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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: June 9, 1999
(Date of earliest event reported)
Commission File No. 333-64131
Chase Funding, Inc.
- -------------------------------------------------------------------------------
New York 13-3840732
- -------------------------------------------------------------------------------
(State of Incorporation) (I.R.S. Employer
Identification No.)
343 Thornall Street
Edison, New Jersey 08837
- -------------------------------------------------------------------------------
Address of principal executive offices (Zip Code)
(732) 205-0600
- -------------------------------------------------------------------------------
Registrant's Telephone Number, including area code
- -------------------------------------------------------------------------------
(Former name, former address and former fiscal year,
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 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., Lehman Brothers Inc. and Prudential Securities Incorporated
(collectively, the "Underwriters") in respect of the Registrant's proposed
offering of Chase Funding Mortgage Loan Asset-Backed Certificates, Series 1999-2
(the "Certificates").
The Certificates will be offered pursuant to a Prospectus and
related Prospectus Supplement (together, the "Prospectus"), which will be filed
with the Commission pursuant to Rule 424 under the Securities Act of 1933, as
amended (the "Act"). The Certificates will be registered pursuant to the Act
under the Registrant's Registration Statement on Form S-3 (No. 333-64131) (the
"Registration Statement"). The Registrant hereby incorporates the Structural
Term Sheets, Collateral Term Sheets and Computational Materials by reference in
the Registration Statement.
The Structural Term Sheets, Collateral Term Sheets and Computational
Materials were prepared solely by the Underwriters, and the Registrant did not
prepare or participate in the preparation of the Structural Term Sheets,
Collateral Term Sheets or Computation Materials.
Any statement or information contained in the Structural Term
Sheets, Collateral Term Sheets or Computational Materials shall be deemed to be
modified or superseded for purposes of the Prospectus and the Registration
Statement by statements or information contained in the Prospectus.
<PAGE>
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION 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., Lehman Brothers
Inc. and Prudential Securities
Incorporated in connection with
Chase Funding Mortgage Loan
Asset-Backed Certificates, Series
1999-2.
<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: June 10, 1999
By: /S/ EILEEN LINDBLOM
-------------------------------------
Name: Eileen Lindblom
Title: Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Structural Term Sheets, E
Collateral Term Sheets and
Computational Materials
prepared by Chase Securities
Inc., Lehman Brothers Inc.
and Prudential Securities
Incorporated in connection
with Chase Funding Mortgage
Loan Asset-Backed
Certificates, Series 1999-2.
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
$580,000,000 (APPROXIMATE)
Subject to Revision
June 9, 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 therein.
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>
TERM SHEET
JUNE 9, 1999
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 1999-2
$580,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<TABLE>
<CAPTION>
- ------------------- ------------------- ----------------------- ---------- ----------------- -------------------------- -----------
RATINGS EXP FINAL
CLASS AMOUNT (MOODY'S /FITCH) WAL BOND TYPE COUPON(3) MATURITY(1)
- ----- ------ --------------- ---- --------- --------- -----------
- ------------------- ------------------- ----------------------- ---------- ----------------- -------------------------- -----------
<S> <C> <C> <C> <C> <C> <C>
IA-1 $ 76,619,000 Aaa/AAA 1.04 SEQ 1M Libor + [ ](2),(4) 6/01
ARM
IA-2 $ 52,940,000 Aaa/AAA 3.05 SEQ Fixed(2) 3/04
IA-3 $ 5,000,000 Aaa/AAA 5.06 SEQ Fixed(2) 11/04
IA-4 $ 19,441,000 Aaa/AAA 7.58 SEQ Fixed(2) 12/07
IA-5 NAS $ 24,000,000 Aaa/AAA 6.54 NAS Fixed(2) 12/07
IM-1 $ 9,000,000 Aa2/AA 5.70 MEZ Fixed(2) 12/07
IM-2 $ 7,500,000 A2/A 5.70 MEZ Fixed(2) 12/07
IB $ 5,500,000 Baa2/BBB 5.58 SUB Fixed(2) 12/07
IIA-1 $323,950,000 Aaa/AAA 2.47 Pass-thru 1M Libor + [ ](5) 9/06
IIM-1 $ 22,800,000 Aa2/AA 4.94 MEZ 1M Libor + [ ](5) 9/06
IIM-2 $ 18,050,000 A2/A 4.89 MEZ 1M Libor + [ ](5) 9/06
IIB $ 15,200,000 Baa2/BBB 4.84 SUB 1M Libor + [ ](5) 9/06
- ------------------- ------------------- ----------------------- ---------- ----------------- -------------------------- -----------
</TABLE>
- -----------------
(1) The Group 1 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 an available funds cap.
(3) If the 10% cleanup call is not exercised on the first distribution date on
which it is exercisable, the coupon on the Class IA-4 Certificates will
increase by 50 bps, the coupon on the Class IIA-1 Certificates will
increase by 2x the IIA-1 margin, and the coupon on the Class IIM-1, IIM-2
and IIB Certificates will increase by 1.5x their related margins.
(4) The coupon for the Class IA-1 Certificates is the lesser of (i) 1M Libor +
[ ] and (ii) the weighted average gross mortgage interest rate of the Group
I loans minus approximately 51 bps.
(5) Subject to an available funds cap and a maximum funds cap.
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]
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 1999-2,consisting of:
IA-1, IA-2, IA-3, IA-4, IA-5
IM-1, IM-2
IB
Group I Certificates
and
IIA-1
IIM-1, IIM-2
IIB
Group II Certificates
UNDERWRITERS: Chase Securities Inc., Lehman Brothers Inc.
and Prudential Securities Incorporated.
DEPOSITOR: Chase Funding, Inc.
SELLER AND MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: June 1, 1999
PRICING DATE: [June 11, 1999]
CLOSING DATE: [June 18, 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 July 1999.
ERISA CONSIDERATIONS: The Class IA and IIA-1 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 M-1 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.
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").
<PAGE>
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 plus the amount
initially on deposit in the Pre-Funding
Account related to such group (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.
PRE-FUNDED AMOUNTS: Group I
Certificates
Pre-Funded
Amount: [$50,000,000] (approximate)
Group II
Certificates
Pre-Funded
Amount: [$95,000,000] (approximate)
On the Closing Date, a portion of the
proceeds from the sale of the Certificates
(the "Group I and Group II Pre-Funded
Amounts") will be deposited with the Trustee
in a segregated account (the "Pre-Funding
Account") and used by the trust to purchase
Mortgage Loans after the Closing Date. The
Group I and Group II Pre-Funded Amounts will
be reduced during the Pre-Funding Period by
the amounts thereof used to fund such
purchases. Any amounts remaining in the
Pre-Funding Account following the
Pre-Funding Period will be (i) distributed
as principal to the Group I Certificates in
the case of amounts remaining which had been
allocated to fund the purchase of subsequent
Mortgage Loans which are fixed rate Mortgage
Loans, and (ii) distributed as principal to
the Group II Certificates in the case of
amounts remaining which had been allocated
to fund the purchase of subsequent Mortgage
Loans which are adjustable rate Mortgage
Loans
On the Closing Date, the Depositor will
establish a segregated account (the
"Capitalized Interest Account") which will
be applied to cover shortfalls in the amount
of interest generated by the Mortgage Loans
attributable to the pre-funding feature.
PRE-FUNDING PERIOD: [2 months]
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.
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
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 build up 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 cashflow
will be directed to build each 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.
GROUP I CERTIFICATES
Initial: 0.00% Target: 1.25% of original
Stepdown: 2.50% of current Floor: 0.50% of original
GROUP II CERTIFICATES
Initial: 0.00% Target: 1.75% of original
Stepdown: 3.50% of current Floor: 0.50% of original
(PRELIMINARY AND SUBJECT TO REVISION)
As described herein, upon the occurrence of
a Stepup Trigger Event, the required O/C
level with respect to Group II will be
increased.
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.
<PAGE>
GROUP I SUBORDINATION(1): (MOODY'S/FITCH) GROUP I (FIXED)
---------------
Class IA (Aaa/AAA) 12.250%
Class IM-1 (Aa2/AA) 7.750%
Class IM-2 (A2/A) 4.000%
Class IB (Baa2/BBB) 1.250%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I CLASS SIZES: (MOODY'S/FITCH) GROUP I (FIXED)
---------------
Class IA (Aaa/AAA) 89.000%
Class IM-1 (Aa2/AA) 4.500%
Class IM-2 (A2/A) 3.750%
Class IB (Baa2/BBB) 2.750%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II
SUBORDINATION(1): (MOODY'S/FITCH) GROUP II (ADJUSTABLE)
---------------------
Class IIA-1 (Aaa/AAA) 16.500%
Class IIM-1 (Aa2/AA) 10.500%
Class IIM-2 (A2/A) 5.750%
Class IIB (Baa2/BBB) 1.750%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CLASS SIZES: (MOODY'S/FITCH) GROUP II (ADJUSTABLE)
---------------------
Class IIA-1 (Aaa/AAA) 85.250%
Class IIM-1 (Aa2/AA) 6.000%
Class IIM-2 (A2/A) 4.750%
Class IIB (Baa2/BBB) 4.000%
(PRELIMINARY AND SUBJECT TO REVISION)
(1) The subordination percentage assumes that the target overcollateralization
level of 1.25% for Group I and 1.75% for Group II has been achieved. There will
be no overcollaterization as of the closing date.
<PAGE>
GROUP I
MORTGAGE LOANS: Fixed-Rate, First Lien Sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $200,000,000
PREPAYMENT
ASSUMPTION: 23% HEP (2.3% - 23% CPR Ramp over 10 months)
FIXED RATE AVAILABLE
FUNDS CAP: Preliminarily, the Pass-Through Rate of each
class of the Group I Certificates will be
subject to the Group I Available Funds 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 the day preceeding 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-4 Certificates will increase by 50
bps.
* The Mortgage Pool as of the Closing Date will include approximately
[$36,125,581] 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 at, and
will be filed with the Securities and Exchange Commission within fifteen days
of, the closing date. Also, approximately [$50,000,000] of the Pre-Funded
Fixed Rate Mortgage Loans are not included in the statistical information set
forth in this document.
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
GROUP I CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IM-1 IM-2 IB
------------ ----------- ------------ -------------- ------------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE
($MM) 76.619 52.940 5.000 19.441 24.000 9.000 7.500 5.500
EXPECTED RATINGS
MOODY'S Aaa Aaa Aaa Aaa Aaa Aa2 A2 Baa2
FITCH AAA AAA AAA AAA AAA AA A BBB
COUPON 1M Libor + Fixed(1) Fixed(1) Fixed(1),(2) Fixed(1) Fixed(1) Fixed(1) Fixed(1)
[ ](1),(4)
AVG LIFE 1.04 3.05 5.06 7.58 6.54 5.70 5.70 5.58
CALL (YRS) (3)
AVG LIFE 1.04 3.05 5.06 9.72 6.64 6.21 6.09 5.66
MAT (YRS) (3)
PAYMENT WINDOW 1-24 24-57 57-65 65-102 37-102 37-102 37-102 37-102
TO CALL (MOS.) (3)
PAYMENT WINDOW 1-24 24-57 57-65 65-197 37-117 37-166 37-148 37-122
TO MATURITY (MOS.) (3)
EXP MAT TO CALL (3) 6/01 3/04 11/04 12/07 12/07 12/07 12/07 12/07
EXP MAT TO MATURITY (3) 6/01 3/04 11/04 11/15 3/09 4/13 10/11 8/09
</TABLE>
(1) Preliminary, subject to an available funds cap.
(2) If the 10% cleanup call is not exercised on the first distribution date on
which it is exercisable, the coupon on the Class IA-4 Certificates will
increase by 50 bps.
(3) The Group I Certificates will be priced at 23% HEP.
(4) The coupon for the Class IA-1 Certificates is the lesser of (i) 1M Libor +
[ ] and (ii) the weighted average gross mortgage rate of the Group I loans
minus approximately 51 bps.
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-Rate, Sub-prime First Lien
Mortgage Loans
TOTAL GROUP SIZE*: $380,000,000
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.
MAXIMUM FUNDS CAP: All Group II Pass-Through Rates will be also
subject to a maximum funds cap equal to a
weighted average maximum lifetime rate on
the underlying mortgage loans less
approximately 51 bps. Any interest shortfall
due to the maximum funds 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 the day preceeding 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. 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 Pass-Through Rate on
the Class IIA-1 Certificates will increase
by 2x the Class IIA-1 margin, and (ii) the
Pass-Through Rates on the Class IIM-1, Class
IIM2 and Class IIB Certificates will
increase by 1.5x their related margins.
