SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) March 13, 2000
------------------------------
Chase Funding, Inc.
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(Exact name of registrant as specified in its charter)
New York 333-64131 13-3840732
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(State or other jurisdiction (Commission File Number) (I.R.S. Employer
of incorporation) Identification No.)
343 Thornall Street, Edison, New Jersey 08837
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (732) 205-0600
-----------------------------
Not applicable
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(Former name or former address, if changed since last report.)
<PAGE>
ITEM 5. Other Events
------------
Attached as exhibits are certain Structural Term Sheets, Collateral
Term Sheets and Computational Materials (as defined in the no-action letter
dated May 20, 1994 issued by the Securities and Exchange Commission (the
"Commission") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co.
Incorporated and Kidder Structured Asset Corporation, as modified by a no-action
letter issued by the staff of the Commission on May 27, 1994 to the Public
Securities Association (the "PSA") and as further modified by a no-action letter
issued by the staff of the Commission on March 9, 1995 to the PSA) furnished to
the Registrant by Chase Securities Inc., Prudential Securities Incorporated,
First Union Securities, Inc. and Wachovia Securities, Inc. (collectively, the
"Underwriters") in respect of the Registrant's proposed offering of Chase
Funding Mortgage Loan Asset-Backed Certificates, Series 2000-1 (the
"Certificates").
The Certificates will be offered pursuant to a Prospectus and
related Prospectus Supplement (together, the "Prospectus"), which will be filed
with the Commission pursuant to Rule 424 under the Securities Act of 1933, as
amended (the "Act"). The Certificates will be registered pursuant to the Act
under the Registrant's Registration Statement on Form S-3 (No. 333-64131) (the
"Registration Statement"). The Registrant hereby incorporates the Structural
Term Sheets, Collateral Term Sheets and Computational Materials by reference in
the Registration Statement.
The Structural Term Sheets, Collateral Term Sheets and Computational
Materials were prepared solely by the Underwriters, and the Registrant did not
prepare or participate in the preparation of the Structural Term Sheets,
Collateral Term Sheets or Computation Materials.
Any statement or information contained in the Structural Term
Sheets, Collateral Term Sheets or Computational Materials shall be deemed to be
modified or superseded for purposes of the Prospectus and the Registration
Statement by statements or information contained in the Prospectus.
-2-
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
----------- -----------
(99.1) Structural Term Sheets,
Collateral Term Sheets and
Computational Materials prepared
by Chase Securities Inc.,
Prudential Securities Incorporated,
First Union Securities, Inc. and
Wachovia Securities, Inc. in
connection with Chase Funding
Mortgage Loan Asset-Backed
Certificates, Series 2000-1.
(99.2) Structural Term Sheets,
Collateral Term Sheets and
Computational Materials prepared
by Chase Securities Inc., in
connection with Chase Funding
Mortgage Loan Asset-Backed
Certificates, Series 2000-1.
-3-
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CHASE FUNDING, INC.
Date: March 13, 2000
By: /s/ Eileen Lindblom
----------------------------------
Name: Eileen Lindblom
Title: Vice President
-4-
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99.1) Structural Term Sheets, Collateral Term (E)
Sheets and Computational Materials
prepared by Chase Securities Inc.,
Prudential Securities Incorporated,
First Union Securities, Inc. and Wachovia
Securities, Inc. in connection with
Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2000-1.
(99.2) Structural Term Sheets, Collateral Term (E)
Sheets and Computational Materials
prepared by Chase Securities Inc.,
in connection with Chase Funding
Mortgage Loan Asset-Backed Certificates,
Series 2000-1.
-5-
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
$410,000,000 (APPROXIMATE)
Subject to Revision
March 13, 2000 - Computational Materials
The analysis in this report is based on information provided by Chase Manhattan
Mortgage Corporation (the "Seller"). Chase Securities Inc. ("CSI") makes no
representations as to the accuracy or completeness of the information contained
herein. The information contained herein is qualified in its entirety by the
information in the Prospectus and Prospectus Supplement for this transaction.
The information contained herein is preliminary as of the date hereof,
supersedes any previous information delivered to you by CSI and will be
superseded by the applicable final Prospectus and Prospectus Supplement and any
other information subsequently filed with the Securities and Exchange
Commission. These materials are subject to change, completion, or amendment from
time to time without notice, and CSI is under no obligation to keep you advised
of such changes. These materials are not intended as an offer or solicitation
with respect to the purchase or sale of any security. Any investment decision
with respect to the securities should be made by you based upon the information
contained in the final Prospectus Supplement and Prospectus relating to the
securities. You should consult your own counsel, accountant, and other advisors
as to the legal, tax, business, financial and related aspects of a purchase of
these securities.
The attached information contains certain tables and other statistical analyses
(the "Computational Materials") which have been prepared by CSI in reliance upon
information furnished by the Seller. They may not be provided to any third party
other than the addressee's legal, tax, financial and/or accounting advisors for
the purposes of evaluating said material. Numerous assumptions were used in
preparing the Computational Materials which may or may not be reflected herein.
As such, no assurance can be given as to the Computational Materials' accuracy,
appropriateness or completeness in any particular context; nor as to whether the
Computational Materials and/or the assumptions upon which they are based reflect
present market conditions or future market performance. These Computational
Materials should not be construed as either projections or predictions or as
legal, tax, financial or accounting advice. Any weighted average lives, yields
and principal payment periods shown in the Computational Materials are based on
prepayment assumptions, and changes in such prepayment assumptions may
dramatically affect such weighted average lives, yields and principal payment
periods. In addition, it is possible that prepayments on the underlying assets
will occur at rates slower or faster than the rates shown in the attached
Computational Materials. Furthermore, unless otherwise provided, the
Computational Materials assume no losses on the underlying assets and no
interest shortfalls. The specific characteristics of the securities may differ
from those shown in the Computational Materials due to differences between the
actual underlying assets and the hypothetical underlying assets used in
preparing the Computational Materials. The principal amount and designation of
any security described in the Computational Materials are subject to change
prior to issuance. Neither CSI nor any of its affiliates makes any
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities.
THIS INFORMATION IS FURNISHED TO YOU SOLELY BY CSI AND NOT BY THE ISSUER OF THE
SECURITIES OR ANY OF ITS AFFILIATES (OTHER THAN CSI). CSI IS ACTING AS
UNDERWRITER AND NOT ACTING AS AGENT FOR THE ISSUER IN CONNECTION WITH THE
PROPOSED TRANSACTION.
<PAGE>
TERM SHEET
MARCH 13, 2000
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES
SERIES 2000-1
$410,000,000 (APPROXIMATE)
SUBJECT TO REVISION
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
RATINGS BOND EXP FINAL
CLASS AMOUNT ($) (MOODY'S /FITCH) WAL(1) TYPE COUPON MATURITY(1)
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
IA-1 44,800,000 Aaa/AAA 0.96 SEQ 1M Libor + [ ](2) 12/01
IA-2 17,500,000 Aaa/AAA 2.15 SEQ Fixed(2) 10/02
IA-3 17,000,000 Aaa/AAA 3.14 SEQ Fixed(2) 2/04
IA-4 17,000,000 Aaa/AAA 5.16 SEQ Fixed(2) 3/07
IA-5 10,170,000 Aaa/AAA 8.51 SEQ Fixed(2),(3) 10/08
IA-6 11,830,000 Aaa/AAA 6.48 NAS Fixed(2) 10/08
IM-1 3,900,000 Aa2/AA 5.73 MEZ Fixed(2) 10/08
IM-2 4,225,000 A2/A 5.73 MEZ Fixed(2) 10/08
IB 3,575,000 Baa2/BBB 5.71 SUB Fixed(2) 10/08
IIA-1 239,400,000 Aaa/AAA 2.41 PASS-THRU 1M Libor + [ ](3),(4) 6/07
IIM-1 16,100,000 Aa2/AA 4.92 MEZ 1M Libor + [ ](3),(4) 6/07
IIM-2 13,300,000 A2/A 4.86 MEZ 1M Libor + [ ](3),(4) 6/07
IIB 11,200,000 Baa2/BBB 4.82 SUB 1M Libor + [ ](3),(4) 6/07
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Group I Certificates will be priced at 23% HEP while the Group II
Certificates will be priced at 27% CPR. Assumes 10% call by group.
(2) Preliminary, subject to a cap based on the weighted average net loan rate
of the Group I Loans.
(3) If the 10% cleanup call, with respect to the related Loan Group, is not
exercised on the first distribution date on which it is exercisable, the
coupon on the Class IA-5 Certificates will increase by 50 bps per annum,
the margin on the Class IIA-1 Certificates will increase to 2x the IIA-1
margin, and the margin on the Class IIM-1, IIM-2 and IIB Certificates will
increase to 1.5x their related margins.
(4) Subject to an available funds cap and a cap based on the weighted average
of the net maximum lifetime rates on the Group II Loans.
- ------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 2
<PAGE>
TITLE OF CERTIFICATES: Chase Funding Mortgage Loan Asset-Backed
Certificates, Series 2000-1, consisting of:
IA-1, IA-2, IA-3, IA-4, IA-5, IA-6
IM-1, IM-2
IB
Group I Certificates
and
IIA-1
IIM-1, IIM-2
IIB
Group II Certificates
UNDERWRITERS: Chase Securities Inc., First Union Securities,
Inc., Prudential Securities Incorporated, and
Wachovia Securities, Inc.
DEPOSITOR: Chase Funding, Inc.
SELLER AND MASTER SERVICER: Chase Manhattan Mortgage Corporation
SUBSERVICER: Advanta Mortgage Corp. USA
TRUSTEE: Citibank, N.A.
CUT-OFF DATE: March 1, 2000
PRICING DATE: [March 14, 2000]
CLOSING DATE: [March 24, 2000]
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
April 2000.
ERISA CONSIDERATIONS: The Class A Certificates will be ERISA eligible as
of the Closing Date. However, investors should
consult with their counsel with respect to the
consequences under ERISA and the Internal Revenue
Code of an ERISA Plan's acquisition and ownership
of such Certificates.
LEGAL INVESTMENT: The Class A and M1 Certificates will constitute
"mortgage-related securities" for the purposes of
SMMEA. The Class M-2 and B Certificates will not
constitute "mortgage-related securities" for the
purposes of SMMEA.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 3
<PAGE>
TAX STATUS: For federal income tax purposes, the Trust Fund
will include two segregated asset pools, with
respect to which elections will be made to treat
each as a "real estate mortgage investment
conduit" ("REMIC").
OPTIONAL TERMINATION: The Master Servicer has the option to exercise a
call on each loan group individually when the
aggregate stated principal balance for that loan
group is less than or equal to 10% of the
aggregate stated principal balance of the related
group as of the Cut-Off Date (i.e. separate calls
for each group). The call will be exercised at a
price equal to the sum of (i) the stated principal
balance of the Mortgage Loans in the related loan
group (other than in respect of REO property) plus
accrued interest, (ii) the appraised value of any
REO Property in the related loan group (up to the
stated principal balance of the related Mortgage
Loan), and (iii) any unreimbursed out-of-pocket
costs, expenses and the principal portion of
Advances, in each case previously incurred by the
Subservicer in the performance of its servicing
obligations in connection with such Mortgage
Loans.
MORTGAGE LOANS: The mortgage pool will consist of mortgage loans
("Mortgage Loans") that will be divided into a
fixed rate coupon group (Group I) and an
adjustable-rate coupon group (Group II). The
Mortgage Loans are secured by first liens on real
properties.
ADMINISTRATIVE FEES: The Master Servicer, Servicer and Trustee will be
paid fees aggregating approximately 51 bps per
annum (payable monthly) on the stated principal
balance of the Mortgage Loans.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 4
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
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 loan group, generally
until the required O/C levels are reached.
Accelerated amortization is achieved by applying
certain excess interest collected on each loan
group to the payment of principal on the related
senior Certificates, resulting in the accumulation
of O/C. By paying down the principal balance of
the certificates faster than the principal
amortization of the related loan group, an
overcollateralization amount equal to the excess
of the aggregate unpaid principal balance of the
related mortgage group over the principal balance
of the related Certificates is created. Excess
interest will be directed to build each loan
group's O/C amount until the respective loan group
reaches its required O/C target. Upon this event,
the acceleration feature will cease unless it is
once again necessary to maintain the required O/C
level. For purposes of applying excess interest to
build each group's O/C amount, excess interest
will begin to be applied for the Group I
Certificates on the fourth Distribution Date (July
2000) and for the Group II Certificates on the
third Distribution Date (June 2000).
