.584 277.520 278.535 299.606
99-29 270.990 275.916 276.738 277.570 298.653
99-30 270.678 275.249 275.956 276.605 297.700
99-31 270.367 274.581 275.175 275.640 296.747
100-0 270.055 273.914 274.394 274.676 295.795
100-1 269.744 273.248 273.613 273.712 294.843
100-2 269.433 272.581 272.833 272.748 293.891
100-3 269.122 271.915 272.053 271.785 292.940
100-4 268.811 271.249 271.273 270.822 291.989
100-5 268.501 270.584 270.494 269.859 291.039
100-6 268.190 269.918 269.715 268.897 290.089
100-7 267.880 269.253 268.936 267.935 289.139
100-8 267.570 268.589 268.158 266.974 288.189
100-9 267.260 267.924 267.380 266.013 287.240
100-10 266.950 267.260 266.602 265.052 286.291
100-11 266.641 266.596 265.825 264.092 285.343
AVG LIFE 27.40 6.39 5.12 3.83 3.87
FIRST PAY 3/24 1/03 1/03 3/03 5/03
LAST PAY 8/29 2/13 4/10 4/06 5/04
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT FIRST UNION SECURITIES, INC. IMMEDIATELY.
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[FIRST UNION LOGO]
61