* The Mortgage Pool as of the Closing Date will include approximately
[$72,126,891] 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 at, and
will be filed with the Securities and Exchange Commission within fifteen days
of, the closing date. Also, approximately [$95,000,000] of Pre-Funded
Adjustable Rate Mortgage Loans are not included in the statistical
information set forth in this document.
<PAGE>
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
GROUP II CERTIFICATES
<CAPTION>
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
- ------------------------- ----------------------- ---------------------- ----------------------- ----------------------
<S> <C> <C> <C> <C>
OFFER
SIZE ($MM) 323.950 22.800 18.050 15.200
EXPECTED RATINGS
MOODY'S Aaa Aa2 A2 Baa2
FITCH AAA AA A BBB
COUPON 1M Libor + [ ](1),(2) 1M Libor + [ ](1),(3) 1M Libor + [ ](1),(3) 1M Libor + [ ](1),(3)
AVG LIFE 2.47 4.94 4.89 4.84
CALL (YRS) (4)
AVG LIFE 2.69 5.44 5.31 5.02
MAT (YRS) (4)
PAYMENT WINDOW 1-87 40-87 38-87 37-87
TO CALL (MOS.) (4)
PAYMENT WINDOW 1-195 40-156 38-139 37-118
TO MATURITY (MOS.) (4)
EXP MAT TO CALL (4) 9/06 9/06 9/06 9/06
EXP MAT TO MATURITY (4) 9/15 6/12 1/11 4/09
AAA Aaa
AAA Aaa
</TABLE>
(1) Subject to an available funds cap and a maximum funds cap.
(2) If the 10% cleanup call is not exercised on the first distribution date on
which it is exercisable, the coupon of the Class IIA-1 Certificates will
increase by 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 coupon on the Class IIM-1, IIM-2 and IIB
Certificates will increase by 1.5x their related margins.
(4) The Group II Certificates will be priced at 27% CPR.
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
CASH FLOW PRIORITY
CASHFLOW PRIORITY: GROUP I CERTIFICATES
1) Repayment of any unrecoverable, unreimbursed Servicer
advances.
2) Servicing Fees and Trustee/Master Servicing Fees.
3) Group I available interest funds, as follows: monthly
interest, including any interest carryforward to the Class IA
Certificates, on a pro-rata basis, then monthly interest,
including any interest carryforward to the Class IM-1
Certificates, then to the Class IM-2 Certificates and then to
the Class IB Certificates in a similar manner.
4) Group I available principal funds, as follows: monthly
principal sequentially to the Class IA Certificates as
described under "PRINCIPAL PAYDOWN", then monthly principal to
the Class IM-1 Certificates as described under "PRINCIPAL
PAYDOWN", then monthly principal to the Class IM-2
Certificates as described under "PRINCIPAL PAYDOWN", then
monthly principal to the Class IB Certificates as described
under "PRINCIPAL PAYDOWN."
5) Excess Group I interest to Group I Certificates in the order
as described under "PRINCIPAL PAYDOWN" to build O/C to the
required level.
6) Excess Group I interest to pay Group I subordinate principal
shortfalls.
7) Excess Group I interest to pay amounts under items 1 through 6
under "Group II Certificates" below.
8) Any remaining Group I amount is paid to the Residual
Certificateholder.
CASHFLOW PRIORITY: GROUP II CERTIFICATES
1) Repayment of any unrecoverable, unreimbursed Servicer
advances.
2) Servicing Fees, Trustee/Master Servicing Fees.
3) Group II available interest funds, as follows: monthly
interest, including any interest carryforward to the Class
IIA-1 Certificates, then monthly interest, including any
interest carryforward to the Class IIM-1 Certificates, then to
the Class IIM-2 Certificates and then to the Class IIB
Certificates in a similar manner.
4) Group II available principal funds, as follows: monthly
principal to the Class IIA-1 Certificates as described under
"PRINCIPAL PAYDOWN", then monthly principal to the Class IIM-1
Certificates as described under "PRINCIPAL PAYDOWN", then
monthly principal to the Class IIM-2 Certificates as described
under "PRINCIPAL PAYDOWN", then monthly principal to the Class
IIB Certificates as described under "PRINCIPAL PAYDOWN."
5) Excess Group II interest to Group II Certificates in the order
as described under "PRINCIPAL PAYDOWN" to build O/C to the
required level.
6) Excess Group II interest to pay Group II subordinate principal
shortfalls.
7) Excess Group II interest to pay amounts under items 1 through
6 under "Group I Certificates" above.
8) Excess Group II interest to pay any Group II Certificate
Carryover.
9) Any remaining Group II amount is paid to the Residual
Certificateholder.
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2
PRINCIPAL PAYDOWN
CLASS IA-5 LOCKOUT DISTRIBUTION AMOUNT: UNTIL JULY 2008, THE
APPLICABLE CLASS IA-5 LOCKOUT PERCENTAGE MULTIPLIED BY THE CLASS IA-5
PRO-RATA DISTRIBUTION AMOUNT. FOR JULY 2008 AND THEREAFTER, THE CLASS
IA-5 LOCKOUT AMOUNT DISTRIBUTION WILL EQUAL THE GROUP I CLASS A
PRINCIPAL CASHFLOWS.
CLASS IA-5 LOCKOUT PERCENTAGE
-----------------------------
July 1999 -- June 2002: 0%
July 2002 -- June 2004: 45%
July 2004 -- June 2005: 80%
July 2005 -- June 2006: 100%
July 2006 -- June 2008: 300%
IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST IS NOT MET:
GROUP I CERTIFICATES:
---------------------
1) To the Class IA-5 Certificateholders -- the Class IA-5
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 in amounts that will keep the subordination for
each class at its required level.
<PAGE>
REQUIRED SUBORDINATION LEVELS*
GROUP I GROUP II
------- --------
Class A 24.5% Class A 33.00%
Class M-1 15.5% Class M-1 21.00%
Class M-2 8.0% Class M-2 11.50%
Class B 2.5% Class B 3.50%
*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 July 2002 Distribution
Date; and
ii) The applicable Subordinate Class Principal Distribution Date has
occurred (as described below); and
iii) A Trigger Event does not exist (a Trigger Event exists if current
Senior Enhancement Percentage is not greater than or equal to a
multiple of the 60+ Day delinquency percentage (including
foreclosures and REOs) ([2x] for Group I; [2.5x] for Group II).
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION DATE:
For each group, the later of (i) the July 2002 Distribution Date and
(ii) the first Distribution Date on which the applicable Senior
Enhancement Percentage (i.e., the sum of the Subordinate Certificates
+ the O/C amount for the applicable group divided by the aggregate
Loan Balance of the Mortgage Loans for such group) is greater than or
equal to the applicable Senior Specified Enhancement Percentage
(including O/C), which is equal to two times the initial AAA
subordination.
Group I Senior Group II Senior
Specified Enhancement Specified Enhancement
Percentage: Percentage:
------------------- -------------------
24.5% 33.00%
or or
(11.00% + 1.25%)*2 (14.75% + 1.75%)*2
(PRELIMINARY AND SUBJECT TO REVISION)
<PAGE>
STEPUP TRIGGER EVENT:
With respect to Group II Certificates, if
the delinquency or loss performance of the
related Mortgage Loans equals or exceeds
certain triggers, a "Stepup Trigger Event"
will occur with respect to Group II
Certificates. Upon such occurrence, the
amount of net excess cashflow required to be
applied as the "extra principal distribution
amount" with respect to Group II
Certificates will increase, causing a more
rapid amortization of the Group II
Certificates.
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 Loan 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, or Joyce Huang at (212)
834-5529.
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $113,874,419
AGGREGATE ORIGINAL PRINCIPAL BALANCE $114,120,097
NUMBER OF MORTGAGE LOANS 1,376
<TABLE>
<CAPTION>
MINIMUM MAXIMUM AVERAGE
------- ------- -------
<S> <C> <C> <C>
ORIGINAL PRINCIPAL BALANCE 10,000 997,500 82,936 (2)
OUTSTANDING PRINCIPAL BALANCE 9,834 992,722 82,758 (2)
<CAPTION>
MINIMUM MAXIMUM WEIGHTED AVERAGE
------- ------- ----------------
<S> <C> <C> <C>
ORIGINAL TERM (MOS) 120 360 258 (1)
STATED REMAINING TERM (MOS) 111 360 255 (1)
EXPECTED REMAINING TERM (MOS) 111 360 255 (1)
LOAN AGE (MOS) 0 16 2 (1)
CURRENT INTEREST RATE 6.875% 14.075% 9.949% (1)
ORIGINAL LOAN-TO-VALUE 12.57% 95.00% 74.05% (1)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 01/1998 05/1999
MATURITY DATES 09/2008 06/2029
</TABLE>
NOTES:
(1) -- WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(2) -- SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
<PAGE>
<TABLE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
<S> <C> <C> <C>
6.500% to 6.999% 3 $ 147,521 0.1 %
7.000% to 7.499% 13 1,172,777 1.0
7.500% to 7.999% 49 4,596,075 4.0
8.000% to 8.499% 87 7,825,275 6.9
8.500% to 8.999% 145 12,868,496 11.3
9.000% to 9.499% 144 12,510,995 11.0
9.500% to 9.999% 234 19,566,217 17.2
10.000% to 10.499% 163 13,894,372 12.2
10.500% to 10.999% 231 19,198,081 16.9
11.000% to 11.499% 123 10,326,415 9.1
11.500% to 11.999% 108 7,189,808 6.3