GROUP I CERTIFICATES
Initial: 0.00% Target: 2.00% of original balance
Stepdown: 4.00% of current balance Floor: 0.50% of original balance
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
Initial: 0.00% Target: 2.00% of original balance
Stepdown: 4.00% of current balance Floor: 0.50% of original balance
Stepup: 2.50% (5.00%) of original (current) balance, if applicable
(PRELIMINARY AND SUBJECT TO REVISION)
CROSS-
COLLATERALIZATION: Excess interest from each of the two loan groups,
if not needed to credit enhance its own group will
be available to credit enhance the other loan
group.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 5
<PAGE>
GROUP I - FIXED
---------------
GROUP I (FIXED) SUBORDINATION(1): (Moody's/Fitch) GROUP I (Subordination)
-----------------------
Class IA (Aaa /AAA) 11.00%
Class IM-1 (Aa2/AA) 8.00%
Class IM-2 (A2/A) 4.75%
Class IB (Baa2/BBB) 2.00%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP I (FIXED) CLASS SIZES: (Moody's/Fitch) GROUP I (Class Sizes)
---------------------
Class IA (Aaa/AAA) 91.00%
Class IM-1 (Aa2/AA) 3.00%
Class IM-2 (A2/A) 3.25%
Class IB (Baa2/BBB) 2.75%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II - ARM
--------------
GROUP II (ARM) SUBORDINATION(1): (Moody's/Fitch) GROUP II (Subordination)
------------------------
Class IIA-1 (Aaa/AAA) 16.50%
Class IIM-1 (Aa2/AA) 10.75%
Class IIM-2 (A2/A) 6.00%
Class IIB (Baa2/BBB) 2.00%
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II (ARM) CLASS SIZES: (Moody's/Fitch) GROUP II (Class Sizes)
----------------------
Class IIA-1 (Aaa/AAA) 85.50%
Class IIM-1 (Aa2/AA) 5.75%
Class IIM-2 (A2/A) 4.75%
Class IIB (Baa2/BBB) 4.00%
(PRELIMINARY AND SUBJECT TO REVISION)
(1) The subordination percentages assume that the target overcollateralization
levels of 2.00% for Group I and 2.00% for Group II have been achieved. There
will be no overcollaterization as of the Closing Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 6
<PAGE>
GROUP I
-------
MORTGAGE LOANS: Fixed-rate, first lien, sub-prime Mortgage Loans
TOTAL GROUP SIZE*: $130,000,000
PREPAYMENT
ASSUMPTION: 23% HEP (2.3% - 23% CPR Ramp over 10 months)
FIXED RATE WAC CAP: Preliminarily, the pass-through rate
of each class of the Group I Certificates will be
subject to the "Group I WAC Cap" which is a per
annum rate equal to the weighted average net
mortgage rate on the fixed rate Mortgage Loans.
INTEREST ACCRUAL: For the Class IA-1 Certificates, interest will
initially accrue from the Closing Date to (but
excluding) the first Distribution Date, and
thereafter, from the prior Distribution Date to
(but excluding) the current Distribution Date. For
all Group I Certificates except the Class IA-1,
interest will accrue during the calendar month
preceding the month of distribution.
PAYMENT DELAY: For Class IA-1, 0 days. For all other Group I
Certificates, 24 days.
INT. PMT. BASIS: For Class IA-1, actual/360. For all other Group I
Certificates, 30/360.
COUPON STEP UP: If the 10% clean-up call for the Group I
Certificates is not exercised on the first
distribution date on which it is exercisable, the
Pass-Through Rate on the Class IA-5 Certificates
will increase by 50 bps per annum.
* The mortgage pool as of the Closing Date will include approximately $796,320
of fixed rate Mortgage Loans that are not included in the statistical
information set forth in this document. Updated statistical information on the
Mortgage Pool (giving effect to the inclusion of such mortgage loans) will be
available to purchasers of the Certificates on, and will be filed with the
Securities and Exchange Commission within fifteen days of, the Closing Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 7
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1
GROUP I CERTIFICATES
<TABLE>
<CAPTION>
CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS CLASS
IA-1 IA-2 IA-3 IA-4 IA-5 IA-6 IM-1 IM-2 IB
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OFFER SIZE 44.800 17.500 17.000 17.000 10.170 11.830 3.900 4.225 3.575
($MM)
EXPECTED RATINGS
MOODY'S Aaa Aaa Aaa Aaa Aaa Aaa Aa2 A2 Baa2
FITCH AAA AAA AAA AAA AAA AAA AA A BBB
COUPON 1M Libor + Fixed(1) Fixed(1) Fixed(1) Fixed(1),(2) Fixed(1) Fixed(1) Fixed(1) Fixed(1)
[ ](1)
WEIGHTED AVERAGE LIFE TO 0.96 2.15 3.14 5.16 8.51 6.48 5.73 5.73 5.71
CALL (YRS)(3)
WEIGHTED AVERAGE LIFE 0.96 2.15 3.14 5.16 11.29 6.55 6.23 6.14 5.87
TO MATURITY (YRS)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-47/17 47-84/38 84-103/20 37-103/67 37-103/67 37-103/67 37-103/67
TO CALL (MOS.)(3)
PAYMENT WINDOW 1-21/21 21-31/11 31-47/17 47-84/38 84-193/110 37-113/77 37-163/127 37-150/114 37-129/93
TO MATURITY (MOS.)(3)
EXPECTED MATURITY TO CALL 12/01 10/02 2/04 3/07 10/08 10/08 10/08 10/08 10/08
3
EXPECTED MATURITY TO 12/01 10/02 2/04 3/07 4/16 8/09 10/13 9/12 12/10
MATURITY(3)
LAST SCHEDULED 1/15 1/15 10/19 5/27 2/30 12/11 2/30 2/30 2/30
DISTRIBUTION DATE(4)
</TABLE>
(1) Preliminary, subject to a cap based on the weighted average net loan rate
of the Group I Loans.
(2) If the 10% cleanup call for Group I is not exercised on the first
Distribution Date on which it is exercisable, the coupon on the Class IA-5
Certificates will increase by 50 bps per annum.
(3) The Group I Certificates will be priced at 23% HEP.
(4) Assumes 0% HEP, no losses, and no excess interest will be applied to
principal.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 8
<PAGE>
GROUP II
MORTGAGE LOANS: Adjustable-rate, first lien, sub-prime Mortgage
Loans
TOTAL GROUP SIZE*: $280,000,000
PREPAYMENT ASSUMPTION: 27% CPR
ADJUSTABLE RATE
AVAILABLE FUNDS CAP: 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 based on the
net mortgage rates in effect on the related due
date, divided by (y) the aggregate principal
balance of the Group II Certificates as of the
first day of the applicable accrual period.
LIFETIME WAC CAP: All Group II pass-through rates will also be
subject to a cap equal to a weighted average net
lifetime rate on the underlying Mortgage Loans.
Any interest shortfall due to the maximum lifetime
WAC cap will not be reimbursed.
INTEREST ACCRUAL: For Group II Certificates, interest will initially
accrue from the Closing Date to (but excluding)
the first Distribution Date, and thereafter, from
the prior Distribution Date to (but excluding) the
current Distribution Date.
PAYMENT DELAY: 0 days
INT. PMT. BASIS: Actual/360
SHORTFALL
REIMBURSEMENT: If on any Distribution Date the pass-through rate
is limited by the Available Funds Cap, the amount
of such interest that would have been distributed
if the Pass-Through Rate had not been so limited
by the Available Funds Cap and the aggregate of
such shortfalls from previous Distribution Dates
together with accrued interest at the Pass-Through
Rate will be carried over to the next Distribution
Date until paid (herein referred to as
"Carryover"). Such reimbursement will only come
from interest on the Group II loans and will be
paid only on a subordinated basis. No such Group
II Certificate Carryover will be paid once the
Group II Certificate principal balance has been
reduced to zero.
COUPON STEP UP: If the 10% clean-up call for the Group II
Certificates is not exercised on the first
distribution date on which it is exercisable, (i)
the margin on the Class IIA-1 Certificates will
increase to 2x the Class IIA-1 margin, and (ii)
the margins on the Class IIM-1, Class IIM2 and
Class IIB Certificates will increase to 1.5x their
related margins.
* The mortgage pool as of the Closing Date will include approximately $143,032
of adjustable rate mortgage loans that are not included in the statistical
information set forth in this document. Updated statistical information on the
mortgage pool (giving effect to the inclusion of such Mortgage Loans) will be
available to purchasers of the Certificates on, and will be filed with the
Securities and Exchange Commission within fifteen days of, the Closing Date.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 9
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
GROUP II CERTIFICATES
<TABLE>
<CAPTION>
CLASS CLASS CLASS CLASS
IIA-1 IIM-1 IIM-2 IIB
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OFFER 239.400 16.100 13.300 11.200
SIZE ($MM)
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)
WEIGHTED AVERAGE LIFE TO CALL 2.41 4.92 4.86 4.82
(YRS)(4)
WEIGHTED AVERAGE LIFE TO 2.63 5.41 5.28 5.02
MATURITY (YRS)(4)
PAYMENT WINDOW 1-87/87 40-87/48 38-87/50 37-87/51
TO CALL (MOS.)(4)
PAYMENT WINDOW 1-195/195 40-156/117 38-140/103 37-119/83
TO MATURITY (MOS.)(4)
EXPECTED MATURITY TO CALL(4) 6/07 6/07 6/07 6/07
EXPECTED MATURITY TO MATURITY(4) 6/16 3/13 11/11 2/10
LAST SCHEDULED DISTRIBUTION 2/30 2/30 2/30 2/30
DATE(5)
</TABLE>
(1) Subject to an available funds cap and a cap based on the weighted average
of the net maximum lifetime rate on the Group II Loans.
(2) If the 10% cleanup call is not exercised on the first Distribution Date on
which it is exercisable, the margin of the Class IIA-1 Certificates will
increase to 2x the IIA-1 margin.
(3) If the 10% cleanup call is not exercised on the first Distribution Date on
which it is exercisable, the margin on the Class IIM-1, IIM-2 and IIB
Certificates will increase to 1.5x their related margins.
(4) The Group II Certificates will be priced at 27% CPR.
(5) Assumes 0% CPR, no losses, and no excess interest will be applied to
principal.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 10
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
CASH FLOW PRIORITY
GROUP I CERTIFICATES
1. Repayment of any unrecoverable, unreimbursed Servicer advances.
2. Servicing Fees and Trustee/Master Servicing Fees.
3. Group I available interest funds, as follows: monthly interest, including
any interest carryforward to the Class IA Certificates, on a pro-rata
basis, then monthly interest, including any interest carryforward to the
Class IM-1 Certificates, then to the Class IM-2 Certificates and then to
the Class IB Certificates in a similar manner.
4. Group I available principal funds, as follows: monthly principal
sequentially to the Class IA Certificates as described under "PRINCIPAL
PAYDOWN", then monthly principal to the Class IM-1 Certificates as
described under "PRINCIPAL PAYDOWN", then monthly principal to the Class
IM-2 Certificates as described under "PRINCIPAL PAYDOWN", then monthly
principal to the Class IB Certificates as described under "PRINCIPAL
PAYDOWN."
5. Excess Group I interest to Group I Certificates in the order as described
under "PRINCIPAL PAYDOWN" to build O/C to the required level.
6. Excess Group I interest to pay Group I subordinate principal shortfalls.
7. Excess Group I interest to pay certain amounts for the Group II
Certificates as described in the Prospectus Supplement.
8. Any remaining Group I amount is paid to the Residual Certificateholder.
(PRELIMINARY AND SUBJECT TO REVISION)
GROUP II CERTIFICATES
1. Repayment of any unrecoverable, unreimbursed Servicer advances.
2. Servicing Fees, Trustee/Master Servicing Fees.
3. Group II available interest funds, as follows: monthly interest, including
any interest carryforward to the Class IIA-1 Certificates, then monthly
interest, including any interest carryforward to the Class IIM-1
Certificates, then to the Class IIM-2 Certificates and then to the Class
IIB Certificates in a similar manner.
4. Group II available principal funds, as follows: monthly principal to the
Class IIA-1 Certificates as described under "PRINCIPAL PAYDOWN", then
monthly principal to the Class IIM-1 Certificates as described under
"PRINCIPAL PAYDOWN", then monthly principal to the Class IIM-2
Certificates as described under "PRINCIPAL PAYDOWN", then monthly
principal to the Class IIB Certificates as described under "PRINCIPAL
PAYDOWN."