12.000% to 12.499% 40 2,745,447 2.4
12.500% to 12.999% 25 1,370,261 1.2
13.000% to 13.499% 7 300,874 0.3
13.500% to 13.999% 2 63,366 0.1
14.000% to 14.499% 2 98,440 0.1
----- ------------- -----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
MORTGAGE RATE RANGE IS FROM: 6.875% TO 14.075%
WEIGHTED AVERAGE IS: 9.949%
<PAGE>
<TABLE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
<S> <C> <C> <C>
109 to 120 10 $ 288,582 0.3 %
157 to 168 8 670,971 0.6
169 to 180 756 60,326,271 53.0
229 to 240 69 4,599,971 4.0
289 to 300 8 379,909 0.3
337 to 348 4 319,226 0.3
349 to 360 521 47,289,488 41.5
----- ------------ ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
REMAINING TERM RANGE IS FROM: 111 TO 360
WEIGHTED AVERAGE IS: 255
<TABLE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
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 1,031 $ 58,097,132 51.0 %
$ 100,001 to $ 150,000 204 24,502,745 21.5
$ 150,001 to $ 200,000 78 13,474,710 11.8
$ 200,001 to $ 250,000 32 7,202,374 6.3
$ 250,001 to $ 300,000 16 4,462,636 3.9
$ 300,001 to $ 350,000 8 2,646,575 2.3
$ 350,001 to $ 400,000 3 1,078,938 0.9
$ 400,001 to $ 450,000 2 837,373 0.7
$ 550,001 to $ 600,000 1 579,214 0.5
$ 950,001 to $1000,000 1 992,722 0.9
----- ------------ ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $10,000 TO $997,500
AVERAGE IS: $82,936
</TABLE>
<PAGE>
<TABLE>
LOAN TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
<S> <C> <C> <C>
10 Yr Fixed 10 $ 288,582 0.3 %
15 Yr Fixed 285 18,746,416 16.5
20 Yr Fixed 69 4,599,971 4.0
25 Yr Fixed 8 379,909 0.3
30 Yr Fixed 525 47,608,715 41.8
Balloon Loan 479 42,250,826 37.1
--- ------------- -----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<TABLE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------ -------------- ------------------- ----------
<S> <C> <C> <C>
Alaska 1 $ 42,334 0.0 %
Arizona 15 1,058,483 0.9
Arkansas 16 1,109,066 1.0
California 52 7,064,411 6.2
Colorado 38 3,894,102 3.4
Connecticut 24 2,445,423 2.1
Delaware 3 221,426 0.2
District of Columbia 2 190,406 0.2
Florida 200 14,675,230 12.9
Georgia 64 5,236,925 4.6
Idaho 2 146,712 0.1
Illinois 41 3,060,346 2.7
Indiana 60 3,593,970 3.2
Iowa 1 20,871 0.0
Kansas 5 168,180 0.1
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------ -------------- ------------------- ----------
<S> <C> <C> <C>
Kentucky 14 933,459 0.8
Louisiana 45 3,078,894 2.7
Maine 2 100,728 0.1
Maryland 23 2,637,411 2.3
Massachusetts 11 955,772 0.8
Michigan 91 5,785,398 5.1
Minnesota 14 819,922 0.7
Mississippi 19 1,180,996 1.0
Missouri 19 799,147 0.7
Montana 2 73,205 0.1
Nebraska 3 160,141 0.1
Nevada 7 752,035 0.7
New Hampshire 4 452,818 0.4
New Jersey 40 5,025,906 4.4
New Mexico 15 1,113,368 1.0
New York 110 14,482,393 12.7
North Carolina 46 4,206,888 3.7
Ohio 84 5,857,328 5.1
Oklahoma 10 557,530 0.5
Oregon 13 1,251,919 1.1
Pennsylvania 37 2,279,374 2.0
Rhode Island 3 217,838 0.2
South Carolina 28 1,646,165 1.4
South Dakota 3 277,227 0.2
Tennessee 84 5,526,156 4.9
Texas 39 2,833,342 2.5
Utah 20 1,617,675 1.4
Vermont 4 330,721 0.3
Virginia 20 2,015,667 1.8
Washington 23 3,044,190 2.7
West Virginia 1 10,150 0.0
Wisconsin 18 922,770 0.8
--- --------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
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 137 $ 7,546,965 6.6 %
50.01% to 55.00% 47 3,386,060 3.0
55.01% to 60.00% 82 7,355,552 6.5
60.01% to 65.00% 99 8,304,328 7.3
65.01% to 70.00% 155 13,405,025 11.8
70.01% to 75.00% 203 16,200,565 14.2
75.01% to 80.00% 294 24,541,801 21.6
80.01% to 85.00% 178 14,776,766 13.0
85.01% to 90.00% 170 17,425,792 15.3
90.01% to 95.00% 11 931,564 0.8
--- ---------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
LOAN-TO-VALUE RANGE IS FROM: 12.57% TO 95.00%
WEIGHTED AVERAGE IS: 74.05%
<PAGE>
<TABLE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
<S> <C> <C> <C>
Purchase 289 $ 24,973,136 21.9 %
Refinance - Rate/Term 189 17,125,731 15.0
Refinance - Cashout 898 71,775,552 63.0
--- ---------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<TABLE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
<S> <C> <C> <C>
Single-family Detached 1,102 $ 90,250,406 79.3 %
Two- to Four-family Dwelling Unit 130 12,406,369 10.9
Planned Unit Development 7 472,501 0.4
Detached Planned Unit Development 33 4,628,850 4.1
Condominium 38 2,375,220 2.1
Small Mixed Use 6 456,842 0.4
Manufactured Housing 60 3,284,231 2.9
----- ---------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
<S> <C> <C> <C>
Full Documentation 1,108 $ 86,824,829 76.2 %
24 Month Bank Statement 82 9,089,139 8.0
Reduced Documentation 44 5,042,296 4.4
Stated Documentation 142 12,918,155 11.3
----- ---------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<TABLE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
<S> <C> <C> <C>
Owner-occupied 1,205 $ 103,939,439 91.3 %
Second Home 15 985,500 0.9
Investment 156 8,949,480 7.9
----- ----------- ---
GRAND TOTAL 1,376 $113,874,419 100.0 %
===== ============ =====
</TABLE>
<PAGE>
<TABLE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
0 112 $ 8,325,546 7.3 %
1 419 34,707,501 30.5
2 410 34,105,401 30.0
3 159 14,086,119 12.4
4 121 9,193,033 8.1
5 49 4,936,461 4.3
6 23 1,775,719 1.6
7 16 1,423,950 1.3
8 15 1,988,609 1.7
9 24 1,445,380 1.3
10 13 778,238 0.7
11 3 118,264 0.1
12 2 96,638 0.1
13 3 269,622 0.2
14 4 334,797 0.3
15 1 69,236 0.1
16 2 219,904 0.2
--- --------- ---
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
WEIGHTED AVERAGE IS: 2
<TABLE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
<S> <C> <C> <C>
AO 449 $ 38,225,199 33.6 %
A- 498 44,448,875 39.0
B 235 18,673,373 16.4
B- 66 4,827,631 4.2
C 108 6,634,430 5.8
C- 20 1,064,911 0.9
--- --------- ---
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
1998 139 $ 11,605,942 10.2 %
1999 1,237 102,268,477 89.8
---- ----- ----------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= =====
</TABLE>
<TABLE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - FIXED RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
----------------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
None 303 $ 24,914,417 21.9 %
12 115 15,483,759 13.6
18 6 912,355 0.8
24 42 3,269,169 2.9
36 525 37,894,167 33.3
60 385 31,400,553 27.6
-- --- ---------- ----
GRAND TOTAL 1,376 $ 113,874,419 100.0 %
===== ============= ====
</TABLE>
<PAGE>
CHASE SECURITIES, INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
<TABLE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
<CAPTION>
<S> <C>
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $212,873,109
AGGREGATE ORIGINAL PRINCIPAL BALANCE $213,091,677
NUMBER OF MORTGAGE LOANS 1,767
<CAPTION>
MINIMUM MAXIMUM AVERAGE
------- ------- -------
<S> <C> <C> <C>
ORIGINAL PRINCIPAL BALANCE 12,750 560,000 120,595 (2)
OUTSTANDING PRINCIPAL BALANCE 12,744 559,576 120,471 (2)
MINIMUM MAXIMUM WEIGHTED AVERAGE
------- ------- ----------------
ORIGINAL TERM (MOS) 360 360 360 (1)
STATED REMAINING TERM (MOS) 336 360 358 (1)
EXPECTED REMAINING TERM (MOS) 169 360 358 (1)
LOAN AGE (MOS) 0 24 2 (1)
CURRENT INTEREST RATE 6.875% 13.750% 9.792% (1)
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.862% (1)
PERIODIC RATE CAP 1.000% 2.000% 1.442% (1)
GROSS MARGIN 3.250% 8.975% 5.794% (1)
MAXIMUM MORTGAGE RATE 12.875% 20.750% 16.717% (1)
MINIMUM MORTGAGE RATE 6.875% 13.750% 9.788% (1)
MONTHS TO ROLL 2 60 24 (1)
ORIGINAL LOAN-TO-VALUE 12.05% 95.00% 78.33% (1)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 05/1997 05/1999
MATURITY DATES 06/2027 06/2029
</TABLE>
NOTES:
(1) -- WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(2) -- SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
<PAGE>
<TABLE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
<S> <C> <C> <C>
6.500% to 6.999% 1 $ 129,891 0.1 %
7.000% to 7.499% 11 1,447,820 0.7
7.500% to 7.999% 52 6,893,880 3.2
8.000% to 8.499% 74 8,560,385 4.0
8.500% to 8.999% 215 31,522,510 14.8
9.000% to 9.499% 222 26,798,199 12.6
9.500% to 9.999% 405 51,180,665 24.0
10.000% to 10.499% 294 34,722,918 16.3
10.500% to 10.999% 269 28,990,202 13.6
11.000% to 11.499% 114 12,128,063 5.7
11.500% to 11.999% 63 5,785,656 2.7
12.000% to 12.499% 28 2,791,370 1.3
12.500% to 12.999% 12 1,201,985 0.6
13.000% to 13.499% 5 622,594 0.3
13.500% to 13.999% 2 96,971 0.0
--- ---------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
MORTGAGE RATE RANGE IS FROM: 6.875% TO 13.750%
WEIGHTED AVERAGE IS: 9.792%
<PAGE>
<TABLE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------- -------------- ------------------- ----------
<S> <C> <C> <C>
325 to 336 1 $ 67,141 0.0 %
337 to 348 6 1,309,365 0.6
349 to 360 1,760 211,496,602 99.4
----- ----------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
REMAINING TERM RANGE IS FROM: 336 TO 360
WEIGHTED AVERAGE IS: 358
<TABLE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
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 $100,000 875 $ 56,577,604 26.6 %
$ 100,001 to $ 150,000 473 58,384,237 27.4
$ 150,001 to $ 200,000 201 35,014,292 16.4
$ 200,001 to $ 250,000 104 23,241,526 10.9
$ 250,001 to $ 300,000 44 12,145,352 5.7
$ 300,001 to $ 350,000 31 10,211,051 4.8
$ 350,001 to $ 400,000 12 4,478,897 2.1
$ 400,001 to $ 450,000 9 3,867,691 1.8
$ 450,001 to $ 500,000 15 7,306,116 3.4
$ 500,001 to $ 550,000 1 535,775 0.3
$ 550,001 to $ 600,000 2 1,110,567 0.5
--- --------- ---
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $12,750 TO $560,000
AVERAGE IS: $120,595
</TABLE>
<PAGE>
<TABLE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------ -------------- ------------------- ----------
<S> <C> <C> <C>
Arizona 19 $ 2,219,937 1.0 %
Arkansas 4 346,954 0.2
California 138 26,086,901 12.3
Colorado 110 15,506,100 7.3
Connecticut 31 4,313,288 2.0
Delaware 4 440,504 0.2
District of Columbia 4 907,142 0.4
Florida 169 19,600,546 9.2
Georgia 69 8,588,349 4.0
Hawaii 1 299,883 0.1
Idaho 10 927,380 0.4
Illinois 76 8,473,761 4.0
Indiana 36 3,018,876 1.4
Iowa 1 49,970 0.0
Kansas 9 716,033 0.3
Kentucky 17 1,205,075 0.6
Louisiana 13 1,357,353 0.6
Maine 3 391,454 0.2
Maryland 19 2,176,560 1.0
Massachusetts 64 10,973,684 5.2
Michigan 170 16,444,346 7.7
Minnesota 30 2,804,670 1.3
Mississippi 7 558,480 0.3
Missouri 57 4,606,449 2.2
Nevada 5 937,587 0.4
New Hampshire 10 1,217,308 0.6
New Jersey 61 9,284,975 4.4
New Mexico 14 1,300,369 0.6
New York 77 12,958,950 6.1
North Carolina 41 4,474,552 2.1
North Dakota 1 69,531 0.0
Ohio 87 7,018,788 3.3
Oklahoma 11 771,459 0.4
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------ -------------- ------------------- ----------
<S> <C> <C> <C>
Oregon 21 2,300,187 1.1
Pennsylvania 40 3,620,638 1.7
Rhode Island 15 1,648,577 0.8
South Carolina 44 4,229,040 2.0
South Dakota 1 55,535 0.0
Tennessee 53 4,992,413 2.3
Texas 5 5,890,132 2.8
Utah 48 6,519,359 3.1
Vermont 11 1,083,073 0.5
Virginia 25 3,220,784 1.5
Washington 34 5,183,105 2.4
West Virginia 4 290,731 0.1
Wisconsin 50 3,792,321 1.8
--- --------- ---
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<TABLE>
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
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 61 $ 5,604,129 2.6 %
50.01% to 55.00% 20 1,694,604 0.8
55.01% to 60.00% 45 6,105,927 2.9
60.01% to 65.00% 76 7,268,442 3.4
65.01% to 70.00% 176 20,161,274 9.5
70.01% to 75.00% 229 25,604,399 12.0
75.01% to 80.00% 542 68,635,908 32.2
80.01% to 85.00% 355 42,924,077 20.2
85.01% to 90.00% 252 33,595,018 15.8
90.01% to 95.00% 11 1,279,332 0.6
--- ---------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
LOAN-TO-VALUE RANGE IS FROM: 12.05% TO 95.00%
WEIGHTED AVERAGE IS: 78.33%
<PAGE>
<TABLE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
<S> <C> <C> <C>
Purchase 621 $ 74,143,388 34.8 %
Refinance - Rate/Term 224 27,610,305 13.0
Refinance - Cashout 922 111,119,416 52.2
--- ----------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<TABLE>
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
<S> <C> <C> <C>
Single-family Detached 1,435 $ 170,436,998 80.1 %
Two- to Four-family Dwelling Unit 136 16,716,462 7.9
Detached Planned Unit Development 108 17,245,501 8.1
Condominium 65 6,248,591 2.9
Planned Unit Development 11 1,379,512 0.6
Manufactured Housing 12 846,045 0.4
----- ------------ ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------- -------------- ------------------- ----------
<S> <C> <C> <C>
Full Documentation 1,359 $ 154,188,547 72.4 %
24 Month Bank Statement 181 27,630,362 13.0
Reduced Documentation 47 7,482,171 3.5
Stated Documentation 180 23,572,029 11.1
--- ---------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<TABLE>
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
<S> <C> <C> <C>
Owner-occupied 1,588 $ 198,127,768 93.1%
Second Home 13 1,455,291 0.7
Investment 166 13,290,051 6.2
--- ---------- ---
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
0 192 $ 21,546,008 10.1 %
1 646 78,400,846 36.8
2 686 83,659,946 39.3
3 106 11,730,817 5.5
4 54 6,794,976 3.2
5 43 5,268,232 2.5
6 8 931,302 0.4
7 5 763,076 0.4
8 11 980,434 0.5
9 2 223,545 0.1
10 6 1,064,015 0.5
11 1 133,405 0.1
12 1 163,064 0.1
13 3 451,844 0.2
14 1 143,467 0.1
15 1 550,991 0.3
24 1 67,141 0.0
-- --- --------- ---
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
WEIGHTED AVERAGE IS: 2
<PAGE>
<TABLE>
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------ -------------- ------------------- ----------
<S> <C> <C> <C>
AO 544 $ 69,420,360 32.6 %
A- 619 79,952,315 37.6
B 304 34,319,330 16.1
B- 135 14,294,614 6.7
C 132 12,018,752 5.6
C- 33 2,867,738 1.3
--- ---------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<TABLE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
1997 1 $ 67,141 0.0 %
1998 82 10,673,376 5.0
1999 1,684 202,132,592 95.0
---- ----- ----------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============== =====
</TABLE>
<PAGE>
<TABLE>
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
------------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
12.500% to 12.999% 1 $ 129,891 0.1 %
13.000% to 13.499% 1 39,667 0.0
13.500% to 13.999% 7 783,367 0.4
14.000% to 14.499% 12 1,629,857 0.8
14.500% to 14.999% 68 9,645,801 4.5
15.000% to 15.499% 84 10,609,539 5.0
15.500% to 15.999% 224 32,747,974 15.4
16.000% to 16.499% 222 26,598,666 12.5
16.500% to 16.999% 381 47,481,893 22.3
17.000% to 17.499% 285 32,819,428 15.4
17.500% to 17.999% 266 28,505,243 13.4
18.000% to 18.499% 112 12,103,695 5.7
18.500% to 18.999% 59 5,278,364 2.5
19.000% to 19.499% 28 2,791,370 1.3
19.500% to 19.999% 11 1,132,254 0.5
20.000% to 20.499% 4 479,128 0.2
20.500% to 20.999% 2 96,971 0.0
--- ---------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
MAXIMUM MORTGAGE RATE RANGE IS FROM 12.875% TO 20.750%
WEIGHTED AVERAGE IS: 16.717%
<PAGE>
<TABLE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
----------------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
None 766 $ 94,627,486 44.5 %
12 29 4,102,732 1.9
24 451 60,095,755 28.2
36 426 45,022,740 21.2
60 95 9,024,397 4.2
----- ------------- -----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<TABLE>
LOAN TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
--------- -------------- ------------------- ----------
<S> <C> <C> <C>
6 Mo LIBOR ARM, 30 Yr Amortization 61 $ 9,568,925 4.5 %
1/29, 6 Mo LIBOR, 30 Yr Amortization 61 8,551,295 4.0
2/28, 6 Mo LIBOR, 30 Yr Amortization 1,157 140,771,503 66.1
3/27, 6 Mo LIBOR, 30 Yr Amortization 462 51,347,961 24.1
5/25, 6 Mo LIBOR, 30 Yr Amortization 24 2,370,548 1.1
Other 2 262,876 0.1
----- ----------- ----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1999-2 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<CAPTION>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
-------------------- -------------- ------------------- ----------
<S> <C> <C> <C>
Aug 1999 2 $ 256,170 0.1 %
Sep 1999 3 265,248 0.1
Oct 1999 30 5,014,379 2.4
Nov 1999 21 3,258,632 1.5
Dec 1999 8 1,349,799 0.6
Mar 2000 3 744,636 0.3
Apr 2000 29 3,596,547 1.7
May 2000 26 3,811,095 1.8
Jun 2000 4 803,891 0.4
Jul 2000 1 133,405 0.1
Aug 2000 5 847,512 0.4
Sep 2000 1 147,854 0.1
Oct 2000 11 980,434 0.5
Nov 2000 2 209,158 0.1
Dec 2000 6 659,610 0.3
Jan 2001 41 4,971,867 2.3
Feb 2001 49 5,880,522 2.8
Mar 2001 81 8,993,943 4.2
Apr 2001 455 57,019,214 26.8
May 2001 386 47,296,185 22.2
Jun 2001 117 12,914,498 6.1
Nov 2001 3 553,918 0.3
Dec 2001 1 75,958 0.0
Jan 2002 2 296,365 0.1
Feb 2002 4 874,787 0.4
Mar 2002 20 2,290,726 1.1
Apr 2002 165 17,343,280 8.1
May 2002 205 23,367,167 11.0
Jun 2002 62 6,545,760 3.1
Mar 2004 1 62,946 0.0
Apr 2004 8 829,993 0.4
May 2004 11 1,119,609 0.5
Jun 2004 4 358,000 0.2
----- ------------- -----
GRAND TOTAL 1,767 $ 212,873,109 100.0 %
===== ============= =====
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
Bond: IA1 Balance: 76,619,000 Coupon: 1ML + 13 (5.08250) Pricing Speed: 23 HEP
<CAPTION>
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.279 5.299 5.312 5.324 5.336 5.348 5.366
99-26+ 5.267 5.285 5.297 5.309 5.320 5.331 5.347
99-27 5.255 5.272 5.282 5.293 5.303 5.313 5.328
99-27+ 5.243 5.258 5.268 5.277 5.286 5.295 5.308
99-28 5.231 5.244 5.253 5.261 5.270 5.278 5.289
99-28+ 5.219 5.231 5.238 5.246 5.253 5.260 5.270
99-29 5.207 5.217 5.224 5.230 5.236 5.242 5.251
99-29+ 5.196 5.204 5.209 5.214 5.220 5.224 5.232
99-30 5.184 5.190 5.195 5.199 5.203 5.207 5.213
99-30+ 5.172 5.177 5.180 5.183 5.186 5.189 5.193
99-31 5.160 5.163 5.165 5.167 5.169 5.171 5.174
99-31+ 5.148 5.150 5.151 5.152 5.153 5.154 5.155
100- 0 5.136 5.136 5.136 5.136 5.136 5.136 5.136