5. Excess Group II interest to Group II Certificates in the order as
described under "PRINCIPAL PAYDOWN" to build O/C to the required level.
6. Excess Group II interest to pay Group II subordinate principal shortfalls.
7. Excess Group II interest to pay certain amounts for the Group I
Certificates as described in the Prospectus Supplement.
8. Excess Group II interest to pay any Group II Certificate carryover
resulting from the imposition of the available funds cap.
9. Any remaining Group II amount is paid to the Residual Certificateholder.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 11
<PAGE>
(PRELIMINARY AND SUBJECT TO REVISION)
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
PRINCIPAL PAYDOWN
CLASS IA-6 LOCKOUT DISTRIBUTION AMOUNT: FOR ANY
DISTRIBTUION DATE PRIOR TO THE DISTRIBUTION DATE
IN APRIL 2009, THE PRODUCT OF (I) THE APPLICABLE
CLASS IA-6 LOCKOUT PERCENTAGE, (II) A FRACTION,
THE NUMERATOR OF WHICH IS THE OUTSTANDING
PRINCIPAL BALANCE OF THE CLASS IA-6 CERTIFICATES
AND THE DENOMINATOR OF WHICH IS THE AGGREGATE
OUTSTANDING PRINCIPAL BALANCE OF ALL CLASS A GROUP
I CERTIFICATES (IN EACH CASE IMMEDIATELY PRIOR TO
SUCH DISTRIBUTION DATE) AND (III) THE GROUP I
CLASS A PRINCIPAL CASHFLOW FOR SUCH DISTRIBUTION
DATE. FOR THE APRIL 2009 DISTRIBUTION DATE AND
EACH DISTRIBUTION DATE THEREAFTER, THE CLASS IA-6
LOCKOUT AMOUNT DISTRIBUTION WILL EQUAL THE GROUP I
CLASS A PRINCIPAL CASHFLOWS.
CLASS IA-6 LOCKOUT PERCENTAGE
April 2000 -- March 2003: 0%
April 2003 -- March 2005: 45%
April 2005 -- March 2006: 80%
April 2006 -- March 2007: 100%
April 2007 -- March 2009: 300%
(PRELIMINARY AND SUBJECT TO REVISION)
IF THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION
TEST IS NOT MET:
Group I Certificates:
1) To the Class IA-6 Certificateholders --
the Class IA-6 Lockout Distribution
Amount until the principal balance of the
Class IA-1 Certificate is reduced to zero
2) All remaining scheduled and unscheduled
Group I principal will be paid
sequentially to the Class IA Certificates
until the principal balance of each such
Certificates is reduced to zero.
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.
(PRELIMINARY AND SUBJECT TO REVISION)
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 in the case prior to the
test being met), second to the Class M-1
Certificates, third to the Class M-2 Certificates,
and fourth to the Class B Certificates.
If the Subordinate Class Principal Distribution
Test is met, principal will be distributed up to
amounts that will keep the subordination for each
class at its required level.
(PRELIMINARY AND SUBJECT TO REVISION)
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 12
<PAGE>
REQUIRED SUBORDINATION LEVELS*
Group I Group II
Class A 22.00% Class A 33.00%
Class M-1 16.00% Class M-1 21.50%
Class M-2 9.50% Class M-2 12.00%
Class B 4.00% Class B 4.00%
*Includes overcollateralization
(PRELIMINARY AND SUBJECT TO REVISION)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION TEST
IS MET IF:
i) The Distribution Date is on or after the
April 2003 Distribution Date; and
ii) The applicable Subordinate Class Principal
Distribution Date has occurred (as described
below); and
iii) A Trigger Event does not exist (a Trigger
Event exists if current Senior Enhancement
Percentage is not greater than or equal to a
multiple of the 60+ day delinquency
percentage (including foreclosures and REOs)
(2x for Group I; 2.5x for Group II)).
(PRELIMINARY AND SUBJECT TO REVISION)
THE SUBORDINATE CLASS PRINCIPAL DISTRIBUTION DATE:
For each loan group, the later of (i) the April
2003 Distribution Date and (ii) the first
Distribution Date on which the applicable Senior
Enhancement Percentage (i.e., the sum of the
outstanding principal balance of the subordinate
Certificates + the O/C amount for the applicable
loan group divided by the aggregate stated
principal balance of the Mortgage Loans for such
loan 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:
--------------------- --------------------
22.00% 33.00%
Or Or
(9.00% + 2.00%)*2 (14.50% + 2.00%)*2
(PRELIMINARY AND SUBJECT TO REVISION)
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 13
<PAGE>
Prospectus: The Certificates will be offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information
with respect to the Certificates and the Mortgage
Loans is contained in the Prospectus. The
foregoing is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Certificates may not be
consummated unless the purchaser has received the
Prospectus.
Further Information: Please call David Howard at (212) 834-5125, Peggy
Wallace at (212) 834-5519, Lou Violante at (212)
834-5034, Paul Park at (212) 834-5033, Paul
Scialabba at (212) 834-5173, Jee Hong at (212)
834-5295, or Joyce Huang at (212) 834-5529.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 14
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $129,203,680
AGGREGATE ORIGINAL PRINCIPAL BALANCE $129,357,932
NUMBER OF MORTGAGE LOANS 1,530
MINIMUM MAXIMUM AVERAGE(1)
------- ------- ----------
ORIGINAL PRINCIPAL BALANCE 9,000 550,000 84,548
OUTSTANDING PRINCIPAL BALANCE 8,666 550,000 84,447
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- -------------------
ORIGINAL TERM (MOS) 120 360 248
STATED REMAINING TERM (MOS) 115 360 247
EXPECTED REMAINING TERM (MOS) 115 360 247
LOAN AGE (MOS) 0 23 1
CURRENT INTEREST RATE 6.200% 14.150% 9.941%
ORIGINAL LOAN-TO-VALUE 9.14% 95.00% 72.20%
CREDIT SCORE 461 798 617 (3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1998 02/2000
MATURITY DATES 10/2009 03/2030
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 15
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
6.000% to 6.499% 2 $ 134,102 0.1%
6.500% to 6.999% 4 275,976 0.2
7.000% to 7.499% 14 1,180,955 0.9
7.500% to 7.999% 59 5,482,191 4.2
8.000% to 8.499% 82 7,877,951 6.1
8.500% to 8.999% 184 17,659,558 13.7
9.000% to 9.499% 145 12,787,802 9.9
9.500% to 9.999% 236 22,541,000 17.4
10.000% to 10.499% 182 14,760,407 11.4
10.500% to 10.999% 271 21,546,578 16.7
11.000% to 11.499% 131 9,899,939 7.7
11.500% to 11.999% 131 9,015,611 7.0
12.000% to 12.499% 50 3,756,969 2.9
12.500% to 12.999% 24 1,315,489 1.0
13.000% to 13.499% 10 704,814 0.5
13.500% to 13.999% 4 213,257 0.2
14.000% to 14.499% 1 51,082 0.0
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 6.200% TO 14.150%
WEIGHTED AVERAGE IS: 9.941%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 16
<PAGE>
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
109 to 120 32 $ 1,272,294 1.0%
133 to 144 2 47,807 0.0
169 to 180 896 76,402,930 59.1
229 to 240 59 3,190,067 2.5
289 to 300 2 206,750 0.2
337 to 348 2 121,291 0.1
349 to 360 537 47,962,541 37.1
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 115 TO 360
WEIGHTED AVERAGE IS (MONTBS): 247
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 17
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
$ 100,000 or Less 1,152 $ 66,011,445 51.1%
$ 100,001 to $ 150,000 215 26,053,662 20.2
$ 150,001 to $ 200,000 79 13,572,293 10.5
$ 200,001 to $ 250,000 37 8,248,872 6.4
$ 250,001 to $ 300,000 21 5,702,781 4.4
$ 300,001 to $ 350,000 14 4,558,762 3.5
$ 350,001 to $ 400,000 6 2,252,579 1.7
$ 400,001 to $ 450,000 2 828,093 0.6
$ 450,001 to $ 500,000 3 1,425,193 1.1
$ 500,001 to $ 550,000 1 550,000 0.4
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $9,000 TO $550,000
AVERAGE IS: $84,548
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
10 Yr Fixed 32 $ 1,272,294 1.0%
15 Yr Fixed 313 20,486,331 15.9
20 Yr Fixed 59 3,190,067 2.5
30 Yr Fixed 539 48,083,832 37.2
Balloon Loan 583 55,916,599 43.3
Other 4 254,557 0.2
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 18
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 16 $ 1,440,618 1.1%
Arkansas 5 168,996 0.1
California 85 13,306,347 10.3
Colorado 30 2,793,571 2.2
Connecticut 31 3,934,076 3.0
Delaware 2 163,872 0.1
District of Columbia 3 141,084 0.1
Florida 347 28,518,362 22.1
Georgia 56 4,093,746 3.2
Idaho 1 43,400 0.0
Illinois 60 4,954,530 3.8
Indiana 74 3,886,182 3.0
Iowa 4 172,630 0.1
Kansas 5 411,226 0.3
Kentucky 14 791,964 0.6
Louisiana 38 2,147,679 1.7
Maine 2 146,176 0.1
Maryland 15 1,314,062 1.0
Massachusetts 37 4,533,529 3.5
Michigan 91 5,588,183 4.3
Minnesota 14 1,413,530 1.1
Mississippi 17 1,230,216 1.0
Missouri 47 3,313,495 2.6
Nevada 4 468,874 0.4
New Hampshire 4 359,088 0.3
New Jersey 19 2,033,266 1.6
New Mexico 3 248,585 0.2
New York 134 15,166,160 11.7
North Carolina 11 774,512 0.6
North Dakota 2 59,051 0.0
Ohio 52 3,553,677 2.8
Oklahoma 11 649,391 0.5
Oregon 6 549,890 0.4
Pennsylvania 22 1,369,529 1.1
Rhode Island 9 686,427 0.5
South Carolina 31 1,946,080 1.5
South Dakota 2 101,719 0.1
Tennessee 144 9,835,669 7.6
Texas 16 1,245,456 1.0
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 19
<PAGE>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Utah 3 660,165 0.5
Vermont 4 247,845 0.2
Virginia 18 1,351,300 1.0
Washington 13 1,672,228 1.3
West Virginia 2 78,593 0.1
Wisconsin 21 1,108,309 0.9
Wyoming 5 530,391 0.4
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or Less 183 $ 11,164,184 8.6%
50.01% to 55.00% 50 3,671,808 2.8
55.01% to 60.00% 123 9,433,771 7.3
60.01% to 65.00% 100 9,630,568 7.5
65.01% to 70.00% 187 14,710,059 11.4
70.01% to 75.00% 234 18,187,226 14.1
75.01% to 80.00% 367 34,756,270 26.9
80.01% to 85.00% 191 18,372,292 14.2
85.01% to 90.00% 90 8,668,503 6.7
90.01% to 95.00% 5 608,999 0.5
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 9.14% TO 95.00%
WEIGHTED AVERAGE IS: 72.20%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 20
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 348 $ 30,104,487 23.3%
Refinance - Rate/Term 103 9,566,537 7.4
Refinance - Cashout 1,079 89,532,655 69.3
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single-family Detached 1,156 $ 96,229,773 74.5%
Two- to Four-family Dwelling Unit 154 14,635,037 11.3
Planned Unit Development 89 9,149,671 7.1
Condominium 54 3,635,048 2.8
Small Mixed Use 25 2,556,281 2.0
Manufactured Housing 52 2,997,870 2.3
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 21
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,161 $ 94,638,961 73.2%
24 Month Bank Statement 119 13,005,514 10.1
Reduced Documentation 47 4,702,442 3.6
Stated Income 203 16,856,763 13.0
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 1,327 $116,325,605 90.0%
Second Home 16 1,129,491 0.9
Investment 187 11,748,584 9.1
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 22
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 429 $ 37,214,974 28.8%
1 488 39,194,680 30.3
2 469 39,001,143 30.2
3 66 6,116,590 4.7
4 29 3,166,533 2.5
5 39 3,600,934 2.8
6 6 648,635 0.5
9 2 138,901 0.1
Greater than 9 2 121,291 0.1
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
A O 650 $ 60,774,684 47.0%
A- 483 41,433,958 32.1
B 238 17,477,515 13.5
B- 52 3,750,134 2.9
C 90 4,943,242 3.8
C- 17 824,148 0.6
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 23
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1998 2 $ 121,291 0.1%
1999 613 53,197,215 41.2
2000 915 75,885,174 58.7
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 275 $ 20,997,165 16.3%
12 Months 117 13,331,587 10.3
24 Months 20 2,393,691 1.9
36 Months 579 47,254,086 36.6
60 Months 539 45,227,152 35.0
----- ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 24
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 51 $ 4,147,882 3.2%
461 to 500 13 599,904 0.5
501 to 550 233 18,131,397 14.0
551 to 600 404 35,012,299 27.1
601 to 650 422 35,778,369 27.7
651 to 700 262 23,594,312 18.3
701 to 750 104 8,607,362 6.7
751 to 798 41 3,332,155 2.6
------ ------------ -----
GRAND TOTAL 1,530 $129,203,680 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 461 TO 798
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 617
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 25
<PAGE>
CHASE SECURITIES INC.