100- 0+ 5.124 5.123 5.122 5.121 5.120 5.118 5.117
100- 1 5.113 5.109 5.107 5.105 5.103 5.101 5.098
100- 1+ 5.101 5.096 5.092 5.089 5.086 5.083 5.079
100- 2 5.089 5.082 5.078 5.074 5.070 5.066 5.060
100- 2+ 5.077 5.069 5.063 5.058 5.053 5.048 5.041
100- 3 5.065 5.055 5.049 5.042 5.036 5.030 5.022
100- 3+ 5.053 5.042 5.034 5.027 5.020 5.013 5.002
100- 4 5.042 5.028 5.020 5.011 5.003 4.995 4.983
100- 4+ 5.030 5.015 5.005 4.996 4.986 4.977 4.964
100- 5 5.018 5.001 4.990 4.980 4.970 4.960 4.945
AVG LIFE 1.391 1.211 1.118 1.040 0.974 0.917 0.845
DURATION 1.300 1.139 1.055 0.984 0.923 0.871 0.805
FIRST PAY 7/99 7/99 7/99 7/99 7/99 7/99 7/99
LAST PAY 3/02 10/01 8/01 6/01 4/01 2/01 12/00
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IA2 Balance: 52,940,000 Coupon: 6.59500 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
<S> <C> <C> <C> <C> <C> <C> <C>
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
99-26 6.620 6.608 6.600 6.592 6.584 6.575 6.561
99-26+ 6.616 6.603 6.595 6.586 6.577 6.568 6.553
99-27 6.612 6.598 6.589 6.580 6.571 6.561 6.546
99-27+ 6.608 6.593 6.584 6.574 6.564 6.554 6.538
99-28 6.604 6.588 6.579 6.569 6.558 6.547 6.530
99-28+ 6.600 6.584 6.573 6.563 6.552 6.540 6.522
99-29 6.596 6.579 6.568 6.557 6.545 6.533 6.515
99-29+ 6.592 6.574 6.563 6.551 6.539 6.526 6.507
99-30 6.588 6.569 6.557 6.545 6.533 6.520 6.499
99-30+ 6.583 6.564 6.552 6.539 6.526 6.513 6.492
99-31 6.579 6.559 6.547 6.534 6.520 6.506 6.484
99-31+ 6.575 6.555 6.541 6.528 6.514 6.499 6.476
100- 0 6.571 6.550 6.536 6.522 6.507 6.492 6.468
100- 0+ 6.567 6.545 6.531 6.516 6.501 6.485 6.461
100- 1 6.563 6.540 6.525 6.510 6.495 6.478 6.453
100- 1+ 6.559 6.535 6.520 6.504 6.488 6.471 6.445
100- 2 6.555 6.530 6.515 6.499 6.482 6.464 6.437
100- 2+ 6.551 6.525 6.509 6.493 6.476 6.458 6.430
100- 3 6.547 6.521 6.504 6.487 6.469 6.451 6.422
100- 3+ 6.543 6.516 6.499 6.481 6.463 6.444 6.414
100- 4 6.539 6.511 6.493 6.475 6.457 6.437 6.407
100- 4+ 6.535 6.506 6.488 6.470 6.450 6.430 6.399
100- 5 6.530 6.501 6.483 6.464 6.444 6.423 6.391
AVG LIFE 4.608 3.762 3.370 3.049 2.772 2.532 2.232
DURATION 3.817 3.215 2.920 2.672 2.453 2.260 2.015
FIRST PAY 3/02 10/01 8/01 6/01 4/01 2/01 12/00
LAST PAY 4/08 8/05 10/04 3/04 9/03 5/03 6/02
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IA3 Balance: 5,000,000 Coupon: 7.12700 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.193 7.178 7.171 7.164 7.158 7.151 7.138
99-26+ 7.191 7.175 7.168 7.160 7.153 7.146 7.133
99-27 7.188 7.172 7.164 7.156 7.149 7.142 7.128
99-27+ 7.186 7.169 7.161 7.153 7.145 7.137 7.123
99-28 7.184 7.166 7.157 7.149 7.141 7.133 7.117
99-28+ 7.182 7.163 7.154 7.145 7.137 7.128 7.112
99-29 7.179 7.160 7.151 7.141 7.133 7.124 7.107
99-29+ 7.177 7.157 7.147 7.138 7.129 7.119 7.102
99-30 7.175 7.154 7.144 7.134 7.124 7.115 7.097
99-30+ 7.173 7.151 7.140 7.130 7.120 7.110 7.092
99-31 7.171 7.148 7.137 7.126 7.116 7.106 7.086
99-31+ 7.168 7.145 7.134 7.122 7.112 7.101 7.081
100- 0 7.166 7.142 7.130 7.119 7.108 7.097 7.076
100- 0+ 7.164 7.139 7.127 7.115 7.104 7.092 7.071
100- 1 7.162 7.136 7.123 7.111 7.100 7.088 7.066
100- 1+ 7.159 7.133 7.120 7.107 7.096 7.083 7.061
100- 2 7.157 7.130 7.117 7.104 7.091 7.079 7.055
100- 2+ 7.155 7.127 7.113 7.100 7.087 7.074 7.050
100- 3 7.153 7.124 7.110 7.096 7.083 7.070 7.045
100- 3+ 7.151 7.121 7.106 7.092 7.079 7.065 7.040
100- 4 7.148 7.118 7.103 7.088 7.075 7.061 7.035
100- 4+ 7.146 7.115 7.100 7.085 7.071 7.056 7.030
100- 5 7.144 7.112 7.096 7.081 7.067 7.052 7.024
AVG LIFE 10.163 6.690 5.756 5.062 4.552 4.120 3.507
DURATION 7.021 5.163 4.583 4.125 3.773 3.465 3.011
FIRST PAY 4/08 8/05 10/04 3/04 9/03 5/03 6/02
LAST PAY 4/10 6/07 8/05 11/04 3/04 10/03 3/03
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IA4 Balance: 19,441,000 Coupon: 7.48100 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.558 7.553 7.548 7.543 7.537 7.531 7.521
99-26+ 7.556 7.551 7.546 7.540 7.534 7.528 7.518
99-27 7.554 7.549 7.543 7.537 7.531 7.524 7.514
99-27+ 7.552 7.546 7.541 7.534 7.528 7.521 7.510
99-28 7.550 7.544 7.538 7.532 7.525 7.518 7.506
99-28+ 7.548 7.542 7.536 7.529 7.522 7.514 7.502
99-29 7.546 7.540 7.533 7.526 7.519 7.511 7.498
99-29+ 7.544 7.537 7.531 7.523 7.515 7.507 7.494
99-30 7.542 7.535 7.528 7.520 7.512 7.504 7.491
99-30+ 7.539 7.533 7.526 7.518 7.509 7.501 7.487
99-31 7.537 7.530 7.523 7.515 7.506 7.497 7.483
99-31+ 7.535 7.528 7.521 7.512 7.503 7.494 7.479
100- 0 7.533 7.526 7.518 7.509 7.500 7.491 7.475
100- 0+ 7.531 7.524 7.516 7.507 7.497 7.487 7.471
100- 1 7.529 7.521 7.513 7.504 7.494 7.484 7.467
100- 1+ 7.527 7.519 7.511 7.501 7.491 7.480 7.464
100- 2 7.525 7.517 7.508 7.498 7.488 7.477 7.460
100- 2+ 7.523 7.515 7.506 7.495 7.485 7.474 7.456
100- 3 7.521 7.512 7.503 7.493 7.482 7.470 7.452
100- 3+ 7.519 7.510 7.501 7.490 7.479 7.467 7.448
100- 4 7.517 7.508 7.498 7.487 7.475 7.464 7.444
100- 4+ 7.515 7.505 7.496 7.484 7.472 7.460 7.440
100- 5 7.513 7.503 7.493 7.481 7.469 7.457 7.437
AVG LIFE 11.882 10.052 8.721 7.576 6.659 5.919 5.017
DURATION 7.638 6.850 6.190 5.579 5.056 4.610 4.034
FIRST PAY 4/10 6/07 8/05 11/04 3/04 10/03 3/03
LAST PAY 6/11 9/09 10/08 12/07 4/07 9/06 12/05
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IA5 Balance: 24,000,000 Coupon: 7.11800 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.170 7.169 7.168 7.167 7.166 7.164 7.162
99-26+ 7.167 7.166 7.165 7.164 7.163 7.161 7.158
99-27 7.164 7.163 7.162 7.161 7.160 7.158 7.155
99-27+ 7.161 7.160 7.159 7.158 7.156 7.155 7.151
99-28 7.158 7.157 7.156 7.155 7.153 7.151 7.148
99-28+ 7.155 7.154 7.153 7.152 7.150 7.148 7.144
99-29 7.152 7.151 7.150 7.149 7.147 7.145 7.141
99-29+ 7.150 7.148 7.147 7.146 7.144 7.142 7.138
99-30 7.147 7.145 7.144 7.142 7.141 7.138 7.134
99-30+ 7.144 7.142 7.141 7.139 7.137 7.135 7.131
99-31 7.141 7.139 7.138 7.136 7.134 7.132 7.127
99-31+ 7.138 7.136 7.135 7.133 7.131 7.128 7.124
100- 0 7.135 7.133 7.132 7.130 7.128 7.125 7.120
100- 0+ 7.132 7.130 7.129 7.127 7.125 7.122 7.117
100- 1 7.129 7.127 7.126 7.124 7.122 7.119 7.114
100- 1+ 7.126 7.124 7.123 7.121 7.118 7.115 7.110
100- 2 7.123 7.121 7.120 7.118 7.115 7.112 7.107
100- 2+ 7.120 7.118 7.116 7.115 7.112 7.109 7.103
100- 3 7.117 7.115 7.113 7.111 7.109 7.106 7.100
100- 3+ 7.114 7.112 7.110 7.108 7.106 7.102 7.097
100- 4 7.111 7.109 7.107 7.105 7.103 7.099 7.093
100- 4+ 7.108 7.106 7.104 7.102 7.099 7.096 7.090
100- 5 7.105 7.103 7.101 7.099 7.096 7.093 7.086
AVG LIFE 7.016 6.818 6.709 6.544 6.348 6.114 5.752
DURATION 5.291 5.176 5.113 5.022 4.912 4.777 4.561
FIRST PAY 7/02 7/02 7/02 7/02 8/02 9/02 11/02
LAST PAY 4/09 3/09 10/08 12/07 4/07 9/06 12/05
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IM1 Balance: 9,000,000 Coupon: 7.46500 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.528 7.521 7.516 7.512 7.508 7.504 7.498
99-26+ 7.525 7.518 7.513 7.508 7.504 7.500 7.494
99-27 7.522 7.515 7.510 7.505 7.500 7.496 7.490
99-27+ 7.520 7.512 7.507 7.501 7.496 7.492 7.486
99-28 7.517 7.509 7.503 7.498 7.492 7.488 7.481
99-28+ 7.514 7.506 7.500 7.494 7.489 7.484 7.477
99-29 7.511 7.503 7.497 7.491 7.485 7.480 7.473
99-29+ 7.509 7.500 7.493 7.487 7.481 7.476 7.469
99-30 7.506 7.497 7.490 7.483 7.477 7.472 7.465
99-30+ 7.503 7.493 7.487 7.480 7.474 7.468 7.460
99-31 7.501 7.490 7.483 7.476 7.470 7.464 7.456
99-31+ 7.498 7.487 7.480 7.473 7.466 7.460 7.452
100- 0 7.495 7.484 7.477 7.469 7.463 7.456 7.448
100- 0+ 7.492 7.481 7.474 7.466 7.459 7.452 7.444
100- 1 7.490 7.478 7.470 7.462 7.455 7.448 7.439
100- 1+ 7.487 7.475 7.467 7.459 7.451 7.444 7.435
100- 2 7.484 7.472 7.464 7.455 7.448 7.440 7.431
100- 2+ 7.481 7.469 7.460 7.452 7.444 7.436 7.427
100- 3 7.479 7.466 7.457 7.448 7.440 7.432 7.423
100- 3+ 7.476 7.463 7.454 7.445 7.436 7.429 7.418
100- 4 7.473 7.460 7.451 7.441 7.433 7.425 7.414
100- 4+ 7.471 7.457 7.447 7.438 7.429 7.421 7.410
100- 5 7.468 7.454 7.444 7.434 7.425 7.417 7.406
AVG LIFE 8.043 6.855 6.228 5.696 5.280 4.940 4.551
DURATION 5.715 5.083 4.725 4.410 4.157 3.946 3.701
FIRST PAY 6/03 11/02 7/02 7/02 8/02 8/02 9/02
LAST PAY 6/11 9/09 10/08 12/07 4/07 9/06 12/05
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IM2 Balance: 7,500,000 Coupon: 7.86000 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.930 7.923 7.918 7.913 7.908 7.903 7.897
99-26+ 7.927 7.920 7.914 7.909 7.904 7.899 7.893
99-27 7.924 7.916 7.911 7.905 7.900 7.895 7.889
99-27+ 7.922 7.913 7.908 7.902 7.896 7.891 7.884
99-28 7.919 7.910 7.904 7.898 7.893 7.887 7.880
99-28+ 7.916 7.907 7.901 7.895 7.889 7.883 7.876
99-29 7.913 7.904 7.898 7.891 7.885 7.879 7.871
99-29+ 7.911 7.901 7.894 7.888 7.881 7.875 7.867
99-30 7.908 7.898 7.891 7.884 7.877 7.871 7.863
99-30+ 7.905 7.895 7.888 7.880 7.874 7.867 7.859
99-31 7.902 7.892 7.884 7.877 7.870 7.863 7.854
99-31+ 7.899 7.888 7.881 7.873 7.866 7.859 7.850
100- 0 7.897 7.885 7.878 7.870 7.862 7.855 7.846
100- 0+ 7.894 7.882 7.874 7.866 7.858 7.851 7.841
100- 1 7.891 7.879 7.871 7.863 7.855 7.847 7.837
100- 1+ 7.888 7.876 7.868 7.859 7.851 7.843 7.833
100- 2 7.886 7.873 7.864 7.855 7.847 7.839 7.829
100- 2+ 7.883 7.870 7.861 7.852 7.843 7.835 7.824
100- 3 7.880 7.867 7.858 7.848 7.839 7.831 7.820
100- 3+ 7.877 7.864 7.854 7.845 7.836 7.827 7.816
100- 4 7.875 7.861 7.851 7.841 7.832 7.823 7.811
100- 4+ 7.872 7.857 7.848 7.838 7.828 7.819 7.807
100- 5 7.869 7.854 7.844 7.834 7.824 7.815 7.803
AVG LIFE 8.043 6.855 6.228 5.696 5.269 4.922 4.510
DURATION 5.621 5.008 4.661 4.354 4.099 3.888 3.631
FIRST PAY 6/03 11/02 7/02 7/02 7/02 7/02 8/02
LAST PAY 6/11 9/09 10/08 12/07 4/07 9/06 12/05
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IB Balance: 5,500,000 Coupon: 8.75000 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
98-18 9.072 9.092 9.105 9.118 9.131 9.143 9.160
98-18+ 9.069 9.088 9.101 9.114 9.127 9.139 9.155
98-19 9.066 9.085 9.098 9.110 9.123 9.134 9.151
98-19+ 9.064 9.082 9.094 9.107 9.119 9.130 9.146
98-20 9.061 9.078 9.090 9.103 9.114 9.126 9.141
98-20+ 9.058 9.075 9.087 9.099 9.110 9.122 9.137
98-21 9.055 9.072 9.083 9.095 9.106 9.117 9.132
98-21+ 9.052 9.068 9.080 9.091 9.102 9.113 9.128
98-22 9.049 9.065 9.076 9.088 9.098 9.109 9.123
98-22+ 9.046 9.062 9.073 9.084 9.094 9.104 9.119
98-23 9.043 9.058 9.069 9.080 9.090 9.100 9.114
98-23+ 9.040 9.055 9.066 9.076 9.086 9.096 9.110
98-24 9.037 9.052 9.062 9.072 9.082 9.092 9.105
98-24+ 9.034 9.048 9.059 9.069 9.078 9.087 9.100
98-25 9.031 9.045 9.055 9.065 9.074 9.083 9.096
98-25+ 9.028 9.042 9.051 9.061 9.070 9.079 9.091
98-26 9.025 9.039 9.048 9.057 9.066 9.075 9.087
98-26+ 9.022 9.035 9.044 9.053 9.062 9.071 9.082
98-27 9.019 9.032 9.041 9.050 9.058 9.066 9.078
98-27+ 9.016 9.029 9.037 9.046 9.054 9.062 9.073
98-28 9.013 9.025 9.034 9.042 9.050 9.058 9.069
98-28+ 9.010 9.022 9.030 9.038 9.046 9.054 9.064
98-29 9.007 9.019 9.027 9.034 9.042 9.049 9.059
98-29+ 9.004 9.015 9.023 9.031 9.038 9.045 9.055
AVG LIFE 7.876 6.711 6.095 5.577 5.156 4.805 4.385
DURATION 5.326 4.761 4.438 4.154 3.914 3.709 3.456
FIRST PAY 6/03 11/02 7/02 7/02 7/02 7/02 7/02
LAST PAY 6/11 9/09 10/08 12/07 4/07 9/06 12/05
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond: IIA1 Balance: 323,950,000 Coupon: 1ML + 27 (5.22250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.33 5.344 5.359 5.365 5.376 5.396 5.423
99-26+ 5.326 5.338 5.352 5.358 5.368 5.387 5.411
99-27 5.321 5.333 5.345 5.351 5.36 5.377 5.399
99-27+ 5.317 5.328 5.339 5.344 5.352 5.367 5.387
99-28 5.313 5.322 5.332 5.337 5.344 5.357 5.375
99-28+ 5.309 5.317 5.326 5.329 5.336 5.348 5.363
99-29 5.305 5.311 5.319 5.322 5.328 5.338 5.351
99-29+ 5.3 5.306 5.312 5.315 5.319 5.328 5.339
99-30 5.296 5.301 5.306 5.308 5.311 5.318 5.327
99-30+ 5.292 5.295 5.299 5.301 5.303 5.309 5.315
99-31 5.288 5.29 5.293 5.294 5.295 5.299 5.303
99-31+ 5.284 5.285 5.286 5.286 5.287 5.289 5.291
100- 0 5.279 5.279 5.279 5.279 5.279 5.279 5.279
100- 0+ 5.275 5.274 5.273 5.272 5.271 5.27 5.267
100- 1 5.271 5.269 5.266 5.265 5.263 5.26 5.255
100- 1+ 5.267 5.263 5.26 5.258 5.255 5.25 5.244
100- 2 5.263 5.258 5.253 5.251 5.247 5.24 5.232
100- 2+ 5.258 5.253 5.246 5.244 5.239 5.231 5.22
100- 3 5.254 5.247 5.24 5.237 5.231 5.221 5.208
100- 3+ 5.25 5.242 5.233 5.229 5.223 5.211 5.196
100- 4 5.246 5.237 5.227 5.222 5.215 5.201 5.184
100- 4+ 5.242 5.231 5.22 5.215 5.207 5.192 5.172
100- 5 5.238 5.226 5.214 5.208 5.199 5.182 5.16
AVG LIFE 4.606 3.437 2.702 2.468 2.166 1.749 1.402
DURATION 3.698 2.893 2.344 2.163 1.923 1.582 1.292
FIRST PAY 7/99 7/99 7/99 7/99 7/99 7/99 7/99
LAST PAY 11/12 6/09 5/07 9/06 11/05 10/04 12/03
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond:IIM1 Balance: 22,800,000 Coupon: 1ML + 55 (5.50250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.594 5.601 5.608 5.61 5.613 5.615 5.615
99-26+ 5.591 5.598 5.604 5.606 5.609 5.611 5.611
99-27 5.589 5.595 5.601 5.603 5.605 5.607 5.607
99-27+ 5.587 5.592 5.597 5.599 5.601 5.603 5.603
99-28 5.584 5.589 5.594 5.595 5.597 5.599 5.598
99-28+ 5.582 5.586 5.59 5.592 5.593 5.595 5.594
99-29 5.58 5.583 5.587 5.588 5.589 5.59 5.59
99-29+ 5.577 5.58 5.583 5.584 5.585 5.586 5.586
99-30 5.575 5.577 5.58 5.58 5.581 5.582 5.582
99-30+ 5.573 5.574 5.576 5.577 5.577 5.578 5.578
99-31 5.57 5.572 5.573 5.573 5.574 5.574 5.574
99-31+ 5.568 5.569 5.569 5.569 5.57 5.57 5.57
100- 0 5.566 5.566 5.566 5.566 5.566 5.566 5.566
100- 0+ 5.563 5.563 5.562 5.562 5.562 5.562 5.562
100- 1 5.561 5.56 5.559 5.558 5.558 5.557 5.558
100- 1+ 5.559 5.557 5.555 5.555 5.554 5.553 5.553
100- 2 5.556 5.554 5.552 5.551 5.55 5.549 5.549
100- 2+ 5.554 5.551 5.548 5.547 5.546 5.545 5.545
100- 3 5.552 5.548 5.545 5.544 5.542 5.541 5.541
100- 3+ 5.549 5.545 5.541 5.54 5.538 5.537 5.537
100- 4 5.547 5.542 5.538 5.536 5.534 5.533 5.533
100- 4+ 5.545 5.539 5.534 5.532 5.53 5.529 5.529
100- 5 5.543 5.536 5.531 5.529 5.526 5.524 5.525
AVG LIFE 8.833 6.576 5.279 4.945 4.589 4.313 4.345
DURATION 6.68 5.29 4.415 4.184 3.935 3.744 3.775
FIRST PAY 8/03 7/02 9/02 10/02 11/02 1/03 4/03
LAST PAY 11/12 6/09 5/07 9/06 11/05 10/04 12/03
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond:IIM2 Balance: 18,050,000 Coupon: 1ML + 105 (6.00250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 6.106 6.114 6.121 6.123 6.127 6.131 6.133
99-26+ 6.104 6.111 6.117 6.119 6.123 6.126 6.128
99-27 6.102 6.108 6.114 6.116 6.118 6.122 6.124
99-27+ 6.099 6.105 6.11 6.112 6.114 6.118 6.119
99-28 6.097 6.102 6.106 6.108 6.11 6.113 6.115
99-28+ 6.094 6.099 6.103 6.104 6.106 6.109 6.11
99-29 6.092 6.096 6.099 6.1 6.102 6.104 6.105
99-29+ 6.09 6.093 6.096 6.097 6.098 6.1 6.101
99-30 6.087 6.09 6.092 6.093 6.094 6.095 6.096
99-30+ 6.085 6.087 6.088 6.089 6.09 6.091 6.092
99-31 6.083 6.084 6.085 6.085 6.086 6.087 6.087
99-31+ 6.08 6.081 6.081 6.082 6.082 6.082 6.082
100- 0 6.078 6.078 6.078 6.078 6.078 6.078 6.078
100- 0+ 6.075 6.075 6.074 6.074 6.074 6.073 6.073
100- 1 6.073 6.072 6.071 6.07 6.07 6.069 6.069
100- 1+ 6.071 6.069 6.067 6.066 6.066 6.064 6.064
100- 2 6.068 6.066 6.063 6.063 6.061 6.06 6.059
100- 2+ 6.066 6.063 6.06 6.059 6.057 6.056 6.055
100- 3 6.064 6.06 6.056 6.055 6.053 6.051 6.05
100- 3+ 6.061 6.057 6.053 6.051 6.049 6.047 6.046
100- 4 6.059 6.054 6.049 6.047 6.045 6.042 6.041
100- 4+ 6.056 6.051 6.046 6.044 6.041 6.038 6.036
100- 5 6.054 6.048 6.042 6.04 6.037 6.034 6.032
AVG LIFE 8.833 6.576 5.255 4.891 4.484 4.057 3.865
DURATION 6.524 5.191 4.327 4.08 3.798 3.496 3.359
FIRST PAY 8/03 7/02 8/02 8/02 9/02 10/02 11/02
LAST PAY 11/12 6/09 5/07 9/06 11/05 10/04 12/03
</TABLE>
<PAGE>
<TABLE>
TO 10% CALL
CHASE SECURITIES INC.
<CAPTION>
Bond:IIB Balance: 15,200,000 Coupon: 1ML + 275 (7.70250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.858 7.865 7.872 7.875 7.879 7.884 7.887
99-26+ 7.855 7.862 7.868 7.871 7.874 7.879 7.882
99-27 7.853 7.859 7.865 7.867 7.87 7.874 7.877
99-27+ 7.85 7.855 7.861 7.863 7.866 7.869 7.872
99-28 7.847 7.852 7.857 7.859 7.861 7.865 7.867
99-28+ 7.845 7.849 7.853 7.855 7.857 7.86 7.862
99-29 7.842 7.846 7.849 7.851 7.853 7.855 7.857
99-29+ 7.84 7.843 7.846 7.847 7.848 7.85 7.852
99-30 7.837 7.839 7.842 7.843 7.844 7.846 7.847
99-30+ 7.834 7.836 7.838 7.839 7.84 7.841 7.842
99-31 7.832 7.833 7.834 7.835 7.835 7.836 7.837
99-31+ 7.829 7.83 7.83 7.831 7.831 7.831 7.832
100- 0 7.827 7.827 7.827 7.827 7.827 7.827 7.827
100- 0+ 7.824 7.823 7.823 7.823 7.822 7.822 7.822
100- 1 7.822 7.82 7.819 7.819 7.818 7.817 7.816
100- 1+ 7.819 7.817 7.815 7.815 7.814 7.812 7.811
100- 2 7.816 7.814 7.811 7.811 7.809 7.808 7.806
100- 2+ 7.814 7.811 7.808 7.807 7.805 7.803 7.801
100- 3 7.811 7.808 7.804 7.803 7.801 7.798 7.796
100- 3+ 7.809 7.804 7.8 7.798 7.796 7.793 7.791
100- 4 7.806 7.801 7.796 7.794 7.792 7.789 7.786
100- 4+ 7.803 7.798 7.792 7.79 7.788 7.784 7.781
100- 5 7.801 7.795 7.789 7.786 7.783 7.779 7.776
AVG LIFE 8.793 6.548 5.213 4.842 4.405 3.916 3.624
DURATION 6.014 4.861 4.079 3.851 3.574 3.252 3.053
FIRST PAY 8/03 7/02 7/02 7/02 7/02 7/02 8/02
LAST PAY 11/12 6/09 5/07 9/06 11/05 10/04 12/03
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IA1 Balance: 76,619,000 Coupon: 1ML + 13 (5.08250) Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.279 5.299 5.312 5.324 5.336 5.348 5.366
99-26+ 5.267 5.285 5.297 5.309 5.320 5.331 5.347
99-27 5.255 5.272 5.282 5.293 5.303 5.313 5.328
99-27+ 5.243 5.258 5.268 5.277 5.286 5.295 5.308
99-28 5.231 5.244 5.253 5.261 5.270 5.278 5.289
99-28+ 5.219 5.231 5.238 5.246 5.253 5.260 5.270
99-29 5.207 5.217 5.224 5.230 5.236 5.242 5.251
99-29+ 5.196 5.204 5.209 5.214 5.220 5.224 5.232
99-30 5.184 5.190 5.195 5.199 5.203 5.207 5.213