ASSET BACKED SECURITIES PORTFOLIO ANALYSIS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
SUMMARY REPORT
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $279,856,968
AGGREGATE ORIGINAL PRINCIPAL BALANCE $280,039,422
NUMBER OF MORTGAGE LOANS 2,287
MINIMUM MAXIMUM AVERAGE(1)
------- ------- --------
ORIGINAL PRINCIPAL BALANCE 9,310 725,000 122,448
OUTSTANDING PRINCIPAL BALANCE 9,310 725,000 122,369
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
ORIGINAL TERM (MOS) 240 360 360
STATED REMAINING TERM (MOS) 236 360 359
EXPECTED REMAINING TERM (MOS) 236 360 359
LOAN AGE (MOS) 0 11 1
CURRENT INTEREST RATE 6.250% 13.650% 9.977%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.958%
PERIODIC RATE CAP 1.000% 1.500% 1.484%
GROSS MARGIN 1.000% 9.000% 5.632%
MAXIMUM MORTGAGE RATE 13.250% 20.650% 16.967%
MINIMUM MORTGAGE RATE 6.250% 13.650% 9.977%
MONTHS TO ROLL 1 60 28
ORIGINAL LOAN-TO-VALUE 15.34% 95.00% 77.62%
CREDIT SCORE 454 798 604
(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1999 02/2000
MATURITY DATES 11/2019 03/2030
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 26
<PAGE>
CURRENT MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
6.000% to 6.499% 1 $ 75,000 0.0%
6.500% to 6.999% 1 34,970 0.0
7.000% to 7.499% 8 985,901 0.4
7.500% to 7.999% 28 4,427,434 1.6
8.000% to 8.499% 69 10,977,787 3.9
8.500% to 8.999% 224 33,881,135 12.1
9.000% to 9.499% 280 37,928,692 13.6
9.500% to 9.999% 449 58,172,683 20.8
10.000% to 10.499% 361 42,674,313 15.2
10.500% to 10.999% 396 45,262,652 16.2
11.000% to 11.499% 225 22,315,251 8.0
11.500% to 11.999% 159 15,776,938 5.6
12.000% to 12.499% 49 3,942,691 1.4
12.500% to 12.999% 26 2,551,119 0.9
13.000% to 13.499% 9 785,744 0.3
13.500% to 13.999% 2 64,656 0.0
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
MORTGAGE RATE RANGE IS FROM: 6.250% TO 13.650%
WEIGHTED AVERAGE IS: 9.977%
REMAINING MONTHS TO STATED MATURITY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
REMAINING TERM (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
229 to 240 1 $ 54,279 0.0%
349 to 360 2,286 279,802,689 100.0
----- ----------- -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
REMAINING TERM RANGE IS FROM (MONTHS): 236 TO 360
WEIGHTED AVERAGE IS (MONTHS): 359
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 27
<PAGE>
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
RANGE OF ORIGINAL MORTGAGE NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PRINCIPAL BALANCES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
$ 100,000 or Less 1,173 $ 76,775,843 27.4%
$ 100,001 to $ 150,000 521 63,496,681 22.7
$ 150,001 to $ 200,000 279 48,037,589 17.2
$ 200,001 to $ 250,000 141 31,633,567 11.3
$ 250,001 to $ 300,000 69 18,827,061 6.7
$ 300,001 to $ 350,000 41 13,241,161 4.7
$ 350,001 to $ 400,000 16 5,970,256 2.1
$ 400,001 to $ 450,000 20 8,426,161 3.0
$ 450,001 to $ 500,000 24 11,666,888 4.2
$ 500,001 to $ 550,000 2 1,056,761 0.4
$ 700,001 to $ 750,000 1 725,000 0.3
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
ORIGINAL MORTGAGE LOAN PRINCIPAL BALANCE RANGE IS FROM: $9,310 TO $725,000
AVERAGE IS: $122,448
PRODUCT TYPE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PRODUCT TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Six Month LIBOR Loan 19 $ 2,839,009 1.0%
1/29 Loan 40 6,106,805 2.2
2/28 Loan 1,285 160,608,762 57.4
3/27 Loan 878 102,788,148 36.7
5/25 Loan 64 7,459,965 2.7
Other 1 54,279 0.0
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 28
<PAGE>
STATE DISTRIBUTIONS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Arizona 56 $ 6,066,260 2.2%
Arkansas 2 240,514 0.1
California 194 37,182,510 13.3
Colorado 102 15,754,673 5.6
Connecticut 22 3,826,782 1.4
Delaware 5 561,462 0.2
District of Columbia 9 1,463,535 0.5
Florida 243 24,565,104 8.8
Georgia 51 7,571,716 2.7
Hawaii 1 259,732 0.1
Idaho 6 509,567 0.2
Illinois 128 13,632,462 4.9
Indiana 46 3,345,816 1.2
Iowa 3 179,462 0.1
Kansas 4 312,402 0.1
Kentucky 13 1,214,944 0.4
Louisiana 17 1,673,251 0.6
Maine 1 71,654 0.0
Maryland 20 2,418,733 0.9
Massachusetts 84 13,611,331 4.9
Michigan 293 28,952,835 10.3
Minnesota 49 4,936,911 1.8
Mississippi 14 1,597,658 0.6
Missouri 86 5,733,600 2.0
Montana 4 1,155,740 0.4
Nebraska 2 165,240 0.1
Nevada 1 39,979 0.0
New Hampshire 2 264,353 0.1
New Jersey 94 13,625,602 4.9
New Mexico 14 1,566,776 0.6
New York 109 20,232,194 7.2
North Carolina 28 4,694,457 1.7
North Dakota 2 160,213 0.1
Ohio 84 7,746,140 2.8
Oklahoma 12 1,048,260 0.4
Oregon 16 2,500,280 0.9
Pennsylvania 18 1,373,850 0.5
Rhode Island 10 1,019,833 0.4
South Carolina 31 2,402,881 0.9
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 29
<PAGE>
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
STATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Tennessee 117 10,596,696 3.8
Texas 92 10,122,524 3.6
Utah 13 2,485,207 0.9
Vermont 13 1,293,957 0.5
Virginia 30 3,988,180 1.4
Washington 71 11,074,157 4.0
West Virginia 6 840,982 0.3
Wisconsin 68 5,544,552 2.0
Wyoming 1 232,000 0.1
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
LOAN-TO-VALUE RATIOS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF LOAN-TO-VALUE RATIOS MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
50.00% or Less 68 $ 7,027,196 2.5%
50.01% to 55.00% 27 3,678,662 1.3
55.01% to 60.00% 65 7,465,860 2.7
60.01% to 65.00% 99 12,185,263 4.4
65.01% to 70.00% 298 32,481,130 11.6
70.01% to 75.00% 323 35,355,741 12.6
75.01% to 80.00% 675 89,288,703 31.9
80.01% to 85.00% 475 59,758,355 21.4
85.01% to 90.00% 245 31,231,396 11.2
90.01% to 95.00% 12 1,384,662 0.5
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
LOAN-TO-VALUE RANGE IS FROM: 15.34% TO 95.00%
WEIGHTED AVERAGE IS: 77.62%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 30
<PAGE>
LOAN PURPOSE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
LOAN PURPOSE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Purchase 944 $114,626,380 41.0%
Refinance - Rate/Term 143 17,446,297 6.2
Refinance - Cashout 1,200 147,784,291 52.8
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
TYPE OF MORTGAGED PROPERTIES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PROPERTY TYPE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Single-family Detached 1,738 $208,767,501 74.6%
Two- to Four-family Dwelling Unit 214 27,928,580 10.0
Planned Unit Development 212 31,542,363 11.3
Condominium 74 7,996,719 2.9
Manufactured Housing 49 3,621,805 1.3
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 31
<PAGE>
DOCUMENTATION SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
DOCUMENTATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Full Documentation 1,647 $191,897,641 68.6%
24 Month Bank Statement 212 33,961,190 12.1
Reduced Documentation 84 13,102,145 4.7
Stated Income 344 40,895,992 14.6
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
OCCUPANCY TYPES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
OCCUPANCY MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Owner-occupied 2,058 $260,241,294 93.0%
Second Home 25 2,565,212 0.9
Investment 204 17,050,462 6.1
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 32
<PAGE>
MORTGAGE LOAN AGE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
MORTGAGE LOAN AGE (MONTHS) MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
0 669 $ 84,165,429 30.1%
1 680 81,767,106 29.2
2 805 97,790,960 34.9
3 48 6,482,853 2.3
4 24 2,951,238 1.1
5 56 6,185,444 2.2
6 3 302,335 0.1
7 1 84,637 0.0
11 1 126,965 0.0
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
WEIGHTED AVERAGE IS (MONTH): 1
CREDIT GRADE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT GRADE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
A O 743 $101,131,545 36.1%
A- 779 100,294,023 35.8
B 428 49,173,720 17.6
B- 115 11,570,546 4.1
C 177 14,324,286 5.1
C- 45 3,362,849 1.2
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 33
<PAGE>
YEAR OF ORIGINATION
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
YEAR OF ORIGINATION MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
1999 919 $112,374,161 40.2%
2000 1,368 167,482,808 59.8
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
MAXIMUM MORTGAGE RATES
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
RANGE OF MAXIMUM MORTGAGE RATES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
13.000% to 13.499% 1 $ 75,000 0.0%
13.500% to 13.999% 1 34,970 0.0
14.000% to 14.499% 10 1,190,211 0.4
14.500% to 14.999% 32 5,078,346 1.8
15.000% to 15.499% 71 11,455,915 4.1
15.500% to 15.999% 225 33,768,695 12.1
16.000% to 16.499% 279 37,920,697 13.6
16.500% to 16.999% 444 57,634,211 20.6
17.000% to 17.499% 359 42,088,309 15.0
17.500% to 17.999% 396 45,262,652 16.2
18.000% to 18.499% 224 22,226,814 7.9
18.500% to 18.999% 159 15,776,938 5.6
19.000% to 19.499% 49 3,942,691 1.4
19.500% to 19.999% 26 2,551,119 0.9
20.000% to 20.499% 9 785,744 0.3
20.500% to 20.999% 2 64,656 0.0
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
MAXIMUM MORTGAGE RATE RANGE IS FROM: 13.250% TO 20.650%
WEIGHTED AVERAGE IS: 16.967%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 34
<PAGE>
PREPAYMENT PENALTIES SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
PREPAYMENT PENALTIES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
None 896 $111,892,961 40.0%
12 Months 9 876,894 0.3
24 Months 523 76,534,044 27.3
36 Months 737 80,249,008 28.7
60 Months 122 10,304,062 3.7
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 35
<PAGE>
NEXT ADJUSTMENT DATE
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
NEXT ADJUSTMENT DATE MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Apr 2000 1 $ 147,602 0.1%
Jul 2000 11 1,718,480 0.6
Aug 2000 2 166,002 0.1
Sep 2000 5 806,925 0.3
Oct 2000 3 310,109 0.1
Jan 2001 14 1,661,862 0.6
Feb 2001 13 1,828,734 0.7
Mar 2001 10 2,306,100 0.8
Aug 2001 1 84,637 0.0
Sep 2001 2 149,172 0.1
Oct 2001 30 3,436,463 1.2
Nov 2001 12 1,336,761 0.5
Dec 2001 30 4,091,103 1.5
Jan 2002 456 57,226,064 20.4
Feb 2002 367 44,832,568 16.0
Mar 2002 387 49,451,995 17.7
Apr 2002 1 126,965 0.0
Sep 2002 1 153,164 0.1
Oct 2002 21 2,221,766 0.8
Nov 2002 11 1,395,446 0.5
Dec 2002 17 2,304,363 0.8
Jan 2003 299 34,452,914 12.3
Feb 2003 280 32,764,177 11.7
Mar 2003 249 29,423,634 10.5
Oct 2004 1 69,504 0.0
Nov 2004 1 219,031 0.1
Dec 2004 1 87,387 0.0
Jan 2005 25 2,731,641 1.0
Feb 2005 18 2,175,626 0.8
Mar 2005 18 2,176,775 0.8
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 36
<PAGE>
CREDIT SCORE SUMMARY
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
NUMBER OF AGGREGATE PRINCIPAL PERCENT OF
CREDIT SCORES MORTGAGE LOANS BALANCE OUTSTANDING LOAN GROUP
Not Scored 64 $ 7,022,269 2.5%
454 to 500 38 4,267,633 1.5
501 to 550 404 44,369,023 15.9
551 to 600 725 92,646,814 33.1
601 to 650 603 73,384,203 26.2
651 to 700 318 41,699,463 14.9
701 to 750 106 12,997,861 4.6
751 to 798 29 3,469,704 1.2
----- ------------ -----
GRAND TOTAL 2,287 $279,856,968 100.0%
===== ============ =====
CREDIT SCORE RANGE IS FROM: 454 TO 798
WEIGHTED AVERAGE (SCORED LOANS ONLY) IS: 604
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 37
<PAGE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - FIXED RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
ORIGINAL
AMORTIZATION
ORIGINAL TERM TERM REMAINING TERM
CURRENT BALANCE MORTGAGE RATE NET MORTGAGE RATE (IN MONTHS) (IN MONTHS) (IN MONTHS)
- --------------- ------------- ----------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
56,261,229.39 10.088% 9.578% 180 360 178
1,280,135.91 9.269% 8.759% 120 120 119
20,660,695.85 9.553% 9.043% 180 180 179
3,209,727.93 9.800% 9.290% 240 240 239
48,588,210.92 9.961% 9.451% 360 360 359
</TABLE>
ASSUMED MORTGAGE LOAN CHARACTERISTICS
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES,
SERIES 2000-1 - ADJUSTABLE RATE MORTGAGE LOAN GROUP
<TABLE>
<CAPTION>
NET ORIGINAL REMAINING
CURRENT MORTGAGE MORTGAGE TERM TERM GROSS INITIAL RATE PERIODIC MAXIMUM MINIMUM
BALANCE RATE RATE (IN MONTHS) (IN MONTHS) MARGIN CHANGE CAP CAP RATE RATE
------- ---- ---- ----------- ----------- ------ ---------- --- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8,950,385.81 9.604% 9.094% 360 359 4.621% 1.683% 1.000% 16.287% 9.604%
160,690,847.54 9.935% 9.425% 360 359 5.851% 3.000% 1.499% 16.935% 9.935%
102,894,989.06 10.097% 9.587% 360 359 5.402% 3.000% 1.500% 17.097% 10.097%
7,463,777.59 9.689% 9.179% 360 359 5.327% 3.000% 1.500% 16.689% 9.689%
<CAPTION>
NUMBER OF
MONTHS UNTIL
RESET NEXT RATE
CURRENT CHANGE ADJUSTMENT
BALANCE FREQUENCY DATE INDEX
------- --------- ---- -----
<S> <C> <C> <C>
8,950,385.81 6 9 6 Mo. LIBOR
160,690,847.54 6 23 6 Mo. LIBOR
102,894,989.06 6 35 6 Mo. LIBOR
7,463,777.59 6 59 6 Mo. LIBOR
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 38
<PAGE>
GROUP II CERTIFICATES AVAILABLE FUNDS CAP HYPOTHETICAL TABLE
PAYMENT DATE AVAILABLE FUNDS CAP(1)(2) PAYMENT DATE AVAILABLE FUNDS CAP(1)(2)
- ------------ ------------------------- ------------ -------------------------
4/25/00 9.467 12/25/03 11.896
5/25/00 9.467 1/25/04 11.896
6/25/00 9.467 2/25/04 11.896
7/25/00 9.491 3/25/04 11.896
8/25/00 9.517 4/25/04 11.896
9/25/00 9.543 5/25/04 11.896
10/25/00 9.569 6/25/04 11.896
11/25/00 9.599 7/25/04 11.896
12/25/00 9.627 8/25/04 11.896
1/25/01 9.703 9/25/04 11.896
2/25/01 9.735 10/25/04 11.896
3/25/01 9.767 11/25/04 11.896
4/25/01 9.781 12/25/04 11.896
5/25/01 9.788 1/25/05 11.896
6/25/01 9.796 2/25/05 11.896
7/25/01 9.804 3/25/05 11.951
8/25/01 9.812 4/25/05 11.951
9/25/01 9.820 5/25/05 11.951
10/25/01 9.829 6/25/05 11.951
11/25/01 9.838 7/25/05 11.951
12/25/01 9.847 8/25/05 11.951
1/25/02 9.857 9/25/05 11.951
2/25/02 9.866 10/25/05 11.951
3/25/02 11.226 11/25/05 11.951
4/25/02 11.238 12/25/05 11.951
5/25/02 11.250 1/25/06 11.951
6/25/02 11.263 2/25/06 11.951
7/25/02 11.276 3/25/06 11.951
8/25/02 11.289 4/25/06 11.951
9/25/02 11.302 5/25/06 11.951
10/25/02 11.316 6/25/06 11.951
11/25/02 11.331 7/25/06 11.951
12/25/02 11.346 8/25/06 11.951
1/25/03 11.361 9/25/06 11.951
2/25/03 11.377 10/25/06 11.954
3/25/03 12.033 11/25/06 11.968
4/25/03 12.050 12/25/06 11.982
5/25/03 11.896 1/25/07 11.996
6/25/03 11.896 2/25/07 12.011
7/25/03 11.896 3/25/07 12.027
8/25/03 11.896 4/25/07 12.043
9/25/03 11.896 5/25/07 12.059
10/25/03 11.896 6/25/07 12.076
11/25/03 11.896
(1) Available Funds Cap = 12 * (Group II Net Interest) / (Group II Total
Certificate balance)
(2) Assumes no losses, 10% cleanup call, 27% CPR, and 1 month and 6 month
LIBOR remain constant.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 39
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
BOND IA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 22.179 60.675 68.253 84.374 98.042
99-17 21.729 57.812 64.914 80.024 92.836
99-18 21.279 54.949 61.577 75.677 87.632
99-19 20.829 52.088 58.241 71.331 82.430
99-20 20.379 49.228 54.907 66.988 77.230
99-21 19.930 46.369 51.574 62.646 72.032
99-22 19.481 43.511 48.242 58.305 66.837
99-23 19.032 40.655 44.911 53.967 61.644
99-24 18.583 37.800 41.582 49.630 56.453
99-25 18.134 34.945 38.255 45.295 51.263
99-26 17.686 32.093 34.929 40.962 46.077
99-27 17.238 29.241 31.604 36.631 40.892
99-28 16.790 26.390 28.280 32.301 35.709
99-29 16.342 23.541 24.958 27.973 30.529
99-30 15.894 20.693 21.637 23.647 25.350
99-31 15.447 17.846 18.318 19.323 20.174
100- 0 15.000 15.000 15.000 15.000 15.000
100- 1 14.553 12.155 11.683 10.679 9.828
100- 2 14.106 9.312 8.368 6.360 4.658
100- 3 13.660 6.470 5.054 2.043 -0.510
100- 4 13.214 3.629 1.742 -2.273 -5.675
100- 5 12.768 0.789 -1.570 -6.586 -10.839
100- 6 12.322 -2.050 -4.880 -10.898 -16.000
AVG LIFE 9.89 1.13 0.96 0.73 0.61
FIRST PAY 4/00 4/00 4/00 4/00 4/00
LAST PAY 1/15 5/02 12/01 6/01 3/01
Original Balance: $44,800,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 40
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IA-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-21 7.664 7.613 7.599 7.564 7.533
99-22 7.660 7.599 7.582 7.541 7.504
99-23 7.656 7.586 7.566 7.518 7.475
99-24 7.653 7.572 7.550 7.495 7.446
99-25 7.649 7.559 7.534 7.472 7.417
99-26 7.646 7.545 7.517 7.449 7.388
99-27 7.642 7.532 7.501 7.426 7.360
99-28 7.638 7.518 7.485 7.403 7.331
99-29 7.635 7.505 7.469 7.381 7.302
99-30 7.631 7.491 7.452 7.358 7.273
99-31 7.628 7.478 7.436 7.335 7.244
*100- 0 7.624 7.464 7.420 7.312 7.215
100- 1 7.620 7.451 7.404 7.289 7.186
100- 2 7.617 7.437 7.388 7.266 7.158
100- 3 7.613 7.424 7.371 7.243 7.129
100- 4 7.610 7.411 7.355 7.221 7.100
100- 5 7.606 7.397 7.339 7.198 7.071
100- 6 7.602 7.384 7.323 7.175 7.042
100- 7 7.599 7.370 7.307 7.152 7.014
100- 8 7.595 7.357 7.291 7.129 6.985
100- 9 7.592 7.343 7.274 7.106 6.956
100-10 7.588 7.330 7.258 7.084 6.927
100-11 7.584 7.317 7.242 7.061 6.899
AVG LIFE 14.84 2.64 2.15 1.49 1.16
DURATION 8.65 2.31 1.92 1.36 1.08
FIRST PAY 1/15 5/02 12/01 6/01 3/01
LAST PAY 1/15 5/03 10/02 12/01 7/01
Original Balance: $17,500,000
Assumed Coupon: 7.562000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 41
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IA-3
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 7.778 7.812 7.824 7.855 7.885
99-12 7.771 7.793 7.801 7.821 7.840
99-14 7.764 7.774 7.777 7.787 7.796
99-16 7.756 7.755 7.754 7.753 7.751
99-18 7.749 7.736 7.731 7.719 7.707
99-20 7.742 7.717 7.708 7.685 7.662
99-22 7.735 7.698 7.685 7.651 7.618
99-24 7.728 7.679 7.662 7.617 7.573
99-26 7.721 7.660 7.638 7.583 7.529
99-28 7.714 7.642 7.615 7.549 7.485
99-30 7.707 7.623 7.592 7.515 7.440
*100- 0 7.700 7.604 7.569 7.481 7.396
100- 2 7.693 7.585 7.546 7.447 7.352
100- 4 7.685 7.567 7.523 7.413 7.308
100- 6 7.678 7.548 7.500 7.379 7.263
100- 8 7.671 7.529 7.477 7.346 7.219
100-10 7.664 7.510 7.454 7.312 7.175
100-12 7.657 7.492 7.431 7.278 7.131
100-14 7.650 7.473 7.408 7.245 7.087
100-16 7.643 7.454 7.385 7.211 7.043
100-18 7.636 7.436 7.363 7.177 6.999
100-20 7.629 7.417 7.340 7.144 6.956
100-22 7.622 7.398 7.317 7.110 6.912
AVG LIFE 15.45 3.98 3.14 2.05 1.54
DURATION 8.78 3.31 2.70 1.84 1.41
FIRST PAY 1/15 5/03 10/02 12/01 7/01
LAST PAY 12/18 3/05 2/04 8/02 12/01
Original Balance: $17,000,000
Assumed Coupon: 7.635000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 42
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IA-4
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-31 8.159 8.206 8.233 8.310 8.384
99- 2 8.150 8.188 8.210 8.272 8.332
99- 5 8.140 8.170 8.187 8.235 8.281
99- 8 8.131 8.152 8.164 8.197 8.229
99-11 8.122 8.134 8.140 8.160 8.178