99-30+ 5.172 5.177 5.180 5.183 5.186 5.189 5.193
99-31 5.160 5.163 5.165 5.167 5.169 5.171 5.174
99-31+ 5.148 5.150 5.151 5.152 5.153 5.154 5.155
100- 0 5.136 5.136 5.136 5.136 5.136 5.136 5.136
100- 0+ 5.124 5.123 5.122 5.121 5.120 5.118 5.117
100- 1 5.113 5.109 5.107 5.105 5.103 5.101 5.098
100- 1+ 5.101 5.096 5.092 5.089 5.086 5.083 5.079
100- 2 5.089 5.082 5.078 5.074 5.070 5.066 5.060
100- 2+ 5.077 5.069 5.063 5.058 5.053 5.048 5.041
100- 3 5.065 5.055 5.049 5.042 5.036 5.030 5.022
100- 3+ 5.053 5.042 5.034 5.027 5.020 5.013 5.002
100- 4 5.042 5.028 5.020 5.011 5.003 4.995 4.983
100- 4+ 5.030 5.015 5.005 4.996 4.986 4.977 4.964
100- 5 5.018 5.001 4.990 4.980 4.970 4.960 4.945
100- 5+ 5.006 4.988 4.976 4.964 4.953 4.942 4.926
AVG LIFE 1.391 1.211 1.118 1.040 0.974 0.917 0.845
DURATION 1.300 1.139 1.055 0.984 0.924 0.871 0.805
FIRST PAY 7/99 7/99 7/99 7/99 7/99 7/99 7/99
LAST PAY 3/02 10/01 8/01 6/01 4/01 2/01 12/00
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IA2 Balance: 52,940,000 Coupon: 6.59500 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 6.620 6.608 6.600 6.592 6.584 6.575 6.561
99-26+ 6.616 6.603 6.595 6.586 6.577 6.568 6.553
99-27 6.612 6.598 6.589 6.580 6.571 6.561 6.546
99-27+ 6.608 6.593 6.584 6.574 6.564 6.554 6.538
99-28 6.604 6.588 6.579 6.569 6.558 6.547 6.530
99-28+ 6.600 6.584 6.573 6.563 6.552 6.540 6.522
99-29 6.596 6.579 6.568 6.557 6.545 6.533 6.515
99-29+ 6.592 6.574 6.563 6.551 6.539 6.526 6.507
99-30 6.588 6.569 6.557 6.545 6.533 6.520 6.499
99-30+ 6.583 6.564 6.552 6.539 6.526 6.513 6.492
99-31 6.579 6.559 6.547 6.534 6.520 6.506 6.484
99-31+ 6.575 6.555 6.541 6.528 6.514 6.499 6.476
100- 0 6.571 6.550 6.536 6.522 6.507 6.492 6.468
100- 0+ 6.567 6.545 6.531 6.516 6.501 6.485 6.461
100- 1 6.563 6.540 6.525 6.510 6.495 6.478 6.453
100- 1+ 6.559 6.535 6.520 6.504 6.488 6.471 6.445
100- 2 6.555 6.530 6.515 6.499 6.482 6.464 6.437
100- 2+ 6.551 6.525 6.509 6.493 6.476 6.458 6.430
100- 3 6.547 6.521 6.504 6.487 6.469 6.451 6.422
100- 3+ 6.543 6.516 6.499 6.481 6.463 6.444 6.414
100- 4 6.539 6.511 6.493 6.475 6.457 6.437 6.407
100- 4+ 6.535 6.506 6.488 6.470 6.450 6.430 6.399
100- 5 6.530 6.501 6.483 6.464 6.444 6.423 6.391
100- 5+ 6.526 6.496 6.477 6.458 6.438 6.416 6.383
AVG LIFE 4.608 3.762 3.370 3.049 2.772 2.532 2.232
DURATION 3.817 3.215 2.920 2.672 2.453 2.260 2.015
FIRST PAY 3/02 10/01 8/01 6/01 4/01 2/01 12/00
LAST PAY 4/08 8/05 10/04 3/04 9/03 5/03 6/02
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IA3 Balance: 5,000,000 Coupon: 7.12700 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.193 7.178 7.171 7.164 7.158 7.151 7.138
99-26+ 7.191 7.175 7.168 7.160 7.153 7.146 7.133
99-27 7.188 7.172 7.164 7.156 7.149 7.142 7.128
99-27+ 7.186 7.169 7.161 7.153 7.145 7.137 7.123
99-28 7.184 7.166 7.157 7.149 7.141 7.133 7.117
99-28+ 7.182 7.163 7.154 7.145 7.137 7.128 7.112
99-29 7.179 7.160 7.151 7.141 7.133 7.124 7.107
99-29+ 7.177 7.157 7.147 7.138 7.129 7.119 7.102
99-30 7.175 7.154 7.144 7.134 7.124 7.115 7.097
99-30+ 7.173 7.151 7.140 7.130 7.120 7.110 7.092
99-31 7.171 7.148 7.137 7.126 7.116 7.106 7.086
99-31+ 7.168 7.145 7.134 7.122 7.112 7.101 7.081
100- 0 7.166 7.142 7.130 7.119 7.108 7.097 7.076
100- 0+ 7.164 7.139 7.127 7.115 7.104 7.092 7.071
100- 1 7.162 7.136 7.123 7.111 7.100 7.088 7.066
100- 1+ 7.159 7.133 7.120 7.107 7.096 7.083 7.061
100- 2 7.157 7.130 7.117 7.104 7.091 7.079 7.055
100- 2+ 7.155 7.127 7.113 7.100 7.087 7.074 7.050
100- 3 7.153 7.124 7.110 7.096 7.083 7.070 7.045
100- 3+ 7.151 7.121 7.106 7.092 7.079 7.065 7.040
100- 4 7.148 7.118 7.103 7.088 7.075 7.061 7.035
100- 4+ 7.146 7.115 7.100 7.085 7.071 7.056 7.030
100- 5 7.144 7.112 7.096 7.081 7.067 7.052 7.024
100- 5+ 7.142 7.109 7.093 7.077 7.063 7.047 7.019
AVG LIFE 10.163 6.690 5.756 5.062 4.552 4.120 3.507
DURATION 7.021 5.163 4.583 4.125 3.773 3.465 3.011
FIRST PAY 4/08 8/05 10/04 3/04 9/03 5/03 6/02
LAST PAY 4/10 6/07 8/05 11/04 3/04 10/03 3/03
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IA4 Balance: 19,441,000 Coupon: 7.48100 (+.5 after 10% call)
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.609 7.619 7.623 7.624 7.619 7.608 7.576
99-26+ 7.607 7.617 7.621 7.622 7.617 7.605 7.573
99-27 7.605 7.615 7.619 7.619 7.614 7.602 7.569
99-27+ 7.603 7.613 7.616 7.617 7.611 7.599 7.566
99-28 7.601 7.611 7.614 7.615 7.609 7.596 7.562
99-28+ 7.600 7.609 7.612 7.612 7.606 7.593 7.559
99-29 7.598 7.607 7.610 7.610 7.603 7.590 7.555
99-29+ 7.596 7.605 7.608 7.608 7.601 7.587 7.552
99-30 7.594 7.603 7.605 7.605 7.598 7.584 7.548
99-30+ 7.592 7.601 7.603 7.603 7.595 7.581 7.545
99-31 7.590 7.599 7.601 7.600 7.593 7.578 7.541
99-31+ 7.588 7.597 7.599 7.598 7.590 7.575 7.538
100- 0 7.587 7.595 7.597 7.596 7.588 7.572 7.534
100- 0+ 7.585 7.592 7.595 7.593 7.585 7.569 7.531
100- 1 7.583 7.590 7.592 7.591 7.582 7.566 7.527
100- 1+ 7.581 7.588 7.590 7.588 7.580 7.564 7.524
100- 2 7.579 7.586 7.588 7.586 7.577 7.561 7.520
100- 2+ 7.577 7.584 7.586 7.584 7.574 7.558 7.517
100- 3 7.575 7.582 7.584 7.581 7.572 7.555 7.513
100- 3+ 7.574 7.580 7.581 7.579 7.569 7.552 7.510
100- 4 7.572 7.578 7.579 7.576 7.567 7.549 7.506
100- 4+ 7.570 7.576 7.577 7.574 7.564 7.546 7.503
100- 5 7.568 7.574 7.575 7.572 7.561 7.543 7.499
AVG LIFE 14.183 12.415 11.017 9.720 8.520 7.411 5.860
DURATION 8.420 7.765 7.142 6.519 5.908 5.317 4.453
FIRST PAY 4/10 6/07 8/05 11/04 3/04 10/03 3/03
LAST PAY 10/21 12/18 5/17 11/15 8/14 3/14 8/13
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IA5 Balance: 24,000,000 Coupon: 7.11800 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.170 7.169 7.168 7.168 7.167 7.167 7.167
99-26+ 7.167 7.166 7.165 7.165 7.164 7.164 7.164
99-27 7.164 7.163 7.162 7.162 7.161 7.161 7.161
99-27+ 7.161 7.160 7.159 7.159 7.158 7.158 7.158
99-28 7.158 7.157 7.156 7.156 7.155 7.155 7.155
99-28+ 7.155 7.154 7.153 7.152 7.152 7.152 7.152
99-29 7.152 7.151 7.150 7.149 7.149 7.149 7.148
99-29+ 7.150 7.148 7.147 7.146 7.146 7.145 7.145
99-30 7.147 7.145 7.144 7.143 7.143 7.142 7.142
99-30+ 7.144 7.142 7.141 7.140 7.140 7.139 7.139
99-31 7.141 7.139 7.138 7.137 7.137 7.136 7.136
99-31+ 7.138 7.136 7.135 7.134 7.133 7.133 7.133
100- 0 7.135 7.133 7.132 7.131 7.130 7.130 7.130
100- 0+ 7.132 7.130 7.129 7.128 7.127 7.127 7.127
100- 1 7.129 7.127 7.126 7.125 7.124 7.124 7.123
100- 1+ 7.126 7.124 7.123 7.122 7.121 7.121 7.120
100- 2 7.123 7.121 7.120 7.119 7.118 7.117 7.117
100- 2+ 7.120 7.118 7.117 7.116 7.115 7.114 7.114
100- 3 7.117 7.115 7.114 7.113 7.112 7.111 7.111
100- 3+ 7.114 7.112 7.111 7.110 7.109 7.108 7.108
100- 4 7.111 7.109 7.107 7.106 7.106 7.105 7.105
100- 4+ 7.108 7.106 7.104 7.103 7.103 7.102 7.102
100- 5 7.105 7.103 7.101 7.100 7.099 7.099 7.099
100- 5+ 7.102 7.100 7.098 7.097 7.096 7.096 7.096
AVG LIFE 7.016 6.818 6.720 6.643 6.585 6.546 6.541
DURATION 5.292 5.176 5.119 5.074 5.039 5.015 5.005
FIRST PAY 7/02 7/02 7/02 7/02 8/02 9/02 11/02
LAST PAY 4/09 3/09 2/09 3/09 3/09 5/09 3/10
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IM1 Balance: 9,000,000 Coupon: 7.46500 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.529 7.524 7.520 7.515 7.511 7.508 7.503
99-26+ 7.527 7.521 7.516 7.512 7.508 7.504 7.499
99-27 7.524 7.518 7.513 7.509 7.504 7.500 7.495
99-27+ 7.521 7.515 7.510 7.505 7.501 7.496 7.491
99-28 7.519 7.512 7.507 7.502 7.497 7.493 7.487
99-28+ 7.516 7.509 7.504 7.499 7.494 7.489 7.483
99-29 7.513 7.506 7.501 7.495 7.490 7.485 7.479
99-29+ 7.511 7.503 7.497 7.492 7.486 7.481 7.475
99-30 7.508 7.500 7.494 7.488 7.483 7.478 7.471
99-30+ 7.505 7.497 7.491 7.485 7.479 7.474 7.467
99-31 7.503 7.494 7.488 7.482 7.476 7.470 7.463
99-31+ 7.500 7.491 7.485 7.478 7.472 7.467 7.459
100- 0 7.498 7.488 7.482 7.475 7.469 7.463 7.455
100- 0+ 7.495 7.485 7.479 7.472 7.465 7.459 7.451
100- 1 7.492 7.482 7.475 7.468 7.462 7.455 7.447
100- 1+ 7.490 7.479 7.472 7.465 7.458 7.452 7.443
100- 2 7.487 7.477 7.469 7.462 7.454 7.448 7.439
100- 2+ 7.484 7.474 7.466 7.458 7.451 7.444 7.435
100- 3 7.482 7.471 7.463 7.455 7.447 7.440 7.431
100- 3+ 7.479 7.468 7.460 7.452 7.444 7.437 7.427
100- 4 7.476 7.465 7.457 7.448 7.440 7.433 7.423
100- 4+ 7.474 7.462 7.454 7.445 7.437 7.429 7.419
100- 5 7.471 7.459 7.450 7.442 7.433 7.425 7.415
100- 5+ 7.468 7.456 7.447 7.438 7.430 7.422 7.411
AVG LIFE 8.497 7.399 6.773 6.210 5.751 5.374 4.938
DURATION 5.879 5.300 4.957 4.644 4.385 4.167 3.911
FIRST PAY 6/03 11/02 7/02 7/02 8/02 8/02 9/02
LAST PAY 11/15 4/14 3/14 4/13 3/12 4/11 1/10
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IM2 Balance: 7,500,000 Coupon: 7.86000 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.931 7.925 7.920 7.916 7.911 7.907 7.901
99-26+ 7.929 7.922 7.917 7.912 7.907 7.903 7.897
99-27 7.926 7.919 7.914 7.909 7.904 7.899 7.893
99-27+ 7.923 7.916 7.911 7.905 7.900 7.895 7.889