99-14 8.113 8.116 8.117 8.122 8.127
99-17 8.104 8.098 8.094 8.085 8.075
99-20 8.094 8.080 8.071 8.047 8.024
99-23 8.085 8.061 8.048 8.010 7.973
99-26 8.076 8.043 8.025 7.973 7.922
99-29 8.067 8.025 8.002 7.935 7.871
*100- 0 8.058 8.007 7.979 7.898 7.820
100- 3 8.049 7.990 7.956 7.861 7.769
100- 6 8.040 7.972 7.933 7.824 7.718
100- 9 8.031 7.954 7.911 7.787 7.667
100-12 8.021 7.936 7.888 7.750 7.616
100-15 8.012 7.918 7.865 7.713 7.566
100-18 8.003 7.900 7.842 7.676 7.515
100-21 7.994 7.882 7.819 7.639 7.465
100-24 7.985 7.864 7.797 7.602 7.414
100-27 7.976 7.847 7.774 7.565 7.364
100-30 7.967 7.829 7.751 7.528 7.313
101- 1 7.958 7.811 7.729 7.492 7.263
AVG LIFE 23.35 7.12 5.16 2.92 2.06
DURATION 10.23 5.19 4.07 2.51 1.83
FIRST PAY 12/18 3/05 2/04 8/02 12/01
LAST PAY 3/27 10/10 3/07 2/04 8/02
Original Balance: $17,000,000
Assumed Coupon: 7.976000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 43
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.421 8.463 8.482 8.557 8.707
98-24 8.409 8.444 8.461 8.524 8.652
98-28 8.397 8.426 8.440 8.491 8.596
99- 0 8.385 8.408 8.418 8.459 8.541
99- 4 8.373 8.389 8.397 8.426 8.486
99- 8 8.361 8.371 8.376 8.394 8.431
99-12 8.349 8.353 8.355 8.362 8.376
99-16 8.337 8.335 8.333 8.329 8.321
99-20 8.325 8.316 8.312 8.297 8.266
99-24 8.313 8.298 8.291 8.265 8.211
99-28 8.301 8.280 8.270 8.233 8.157
*100- 0 8.289 8.262 8.249 8.201 8.102
100- 4 8.278 8.244 8.228 8.169 8.048
100- 8 8.266 8.226 8.207 8.137 7.993
100-12 8.254 8.208 8.186 8.105 7.939
100-16 8.242 8.190 8.165 8.073 7.885
100-20 8.231 8.172 8.144 8.041 7.831
100-24 8.219 8.154 8.124 8.009 7.777
100-28 8.207 8.136 8.103 7.977 7.723
101- 0 8.196 8.118 8.082 7.946 7.669
101- 4 8.184 8.100 8.061 7.914 7.615
101- 8 8.173 8.083 8.041 7.882 7.562
101-12 8.161 8.065 8.020 7.851 7.508
AVG LIFE 27.00 10.67 8.51 4.88 2.63
DURATION 10.53 6.87 5.92 3.88 2.28
FIRST PAY 3/27 10/10 3/07 2/04 8/02
LAST PAY 3/27 11/10 10/08 10/05 2/03
Original Balance: $10,170,000
Assumed Coupon: 8.200000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 44
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 8.093 8.100 8.101 8.107 8.118
99-12 8.083 8.088 8.088 8.092 8.099
99-14 8.073 8.075 8.075 8.077 8.079
99-16 8.064 8.063 8.062 8.061 8.059
99-18 8.054 8.050 8.049 8.046 8.039
99-20 8.045 8.038 8.037 8.031 8.020
99-22 8.035 8.025 8.024 8.016 8.000
99-24 8.026 8.013 8.011 8.000 7.980
99-26 8.016 8.000 7.998 7.985 7.961
99-28 8.007 7.988 7.985 7.970 7.941
99-30 7.997 7.975 7.972 7.955 7.921
*100- 0 7.988 7.963 7.959 7.940 7.902
100- 2 7.978 7.951 7.946 7.925 7.882
100- 4 7.969 7.938 7.934 7.909 7.863
100- 6 7.959 7.926 7.921 7.894 7.843
100- 8 7.950 7.914 7.908 7.879 7.824
100-10 7.940 7.901 7.895 7.864 7.804
100-12 7.931 7.889 7.882 7.849 7.784
100-14 7.921 7.877 7.870 7.834 7.765
100-16 7.912 7.864 7.857 7.819 7.745
100-18 7.903 7.852 7.844 7.804 7.726
100-20 7.893 7.840 7.831 7.789 7.706
100-22 7.884 7.827 7.819 7.774 7.687
AVG LIFE 9.81 6.81 6.48 5.19 3.81
DURATION 6.55 5.02 4.84 4.10 3.17
FIRST PAY 4/03 4/03 4/03 9/03 2/03
LAST PAY 12/11 9/09 10/08 10/05 3/04
Original Balance: $11,830,000
Assumed Coupon: 7.936000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 45
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.415 8.491 8.519 8.574 8.585
98-24 8.401 8.466 8.490 8.536 8.546
98-28 8.388 8.441 8.461 8.499 8.507
99- 0 8.375 8.416 8.432 8.461 8.468
99- 4 8.361 8.391 8.402 8.424 8.429
99- 8 8.348 8.366 8.373 8.387 8.390
99-12 8.334 8.342 8.344 8.349 8.351
99-16 8.321 8.317 8.315 8.312 8.312
99-20 8.308 8.292 8.286 8.275 8.273
99-24 8.294 8.268 8.257 8.238 8.234
99-28 8.281 8.243 8.229 8.201 8.195
*100- 0 8.268 8.218 8.200 8.164 8.157
100- 4 8.255 8.194 8.171 8.127 8.118
100- 8 8.241 8.169 8.142 8.091 8.079
100-12 8.228 8.145 8.114 8.054 8.041
100-16 8.215 8.121 8.085 8.017 8.002
100-20 8.202 8.096 8.057 7.981 7.964
100-24 8.189 8.072 8.028 7.944 7.926
100-28 8.176 8.048 8.000 7.907 7.887
101- 0 8.163 8.024 7.971 7.871 7.849
101- 4 8.150 7.999 7.943 7.835 7.811
101- 8 8.137 7.975 7.914 7.798 7.773
101-12 8.124 7.951 7.886 7.762 7.735
AVG LIFE 20.34 7.10 5.73 4.14 3.89
DURATION 9.40 5.07 4.32 3.37 3.22
FIRST PAY 1/15 9/03 4/03 7/03 11/03
LAST PAY 3/27 11/10 10/08 10/05 3/04
Original Balance: $3,900,000
Assumed Coupon: 8.185000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 46
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.823 8.896 8.924 8.980 9.003
98-24 8.809 8.871 8.894 8.941 8.961
98-28 8.795 8.845 8.864 8.903 8.919
99- 0 8.781 8.820 8.835 8.864 8.877
99- 4 8.767 8.795 8.805 8.826 8.835
99- 8 8.753 8.770 8.776 8.788 8.793
99-12 8.740 8.744 8.746 8.750 8.752
99-16 8.726 8.719 8.717 8.712 8.710
99-20 8.712 8.694 8.688 8.674 8.668
99-24 8.698 8.669 8.658 8.636 8.627
99-28 8.685 8.644 8.629 8.598 8.585
*100- 0 8.671 8.619 8.600 8.560 8.544
100- 4 8.657 8.595 8.571 8.523 8.502
100- 8 8.644 8.570 8.542 8.485 8.461
100-12 8.630 8.545 8.513 8.447 8.420
100-16 8.617 8.520 8.484 8.410 8.379
100-20 8.603 8.496 8.455 8.372 8.337
100-24 8.590 8.471 8.426 8.335 8.296
100-28 8.576 8.446 8.397 8.298 8.255
101- 0 8.563 8.422 8.368 8.260 8.214
101- 4 8.549 8.397 8.340 8.223 8.174
101- 8 8.536 8.373 8.311 8.186 8.133
101-12 8.523 8.348 8.282 8.149 8.092
AVG LIFE 20.34 7.10 5.73 4.08 3.63
DURATION 9.11 5.00 4.27 3.29 3.00
FIRST PAY 1/15 9/03 4/03 5/03 7/03
LAST PAY 3/27 11/10 10/08 10/05 3/04
Original Balance: $4,225,000
Assumed Coupon: 8.579000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 47
<PAGE>
PRICE/CBE YIELD TABLE (TO 10% CALL)
BOND IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
95-18 9.621 9.976 10.111 10.397 10.556
95-24 9.598 9.936 10.064 10.336 10.487
95-30 9.576 9.896 10.017 10.275 10.418
96- 4 9.553 9.855 9.970 10.213 10.349
96-10 9.531 9.815 9.923 10.152 10.280
96-16 9.508 9.775 9.877 10.092 10.211
96-22 9.486 9.735 9.830 10.031 10.143
96-28 9.464 9.696 9.784 9.970 10.074
97- 2 9.441 9.656 9.737 9.910 10.006
97- 8 9.419 9.616 9.691 9.850 9.938
97-14 9.397 9.577 9.645 9.790 9.871
*97-20 9.375 9.538 9.599 9.730 9.803
97-26 9.353 9.498 9.553 9.670 9.735
98- 0 9.332 9.459 9.508 9.611 9.668
98- 6 9.310 9.420 9.462 9.551 9.601
98-12 9.288 9.381 9.417 9.492 9.534
98-18 9.266 9.343 9.371 9.433 9.467
98-24 9.245 9.304 9.326 9.374 9.400
98-30 9.223 9.265 9.281 9.315 9.334
99- 4 9.202 9.227 9.236 9.256 9.268
99-10 9.180 9.188 9.191 9.198 9.201
99-16 9.159 9.150 9.147 9.139 9.135
99-22 9.138 9.112 9.102 9.081 9.069
AVG LIFE 20.32 7.08 5.71 4.02 3.44
DURATION 8.70 4.86 4.16 3.19 2.83
FIRST PAY 1/15 9/03 4/03 4/03 5/03
LAST PAY 3/27 11/10 10/08 10/05 3/04
Original Balance: $3,575,000
Assumed Coupon: 9.000000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 48
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
BOND IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 30.510 44.790 49.438 66.325 85.670
99-17 30.227 43.610 47.967 63.794 81.927
99-18 29.944 42.431 46.496 61.265 78.185
99-19 29.662 41.253 45.026 58.737 74.445
99-20 29.379 40.075 43.558 56.211 70.707
99-21 29.097 38.899 42.090 53.686 66.971
99-22 28.815 37.722 40.623 51.162 63.237
99-23 28.532 36.547 39.156 48.640 59.505
99-24 28.250 35.372 37.691 46.119 55.775
99-25 27.969 34.198 36.227 43.599 52.046
99-26 27.687 33.025 34.763 41.081 48.320
99-27 27.406 31.852 33.300 38.564 44.595
99-28 27.124 30.681 31.839 36.048 40.872
99-29 26.843 29.509 30.378 33.534 37.151
99-30 26.562 28.339 28.918 31.021 33.432
99-31 26.281 27.169 27.458 28.510 29.715
100- 0 26.000 26.000 26.000 26.000 26.000
100- 1 25.719 24.832 24.543 23.491 22.287
100- 2 25.439 23.664 23.086 20.984 18.575
100- 3 25.158 22.497 21.630 18.478 14.865
100- 4 24.878 21.331 20.175 15.973 11.158
100- 5 24.598 20.165 18.721 13.470 7.452
100- 6 24.318 19.000 17.268 10.968 3.748
AVG LIFE 20.81 3.12 2.41 1.31 0.86
FIRST PAY 4/00 4/00 4/00 4/00 4/00
LAST PAY 4/29 6/09 6/07 8/04 7/02
Original Balance: $239,400,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 49
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
BOND IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 46.873 53.136 54.917 56.100 63.689
99-17 46.630 52.500 54.170 55.279 62.393
99-18 46.388 51.865 53.424 54.458 61.097
99-19 46.145 51.230 52.677 53.638 59.801
99-20 45.902 50.596 51.931 52.818 58.506
99-21 45.660 49.961 51.185 51.998 57.212
99-22 45.417 49.327 50.440 51.179 55.917
99-23 45.175 48.693 49.694 50.360 54.624
99-24 44.933 48.060 48.949 49.541 53.330
99-25 44.691 47.426 48.205 48.722 52.038
99-26 44.449 46.793 47.460 47.904 50.745
99-27 44.207 46.160 46.716 47.086 49.453
99-28 43.966 45.528 45.972 46.268 48.162
99-29 43.724 44.896 45.229 45.451 46.871
99-30 43.483 44.263 44.486 44.633 45.580
99-31 43.241 43.632 43.743 43.817 44.290
100- 0 43.000 43.000 43.000 43.000 43.000
100- 1 42.759 42.369 42.258 42.184 41.711
100- 2 42.518 41.738 41.515 41.368 40.422
100- 3 42.277 41.107 40.774 40.552 39.133
100- 4 42.036 40.476 40.032 39.736 37.845
100- 5 41.796 39.846 39.291 38.921 36.558
100- 6 41.555 39.216 38.550 38.106 35.271
AVG LIFE 27.37 6.04 4.92 4.34 2.60
FIRST PAY 7/24 4/03 7/03 3/04 7/02
LAST PAY 4/29 6/09 6/07 8/04 2/03
Original Balance: $16,100,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 50
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
BOND IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 86.026 92.267 94.170 96.577 100.324
99-17 85.773 91.623 93.407 95.664 99.176
99-18 85.521 90.980 92.645 94.750 98.028
99-19 85.268 90.337 91.882 93.838 96.881
99-20 85.016 89.694 91.121 92.925 95.734
99-21 84.764 89.051 90.359 92.013 94.587
99-22 84.512 88.409 89.598 91.101 93.441
99-23 84.261 87.767 88.836 90.190 92.295
99-24 84.009 87.125 88.076 89.278 91.150
99-25 83.757 86.484 87.315 88.367 90.004
99-26 83.506 85.842 86.555 87.457 88.860
99-27 83.255 85.201 85.795 86.547 87.716
99-28 83.003 84.560 85.035 85.637 86.572
99-29 82.752 83.920 84.276 84.727 85.428
99-30 82.501 83.280 83.517 83.818 84.285
99-31 82.251 82.640 82.758 82.909 83.142
100- 0 82.000 82.000 82.000 82.000 82.000
100- 1 81.749 81.361 81.242 81.092 80.858
100- 2 81.499 80.721 80.484 80.184 79.717
100- 3 81.249 80.082 79.726 79.276 78.575
100- 4 80.999 79.444 78.969 78.368 77.435
100- 5 80.748 78.805 78.212 77.461 76.294
100- 6 80.499 78.167 77.456 76.555 75.154
AVG LIFE 27.37 6.04 4.86 3.87 2.99
FIRST PAY 7/24 4/03 5/03 8/03 2/03
LAST PAY 4/29 6/09 6/07 8/04 3/03
Original Balance: 13,300,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 51
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO 10% CALL)
BOND IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 199.480 205.647 207.617 210.887 213.589
99-17 199.199 204.980 206.826 209.891 212.424
99-18 198.918 204.313 206.036 208.896 211.260
99-19 198.637 203.646 205.245 207.901 210.096
99-20 198.357 202.979 204.455 206.906 208.932
99-21 198.076 202.313 203.666 205.912 207.769
99-22 197.796 201.646 202.876 204.918 206.606
99-23 197.516 200.981 202.087 203.925 205.444
99-24 197.236 200.315 201.299 202.932 204.282
99-25 196.956 199.650 200.510 201.939 203.120
99-26 196.676 198.985 199.722 200.947 201.959
99-27 196.396 198.320 198.934 199.955 200.798
99-28 196.117 197.655 198.147 198.963 199.638
99-29 195.837 196.991 197.360 197.972 198.478
99-30 195.558 196.327 196.573 196.981 197.318
99-31 195.279 195.663 195.786 195.990 196.159
100- 0 195.000 195.000 195.000 195.000 195.000
100- 1 194.721 194.337 194.214 194.010 193.842
100- 2 194.443 193.674 193.428 193.021 192.684
100- 3 194.164 193.011 192.643 192.031 191.526
100- 4 193.886 192.349 191.858 191.042 190.369
100- 5 193.607 191.687 191.073 190.054 189.212
100- 6 193.329 191.025 190.289 189.066 188.056
AVG LIFE 27.37 6.02 4.82 3.60 3.00
FIRST PAY 7/24 4/03 4/03 5/03 3/03
LAST PAY 4/29 6/09 6/07 8/04 3/03
Original Balance: $11,200,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 52
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
BOND IA-5
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.427 8.512 8.542 8.585 8.707
98-24 8.415 8.496 8.524 8.556 8.652
98-28 8.403 8.480 8.506 8.526 8.596
99- 0 8.391 8.464 8.488 8.497 8.541
99- 4 8.380 8.448 8.470 8.467 8.486
99- 8 8.368 8.432 8.452 8.438 8.431
99-12 8.356 8.416 8.434 8.409 8.376
99-16 8.344 8.400 8.416 8.380 8.321
99-20 8.333 8.384 8.399 8.350 8.266
99-24 8.321 8.368 8.381 8.321 8.211
99-28 8.309 8.353 8.363 8.292 8.157
*100- 0 8.298 8.337 8.345 8.263 8.102
100- 4 8.286 8.321 8.328 8.234 8.048
100- 8 8.274 8.305 8.310 8.205 7.993
100-12 8.263 8.289 8.293 8.176 7.939
100-16 8.251 8.274 8.275 8.148 7.885
100-20 8.240 8.258 8.257 8.119 7.831
100-24 8.228 8.242 8.240 8.090 7.777
100-28 8.217 8.227 8.223 8.062 7.723
101- 0 8.205 8.211 8.205 8.033 7.669
101- 4 8.194 8.196 8.188 8.004 7.615
101- 8 8.182 8.180 8.170 7.976 7.562
101-12 8.171 8.165 8.153 7.947 7.508
AVG LIFE 28.538 13.558 11.286 5.687 2.629
DURATION 10.690 7.869 7.037 4.290 2.282
FIRST PAY 3/27 10/10 3/07 2/04 8/02
LAST PAY 1/30 11/19 4/16 6/12 2/03
Original Balance: $10,170,000
Assumed Coupon: 8.200000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 53
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
BOND IA-6
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-10 8.093 8.100 8.101 8.102 8.109
99-12 8.083 8.088 8.088 8.089 8.093
99-14 8.073 8.075 8.075 8.076 8.077
99-16 8.064 8.063 8.062 8.062 8.061
99-18 8.054 8.050 8.050 8.049 8.045
99-20 8.045 8.038 8.037 8.036 8.029
99-22 8.035 8.025 8.024 8.022 8.014
99-24 8.026 8.013 8.011 8.009 7.998
99-26 8.016 8.000 7.998 7.996 7.982
99-28 8.007 7.988 7.985 7.982 7.966
99-30 7.997 7.975 7.973 7.969 7.951
*100- 0 7.988 7.963 7.960 7.956 7.935
100- 2 7.978 7.951 7.947 7.943 7.919
100- 4 7.969 7.938 7.934 7.930 7.904
100- 6 7.959 7.926 7.922 7.916 7.888
100- 8 7.950 7.914 7.909 7.903 7.872
100-10 7.940 7.901 7.896 7.890 7.857
100-12 7.931 7.889 7.883 7.877 7.841
100-14 7.921 7.877 7.871 7.864 7.825
100-16 7.912 7.864 7.858 7.851 7.810
100-18 7.903 7.852 7.845 7.837 7.794
100-20 7.893 7.840 7.833 7.824 7.778
100-22 7.884 7.827 7.820 7.811 7.763
AVG LIFE 9.81 6.81 6.55 6.25 5.03
DURATION 6.55 5.02 4.87 4.70 3.96
FIRST PAY 4/03 4/03 4/03 9/03 2/03
LAST PAY 12/11 9/09 8/09 12/09 11/08
Original Balance: $11,830,000
Assumed Coupon: 7.936000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 54
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
BOND IM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.415 8.485 8.510 8.561 8.573
98-24 8.401 8.461 8.483 8.525 8.536
98-28 8.388 8.437 8.455 8.490 8.499
99- 0 8.374 8.413 8.427 8.454 8.461
99- 4 8.361 8.389 8.399 8.419 8.424
99- 8 8.348 8.365 8.371 8.384 8.387
99-12 8.334 8.341 8.343 8.348 8.349
99-16 8.321 8.317 8.316 8.313 8.312
99-20 8.308 8.293 8.288 8.278 8.275
99-24 8.294 8.270 8.261 8.243 8.238
99-28 8.281 8.246 8.233 8.208 8.201
*100- 0 8.268 8.222 8.206 8.173 8.164
100- 4 8.255 8.199 8.178 8.138 8.128
100- 8 8.242 8.175 8.151 8.103 8.091
100-12 8.229 8.151 8.124 8.068 8.054
100-16 8.215 8.128 8.096 8.033 8.017
100-20 8.202 8.104 8.069 7.999 7.981
100-24 8.189 8.081 8.042 7.964 7.944
100-28 8.176 8.058 8.015 7.929 7.908
101- 0 8.163 8.034 7.988 7.895 7.871
101- 4 8.150 8.011 7.961 7.861 7.835
101- 8 8.137 7.988 7.934 7.826 7.799
101-12 8.124 7.965 7.907 7.792 7.763
AVG LIFE 20.63 7.62 6.23 4.48 4.13
DURATION 9.43 5.26 4.53 3.56 3.37
FIRST PAY 1/15 9/03 4/03 7/03 11/03
LAST PAY 7/29 1/15 10/13 2/09 7/06
Original Balance: $3,900,000
Assumed Coupon: 8.185000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 55
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
BOND IM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
98-20 8.823 8.891 8.916 8.969 8.993
98-24 8.809 8.866 8.888 8.932 8.952
98-28 8.795 8.842 8.859 8.895 8.912
99- 0 8.781 8.817 8.831 8.859 8.871
99- 4 8.767 8.793 8.802 8.822 8.831
99- 8 8.753 8.768 8.774 8.786 8.791
99-12 8.740 8.744 8.746 8.749 8.751
99-16 8.726 8.720 8.718 8.713 8.711
99-20 8.712 8.696 8.689 8.677 8.671
99-24 8.699 8.671 8.661 8.640 8.631
99-28 8.685 8.647 8.633 8.604 8.591
*100- 0 8.671 8.623 8.605 8.568 8.551
100- 4 8.658 8.599 8.577 8.532 8.511
100- 8 8.644 8.575 8.549 8.496 8.472
100-12 8.631 8.551 8.521 8.460 8.432
100-16 8.617 8.527 8.493 8.424 8.393
100-20 8.604 8.503 8.466 8.388 8.353
100-24 8.590 8.479 8.438 8.353 8.314
100-28 8.577 8.456 8.410 8.317 8.274
101- 0 8.563 8.432 8.383 8.281 8.235
101- 4 8.550 8.408 8.355 8.246 8.196
101- 8 8.537 8.384 8.327 8.210 8.157
101-12 8.523 8.361 8.300 8.175 8.117
AVG LIFE 20.60 7.58 6.14 4.35 3.82
DURATION 9.14 5.16 4.44 3.44 3.13
FIRST PAY 1/15 9/03 4/03 5/03 7/03
LAST PAY 5/29 1/15 9/12 6/08 1/06
Original Balance: $4,225,000
Assumed Coupon: 8.579000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 56
<PAGE>
PRICE/CBE YIELD TABLE (TO MATURITY)
BOND IB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
95-18 9.621 9.966 10.097 10.375 10.533
95-24 9.598 9.926 10.050 10.315 10.465
95-30 9.575 9.886 10.004 10.254 10.397
96- 4 9.553 9.847 9.958 10.194 10.329
96-10 9.530 9.807 9.912 10.135 10.261
96-16 9.508 9.768 9.866 10.075 10.194
96-22 9.486 9.728 9.820 10.015 10.126
96-28 9.463 9.689 9.774 9.956 10.059
97- 2 9.441 9.650 9.729 9.897 9.992
97- 8 9.419 9.611 9.683 9.838 9.925
97-14 9.397 9.572 9.638 9.779 9.859
*97-20 9.375 9.533 9.593 9.720 9.792
97-26 9.353 9.494 9.547 9.661 9.726
98- 0 9.331 9.456 9.502 9.603 9.660
98- 6 9.310 9.417 9.458 9.544 9.594
98-12 9.288 9.379 9.413 9.486 9.528
98-18 9.266 9.340 9.368 9.428 9.462
98-24 9.245 9.302 9.324 9.370 9.396
98-30 9.223 9.264 9.279 9.312 9.331
99- 4 9.202 9.226 9.235 9.255 9.266
99-10 9.180 9.188 9.191 9.197 9.201
99-16 9.159 9.150 9.147 9.140 9.136
99-22 9.138 9.113 9.103 9.083 9.071
AVG LIFE 20.45 7.27 5.87 4.13 3.52
DURATION 8.71 4.92 4.23 3.25 2.87
FIRST PAY 1/15 9/03 4/03 4/03 5/03
LAST PAY 9/28 6/13 12/10 4/07 3/05
Original Balance: $3,575,000
Assumed Coupon: 9.000000%
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 57
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
BOND IIA-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 30.521 45.120 49.573 65.404 85.670
99-17 30.238 43.995 48.180 63.035 81.927
99-18 29.955 42.871 46.787 60.668 78.185
99-19 29.673 41.747 45.395 58.303 74.445
99-20 29.390 40.624 44.004 55.939 70.707
99-21 29.108 39.502 42.614 53.577 66.971
99-22 28.826 38.380 41.225 51.216 63.237
99-23 28.544 37.260 39.837 48.857 59.505
99-24 28.262 36.140 38.450 46.499 55.775
99-25 27.981 35.020 37.064 44.143 52.046
99-26 27.699 33.902 35.678 41.789 48.320