99-28 7.921 7.913 7.907 7.902 7.896 7.891 7.885
99-28+ 7.918 7.910 7.904 7.898 7.893 7.888 7.880
99-29 7.915 7.907 7.901 7.895 7.889 7.884 7.876
99-29+ 7.913 7.904 7.898 7.892 7.886 7.880 7.872
99-30 7.910 7.901 7.894 7.888 7.882 7.876 7.868
99-30+ 7.907 7.898 7.891 7.885 7.878 7.872 7.864
99-31 7.904 7.895 7.888 7.881 7.875 7.868 7.860
99-31+ 7.902 7.892 7.885 7.878 7.871 7.865 7.856
100- 0 7.899 7.889 7.882 7.874 7.867 7.861 7.852
100- 0+ 7.896 7.886 7.878 7.871 7.864 7.857 7.848
100- 1 7.894 7.883 7.875 7.867 7.860 7.853 7.843
100- 1+ 7.891 7.880 7.872 7.864 7.856 7.849 7.839
100- 2 7.888 7.877 7.869 7.861 7.853 7.845 7.835
100- 2+ 7.886 7.874 7.866 7.857 7.849 7.842 7.831
100- 3 7.883 7.871 7.862 7.854 7.845 7.838 7.827
100- 3+ 7.880 7.868 7.859 7.850 7.842 7.834 7.823
100- 4 7.877 7.865 7.856 7.847 7.838 7.830 7.819
100- 4+ 7.875 7.862 7.853 7.843 7.835 7.826 7.815
100- 5 7.872 7.859 7.849 7.840 7.831 7.822 7.811
100- 5+ 7.869 7.856 7.846 7.837 7.827 7.819 7.807
AVG LIFE 8.451 7.306 6.643 6.087 5.626 5.249 4.799
DURATION 5.762 5.185 4.836 4.532 4.272 4.055 3.788
FIRST PAY 6/03 11/02 7/02 7/02 7/02 7/02 8/02
LAST PAY 5/14 2/14 12/12 10/11 11/10 1/10 11/08
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IB Balance: 5,500,000 Coupon: 8.75000 Pricing Speed: 23 HEP
HEP HEP HEP HEP HEP HEP HEP
16 19 21 23 25 27 30
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
98-18 9.071 9.090 9.103 9.116 9.129 9.141 9.158
98-18+ 9.068 9.087 9.100 9.112 9.125 9.136 9.153
98-19 9.065 9.084 9.096 9.109 9.121 9.132 9.148
98-19+ 9.063 9.080 9.093 9.105 9.117 9.128 9.144
98-20 9.060 9.077 9.089 9.101 9.113 9.124 9.139
98-20+ 9.057 9.074 9.086 9.097 9.109 9.120 9.135
98-21 9.054 9.070 9.082 9.094 9.105 9.115 9.130
98-21+ 9.051 9.067 9.078 9.090 9.101 9.111 9.126
98-22 9.048 9.064 9.075 9.086 9.097 9.107 9.121
98-22+ 9.045 9.061 9.071 9.082 9.093 9.103 9.117
98-23 9.042 9.057 9.068 9.078 9.089 9.099 9.112
98-23+ 9.039 9.054 9.064 9.075 9.085 9.094 9.108
98-24 9.036 9.051 9.061 9.071 9.081 9.090 9.103
98-24+ 9.033 9.047 9.057 9.067 9.077 9.086 9.099
98-25 9.030 9.044 9.054 9.063 9.073 9.082 9.094
98-25+ 9.027 9.041 9.050 9.060 9.069 9.077 9.090
98-26 9.024 9.038 9.047 9.056 9.065 9.073 9.085
98-26+ 9.021 9.034 9.043 9.052 9.061 9.069 9.081
98-27 9.018 9.031 9.040 9.048 9.057 9.065 9.076
98-27+ 9.015 9.028 9.036 9.045 9.053 9.061 9.072
98-28 9.013 9.024 9.033 9.041 9.049 9.056 9.067
98-28+ 9.010 9.021 9.029 9.037 9.045 9.052 9.063
98-29 9.007 9.018 9.026 9.033 9.041 9.048 9.058
98-29+ 9.004 9.015 9.022 9.030 9.037 9.044 9.054
AVG LIFE 7.983 6.810 6.184 5.663 5.233 4.874 4.445
DURATION 5.360 4.798 4.473 4.191 3.950 3.742 3.487
FIRST PAY 6/03 11/02 7/02 7/02 7/02 7/02 7/02
LAST PAY 7/13 8/11 7/10 8/09 10/08 2/08 3/07
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond: IIA1 Balance: 323,950,000 Coupon: 1ML + 27 (5.22250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.338 5.354 5.369 5.376 5.387 5.407 5.432
99-26+ 5.334 5.349 5.363 5.369 5.379 5.398 5.421
99-27 5.33 5.344 5.357 5.362 5.371 5.389 5.41
99-27+ 5.326 5.338 5.35 5.356 5.364 5.379 5.398
99-28 5.322 5.333 5.344 5.349 5.356 5.37 5.387
99-28+ 5.318 5.328 5.338 5.342 5.349 5.361 5.376
99-29 5.314 5.323 5.332 5.335 5.341 5.352 5.365
99-29+ 5.31 5.318 5.325 5.329 5.334 5.343 5.354
99-30 5.306 5.313 5.319 5.322 5.326 5.334 5.343
99-30+ 5.302 5.308 5.313 5.315 5.318 5.325 5.332
99-31 5.298 5.303 5.307 5.308 5.311 5.316 5.321
99-31+ 5.294 5.298 5.3 5.302 5.303 5.306 5.31
100- 0 5.29 5.293 5.294 5.295 5.296 5.297 5.299
100- 0+ 5.286 5.288 5.288 5.288 5.288 5.288 5.287
100- 1 5.282 5.282 5.282 5.281 5.281 5.279 5.276
100- 1+ 5.278 5.277 5.276 5.275 5.273 5.27 5.265
100- 2 5.273 5.272 5.269 5.268 5.266 5.261 5.254
100- 2+ 5.269 5.267 5.263 5.261 5.258 5.252 5.243
100- 3 5.265 5.262 5.257 5.255 5.251 5.243 5.232
100- 3+ 5.261 5.257 5.251 5.248 5.243 5.234 5.221
100- 4 5.257 5.252 5.244 5.241 5.236 5.225 5.21
100- 4+ 5.253 5.247 5.238 5.234 5.228 5.216 5.199
100- 5 5.249 5.242 5.232 5.228 5.221 5.207 5.188
AVG LIFE 4.959 3.733 2.937 2.687 2.361 1.914 1.539
DURATION 3.846 3.044 2.481 2.295 2.047 1.695 1.391
FIRST PAY 7/99 7/99 7/99 7/99 7/99 7/99 7/99
LAST PAY 8/25 2/21 1/17 9/15 12/13 7/11 9/09
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond:IIM1 Balance: 22,800,000 Coupon: 1ML + 55 (5.50250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 5.605 5.615 5.623 5.625 5.628 5.63 5.631
99-26+ 5.603 5.613 5.62 5.622 5.624 5.626 5.627
99-27 5.601 5.61 5.616 5.619 5.621 5.622 5.623
99-27+ 5.599 5.607 5.613 5.615 5.617 5.618 5.619
99-28 5.596 5.604 5.61 5.612 5.613 5.614 5.616
99-28+ 5.594 5.602 5.607 5.608 5.61 5.61 5.612
99-29 5.592 5.599 5.603 5.605 5.606 5.607 5.608
99-29+ 5.59 5.596 5.6 5.601 5.602 5.603 5.604
99-30 5.588 5.593 5.597 5.598 5.599 5.599 5.6
99-30+ 5.585 5.59 5.593 5.594 5.595 5.595 5.597
99-31 5.583 5.588 5.59 5.591 5.591 5.591 5.593
99-31+ 5.581 5.585 5.587 5.587 5.588 5.587 5.589
100- 0 5.579 5.582 5.584 5.584 5.584 5.583 5.585
100- 0+ 5.576 5.579 5.58 5.581 5.58 5.579 5.581
100- 1 5.574 5.577 5.577 5.577 5.577 5.576 5.578
100- 1+ 5.572 5.574 5.574 5.574 5.573 5.572 5.574
100- 2 5.57 5.571 5.571 5.57 5.569 5.568 5.57
100- 2+ 5.568 5.568 5.567 5.567 5.566 5.564 5.566
100- 3 5.565 5.566 5.564 5.563 5.562 5.56 5.562
100- 3+ 5.563 5.563 5.561 5.56 5.558 5.556 5.559
100- 4 5.561 5.56 5.557 5.556 5.555 5.552 5.555
100- 4+ 5.559 5.557 5.554 5.553 5.551 5.549 5.551
100- 5 5.557 5.555 5.551 5.55 5.547 5.545 5.547
AVG LIFE 9.65 7.251 5.812 5.439 5.031 4.686 4.735
DURATION 7.015 5.629 4.722 4.48 4.216 3.997 4.057
FIRST PAY 8/03 7/02 9/02 10/02 11/02 1/03 4/03
LAST PAY 12/21 2/17 7/13 6/12 12/10 2/09 8/07
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond:IIM2 Balance: 18,050,000 Coupon: 1ML + 105 (6.00250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
99-26 6.126 6.138 6.147 6.151 6.154 6.158 6.159
99-26+ 6.124 6.136 6.144 6.147 6.15 6.154 6.154
99-27 6.121 6.133 6.141 6.143 6.147 6.15 6.15
99-27+ 6.119 6.13 6.137 6.14 6.143 6.145 6.146
99-28 6.117 6.127 6.134 6.136 6.139 6.141 6.141
99-28+ 6.115 6.124 6.13 6.133 6.135 6.137 6.137
99-29 6.112 6.121 6.127 6.129 6.131 6.133 6.133
99-29+ 6.11 6.119 6.124 6.125 6.127 6.129 6.128
99-30 6.108 6.116 6.12 6.122 6.123 6.125 6.124
99-30+ 6.105 6.113 6.117 6.118 6.12 6.12 6.12
99-31 6.103 6.11 6.114 6.115 6.116 6.116 6.115
99-31+ 6.101 6.107 6.11 6.111 6.112 6.112 6.111
100- 0 6.099 6.104 6.107 6.108 6.108 6.108 6.107
100- 0+ 6.096 6.102 6.103 6.104 6.104 6.104 6.102
100- 1 6.094 6.099 6.1 6.1 6.1 6.1 6.098
100- 1+ 6.092 6.096 6.097 6.097 6.097 6.095 6.093
100- 2 6.089 6.093 6.093 6.093 6.093 6.091 6.089
100- 2+ 6.087 6.09 6.09 6.09 6.089 6.087 6.085
100- 3 6.085 6.087 6.087 6.086 6.085 6.083 6.08
100- 3+ 6.083 6.085 6.083 6.083 6.081 6.079 6.076
100- 4 6.08 6.082 6.08 6.079 6.077 6.075 6.072
100- 4+ 6.078 6.079 6.076 6.075 6.074 6.07 6.067
100- 5 6.076 6.076 6.073 6.072 6.07 6.066 6.063
AVG LIFE 9.534 7.149 5.703 5.307 4.856 4.371 4.136
DURATION 6.8 5.472 4.58 4.326 4.031 3.707 3.551
FIRST PAY 8/03 7/02 8/02 8/02 9/02 10/02 11/02
LAST PAY 1/20 5/15 2/12 1/11 10/09 1/08 10/06
</TABLE>
<PAGE>
<TABLE>
TO MATURITY
CHASE SECURITIES INC.
<CAPTION>
Bond:IIB Balance: 15,200,000 Coupon: 1ML + 275 (7.70250)
CPR CPR CPR CPR CPR CPR CPR
15 20 25 27 30 35 40
--- --- --- --- --- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-26 7.879 7.893 7.903 7.907 7.912 7.917 7.921
99-26+ 7.876 7.89 7.899 7.903 7.907 7.913 7.916
99-27 7.874 7.887 7.896 7.899 7.903 7.908 7.911
99-27+ 7.871 7.884 7.892 7.895 7.899 7.904 7.906
99-28 7.869 7.881 7.888 7.891 7.895 7.899 7.901
99-28+ 7.866 7.878 7.884 7.887 7.891 7.894 7.896
99-29 7.864 7.875 7.881 7.883 7.886 7.89 7.892
99-29+ 7.861 7.871 7.877 7.879 7.882 7.885 7.887
99-30 7.859 7.868 7.873 7.875 7.878 7.88 7.882
99-30+ 7.856 7.865 7.87 7.871 7.874 7.876 7.877
99-31 7.854 7.862 7.866 7.868 7.869 7.871 7.872
99-31+ 7.851 7.859 7.862 7.864 7.865 7.866 7.867
100- 0 7.848 7.856 7.858 7.86 7.861 7.862 7.862
100- 0+ 7.846 7.853 7.855 7.856 7.857 7.857 7.857
100- 1 7.843 7.85 7.851 7.852 7.853 7.853 7.852
100- 1+ 7.841 7.846 7.847 7.848 7.848 7.848 7.847
100- 2 7.838 7.843 7.844 7.844 7.844 7.843 7.842
100- 2+ 7.836 7.84 7.84 7.84 7.84 7.839 7.837
100- 3 7.833 7.837 7.836 7.836 7.836 7.834 7.832
100- 3+ 7.831 7.834 7.832 7.832 7.831 7.829 7.827
100- 4 7.828 7.831 7.829 7.828 7.827 7.825 7.822
100- 4+ 7.826 7.828 7.825 7.824 7.823 7.82 7.818
100- 5 7.823 7.825 7.821 7.821 7.819 7.816 7.813
AVG LIFE 9.097 6.797 5.404 5.02 4.565 4.052 3.743
DURATION 6.118 4.97 4.178 3.948 3.666 3.337 3.133
FIRST PAY 8/03 7/02 7/02 7/02 7/02 7/02 8/02
LAST PAY 3/17 12/12 2/10 4/09 2/08 9/06 8/05
</TABLE>
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