99-27 27.418 32.784 34.294 39.436 44.595
99-28 27.137 31.667 32.911 37.085 40.872
99-29 26.856 30.551 31.528 34.735 37.151
99-30 26.575 29.435 30.147 32.386 33.432
99-31 26.294 28.321 28.766 30.040 29.715
100- 0 26.013 27.207 27.386 27.695 26.000
100- 1 25.733 26.093 26.008 25.351 22.287
100- 2 25.452 24.981 24.630 23.009 18.575
100- 3 25.172 23.869 23.253 20.668 14.865
100- 4 24.892 22.758 21.877 18.329 11.158
100- 5 24.612 21.648 20.502 15.992 7.452
100- 6 24.332 20.538 19.128 13.656 3.748
AVG LIFE 20.84 3.39 2.63 1.44 0.86
FIRST PAY 4/00 4/00 4/00 4/00 4/00
LAST PAY 2/30 7/20 6/16 4/10 7/02
Original Balance: $239,400,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 58
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
BOND IIM-1
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 46.891 53.783 55.507 56.814 63.689
99-17 46.649 53.184 54.806 56.062 62.393
99-18 46.406 52.585 54.105 55.312 61.097
99-19 46.164 51.987 53.405 54.561 59.801
99-20 45.921 51.388 52.705 53.811 58.506
99-21 45.679 50.790 52.005 53.061 57.212
99-22 45.437 50.193 51.306 52.311 55.917
99-23 45.195 49.595 50.607 51.562 54.624
99-24 44.953 48.998 49.908 50.812 53.330
99-25 44.711 48.401 49.209 50.064 52.038
99-26 44.469 47.804 48.511 49.315 50.745
99-27 44.228 47.208 47.813 48.566 49.453
99-28 43.987 46.612 47.116 47.818 48.162
99-29 43.745 46.016 46.418 47.070 46.871
99-30 43.504 45.420 45.721 46.323 45.580
99-31 43.263 44.825 45.024 45.576 44.290
100- 0 43.022 44.230 44.328 44.829 43.000
100- 1 42.781 43.635 43.632 44.082 41.711
100- 2 42.540 43.040 42.936 43.335 40.422
100- 3 42.300 42.446 42.240 42.589 39.133
100- 4 42.059 41.852 41.545 41.843 37.845
100- 5 41.819 41.258 40.850 41.097 36.558
100- 6 41.579 40.664 40.155 40.352 35.271
AVG LIFE 27.46 6.66 5.41 4.83 2.60
FIRST PAY 7/24 4/03 7/03 3/04 7/02
LAST PAY 1/30 8/16 3/13 3/08 2/03
Original Balance: $16,100,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 59
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
BOND IIM-2
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 86.058 93.774 95.710 97.932 107.094
99-17 85.806 93.162 94.988 97.066 106.289
99-18 85.554 92.551 94.267 96.200 105.484
99-19 85.302 91.940 93.546 95.334 104.679
99-20 85.050 91.329 92.825 94.469 103.875
99-21 84.798 90.718 92.104 93.603 103.071
99-22 84.546 90.108 91.384 92.739 102.267
99-23 84.295 89.498 90.664 91.874 101.464
99-24 84.044 88.888 89.945 91.010 100.660
99-25 83.792 88.279 89.225 90.146 99.858
99-26 83.541 87.670 88.506 89.282 99.055
99-27 83.290 87.061 87.788 88.419 98.253
99-28 83.039 86.452 87.069 87.556 97.451
99-29 82.788 85.843 86.351 86.693 96.649
99-30 82.538 85.235 85.633 85.831 95.848
99-31 82.287 84.627 84.916 84.969 95.047
100- 0 82.037 84.020 84.198 84.107 94.246
100- 1 81.786 83.412 83.481 83.246 93.446
100- 2 81.536 82.805 82.765 82.385 92.645
100- 3 81.286 82.198 82.048 81.524 91.846
100- 4 81.036 81.591 81.332 80.663 91.046
100- 5 80.786 80.985 80.617 79.803 90.247
100- 6 80.536 80.379 79.901 78.943 89.448
AVG LIFE 27.46 6.57 5.28 4.14 4.52
FIRST PAY 7/24 4/03 5/03 8/03 2/03
LAST PAY 12/29 1/15 11/11 5/07 1/07
Original Balance: $13,300,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 60
<PAGE>
DISCOUNT MARGIN ACTUAL/360 TABLE (TO MATURITY)
BOND IIB
PREPAYMENT SPEED
PRICE 0% 80% 100% 150% 200%
(PRICING
SPEED)
99-16 199.518 207.667 209.775 213.055 225.941
99-17 199.237 207.015 209.005 212.086 224.958
99-18 198.957 206.364 208.235 211.118 223.976
99-19 198.676 205.713 207.465 210.150 222.995
99-20 198.395 205.063 206.696 209.182 222.013
99-21 198.115 204.412 205.927 208.215 221.032
99-22 197.835 203.762 205.158 207.248 220.052
99-23 197.555 203.113 204.390 206.281 219.072
99-24 197.275 202.463 203.622 205.315 218.092
99-25 196.995 201.814 202.854 204.349 217.112
99-26 196.715 201.165 202.087 203.383 216.133
99-27 196.436 200.516 201.319 202.418 215.154
99-28 196.156 199.868 200.553 201.453 214.175
99-29 195.877 199.220 199.786 200.488 213.197
99-30 195.598 198.572 199.020 199.524 212.219
99-31 195.319 197.924 198.254 198.560 211.242
100- 0 195.040 197.277 197.488 197.596 210.265
100- 1 194.762 196.630 196.723 196.633 209.288
100- 2 194.483 195.983 195.958 195.670 208.311
100- 3 194.205 195.336 195.193 194.708 207.335
100- 4 193.926 194.690 194.429 193.746 206.359
100- 5 193.648 194.044 193.665 192.784 205.384
100- 6 193.370 193.398 192.901 191.822 204.409
AVG LIFE 27.42 6.28 5.02 3.73 3.65
FIRST PAY 7/24 4/03 4/03 5/03 6/03
LAST PAY 10/29 11/12 2/10 4/06 5/04
Original Balance: $11,200,000
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. If YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR CHASE SECURITIES INC. SALES REPRESENTATIVE
IMMEDIATELY.
[CHASE LOGO] 61
CHASE SECURITIES INC.
NEW ISSUE TERMS
CHASE FUNDING
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1
$410,000,000
Chase Funding Trust, Series 2000-1 Issuer
Chase Funding, Inc. - Depositor
Advanta Mortgage Corp. USA - Subservicer
Chase Manhattan Mortgage Corporation - Seller and Master Servicer
<TABLE>
SUMMARY OF TRANCHES
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
PASS THROUGH EXP. FINAL
PRINCIPAL BOND RATE MATURITY RATINGS
CLASS AMOUNT TYPE DESCRIPTION TO CALL1 WAL1* (MOODY'S /FITCH)
----- ------ ---- ----------- -------- ---- ---------------
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
IA-1 44,800,000 SEQ Float (2) 12/01 0.96 Aaa/AAA
IA-2 17,500,000 SEQ Fixed (2) 10/02 2.15 Aaa/AAA
IA-3 17,000,000 SEQ Fixed (2) 2/04 3.14 Aaa/AAA
IA-4 17,000,000 SEQ Fixed (2) 3/07 5.16 Aaa/AAA
IA-5 10,170,000 SEQ Fixed (2)(3) 10/08 8.51 Aaa/AAA
IA-6 11,830,000 NAS Fixed (2) 10/08 6.48 Aaa/AAA
IM-1 3,900,000 MEZ Fixed (2) 10/08 5.73 Aa2/AA
IM-2 4,225,000 MEZ Fixed (2) 10/08 5.73 A2/A
IB 3,575,000 SUB Fixed (2) 10/08 5.71 Baa2/BBB
IIA-1 239,400,000 PASS-THRU Float (3)(4) 6/07 2.41 Aaa/AAA
IIM-1 16,100,000 MEZ Float (3)(4) 6/07 4.92 Aa2/AA
IIM-2 13,300,000 MEZ Float (3)(4) 6/07 4.86 A2/A
IIB 11,200,000 SUB Float (3)(4) 6/07 4.82 Baa2/BBB
- ----------------------------------------------------------------------------------------------------------
</TABLE>
*WEIGHTED AVERAGE LIFE
1 The Group I Certificates will be priced at 23% HEP while the Group II
Certificates will be priced at 27% CPR. Assumes 10% call by group.
2 Preliminary, subject to a cap based on the weighted average net loan rate
of the Group I Loans.
3 If the 10% cleanup call, with respect to the related Loan Group, is not
exercised on the first distribution date on which it is exercisable, the
coupon on the Class IA-5 Certificates will increase by 50 bps per annum,
the margin on the Class IIA-1 Certificates will increase to 2x the IIA-1
margin, and the margin on the Class IIM-1, IIM-2 and IIB Certificates will
increase to 1.5x their related margins.
4 Subject to an available funds cap and a cap based on the weighted average
of the net maximum lifetime rates on the Group II Loans.
1
<PAGE>
COLLATERAL CHARACTERISTICS*
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1 - FIXED
RATE MORTGAGE LOAN GROUP SUMMARY REPORT*
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $129,203,680
AGGREGATE ORIGINAL PRINCIPAL BALANCE $129,357,932
NUMBER OF MORTGAGE LOANS 1,530
MINIMUM MAXIMUM AVERAGE(1)
------- ------- -------
ORIGINAL PRINCIPAL BALANCE 9,000 550,000 84,548
OUTSTANDING PRINCIPAL BALANCE 8,666 550,000 84,447
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
ORIGINAL TERM (MOS) 120 360 248
STATED REMAINING TERM (MOS) 115 360 247
EXPECTED REMAINING TERM (MOS) 115 360 247
LOAN AGE (MOS) 0 23 1
CURRENT INTEREST RATE 6.200% 14.150% 9.941%
ORIGINAL LOAN-TO-VALUE 9.14% 95.00% 72.20%
CREDIT SCORE 461 798 617(3)
EARLIEST LATEST
-------- ------
ORIGINATION DATES 03/1998 02/2000
MATURITY DATES 10/2009 03/2030
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
*The Collateral information contained herein will be superseded by the final
prospectus.
2
<PAGE>
CHASE FUNDING, MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 2000-1 -
ADJUSTABLE RATE MORTGAGE LOAN GROUP SUMMARY REPORT*
AGGREGATE OUTSTANDING PRINCIPAL BALANCE $279,856,968
AGGREGATE ORIGINAL PRINCIPAL BALANCE $280,039,422
NUMBER OF MORTGAGE LOANS 2,287
MINIMUM MAXIMUM AVERAGE(1)
------- ------- -------
ORIGINAL PRINCIPAL BALANCE 9,310 725,000 122,448
OUTSTANDING PRINCIPAL BALANCE 9,310 725,000 122,369
MINIMUM MAXIMUM WEIGHTED AVERAGE(2)
------- ------- ----------------
ORIGINAL TERM (MOS) 240 360 360
STATED REMAINING TERM (MOS) 236 360 359
EXPECTED REMAINING TERM (MOS) 236 360 359
LOAN AGE (MOS) 0 11 1
CURRENT INTEREST RATE 6.250% 13.650% 9.977%
INITIAL INTEREST RATE CAP 1.000% 3.000% 2.958%
PERIODIC RATE CAP 1.000% 1.500% 1.484%
GROSS MARGIN 1.000% 9.000% 5.632%
MAXIMUM MORTGAGE RATE 13.250% 20.650% 16.967%
MINIMUM MORTGAGE RATE 6.250% 13.650% 9.977%
MONTHS TO ROLL 1 60 28
ORIGINAL LOAN-TO-VALUE 15.34% 95.00% 77.62%
CREDIT SCORE 454 798 604(3)
EARLIEST LATEST
--------
ORIGINATION DATES 03/1999 02/2000
MATURITY DATES 11/2019 03/2030
NOTES:
(1) SUM OF PRINCIPAL BALANCE DIVIDED BY TOTAL NUMBER OF LOANS.
(2) WEIGHTED BY OUTSTANDING PRINCIPAL BALANCE.
(3) WEIGHTING ONLY FOR LOANS WITH SCORES.
*The Collateral information contained herein will be superseded by the final
prospectus.
3
